Putnam Asset Allocation Funds – ‘N-30D’ for 9/30/00

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

Document/Exhibit                   Description                      Pages   Size 

 1: N-30D       Putnam Asset Allocation Funds                        181±  1.01M 


Putnam                                                                          
Asset                                                                           
Allocation                                                                      
Funds                                                                           

ANNUAL REPORT ON PERFORMANCE AND OUTLOOK                                        

9-30-00                                                                         

[SCALE LOGO OMITTED]                                                            

PERFORMANCE HIGHLIGHTS                                                          

Putnam Asset Allocation Funds consist of three portfolios that target           
investors' various life stages and financial goals.                             

* Growth Portfolio is designed to seek maximum growth of an investment          
over time.                                                                  

Targeted portfolio structure*                                                   
----------------------------                                                    
Large-cap growth stocks                              25%                        
Small-cap growth stocks                              15                         
Value stocks                                         25                         
International equities                               15                         
Domestic fixed-income securities                      5                         
International fixed-income securities                 5                         
High-yield securities                                 5                         
Cash and money market securities                      5                         

* Balanced Portfolio is designed to seek total return for investors in          
their peak accumulation years.                                              

Targeted portfolio structure*                                                   
----------------------------                                                    
Large-cap growth stocks                              20%                        
Small-cap growth stocks                              10                         
Value stocks                                         20                         
International equities                               15                         
Domestic fixed-income securities                     10                         
International fixed-income securities                10                         
High-yield securities                                10                         
Cash and money market securities                      5                         

* Conservative Portfolio is designed to seek income while protecting            
the original value of the investment for investors concerned about          
maintaining their purchasing power.                                         

Targeted portfolio structure*                                                   
----------------------------                                                    
Large-cap growth stocks                              10%                        
Small-cap growth stocks                               5                         
Value stocks                                         10                         
International equities                               10                         
Domestic fixed-income securities                     35                         
International fixed-income securities                15                         
High-yield securities                                10                         
Cash and money market securities                      5                         

* The targeted portfolio represents the ideal allocation of assets among        
the various investment categories assuming that all security markets are    
displaying historical tendencies and that no extraordinary opportunities    
exist within any category.                                                  

Allocations in each portfolio will vary over time.                              

FROM THE TRUSTEES                                                               

[GRAPHIC OMITTED: PHOTO OF JOHN A. HILL AND GEORGE PUTNAM, III]                 

Dear Shareholder:                                                               

It is a pleasure to greet you in our new roles as Chairman of the               
Trustees and President of the Funds.  As you know, both of us have been         
members of the Board of Trustees for a number of years -- years during          
which the global securities markets, the mutual fund industry, and              
Putnam itself have experienced tremendous growth and change.                    

As we look to the future, we are certain that the changes will be               
breathtaking in their scope. What will not change is the Trustees'              
dedication to serving the best interests of our shareholders.                   

We welcome the challenges that lie ahead and are confident that Putnam          
and your Board will continue to face those challenges successfully as           
they have for more than 60 years. We look forward to helping you meet           
your financial objectives for many years to come.                               

Respectfully yours,                                                             

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

John A. Hill                George Putnam, III                                  
Chairman of the Trustees    President of the Funds                              
November 15, 2000                                                               

REPORT FROM FUND MANAGEMENT                                                     

William J. Landes and                                                           
the Global Asset                                                                
Allocation Team                                                                 

The 2000 fiscal year for Putnam Asset Allocation Funds, which ended             
September 30, encompassed several different types of market                     
environments. The second half of the year contrasted significantly with         
the first in terms of market dominance and investor preferences. Several        
major market trends reversed during the period, putting the asset               
allocation strategies we employ to the test. The Conservative, Balanced,        
and Growth portfolios finished the year with respectable returns not            
only by seizing opportunities for capital appreciation and income but           
also by providing defensive measures during market transitions. We              
believe the results confirm the wisdom of employing a flexible,                 
diversified investment strategy that can respond to ever-changing global        
markets.                                                                        

* U.S. MARKET FAVORS CONSERVATIVE INVESTMENTS                                   

Early in the period, the market was narrowly focused on a small number          
of large-capitalization growth stocks whose valuations became greatly           
overextended. Feverish capital spending on new technology, combined with        
significant productivity gains, contributed to a rate of economic growth        
often characterized as blistering. In an effort to slow the economy and         
stave off inflation, the Federal Reserve Board continued its series of          
increases in short-term interest rates. The most recent increase of half        
a percentage point, authorized in May brought the total of the increases        
to 1.75 percentage points over a nine-month tightening cycle. Investors,        
fearful of falling corporate profits, moved assets into defensive               
sectors. Later in the year, as the effects of Fed policy began to take          
hold and the economy began to slow, the Fed twice elected to hold rates         
steady.                                                                         

In light of mounting evidence of slower economic growth, market                 
sentiment shifted from concerns of an overheating economy and further           
Fed tightening to anxiety over the impact of high oil prices and the            
lagging effect of recent rate increases. Overall weakness in technology         
and telecommunications also caused market concern, following the                
unprecedented strength of those sectors in earlier quarters. Volatility         
remained high throughout the year, as investors changed their priorities        
and sought relatively safer investment alternatives.                            

Stocks: In response to a severe market correction in March 2000,                
investors signaled their discontent by shifting assets away from the            
volatile technology sector and into more defensive areas, including the         
financial, health-care, utilities, and energy sectors. The market               
broadened, which is to say that active trading resumed for a large              
number of stocks and sectors, following a long period when market               
activity had been narrowly focused on technology stocks. Prices for many        
stocks fell because of rising interest rates, which diminish business           
activity.                                                                       

In the second half of the fiscal year, stocks with attractive valuations        
and fundamentals, including profitability and positive cash flow,               
regained favor. Returns for value stocks pulled ahead by a wide margin,         
while growth stocks had two consecutive quarterly declines. Small- and          
mid-cap stocks had better returns than their large-cap counterparts due         
in part to their higher rate of inherent growth, which makes it easier          
to increase earnings in a slowing economy. The asset allocation funds           
responded to these changing trends by seeking opportunities among               
value-oriented sectors, with a slight emphasis on small- and mid-cap            
stocks. Overall we have changed our slightly negative bias on equities          
to a more neutral stance.                                                       

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

WORLD FIXED-INCOME MARKETS                                                      

Growth of a $10,000 investment                                                  

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

9/30/99           10,000              10,000             10,000                 
10/99              9,951              10,037              9,989                 
11/99             10,086              10,036              9,852                 
12/99             10,208               9,988              9,842                 
1/00              10,168               9,955              9,546                 
2/00              10,231              10,075              9,397                 
3/00              10,077              10,208              9,728                 
4/00              10,062              10,179              9,303                 
5/00               9,901              10,174              9,398                 
6/00              10,123              10,385              9,651                 
7/00              10,218              10,480              9,391                 
8/00              10,287              10,632              9,243                 
9/30/00          $10,192             $10,699             $9,214                 

Footnote reads:                                                                 
See page 13 for descriptions of the indexes. Past performance is                
not indicative of future results. This is not intended to represent             
the returns of any fund. It is not possible to invest directly                  
in an index.                                                                    

Bonds: Early in the year, while interest rates rose for short- and              
medium-term bonds, interest rates fell for long-term bonds, resulting in        
an inverted yield curve. Contributing to this inversion were the                
heightened demand for safer (investment-grade) securities and the U.S.          
Treasury Department's announcement of a planned buyback of long-term            
(30-year) Treasury bonds. Significant demand for these bonds, combined          
with the reduced supply, drove their prices higher and their yields             
lower and resulted in significantly better returns than those of other          
fixed-income sectors. Throughout the period, higher-quality issues              
continued to outperform lower-quality tiers. High-yield bonds lagged,           
while mortgage-backed and agency securities fared better.                       

At midyear, signs of a slowing economy reassured the bond market, while         
it became less likely that the Fed would continue with its interest-rate        
increases. Both Treasury bonds and investment-grade corporate bonds             
outperformed stocks in the final quarter of the fiscal year. Although           
returns for high-yield corporate bonds were slightly negative,                  
conditions in that sector improved. As we enter into the new fiscal             
year, we are cautious on bond yields. We believe bond market prices             
reflect anticipation of a hard-landing scenario (or recession) that in          
our opinion is not supported by economic facts.                                 

* INTERNATIONAL MARKETS UNDERPERFORM                                            

International equities proved to be a drag on fund performance during           
the latter half of the fiscal year. Poor performance from international         
growth stocks and emerging-markets stocks in particular dampened the            
positive results we achieved from maintaining a value orientation.              
International bond markets continued to provide lackluster results, and         
the funds remain underweighted in non-U.S. bonds.                               

Stocks: Coming into the second half of the year, the portfolios had a           
small preference for international stocks over domestic stocks. This            
proved to be a disadvantage, as technology and telecommunications               
sectors, which lost significant ground in the U.S. during the                   
correction, were even more damaged overseas. Against a backdrop of              
rising interest rates, fear of a recession weighed heavily on                   
international technology stocks and emerging-markets stocks. Rising             
energy prices contributed to inflationary fears and prompted further            
declines in the euro. The decline was halted near the end of the period         
by an unusual coordinated market intervention by five of the world's            
central banks. Although the weak euro helped European companies boost           
market share, it hurt the European profits of U.S. multinational                
companies. The portfolios, though hedged to varying degrees, were also          
hurt by a weak euro.                                                            

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

WORLD EQUITY MARKETS                                                            

Growth of a $10,000 investment                                                  

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

9/30/99              10,000                10,000             10,000            
10/99                10,633                10,041             10,375            
11/99                10,849                10,640             10,735            
12/99                11,488                11,844             11,699            
1/00                 10,911                11,654             10,955            
2/00                 10,704                13,579             11,250            
3/00                 11,751                12,684             11,686            
4/00                 11,398                11,920             11,071            
5/00                 11,164                11,226             10,801            
6/00                 11,439                12,204             11,223            
7/00                 11,260                11,811             10,753            
8/00                 11,960                12,713             10,846            
9/30/00             $11,328               $12,339            $10,318            

Footnote reads:                                                                 
See page 13 for descriptions of the indexes. Past performance is                
not indicative of future results. This is not intended to represent             
the returns of any fund. It is not possible to invest directly                  
in an index.                                                                    

In Japan, stocks generally weakened, as the economic recovery remained          
sluggish and the progress on corporate restructurings stalled. Our              
outlook for Japan has darkened, since the country's ability to emerge           
from recession seems increasingly fragile. Nevertheless, a few select           
Japanese companies are showing excellent trends in profitability and            
continue to present attractive investment opportunities.                        

Bonds: The accelerating pace of global economic growth was less                 
beneficial for foreign fixed-income markets. We continued to underweight        
non-U.S. bonds in our portfolios. European bonds are generally                  
overvalued and thus less attractive than U.S. Treasuries. Large telecom         
companies are issuing investment-grade bonds to finance the cost of             
licenses that ensure they will have the frequencies they need to conduct        
wireless communications. This large supply of quality bonds puts                
pressure on the high-yield bond markets that must compete for investment        
dollars.                                                                        

We believe that as the euro stabilizes, the outlook for European bonds          
will improve, but for the medium term, we will remain underweighted in          
these securities. Meanwhile, weakness in the yen points to the                  
possibility of higher interest rates in Japan. This factor along with a         
glut of debt issues stemming from a high level of government borrowing          
makes it likely that Japanese bonds will underperform. Emerging-markets         
bonds had generally impressive returns, although their prices dropped           
modestly at the end of the period. We maintain a neutral stance on these        
securities.                                                                     

* STRATEGY AND OUTLOOK                                                          

Continued high levels of productivity growth have helped restrain               
inflation in the United States. Investment in and implementation of new         
technologies have enabled a higher rate of growth without sparking              
inflation. Most of the gains in productivity reflect improvements in            
old-economy sectors, such as manufacturing, in which benefits are likely        
to persist. Although economic growth is slowing, the majority of                
companies reported solid earnings in the second quarter, extending the          
string of generally solid reports from the first quarter and 1999. Our          
research suggests that the fundamentals for many of the companies we            
cover remain stronger than implied current market valuations.                   

In the United States, we see a favorable climate for continued solid            
corporate earnings amid slower economic growth. We believe that the             
market volatility experienced in 2000 is a response to short-term               
factors rather than the beginning of a sustained bear market. We believe        
that the worldwide economy has yet to catch up with the consumption and         
investment boom that has characterized the U.S. economy over the last           
two decades. Despite cyclical downturns in capital spending for new             
technology, we believe a higher level of technology investment will             
prove to be an irreversible long-term phenomenon.                               

Our quantitative models shifted in May to favor equities over bonds on a        
global basis. In light of sound valuations, improved fundamentals and           
the likelihood that the Fed is done raising short-term interest rates,          
we have increased our allocation to U.S. equities. Among U.S. equities,         
small-cap stocks are the most attractive. Overseas and at home, we favor        
companies that are focused on adapting to the new economy, consolidating        
where appropriate, investing in technology, and aggressively positioning        
the firms within their own industries.                                          

We maintain a generally positive stance toward Continental Europe. The          
markets of France, Spain, and Italy are among our favorites, bolstered          
by healthy economic growth and burgeoning technology and                        
telecommunications sectors. Valuations for Germany's equities have              
become more attractive after last year's below-average performance.             
Germany's industrial focus is well suited to the accelerating pace of           
European economic growth.                                                       

We remain cautious on stocks of the United Kingdom in the near term,            
since rising interest rates and relatively low earnings growth make             
these equities less attractive than other choices. Despite recent poor          
performance, we believe the prospects for emerging equity markets remain        
favorable. We favor Asia (excluding Japan) and particularly South Korea.        
The region's relatively swift rebound from the economic crisis of               
1997-1998 is encouraging and highlights the resilience of these                 
economies. Latin America has shown promise as well with generally solid         
performance and firmer prices for commodities.                                  

As always, we will continue to diversify across all asset classes,              
focusing on what we believe are the most promising opportunities for            
income and growth.                                                              

The views expressed here are exclusively those of Putnam Management.            
They are not meant as investment advice. While these holdings and others        
discussed in the report were viewed favorably as of 9/30/00, all are            
subject to review and adjustment in accordance with the funds'                  
investment strategies and may well vary in the future. International            
investing may include risks such as currency fluctuations, economic             
instability, and political developments.                                        

PERFORMANCE SUMMARY                                                             

* GROWTH PORTFOLIO                                                              

                                                        [Enlarge/Download Table]


TOTAL RETURNS FOR PERIODS ENDED 9/30/00                                                

Change in value during period plus reinvested distributions                            

                    Class A             Class B          Class C         Class M       
(inception dates)   (2/8/94)           (2/16/94)         (9/1/94)        (2/3/95)      
                  NAV      POP       NAV      CDSC     NAV     CDSC    NAV      POP    
---------------------------------------------------------------------------------------
                                                                                       
1 year           12.77%    6.25%    11.98%    6.97%   12.01%  11.00%  12.25%    8.35%  
---------------------------------------------------------------------------------------
5 years          97.38    86.10     90.36    88.36    90.31   90.31   92.79    86.10   
Annual average   14.57    13.23     13.74    13.50    13.73   13.73   14.03    13.23   
---------------------------------------------------------------------------------------
Life of fund    135.78   122.18    124.67   124.67   123.36  123.36  128.07   120.08   
Annual average   13.79    12.78     12.96    12.96    12.87   12.87   13.22    12.61   
---------------------------------------------------------------------------------------


PRICE AND DISTRIBUTION INFORMATION                                              
12 MONTHS ENDED 9/30/00                                                         

             Class A        Class B       Class C      Class M
Share value         NAV     POP        NAV           NAV      NAV     POP       
-----------------------------------------------------------------------------   
9/30/99            $14.35  $15.23    $14.12        $14.00    $14.15  $14.66     
-----------------------------------------------------------------------------   
9/30/00             14.47   15.35     14.21         14.08     14.25   14.77     
-----------------------------------------------------------------------------   

                     Capital gains
       Investment     Long         Short
Distributions     Number     income       term         term      Total          
-----------------------------------------------------------------------------   
Class A             1        $0.159      $1.247       $0.318    $1.724          
-----------------------------------------------------------------------------   
Class B             1         0.056       1.247        0.318     1.621          
-----------------------------------------------------------------------------   
Class C             1         0.056       1.247        0.318     1.621          
-----------------------------------------------------------------------------   
Class M             1         0.086       1.247        0.318     1.651          
-----------------------------------------------------------------------------   

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

PERFORMANCE SUMMARY                                                             

                                                        [Enlarge/Download Table]


* BALANCED PORTFOLIO                                                                       

TOTAL RETURNS FOR PERIOD ENDED 9/30/00                                                     

Change in value during period plus reinvested distributions                                

                    Class A              Class B           Class C             Class M     
(inception dates)   (2/7/94)            (2/11/94)          (9/1/94)            (2/6/95)    
                  NAV      POP        NAV      CDSC      NAV     CDSC        NAV      POP  
-------------------------------------------------------------------------------------------
                                                                                           
1 year           15.88%    9.21%     15.01%   10.01%    14.97%  13.97%      15.33%   11.34%
-------------------------------------------------------------------------------------------
5 years          90.67    79.71      83.71    81.71     83.29   83.29       86.24    79.73 
Annual average   13.78    12.44      12.93    12.69     12.88   12.88       13.24    12.44 
-------------------------------------------------------------------------------------------
Life of fund    123.05   110.19     112.36   112.36    110.98  110.98      116.39   108.82 
Annual average   12.84    11.84      12.01    12.01     11.90   11.90       12.33    11.73 
-------------------------------------------------------------------------------------------


PRICE AND DISTRIBUTION INFORMATION                                              
12 MONTHS ENDED 9/30/00                                                         

      Class A      Class B      Class C      Class M
Share value       NAV     POP      NAV          NAV      NAV     POP            
----------------------------------------------------------------------          
9/30/99         $12.28  $13.03   $12.22       $12.15   $12.26  $12.70           
----------------------------------------------------------------------          
9/30/00          12.99   13.78    12.92        12.83    12.97   13.44           
----------------------------------------------------------------------          

                     Capital gains
       Investment     Long         Short
Distributions     Number     income       term         term      Total          
----------------------------------------------------------------------          
Class A             4        $0.258      $0.805       $0.126    $1.189          
----------------------------------------------------------------------          
Class B             4         0.160       0.805        0.126     1.091          
----------------------------------------------------------------------          
Class C             4         0.164       0.805        0.126     1.095          
----------------------------------------------------------------------          
Class M             4         0.193       0.805        0.126     1.124          
----------------------------------------------------------------------          

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

PERFORMANCE SUMMARY                                                             

                                                        [Enlarge/Download Table]


* CONSERVATIVE PORTFOLIO                                                               

TOTAL RETURNS FOR PERIOD ENDED 9/30/00                                                 

Change in value during period plus reinvested distributions                            

                    Class A           Class B            Class C           Class M     
 (inception dates)  (2/7/94)         (2/18/94)           (9/1/94)          (2/7/95)    
                  NAV      POP     NAV      CDSC       NAV     CDSC      NAV      POP  
---------------------------------------------------------------------------------------
                                                                                       
1 year            8.18%    2.00%   7.40%   2.40%       7.39%  6.39%      7.66%    3.86%
---------------------------------------------------------------------------------------
5 years          56.31    47.33   50.91   48.91       50.76  50.76      52.60    47.30 
Annual average    9.34     8.06    8.58    8.29        8.56   8.56       8.82     8.05 
---------------------------------------------------------------------------------------
Life of fund     75.72    65.60   67.57   67.57       66.90  66.90      70.23    64.27 
Annual average    8.86     7.89    8.08    8.08        8.02   8.02       8.34     7.76 
---------------------------------------------------------------------------------------


PRICE AND DISTRIBUTION INFORMATION                                              
12 MONTHS ENDED 9/30/00                                                         
               Class A        Class B        Class C       Class M
Share value         NAV     POP        NAV            NAV       NAV     POP     
------------------------------------------------------------------------------  
9/30/99           $10.40  $11.03     $10.37         $10.34    $10.37  $10.75    
------------------------------------------------------------------------------  
9/30/00            10.45   11.09      10.42          10.39     10.42   10.80    
------------------------------------------------------------------------------  

                     Capital gains
       Investment     Long         Short
Distributions     Number     income       term         term      Total          
----------------------------------------------------------------------          
Class A             9        $0.402      $0.295       $0.088    $0.785          
----------------------------------------------------------------------          
Class B             9         0.324       0.295        0.088     0.707          
----------------------------------------------------------------------          
Class C             9         0.321       0.295        0.088     0.704          
----------------------------------------------------------------------          
Class M             9         0.349       0.295        0.088     0.732          
----------------------------------------------------------------------          

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

COMPARATIVE INDEX RETURNS FOR PERIOD ENDED 9/30/00                              
(Cumulative total returns)                                                      

             Lehman Bros.  Standard    Russell  First Boston  Consumer
            Aggregate    & Poor's      2000    High Yield    price
           Bond Index    500 Index    Index    Bond Index    index
----------------------------------------------------------------------------    
1 year              6.99%        13.28%     23.39%     1.92%        3.46%       
----------------------------------------------------------------------------    
5 years            36.80        166.82      79.28     35.09        13.32        
Annual average      6.47         21.68      12.38      6.20         2.53        
----------------------------------------------------------------------------    
Life of fund       48.91        239.28     114.57     49.97        18.74        
Annual average      6.16         20.12      12.14      6.27         2.61        
----------------------------------------------------------------------------    

The performance of each index will differ from that of the funds, assume        
reinvestment of all distributions, and does not take into account               
brokerage commissions or other costs. The funds' portfolios contain             
securities that do not match those in the indexes. Past performance is          
not indicative of future results.                                               

COMPARATIVE BENCHMARKS                                                          

Lehman Brothers Aggregate Bond Index is an unmanaged list consisting of         
securities from Lehman Brothers Government/ Corporate Bond Index,               
Mortgage-Backed Securities Index, and the Asset-Backed Securities Index.        

Standard & Poor's 500 Index is an unmanaged list of common stocks that          
is frequently used as a general measure of stock market performance.            

Russell 2000 Index is an unmanaged list of common stocks that is                
frequently used as a general performance measure of stocks of small to          
midsize companies.                                                              

First Boston High Yield Bond Index is an unmanaged list of lower-rated,         
higher-yielding U.S. corporate bonds.                                           

Morgan Stanley Capital International (MSCI) EAFE Index is an unmanaged          
list of equity securities from Europe, Australasia, and the Far East,           
with values expressed in U.S. dollars.                                          

Salomon Brothers Non-U.S. World Government Bond Index is an unmanaged           
list of bonds issued by 10 countries.                                           

Consumer price index (CPI) is a commonly used measure of inflation; it          
does not represent an investment return.                                        

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

GROWTH OF A $10,000 INVESTMENT                                                  

Cumulative total return of a $10,000 investment since 2/8/94                    

                                                         S&P 500
         Growth portfolio    Global Growth  Consumer price [REGISTRATION MARK]
Date   class A shares at POP    Index Mix        index             Index        

2/8/94        10,000             10,000          10,000            10,000       
9/30/94        9,346              9,869          10,219             9,800       
9/30/95       11,257             12,005          10,479            12,716       
9/30/96       13,367             13,772          10,793            15,301       
9/30/97       16,876             17,648          11,033            21,490       
9/30/98       15,693             17,943          11,190            23,434       
9/30/99       19,703             21,847          11,477            29,949       
9/30/00      $22,218            $24,294         $11,874           $33,928       

Footnote reads:                                                                 
The Global Growth Index Mix is a combination of the following indexes: 25%      
represented by the Russell 1000 Index, 25%  by Salomon Smith Barney Primary     
Market Index World ex US 50% Hedged, 10% by Russell 2000 Index, 10% by Lehman   
Government Bond Index, 10% by Chase High Yield Developed Index, 10% by Salomon  
Smith Barney World Government Bond Index ex US 50% Hedged, 5% by Salomon Smith  
Barney Extended Market Index World ex US 50% Hedged, and 5% by Morgan Stanley   
Capital International Emerging Markets Free Index, which reflects generally     
the allocations of the different asset categories of Putnam Asset Allocation:   
Growth Portfolio as of 9/30/00.                                                 

Past performance is no assurance of future results. At the end of the same time 
period, a $10,000 investment in the fund's class B and class C shares would     
have been valued at $22,467 and $22,336, respectively and no contingent         
deferred sales charge would apply; a $10,000 investment in the fund's class M   
shares would have been valued at $22,807 ($22,008 at public offering price.)    

TERMS AND DEFINITIONS                                                           

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

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

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

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

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

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

GROWTH OF A $10,000 INVESTMENT                                                  

Cumulative total return of a $10,000 investment since 2/7/94                    

Balanced portfolio                                        S&P 500 
    class A shares at POP  Global Balanced  Consumer price [REGISTRATION MARK]
Date     since 2/7/94          Index Mix         index            Index         

2/7/94      10,000              10,000          10,000            10,000        
9/30/94      9,285               9,893          10,219             9,800        
9/30/95     11,024              11,855          10,479            12,716        
9/30/96     12,943              13,395          10,793            15,301        
9/30/97     16,023              16,548          11,033            21,490        
9/30/98     15,223              17,044          11,190            23,434        
9/30/99     18,138              20,135          11,477            29,949        
9/30/00    $21,019             $22,812         $11,874           $33,928        

Footnote reads:                                                                 
The Global Balanced Index Mix is a combination of the following indexes:        
42.5% represented by the Russell 1000 Index, 15% by Lehman Government Bond      
Index, 10% by Salomon Smith Barney Primary Market Index World ex US hedged,     
7.5% by Russell 2000 Index, 7.5% by Lehman Corporate Bond Index, 7.5% by        
Lehman-Mortgage Index, 5% by Merrill Lynch High Yield BB Rated Index, and 5%    
by Merrill Lynch All Convertible All Quality Index, which reflects generally    
the allocations of the different asset categories of Putnam Asset Allocation:   
Balanced Portfolio as of 9/30/00.                                               

Past performance is no assurance of future results.  At the end of the same     
time period, a $10,000 investment in the fund's class B and class C shares      
would have been valued at $21,236 and $21,098, respectively and no contigent    
deferred sales charge would apply; a $10,000 investment in the fund's class M   
shares would have been valued at $21,639 ($20,882 at public offering price).    

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

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

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

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

GROWTH OF A $10,000 INVESTMENT                                                  

Cumulative total return of a $10,000 investment since 2/7/94                    

                               Global                    Lehman Brothers
Conservative portfolio   Conservative  Consumer price    Aggregate
Date   class A shares at POP      Index Mix        index       Bond Index       

2/7/94       10,000                10,000         10,000         10,000         
9/30/94       9,191                 9,853         10,219          9,543         
9/30/95      10,595                11,523         10,479         10,885         
9/30/96      11,838                12,587         10,793         11,418         
9/30/97      13,881                14,555         11,033         12,527         
9/30/98      13,785                15,438         11,190         13,969         
9/30/99      15,308                17,056         11,477         13,918         
9/30/00     $16,560               $18,698        $11,874        $14,891         

Footnote reads:                                                                 
The Global Conservative Index Mix is a combination of the following indexes:    
12.5% represented by the Salomon Smith Barney World Government Bond Index ex    
US Hedged, 12.5% by Lehman Corporate Bond Index, 12.5% by Lehman-Mortgage       
Index, 12.5% by Chase High Yield Developed Index, 12.5% by Merrill Lynch High   
Yield BB Rated Index, 12.5% by Lehman Government Bond Index, 10% by Russell     
1000 Index, 10% by Merrill All Convertible All Quality Index, and 5% by         
Salomon Smith Barney Primary Market Index World ex US Hedged, which reflects    
generally the allocations of the different asset categories of Putnam Asset     
Allocation: Conservative Portfolio as of 9/30/00.                               

Past performance is no assurance of future results.  At the end of the same     
time period, a $10,000 investment in the fund's class B and class C shares      
would have been valued at $16,757 and $16,690, respectively and no contigent    
deferred sales charge would apply; a $10,000 investment in the fund's class M   
shares would have been valued at $17,023 ($16,427 at public offering price).    

A GUIDE TO THE FINANCIAL STATEMENTS                                             

These sections of the report, preceded by the Report of independent             
accountants, constitute the fund's financial statements.                        

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

Statement of assets and liabilities  shows how the fund's net assets and        
share price are determined. All investment and noninvestment assets are         
added together.  Any unpaid expenses and other liabilities are                  
subtracted from this total. The result is divided by the number of              
shares to determine the net asset value per share, which is calculated          
separately for each class of shares. (For funds with preferred shares,          
the amount subtracted from total assets includes the net assets                 
allocated to remarketed preferred shares.)                                      

Statement of operations  shows the fund's net investment gain or loss           
for the reporting period. This is determined by adding up all the fund's        
earnings -- from dividends and interest income -- and subtracting its           
operating expenses. This statement also lists any net gain or loss the          
fund realized on the sales of its holdings and -- for holdings that             
remain in the portfolio -- any change in unrealized gains or losses over        
the period.                                                                     

Statement of changes in net assets  shows how the fund's net assets were        
affected by distributions to shareholders and by changes in the number          
of the fund's shares. It lists distributions and their sources (net             
investment income or realized capital gains) over the current reporting         
period and the most recent fiscal year-end. The distributions listed            
here may not match the sources listed in the Statement of operations            
because the distributions are determined on a tax basis and may be paid         
in a different period from the one in which they were earned.                   

Financial highlights  provide an overview of the fund's investment              
results, per-share distributions, expense ratios, net investment income         
ratios and portfolio turnover in one summary table, reflecting the five         
most recent reporting periods. In a semiannual report, the highlight            
table also includes the current reporting period. For open-end funds, a         
separate table is provided for each share class.                                

REPORT OF INDEPENDENT ACCOUNTANTS                                               
For the fiscal year ended September 30, 2000                                    

To the Trustees and Shareholders of                                             
Putnam Asset Allocation Funds                                                   

In our opinion, the accompanying statements of assets and liabilities,          
including the funds' portfolio, and the related statements of operations        
and of changes in net assets and the financial highlights present               
fairly, in all material respects, the financial position of each of the         
funds (Growth Portfolio, Balanced Portfolio, and Conservative Portfolio)        
constituting Putnam Asset Allocation Funds (the "trust") at September           
30, 2000, and the results of their operations, the changes in their net         
assets and the financial highlights for the periods indicated, in               
conformity with accounting principles generally accepted in the United          
States of America. These financial statements and financial highlights          
(hereafter referred to as "financial statements") are the responsibility        
of the trust's management; our responsibility is to express an opinion          
on these financial statements based on our audits. We conducted our             
audits of these financial statements in accordance with auditing                
standards generally accepted in the United States of America, which             
require that we plan and perform the audit to obtain reasonable                 
assurance about whether the financial statements are free of material           
misstatement. An audit includes examining, on a test basis, evidence            
supporting the amounts and disclosures in the financial statements,             
assessing the accounting principles used and significant estimates made         
by management, and evaluating the overall financial statement                   
presentation. We believe that our audits, which included confirmation of        
investments owned at September 30, 2000 by correspondence with the              
custodian, provide a reasonable basis for our opinion.                          

PricewaterhouseCoopers LLP                                                      
Boston, Massachusetts                                                           
November 8, 2000                                                                

                                                        [Enlarge/Download Table]


THE FUND'S PORTFOLIO                                                                                                          
September 30, 2000                                                                                                            

                                             GROWTH                         BALANCED                      CONSERVATIVE        
                                                      68.0%                           58.4%                           14.8%   
COMMON STOCKS(a)                     Shares           Value          Shares           Value          Shares           Value   
                                                                                                                              
Advertising and Marketing                                                                                                     
Services                                               0.4%                            0.3%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Cheil Communications, Inc.                                                                                                    
(Korea)                              11,600  $      977,937              --  $           --              --  $           --   
DoubleClick, Inc. (NON)                 500          16,000           1,100          35,200              --              --   
Engage Technologies, Inc. (NON)       3,800          30,875           8,000          65,000              --              --   
FreeShop.com, Inc. (NON)              7,400          20,813          33,500          94,219              --              --   
Harte-Hanks, Inc.                    13,800         376,050          21,500         585,875              --              --   
Havas Advertising SA (France)       169,688       2,679,608         127,607       2,015,091          13,597         214,715   
Interpublic Group Cos., Inc.          2,500          85,156           5,400         183,938              --              --   
L90, Inc. (NON)                       9,300          72,075          41,200         319,300              --              --   
Lamar Advertising Co. (NON)             300          11,363             600          22,725              --              --   
Omnicom Group, Inc.                   1,700         123,994           3,700         269,869              --              --   
Publicis SA (France)                 45,050       1,375,112          36,730       1,121,151           3,930         119,960   
True North Communications,                                                                                                    
Inc.                                 11,300         403,975          17,600         629,200              --              --   
WPP Group PLC (United Kingdom)      193,198       2,312,928         190,977       2,286,338          20,300         243,028   
Young & Rubicam, Inc.                   800          39,600           1,800          89,100              --              --   
                                             --------------                  --------------                  --------------   
                                                  8,525,486                       7,717,006                         577,703   

Aerospace and Defense                                  0.6%                            0.6%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
AAR Corp.                            65,300         746,869         102,100       1,167,769              --              --   
Aeroflex, Inc. (NON)                 13,750         668,594          55,600       2,703,550              --              --   
Alliant Techsystems, Inc. (NON)       8,800         722,700          13,700       1,125,113              --              --   
Anaren Microwave, Inc. (NON)          2,500         339,063          10,900       1,478,313              --              --   
B.F. Goodrich Co. (The)               1,000          39,188           2,100          82,294              --              --   
Bae Systems PLC                                                                                                               
(United Kingdom)                    159,825         862,208              --              --              --              --   
Boeing Co.                           39,600       2,494,800          70,800       4,460,400           6,700         422,100   
Empresa Brasileira de                                                                                                         
Aeronautica S/A (Brazil)                                                                                                      
(NON)                               117,400         897,690              --              --              --              --   
Empresa Brasileira de                                                                                                         
Aeronautica S/A ADR                                                                                                           
(Brazil) (NON)                        1,900          58,900              --              --              --              --   
General Dynamics Corp.               17,500       1,099,219          30,300       1,903,219           3,400         213,563   
Lockheed Martin Corp.                 3,300         108,768           7,100         234,016              --              --   
Newport News Shipbuilding, Inc.      10,100         438,088          15,800         685,325              --              --   
Northrop Grumman Corp.                  600          54,525           1,200         109,050              --              --   
Primex Technologies, Inc.            28,400         825,375          43,400       1,261,313              --              --   
Raytheon Co. Class B                  2,500          71,094           5,400         153,563              --              --   
Signal Technology Corp. (NON)         7,760         122,220          34,200         538,650              --              --   
Triumph Group, Inc. (NON)            16,300         584,763          26,500         950,688              --              --   
United Technologies Corp.             3,500         242,375           7,500         519,375              --              --   
                                             --------------                  --------------                  --------------   
                                                 10,376,439                      17,372,638                         635,663   

Agriculture                                             --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
LESCO, Inc.                          17,600         268,400          26,800         408,700              --              --   

Airlines                                               0.1%                            0.1%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
AMR Corp. (NON)                         400          13,075             800          26,150              --              --   
British Airways PLC                                                                                                           
(United Kingdom)                      7,900          33,365              --              --              --              --   
Cathay Pacific Airways                                                                                                        
(Hong Kong)                          47,000          86,203              --              --              --              --   
China Eastern Airlines                                                                                                        
(China) (NON)                     1,184,000         189,824              --              --              --              --   
Continental Airlines, Inc.                                                                                                    
(NON)                                   600          27,263           1,200          54,525              --              --   
Delta Air Lines, Inc.                   600          26,625           1,200          53,250              --              --   
Deutsche Lufthansa AG (Germany)      60,139       1,228,215          65,412       1,335,905           7,007         143,103   
FedEx Corp. (NON)                     1,400          62,076           2,900         128,586              --              --   
Frontier Airlines, Inc. (NON)        12,400         241,025              --              --              --              --   
Midwest Express Holdings, Inc.                                                                                                
(NON)                                16,800         338,100          27,300         549,413              --              --   
Southwest Airlines Co.                4,900         118,825          10,400         252,200              --              --   
UAL Corp.                               300          12,600             600          25,200              --              --   
                                             --------------                  --------------                  --------------   
                                                  2,377,196                       2,425,229                         143,103   

Automotive                                             0.7%                            0.5%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
ANC Rental Corp. (NON)                  400           2,300             762           4,382              --              --   
Autoliv, Inc.                         1,200          23,400           2,500          48,750              --              --   
Bayerische Motoren Werke (BMW)                                                                                                
AG (Germany)                         93,971       3,208,277         143,767       4,908,369          15,349         524,032   
Borg-Warner Automotive, Inc.         13,600         450,500          21,200         702,250              --              --   
CIR-Compagnie Industriali                                                                                                     
Riunite SpA (Spain)                 125,100         373,028              --              --              --              --   
CLARCOR, Inc.                        31,200         608,400          48,700         949,650              --              --   
Carlisle Companies, Inc.             11,900         493,850          18,600         771,900              --              --   
DaimlerChrysler AG (Germany)          6,300         280,839              --              --              --              --   
Dana Corp.                            2,000          43,000           4,200          90,300              --              --   
Delphi Automotive Systems                                                                                                     
Corp.                                 4,108          62,134           8,700         131,588              --              --   
Ford Motor Co.                       75,184       1,903,084         133,805       3,386,939          13,272         335,942   
General Motors Corp.                  5,300         344,500          11,300         734,500              --              --   
Gentex Corp. (NON)                      600          15,000           1,200          30,000              --              --   
Genuine Parts Co.                     1,300          24,781           2,700          51,469              --              --   
Honda Motor Co., Ltd. (Japan)                                                                                                 
(NON)                                50,000       1,842,081              --              --              --              --   
Hyundai Motor Co., Ltd.                                                                                                       
(Korea)                              91,100       1,184,709              --              --              --              --   
IMPCO Technologies, Inc. (NON)        7,400         212,750          32,700         940,125              --              --   
Midas, Inc.                             800          11,200           1,200          16,800              --              --   
TRW, Inc.                             1,000          40,625           2,100          85,313              --              --   
Tower Automotive, Inc. (NON)         24,800         232,500          38,900         364,688              --              --   
Toyota Motor Corp. (Japan)           22,000         869,573              --              --              --              --   
Valeo SA (France)                    30,444       1,319,250              --              --              --              --   
Volkswagon AG (Germany)               6,300         289,009              --              --              --              --   
Volvo AB Class B (Sweden)             3,200          51,683              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                 13,886,473                      13,217,023                         859,974   

Banking                                                5.0%                            3.6%                            0.9%   
---------------------------------------------------------------------------------------------------------------------------   
ABN AMRO Holding NV                                                                                                           
(Netherlands)                        84,900       1,977,328              --              --              --              --   
AMCORE Financial, Inc.               18,200         357,175          28,400         557,350              --              --   
Allied Irish Banks PLC                                                                                                        
(Ireland)                            19,200         206,985              --              --              --              --   
AmSouth Bancorporation                2,000          25,000           4,200          52,500              --              --   
Australia & New Zealand                                                                                                       
Banking Group, Ltd.                  75,500         542,729              --              --              --              --   
BB&T Corp.                           63,000       1,897,875         109,100       3,286,638          12,900         388,613   
BNP Paribas (France)                  9,800         863,691              --              --              --              --   
Banca Fideuram SpA (Italy)           29,100         482,121              --              --              --              --   
Banca Intesa SpA (Italy)            255,200         983,851         395,596       1,525,107          42,175         162,594   
Banca Popolare di Milano                                                                                                      
(Italy)                             129,489         803,073              --              --              --              --   
Banco Bradesco S/A BRC                                                                                                        
(Brazil)                             44,000         364,125               1               6              --              --   
Banco de Bilbao Vizcaya (BBV)                                                                                                 
(Spain)                              43,910         663,184          83,837       1,266,212           8,907         134,525   
Banco Itau S/A (Brazil)               6,950         618,113              --              --              --              --   
Banco Santander Central                                                                                                       
Hispano SA (Spain)                   16,000         175,593              --              --              --              --   
Bank of America Corp.                89,500       4,687,563         159,079       8,331,763          16,100         843,238   
Bank of East Asia, Ltd.                                                                                                       
(Hong Kong)                         174,000         390,550              --              --              --              --   
Bank of New York Company,                                                                                                     
Inc.                                  5,900         330,769          12,500         700,781              --              --   
Bank of Nova Scotia (Canada)        116,736       3,395,519          88,875       2,585,122              --              --   
Bank One Corp.                       10,000         386,250          21,300         822,713              --              --   
Bank Polska Kasa Opieki Grupa                                                                                                 
Pekao SA (Poland) (NON)              63,700         776,383              --              --              --              --   
Bank Sinopac (Taiwan)               544,500         292,162              --              --              --              --   
Bank United Corp. Class A            50,600       2,564,788          79,000       4,004,313              --              --   
Banknorth Group, Inc.                70,700       1,263,763         111,800       1,998,425              --              --   
Barclays PLC (United Kingdom)        61,800       1,709,892              --              --              --              --   
Bayerische Vereinsbank AG                                                                                                     
(Germany)                             1,600          87,514              --              --              --              --   
Bipop-Carire SpA (Italy) (REL)      337,903       2,972,037              --              --              --              --   
Centennial Bancorp (NON)             51,660         310,767          84,000         505,313              --              --   
Charter One Financial, Inc.          78,960       1,924,650         135,720       3,308,171          16,590         404,381   
Chase Manhattan Corp.                49,600       2,290,900          88,890       4,105,607           8,577         396,150   
Chinatrust Commercial Bank                                                                                                    
(Taiwan) (NON)                      377,480         283,321              --              --              --              --   
Citizens Banking Corp.                2,500          57,500           3,900          89,700              --              --   
City National Corp.                  22,400         865,200          32,600       1,259,175              --              --   
Comerica, Inc.                       44,435       2,596,670          76,770       4,486,247           9,025         527,398   
Commerce Asset-Holding Berhad                                                                                                 
(Malaysia)                          109,000         256,724              --              --              --              --   
Commercial Federal Corp.             27,100         518,288          42,300         808,988              --              --   
Commonwealth Bank of                                                                                                          
Australia (Australia)                15,800         236,050              --              --              --              --   
Community First Bankshares           19,700         345,981          30,600         537,413              --              --   
Credit Suisse Group                                                                                                           
(Switzerland)                        22,135       4,137,503           9,720       1,816,875           1,020         190,660   
Cullen/Frost Bankers, Inc.           20,300         659,750          31,600       1,027,000              --              --   
DBS Group Holdings, Ltd.                                                                                                      
(Singapore)                         145,069       1,600,945         121,181       1,337,323          12,749         140,695   
Deutsche Bank AG (New Zealand)       12,000         995,122              --              --              --              --   
Dresdner Bank AG (Germany)           17,915         779,958          25,974       1,130,819           2,772         120,683   
Fifth Third Bancorp                   3,300         177,788           6,900         371,738              --              --   
First Midwest Bancorp, Inc.          27,300         726,863          42,700       1,136,888              --              --   
First Security Corp.                    600           9,788           1,200          19,575              --              --   
First Tennessee National Corp.        1,500          30,656           3,100          63,356              --              --   
First Union Corp.                     9,600         309,000          20,300         653,406              --              --   
Firstar Corp.                        94,368       2,111,484         165,479       3,702,593          18,090         404,764   
FleetBoston Financial Corp.          63,143       2,462,577         110,721       4,318,119          12,105         472,095   
Greater Bay Bancorp                   4,300         298,581              --              --              --              --   
Greenpoint Finanacial Corp.           1,900          56,288           4,000         118,500              --              --   
Grupo Financiero Bancomer, SA                                                                                                 
de CV (Mexico) (NON)                570,253       2,615,396              --              --              --              --   
HSBC Holdings (United Kingdom)       58,400         816,448              --              --              --              --   
HSBC Holdings PLC                                                                                                             
(United Kingdom)                     45,000         639,826              --              --              --              --   
Housing & Commercial Bank                                                                                                     
(South Korea)                        19,200         454,601              --              --              --              --   
Housing Development Finance                                                                                                   
Corporation, Ltd. (India) (NON)      38,600         365,119              --              --              --              --   
Hudson United Bancorp                23,900         660,238          37,400       1,033,175              --              --   
Huntington Bancshares, Inc.             670           9,841           1,430          21,003              --              --   
ICICI Bank, Ltd. ADR (India)                                                                                                  
(NON)                                34,500         254,438              --              --              --              --   
Imperial Bancorp (NON)               10,700         204,638          16,800         321,300              --              --   
Irish Life & Permanent PLC                                                                                                    
(Ireland)                            45,896         453,887              --              --              --              --   
Keppel Bank (Singapore)             129,363         231,988         231,000         414,255          26,000          46,626   
Kookmin Bank 144A GDR                                                                                                         
(South Korea)                        24,000         286,278              --              --              --              --   
Lloyds TSB Group PLC                                                                                                          
(United Kingdom)                     26,000         242,481              --              --              --              --   
M & T Bank Corp.                      2,200       1,122,000           3,800       1,938,000             475         242,250   
Malayan Banking Berhad               96,000         368,842              --              --              --              --   
Mellon Financial Corp.                5,000         231,875          10,600         491,575              --              --   
Mitsubishi Bank, Ltd. (Japan)        47,000         555,577              --              --              --              --   
Mitsubishi Trust and Banking                                                                                                  
Corporation (The) (Japan)            31,000         255,105              --              --              --              --   
Morgan (J.P.) & Co., Inc.             1,600         261,400           3,300         539,138              --              --   
National Australia Bank, Ltd.                                                                                                 
(Australia)                          17,800         245,764              --              --              --              --   
National Bank of Canada                                                                                                       
(Canada)                             47,100         745,283              --              --              --              --   
National City Corp.                   7,700         170,363          16,300         360,638              --              --   
National Commerce                                                                                                             
Bancorporation                        1,300          25,919           2,700          53,831              --              --   
North Fork Bancorporation, Inc.      19,700         426,013          32,300         698,488              --              --   
Northern Trust Corp.                    400          35,550             800          71,100              --              --   
Overseas-Chinese Banking Corp.                                                                                                
(Singapore)                         171,480       1,084,194         101,650         642,689          11,000          69,548   
Overseas Union Bank, Ltd.                                                                                                     
(Singapore)                         164,979         768,094              --              --              --              --   
PNC Financial Services Group         40,000       2,600,000          70,200       4,563,000           8,000         520,000   
Panafon Hellenic Telecom SA                                                                                                   
GDR (Greece)                          7,400         370,000              --              --              --              --   
Provident Bankshares Corp.           31,100         520,925          48,450         811,538              --              --   
Public Bank Berhad (Malaysia)       298,000         221,147              --              --              --              --   
Regions Financial Corp.                 800          18,150           1,700          38,569              --              --   
Republic Bancorp, Inc.               30,200         286,900          57,900         550,050              --              --   
Royal Bank of Scotland Group                                                                                                  
PLC (United Kingdom)                204,300       4,311,923         170,094       3,589,977          31,004         654,365   
San Paolo-IMI SpA (Italy)            86,412       1,404,206              --              --              --              --   
Shinhan Bank (Korea)                 31,100         348,655              --              --              --              --   
Silicon Valley Bancshares (NON)      12,300         716,283              --              --              --              --   
Societe Generale (France)            13,400         748,891              --              --              --              --   
SouthWest Bancorporation of                                                                                                   
Texas, Inc. (NON)                    28,500         931,594          44,500       1,454,594              --              --   
Sovereign Bancorp, Inc.              23,200         214,600          37,700         348,725              --              --   
Sparebanken NOR (Norway)             31,218         758,378              --              --              --              --   
Standard Bank Investment                                                                                                      
(South Africa)                      188,400         744,096              --              --              --              --   
State Street Corp.                    9,400       1,222,000          16,000       2,080,000           1,600         208,000   
Sterling Bancshares, Inc.            50,500         770,125          79,000       1,204,750              --              --   
Sumitomo Trust & Banking                                                                                                      
(Japan)                              16,000         202,907              --              --              --              --   
Summit Bancorp                          800          27,600           1,700          58,650              --              --   
SunTrust Banks, Inc.                  2,700         134,494           5,800         288,913              --              --   
Svenska Handelsbanken (Sweden)       67,900       1,093,114         108,922       1,753,522          24,211         389,770   
Synovus Financial Corp.              46,800         991,575          79,965       1,694,258          10,125         214,523   
TCF Financial Corp.                   1,100          41,388           2,300          86,538              --              --   
Taishin International Bank                                                                                                    
(Taiwan) (NON)                      518,700         314,765              --              --              --              --   
Thai Farmers Bank Public Co.                                                                                                  
(Thailand) (NON)                    433,900         221,220              --              --              --              --   
Toronto-Dominion Bank                                                                                                         
(Canada)                             58,700       1,724,978          54,750       1,608,902              --              --   
Turkiye Garanti Bankasi 144A                                                                                                  
(Turkey) (NON)                   34,850,100         298,625              --              --              --              --   
U.S. Bancorp                         76,800       1,747,200         132,935       3,024,271          15,600         354,900   
UBS AG (Switzerland)                 10,200       1,357,639              --              --              --              --   
Uniao de Bancos Brasileiros                                                                                                   
S/A GDR (Brazil)                      7,500         247,500              --              --              --              --   
United Overseas Bank, Ltd.                                                                                                    
(Singapore)                          50,000         359,237              --              --              --              --   
United World Chinese                                                                                                          
Commercial Bank Corp. (Taiwan)      399,200         254,998              --              --              --              --   
Vontobel Holding AG                                                                                                           
(Switzerland)                            69         189,271              --              --              --              --   
Wachovia Corp.                        2,000         113,375           4,200         238,088              --              --   
Washington Federal, Inc.             29,900         680,225          47,000       1,069,250              --              --   
Washington Mutual, Inc.              53,134       2,115,397          92,157       3,669,001          10,458         416,359   
Webster Financial Corp.              24,100         649,194          37,000         996,688              --              --   
Wells Fargo Co.                      67,145       3,084,473         120,300       5,526,281          11,550         530,578   
Westpac Banking Corp., Ltd.                                                                                                   
(Australia)                          80,200         553,506              --              --              --              --   
Wilmington Trust Corp.                  300          16,088             600          32,175              --              --   
Yapi ve Kredi Bankasi A.S.                                                                                                    
GDR (Turkey)                         43,681         305,767              --              --              --              --   
Zions Bancorp                           900          46,027           2,000         102,281              --              --   
                                             --------------                  --------------                  --------------   
                                                 99,349,981                      97,302,949                       7,832,715   

Beverage                                               1.1%                            0.7%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Al Ahram Beverages Co. GDR 144A                                                                                               
(Egypt) (NON)                        28,200         403,965              --              --              --              --   
Anheuser-Busch Cos., Inc.            56,960       2,410,120          99,370       4,204,593          11,050         467,553   
Bass PLC (United Kingdom)           137,300       1,349,481              --              --              --              --   
Brown-Forman Corp. Class B           10,100         552,975          17,300         947,175           2,200         120,450   
Carlsberg A/S (Denmark)              21,809         903,096              --              --              --              --   
Coca-Cola Co.                        32,300       1,780,538          61,800       3,406,725           3,400         187,425   
Coca-Cola Enterprises, Inc.          80,400       1,281,375         137,200       2,186,625          16,900         269,344   
Coca-Cola Femsa SA ADR                                                                                                        
(Mexico)                             77,400       1,548,000              --              --              --              --   
Companhia de Bebidas das                                                                                                      
Americas ADR (Brazil)                69,700       1,542,113              --              --              --              --   
Diageo PLC (United Kingdom)         326,436       2,916,546         119,873       1,071,007          12,707         113,531   
Fomento Economico Mexicano SA                                                                                                 
de CV (Mexico)                      326,805       1,270,389              --              --              --              --   
Fortune Brands, Inc.                 75,200       1,992,800         128,700       3,410,550          16,100         426,650   
Grupo Modelo SA de CV (Mexico)      283,100         662,696              --              --              --              --   
Heineken NV (Netherlands)             5,700         316,798              --              --              --              --   
Pepsi Bottling Group, Inc.                                                                                                    
(The)                                66,700       2,005,169          86,600       2,603,413          10,900         327,681   
PepsiCo, Inc.                        10,500         483,000          22,200       1,021,200              --              --   
Robert Mandavi Corp. (The)                                                                                                    
(NON)                                10,900         445,538          17,100         698,963              --              --   
                                             --------------                  --------------                  --------------   
                                                 21,864,599                      19,550,251                       1,912,634   

Biotechnology                                          0.7%                            0.9%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Albany Molecular Research, Inc.                                                                                               
(NON)                                11,000         618,063          20,200       1,134,988              --              --   
Alliance Pharmaceutical Corp.                                                                                                 
(NON)                                11,800         179,950              --              --              --              --   
Amgen, Inc. (NON)                    40,900       2,855,970          70,200       4,901,934           6,600         460,866   
Applied Molecular Evolution,                                                                                                  
Inc. (NON)                              400          16,050           1,700          68,213              --              --   
Aurora Biosciences Corp. (NON)        1,800         122,400              --              --              --              --   
Biogen, Inc. (NON)                    1,300          79,300           2,700         164,700              --              --   
Cephalon, Inc. (NON)                  5,500         266,750          24,200       1,173,700              --              --   
Chiron Corp. (NON)                    1,000          45,000           2,100          94,500              --              --   
Connetics Corp. (NON)                17,300         417,363              --              --              --              --   
Enzon, Inc. (NON)                     7,500         495,000              --              --              --              --   
Genaissance Pharmaceuticals                                                                                                   
(NON)                                 1,400          28,963           6,200         128,263              --              --   
Genentech, Inc. (NON)                15,100       2,803,881          25,400       4,716,463           2,900         538,494   
Genzyme Corp. (NON)                     600          40,913           1,300          88,644              --              --   
Human Genome Sciences, Inc.                                                                                                   
(NON)                                   200          34,625             400          69,250              --              --   
IDEC Pharmaceuticals Corp.                                                                                                    
(NON)                                   100          17,536             300          52,608              --              --   
IDEXX Laboratories, Inc. (NON)        5,700         152,475          24,900         666,075              --              --   
ILEX Oncology, Inc. (NON)             8,500         256,063          14,400         433,800              --              --   
Immunex Corp. (NON)                   1,700          73,950           3,700         160,950              --              --   
Maxim Pharmaceuticals, Inc.                                                                                                   
(NON)                                 2,260         137,295          10,100         613,575              --              --   
Medimmune, Inc. (NON)                38,800       2,997,300          64,900       5,013,525           7,500         579,375   
Millennium Pharmaceuticals,                                                                                                   
Inc. (NON)                            8,500       1,241,531          14,300       2,088,694           1,600         233,700   
Myriad Genetics, Inc. (NON)           2,800         241,850              --              --              --              --   
Neurocrine Biosciences, Inc.                                                                                                  
(NON)                                 8,000         360,000          35,200       1,584,000              --              --   
Pharmacopeia, Inc. (NON)              6,400         163,200              --              --              --              --   
Regeneration Technologies, Inc.                                                                                               
(NON)                                 7,900          65,175          35,100         289,575              --              --   
Sepracor, Inc. (NON)                    400          49,075             800          98,150              --              --   
Serologicals Corp. (NON)             39,500         274,031          71,900         498,806              --              --   
Triangle Pharmaceuticals, Inc.                                                                                                
(NON)                                22,900         193,219              --              --              --              --   
Trimeris, Inc. (NON)                  1,860         130,084           8,300         580,481              --              --   
Xoma Ltd. (NON)                      13,700         197,794          60,500         873,469              --              --   
                                             --------------                  --------------                  --------------   
                                                 14,554,806                      25,494,363                       1,812,435   

Broadcasting                                           1.2%                            1.0%                            0.3%   
---------------------------------------------------------------------------------------------------------------------------   
Ackerly Group, Inc.                   7,900          79,000          34,700         347,000              --              --   
Beasley Broadcasting Group,                                                                                                   
Inc. (NON)                           12,600         122,063              --              --              --              --   
Capital Radio PLC                                                                                                             
(United Kingdom)                     31,036         653,665              --              --              --              --   
Citadel Communications Corp.                                                                                                  
(NON)                                10,600         180,200          46,900         797,300              --              --   
Clear Channel Communications,                                                                                                 
Inc. (NON)                           27,322       1,543,693          49,646       2,804,999           6,774         382,731   
Corus Entertainment, Inc.                                                                                                     
(Canada) (NON)                       10,043         287,115              --              --              --              --   
Cox Communications, Inc. (NON)        1,100          42,075           2,300          87,975              --              --   
Echostar Communications Corp.                                                                                                 
Class A (NON)                        45,500       2,400,125          76,000       4,009,000           8,900         469,475   
Fuji Television Network, Inc.                                                                                                 
(Japan)                                  --              --              --              --               3          38,878   
General Motors Corp. Class H                                                                                                  
(NON)                                 2,200          81,796           4,600         171,028              --              --   
Granada Media PLC 144A                                                                                                        
(United Kingdom) (NON)               33,100         220,637          62,800         418,611           7,100          47,327   
Granada Media PLC                                                                                                             
(United Kingdom) (NON)               10,500          69,991          20,000         133,316           2,300          15,331   
Grupo Televisa SA GDR (Mexico)                                                                                                
(NON)                                27,337       1,577,003          20,421       1,178,036              --              --   
GWR Group PLC (United Kingdom)       56,480         684,515              --              --              --              --   
HIT Entertainment PLC                                                                                                         
(United Kingdom)                    107,398         695,256              --              --              --              --   
Hispanic Broadcasting Corp.                                                                                                   
(NON)                                   400          11,150             800          22,300              --              --   
Infinity Broadcasting Corp.                                                                                                   
Class A (NON)                         2,600          85,800           5,600         184,800              --              --   
Mediaset SpA (Italy)                125,702       1,871,896         186,776       2,781,382          20,328         302,715   
News Corp., Ltd. ADR                                                                                                          
(Australia)                          58,481       3,278,591          99,964       5,604,232          13,578         761,217   
Nippon Broadcasting Systems                                                                                                   
(Japan) (NON)                         1,000          55,725              --              --              --              --   
Nippon Television Network Corp.                                                                                               
(Japan) (NON)                         4,160       2,391,336           4,980       2,862,705             370         212,691   
Pegasus Communications Corp.                                                                                                  
(NON)                                10,200         492,788          34,895       1,685,865             182           8,793   
RTL Group (Luxembourg)                3,214         348,186              --              --              --              --   
Radio One, Inc. Class A (NON)         5,540          46,051          24,000         199,500              --              --   
Radio One, Inc. Class D (NON)        11,080          78,253          48,000         339,000              --              --   
Regent Communications, Inc.                                                                                                   
(NON)                                11,210          62,356          49,600         275,900              --              --   
SAGA Communications, Inc.                                                                                                     
Class A (NON)                         7,342         121,143          32,300         532,950              --              --   
SBS Broadcasting SA                                                                                                           
(Luxembourg) (NON)                   11,600         461,825              --              --              --              --   
Societe Television Francaise                                                                                                  
(France)                             61,934       3,551,481          50,148       2,875,637           5,342         306,326   
Spanish Broadcasting System,                                                                                                  
Inc. (NON)                            6,614          78,541              --              --           1,600          19,000   
TV Azteca SA de CV (Mexico)         723,300         576,127              --              --              --              --   
United Global Communications                                                                                                  
(NON)                                   800          24,000           1,700          51,000              --              --   
Univision Communications, Inc.                                                                                                
Class A (NON)                         1,400          52,325           3,000         112,125              --              --   
XM Satellite Radio Holdings,                                                                                                  
Inc. Class A (NON)                       --              --              58           2,498              38           1,636   
                                             --------------                  --------------                  --------------   
                                                 22,224,708                      27,477,159                       2,566,120   

Building Materials                                     0.1%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
American Standard Companies,                                                                                                  
Inc. (NON)                              400          17,775             800          35,550              --              --   
Apogee Enterprises, Inc.             88,100         501,069         137,500         782,031              --              --   
Assa Abloy AB Class B, (Sweden)       4,600          83,133              --              --              --              --   
Buzzi Unicem SpA (Italy)            114,881         550,320              --              --              --              --   
Corporacion Moctezuma, SA de                                                                                                  
CV (Mexico)                         201,400         373,319              --              --              --              --   
Masco Corp.                           2,000          37,250           4,200          78,225              --              --   
Sherwin Williams Co.                  1,100          23,513           2,300          49,163              --              --   
Siam Cement Public Company,                                                                                                   
Ltd. (The) (Thailand) (NON)          12,600          99,796              --              --              --              --   
Southdown, Inc.                         300          21,375             600          42,750              --              --   
USG Corp.                               600          15,038           1,200          30,075              --              --   
                                             --------------                  --------------                  --------------   
                                                  1,722,588                       1,017,794                              --   

Cable Television                                       0.1%                            0.2%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
AT&T Corp. -- Liberty Media                                                                                                   
Group Class A (NON)                 129,800       2,336,400         220,100       3,961,800          22,400         403,200   
Cablevision Systems Corp.                                                                                                     
Class A (NON)                         1,200          79,575           3,600         238,725             800          53,050   
Comcast Corp. Class A (NON)           6,500         266,094          13,800         564,938              --              --   
ValueVision International,                                                                                                    
Inc. (NON)                            4,900         123,113          21,700         545,213              --              --   
                                             --------------                  --------------                  --------------   
                                                  2,805,182                       5,310,676                         456,250   

Capital Goods                                          0.1%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Altran Technologies SA                                                                                                        
(France)                              5,568       1,174,481              --              --              --              --   
Eaton Corp.                             600          36,975           1,300          80,113              --              --   
                                             --------------                  --------------                  --------------   
                                                  1,211,456                          80,113                              --   

Chemicals                                              1.2%                            0.9%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Air Products & Chemicals, Inc.        1,700          61,200           3,500         126,000              --              --   
Airgas, Inc. (NON)                   63,500         432,594          95,900         653,319              --              --   
Akzo-Nobel NV (Netherlands)         123,266       5,198,024         113,196       4,773,380          12,031         507,337   
Avery Dennison Corp.                  1,400          64,925           2,900         134,488              --              --   
BASF AG (Germany)                     3,200         113,063              --              --              --              --   
Beijung Yanhua Petrochemical                                                                                                  
Company, Ltd. (China)             1,580,000         192,517              --              --              --              --   
BOC Group PLC                       172,830       2,286,213         205,795       2,722,277          21,993         290,926   
China Merchants Holdings                                                                                                      
International Co., Ltd.                                                                                                       
(Hong Kong)                         246,000         187,733              --              --              --              --   
Clariant AG (Switzerland)               500         144,097              --              --              --              --   
Crompton Corp.                       88,700         698,513         140,100       1,103,288              --              --   
Delta & Pine Land Co.                28,200         724,388          34,200         878,513              --              --   
Dow Chemical Co.                     33,105         825,556          58,485       1,458,470           5,945         148,253   
du Pont (E.I.) de Nemours &                                                                                                   
Co., Ltd.                            46,718       1,935,877          82,813       3,431,564           8,400         348,075   
Eastman Chemical Co.                    700          25,856           1,500          55,406              --              --   
Ecolab, Inc.                          1,100          39,669           2,300          82,944              --              --   
Engelhard Corp.                      49,800         809,250          85,700       1,392,625          10,400         169,000   
Ferro Corp.                          21,200         404,125          33,100         630,969              --              --   
Givaudan (Switzerland) (NON)             32           8,287              --              --              --              --   
H.B. Fuller Co.                      14,200         408,250          22,100         635,375              --              --   
Henkel KGaA (Germany)                15,214         792,020              --              --              --              --   
Hercules, Inc.                        1,000          14,125           2,100          29,663              --              --   
Minnesota Mining & Manufacturing                                                                                              
Co.                                  15,700       1,430,663          27,800       2,533,275           2,900         264,263   
Mississippi Chemical Corp.           48,600         194,400          76,400         305,600              --              --   
Nan Ya Plastic Corp. (Taiwan)       284,400         399,668              --              --              --              --   
Nippon Sanso Corp. (Japan)                                                                                                    
(NON)                               156,000         534,296              --              --              --              --   
Omnova Solutions, Inc.               80,800         449,450         125,900         700,319              --              --   
PPG Industries, Inc.                 27,400       1,087,438          47,667       1,891,784           5,592         221,933   
PolyOne Corp.                       119,300         872,381         187,900       1,374,019              --              --   
Praxair, Inc.                         1,600          59,800           3,300         123,338              --              --   
Reliance Industries, Ltd.                                                                                                     
(India)                              92,200         686,242              --              --              --              --   
Rhodia SA (France)                   59,700         648,335              --              --              --              --   
Rohm & Haas Co.                         800          23,250           1,700          49,406              --              --   
Shin-Etsu Chemical Co. (Japan)       13,000         547,533              --              --              --              --   
Taiyo Ink  Manufacturing                                                                                                      
(Japan)                               8,140         481,483              --              --              --              --   
Teijin, Ltd. (Japan)                200,000         833,102              --              --              --              --   
Union Carbide Corp.                     700          26,425           1,500          56,625              --              --   
                                             --------------                  --------------                  --------------   
                                                 23,640,748                      25,142,647                       1,949,787   

Coal                                                    --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Beijing Datang Power Gen. Co.,                                                                                                
Ltd. (China)                      1,176,000         247,366              --              --              --              --   

Combined Utilities                                     0.2%                            0.2%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Constellation Energy Group           30,300       1,507,425          51,900       2,582,025           6,400         318,400   
Korea Electric Power Corp.                                                                                                    
(South Korea)                        97,450       2,543,314          59,190       1,544,779              --              --   
                                             --------------                  --------------                  --------------   
                                                  4,050,739                       4,126,804                         318,400   

Commercial and Consumer Services                       0.8%                            0.5%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
ABM Industries, Inc.                 15,300         415,969          23,900         649,781              --              --   
Adecco SA (Switzerland)               1,012         655,926              --              --              --              --   
ADVO, Inc. (NON)                     27,500         907,500          24,700         815,100              --              --   
Administaff, Inc. (NON)               4,700         355,790              --              --              --              --   
Asatsu, Inc. (Japan)                  8,400         287,698          12,100         414,422           1,300          44,525   
Avis Europe PLC 144A ADR                                                                                                      
(United Kingdom)                    220,867         669,205              --              --              --              --   
Banta Corp.                          20,000         487,500          31,200         760,500              --              --   
Bowne & Co.                          38,800         378,300          60,300         587,925              --              --   
Capita Group PLC                                                                                                              
(United Kingdom)                    122,880       1,089,700              --              --              --              --   
Cendant Corp. (NON)                   4,700          51,113          10,000         108,750              --              --   
Cintas Corp.                            800          34,850           1,750          76,234              --              --   
CoStar Group, Inc. (NON)              9,500         351,500          42,100       1,557,700              --              --   
Cordiant Communications Group                                                                                                 
PLC (United Kingdom)                130,902         503,030              --              --              --              --   
Deluxe Corp.                          1,800          36,563           3,900          79,219              --              --   
Dun & Bradstreet Corp. (The)            800          27,550           1,700          58,544              --              --   
eBay, Inc. (NON)                        400          27,475             800          54,950              --              --   
Falck A/S (Denmark)                   5,470         796,018              --              --              --              --   
G & K Services, Inc. Class A         22,600         634,213          35,400         993,413              --              --   
Galileo International, Inc.             700          10,850           1,500          23,250              --              --   
Group 4 Falck A/S (Denmark)             700         101,867              --              --              --              --   
H&R Block, Inc.                         600          22,238           1,300          48,181              --              --   
Hagemeyer NV (Netherlands)           28,295         751,352              --              --              --              --   
Hall, Kinion & Associates, Inc.                                                                                               
(NON)                                14,700         418,031          41,200       1,171,625              --              --   
Heidrick & Struggles                                                                                                          
International, Inc. (NON)             5,700         292,838              --              --              --              --   
Li & Fung, Ltd. (Hong Kong)                                                                                                   
(NON)                               196,000         413,534              --              --              --              --   
Li & Fung, Ltd 144A.                                                                                                          
(Hong Kong) (NON)                    72,000         151,910              --              --              --              --   
Macrovision Corp. (NON)               8,700         704,700          28,100       2,276,100              --              --   
Manpower, Inc.                          600          19,163           1,300          41,519              --              --   
Mosaic Group, Inc. (Canada)                                                                                                   
(NON)                                21,900         241,699              --              --              --              --   
PC Connection, Inc. (NON)             2,950         168,150              --              --              --              --   
ProBusiness Services, Inc.                                                                                                    
(NON)                                 4,580         138,545          20,450         618,613              --              --   
Professional Detailing, Inc.                                                                                                  
(NON)                                 7,510         428,070          29,700       1,692,900              --              --   
R. R. Donnelley & Sons Co.              700          17,194           1,500          36,844              --              --   
RemedyTemp, Inc. (NON)               23,600         282,094          37,300         445,852              --              --   
Robert Half International,                                                                                                    
Inc. (NON)                            6,200         215,063           2,200          76,313              --              --   
Sabre Group Holdings, Inc.              289           8,363             605          17,507              --              --   
Securicor Group PLC                                                                                                           
(United Kingdom)                     80,000         165,536              --              --              --              --   
Securitas AB, Class B (Sweden)       90,965       1,988,796              --              --              --              --   
Semcon AB (Sweden)                   28,976         412,309              --              --              --              --   
Serco Group PLC                                                                                                               
(United Kingdom)                     80,300         712,100              --              --              --              --   
SkillSoft Corp. (NON)                 7,010         128,809          31,000         569,625              --              --   
Taylor Nelson Sofres PLC                                                                                                      
(United Kingdom)                     52,302         224,177              --              --              --              --   
TeleTech Holdings, Inc. (NON)         6,800         168,300              --              --              --              --   
Varco International, Inc.                                                                                                     
(NON)                                26,000         541,125          40,400         840,825              --              --   
Vedior NV (Netherlands)               6,200          90,249              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                 16,526,962                      14,015,692                          44,525   

Communications Equipment                               3.5%                            3.9%                            1.1%   
---------------------------------------------------------------------------------------------------------------------------   
ADC Telecommunications, Inc.                                                                                                  
(NON)                                56,000       1,505,875          95,500       2,568,055          10,100         271,595   
Advanced Fibre Communications                                                                                                 
(NON)                                   700          26,513           1,400          53,025              --              --   
Alcatel (France)                     19,900       1,272,794              --              --           9,680         619,128   
BreezeCom, Ltd. (Israel) (NON)        9,900         326,081              --              --              --              --   
Brocade Communications Systems                                                                                                
(NON)                                17,800       4,200,800          29,650       6,997,400           3,400         802,400   
CIENA Corp. (NON)                     2,200         270,188           4,600         564,938              --              --   
California Amplifier, Inc.                                                                                                    
(NON)                                 5,200         119,600          22,800         524,400              --              --   
Ceragon Networks Ltd.                                                                                                         
(Israel) (NON)                        5,800         155,875          17,800         478,375              --              --   
Cisco Systems, Inc. (NON)           240,600      13,293,150         422,800      23,359,700          37,600       2,077,400   
Clarent Corp. (NON)                   2,500          98,438              --              --              --              --   
Communications Systems, Inc.         29,300         391,888          45,600         609,900              --              --   
Comverse Technology, Inc. (NON)      31,700       3,423,600          53,000       5,724,000           6,200         669,600   
Copper Mountain Networks, Inc.                                                                                                
(NON)                                   900          33,750           2,000          75,000              --              --   
Corning, Inc.                        15,500       4,603,500          26,700       7,929,900           2,600         772,200   
Corsair Communications, Inc.                                                                                                  
(NON)                                11,300          88,281              --              --              --              --   
DMC Stratex Networks, Inc.                                                                                                    
(NON)                                 4,900          78,706              --              --              --              --   
Extreme Networks, Inc. (NON)          1,200         137,400           2,500         286,250              --              --   
Foundry Networks, Inc. (NON)            900          60,244           2,000         133,875              --              --   
Gilat Satellite Networks, Ltd.                                                                                                
(Israel) (NON)                        6,300         484,313              --              --              --              --   
IFR Systems, Inc. (NON)               8,000          40,000          12,400          62,000              --              --   
Juniper Networks, Inc. (NON)         19,100       4,181,706          32,100       7,027,894           3,600         788,175   
Lightbridge, Inc. (NON)              10,000         116,250              --              --              --              --   
Lucent Technologies, Inc.            23,300         712,106          49,400       1,509,788              --              --   
Marconi PLC (United Kingdom)             --              --              --              --          10,315         141,022   
Matsushita Communication (Japan)      1,000         135,240              --              --              --              --   
NICE Systems, Ltd. ADR (Israel)                                                                                               
(NON)                                11,050         795,600              --              --              --              --   
Natural Microsystems Corp.                                                                                                    
(NON)                                19,300       1,038,280          54,000       2,905,031              --              --   
Netro Corp. (NON)                     4,100         242,925              --              --              --              --   
Nokia OYJ AB Class A (Finland)      268,474      10,876,049         299,162      12,119,239          31,944       1,294,071   
Nortel Networks Corp. (Canada)       71,462       4,292,661         109,008       6,548,017              --              --   
Novell, Inc. (NON)                    2,400          23,850           5,000          49,688              --              --   
Packeteer, Inc. (NON)                 3,000         113,813              --              --              --              --   
Performance Technologies, Inc.                                                                                                
(NON)                                44,400         624,375          78,900       1,109,531              --              --   
Plantronics, Inc. (NON)               9,000         342,000              --              --              --              --   
Polycom, Inc. (NON)                     300          20,091             600          40,181              --              --   
Powerwave Technologies, Inc.                                                                                                  
(NON)                                 6,400         243,000          16,200         615,094              --              --   
Proxim, Inc. (NON)                    7,900         351,550          35,200       1,566,400              --              --   
QUALCOMM, Inc. (NON)                 35,800       2,550,750          62,100       4,424,625           6,100         434,625   
Redback Networks, Inc. (NON)         29,600       4,854,400          49,400       8,101,600           5,800         951,200   
Scientific-Atlanta, Inc.              1,500          95,438           3,100         197,238              --              --   
SeaChange International, Inc. (NON)   7,370         245,974          32,600       1,088,025              --              --   
SpectraLink Corp. (NON)               7,300          68,894          32,000         302,000              --              --   
Superior TeleCom, Inc.               45,700         274,200          71,300         427,800              --              --   
Tekelec (NON)                         3,700         121,638              --              --              --              --   
Telefonaktiebolaget LM Ericsson                                                                                               
Class B, (Sweden)                   164,075       2,496,571         163,043       2,480,868          17,436         265,307   
Teleste OYJ (Finland)                25,188         777,730              --              --              --              --   
Tellabs, Inc. (NON)                   2,500         119,375           5,400         257,850              --              --   
Terayon Communications Systems,                                                                                               
Inc. (NON)                            2,700          91,631              --              --              --              --   
Tollgrade Communications, Inc. (NON)  8,660       1,202,116          27,400       3,803,463              --              --   
Tut Systems, Inc. (NON)               3,300         284,831              --              --              --              --   
Videsh Sanchar Nigam, Ltd. GDR                                                                                                
(India)                              17,700         143,813              --              --              --              --   
Westell Technologies, Inc. (NON)     13,600         175,100          60,100         773,788              --              --   
                                             --------------                  --------------                  --------------   
                                                 68,222,953                     104,714,938                       9,086,723   

Computers                                              2.6%                            2.4%                            0.6%   
---------------------------------------------------------------------------------------------------------------------------   
3Com Corp. (NON)                      2,400          46,050           5,000          95,938              --              --   
Adaptec, Inc. (NON)                   1,600          32,000           3,400          68,000              --              --   
AdvantGo, Inc. (NON)                  1,800          36,000           7,600         152,000              --              --   
Apple Computer, Inc. (NON)            2,400          61,800           5,300         136,475              --              --   
Ariba, Inc. (NON)                     8,400       1,203,431          14,400       2,063,025           1,500         214,898   
Aspen Technology, Inc. (NON)          6,600         297,825              --              --              --              --   
Asustek Computer, Inc. GDR (Taiwan)  39,880         211,437              --              --              --              --   
BARRA, Inc. (NON)                     5,900         366,169              --              --              --              --   
Cabletron Systems, Inc. (NON)         2,100          61,688           5,800         170,375              --              --   
Cadence Design Systems, Inc. (NON)    1,600          41,100           3,300          84,769              --              --   
Cognex Corp. (NON)                    5,900         232,681              --              --              --              --   
Compaq Computer Corp.                12,600         347,508          26,800         739,144              --              --   
Comptel OYJ (Finland)                34,081         526,761              --              --              --              --   
Dassault Systemes SA (France)         6,390         519,473              --              --              --              --   
Dell Computer Corp. (NON)            15,800         486,838          33,500       1,032,219              --              --   
Digital Island (NON)                  7,800         146,250              --              --              --              --   
EMC Corp. (NON)                      72,900       7,226,213         126,700      12,559,138          11,300       1,120,113   
Electronics for Imaging, Inc. (NON)     900          22,725           2,000          50,500              --              --   
Eyretel PLC (United Kingdom) (NON)   70,786         219,706              --              --              --              --   
Eyretel PLC 144A (United Kingdom)                                                                                             
(NON)                                93,500         290,205              --              --              --              --   
Fujitsu, Ltd. (Japan) (NON)         257,300       5,978,182         177,300       4,119,439          18,900         439,128   
Gateway, Inc. (NON)                   1,700          79,475           3,700         172,975              --              --   
Gerber Scientific, Inc.              38,700         333,788          60,300         520,088              --              --   
Hewlett-Packard Co.                  21,900       2,124,300          40,300       3,909,100           3,300         320,100   
Hitachi, Ltd. (Japan)                47,000         545,571              --              --              --              --   
I-Manny, Inc. (NON)                   2,000          39,875           8,800         175,450              --              --   
IBM Corp.                            28,300       3,183,750          53,700       6,041,250           3,300         371,250   
InFocus Corp. (NON)                   4,000         212,000              --              --              --              --   
Inktomi Corp. (NON)                   8,900       1,014,600          14,800       1,687,200           1,700         193,800   
Lexmark International Group, Inc.                                                                                             
Class A (NON)                         1,100          41,250           2,300          86,250              --              --   
Liberate Technologies (NON)           1,400          40,513           3,000          86,813              --              --   
M-Systems Flash Disk Pioneers, Ltd.                                                                                           
(Israel) (NON)                       20,200         771,388              --              --              --              --   
MMC Networks, Inc. (NON)              3,200         404,800              --              --              --              --   
MRV Communications, Inc. (NON)        5,600         253,750              --              --              --              --   
Manhattan Associates, Inc. (NON)     10,900         667,625          18,000       1,102,500              --              --   
Maxtor Corp. (NON)                   28,800         302,400              --              --              --              --   
McAfee.com Corp. (NON)                3,600          53,550          15,900         236,513              --              --   
Mentor Graphics Corp. (NON)          43,500       1,024,969          47,900       1,128,644              --              --   
NCR Corp. (NON)                         800          30,250           1,700          64,281              --              --   
NEC Corp. (Japan) (NON)             222,082       5,046,851         225,985       5,135,547          24,000         545,404   
Network Appliance, Inc. (NON)        14,500       1,846,938          25,300       3,222,588           2,400         305,700   
Niku Corp. (NON)                      4,900         119,438              --              --              --              --   
Palm, Inc. (NON)                      4,456         235,890           9,416         498,460              --              --   
Parametric Technology Corp. (NON)     3,700          40,469           7,800          85,313              --              --   
Psion PLC (United Kingdom)           29,787         325,786              --              --              --              --   
Quantum Corp. (NON)                   3,900          58,744           8,200         123,513              --              --   
RealNetworks, Inc. (NON)                700          27,825           1,400          55,650              --              --   
S1 Corp. (NON)                          500           5,969           1,000          11,938              --              --   
Satyam Computer Services, Ltd.                                                                                                
(India) (NON)                        26,500         280,515              --              --              --              --   
SERENA Software, Inc. (NON)           5,950         274,072              --              --              --              --   
Seagate Technology, Inc. (NON)        1,800         124,200           3,900         269,100              --              --   
Sharp Corp. (Japan)                  31,400         485,984              --              --              --              --   
SonicWall, Inc. (NON)                 5,200         148,200              --              --              --              --   
Sun Microsystems, Inc. (NON)         49,000       5,720,750          87,000      10,157,250           7,500         875,625   
Sycamore Networks, Inc. (NON)           600          64,800           1,200         129,600              --              --   
Symantec Corp. (NON)                  8,800         387,200           1,800          79,200              --              --   
Synopsys, Inc. (NON)                  1,400          53,025           2,900         109,838              --              --   
TIBCO Software, Inc. (NON)            1,400         118,213           2,880         243,180              --              --   
Telecommunication Systems, Inc.                                                                                               
(NON)                                 5,300         101,363          23,600         451,350              --              --   
Toshiba Corp. (Japan)               171,000       1,378,700              --              --              --              --   
Universal Electronics, Inc. (NON)     8,510         205,836          37,400         904,613              --              --   
VeriSign, Inc. (NON)                 20,700       4,193,044          35,000       7,089,688           3,800         769,738   
Vertel Corp. (NON)                    8,320          76,960          36,900         341,325              --              --   
Western Digital Corp. (NON)          37,900         222,663              --              --              --              --   
Wipro Corp., Inc. (India)             1,800         103,894              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                 51,125,225                      65,390,239                       5,155,756   

Conglomerates                                          1.8%                            1.8%                            0.6%   
---------------------------------------------------------------------------------------------------------------------------   
Aegis Group PLC (United Kingdom)    295,859         638,428         231,564         499,687          24,566          53,010   
Alfa SA de CV Class A, (Mexico)      88,500         185,793              --              --              --              --   
Autonation, Inc. (NON)                3,900          23,400           6,500          39,000              --              --   
Berkshire Hathaway, Inc. (NON)        1,100       2,277,000           1,900       3,933,000             300         621,000   
Canadian Pacific, Ltd.               30,300         787,667              --              --              --              --   
Citic Pacific, Ltd. (Hong Kong)      97,000         418,023              --              --              --              --   
Cookson Group PLC (United Kingdom)  255,861         716,618              --              --              --              --   
Cooper Industries, Inc.              31,000       1,092,750          53,300       1,878,825           6,600         232,650   
Dogan Sirketler Grubu Holding A.S.                                                                                            
(Turkey)                         22,331,000         419,629              --              --              --              --   
GenCorp., Inc.                       96,900         787,313         151,600       1,231,750              --              --   
General Electric Co.                234,600      13,533,488         417,500      24,084,531          32,400       1,869,075   
Grupo Carso S.A. de CV (Mexico)                                                                                               
(NON)                               133,500         396,640              --              --              --              --   
Honeywell International, Inc.        33,765       1,202,878          60,045       2,139,103           6,000         213,750   
Hutchison Whampoa, Ltd. (Hong Kong)  34,100         452,672              --              --              --              --   
IOI Corporation Berhad (Malaysia)   268,000         204,526              --              --              --              --   
Internatio-Muller NV (Netherlands)   24,677         485,472              --              --              --              --   
Investor AB (Sweden)                247,951       3,515,300         379,111       5,374,808          40,609         575,730   
Mitsui Fudoscan Co., Ltd. (Japan)                                                                                             
(NON)                                47,000         293,668              --              --              --              --   
Norsk Hydro ASA (Norway)              8,600         360,043              --              --              --              --   
Peninsular and Oriental Steam                                                                                                 
Navigation Co. (United Kingdom)      20,500         180,279              --              --              --              --   
Remgro, Ltd. (South Africa) (NON)    50,200         296,706              --              --              --              --   
Smiths Industries PLC                                                                                                         
(United Kingdom)                    198,543       2,058,528          68,730         712,604           7,325          75,947   
Sumitomo Corp. (Japan)               87,200         757,138         163,100       1,416,160          17,600         152,817   
Textron, Inc.                           600          27,675           1,200          55,350              --              --   
Tomkins PLC (United Kingdom)         65,000         158,516              --              --              --              --   
Tyco International, Ltd.             73,300       3,802,438         119,300       6,188,688          14,800         767,750   
Venfin Ltd. (South Africa)           50,200         175,658              --              --              --              --   
Vivendi SA (France)                   4,500         334,266              --              --           7,388         548,790   
                                             --------------                  --------------                  --------------   
                                                 35,582,512                      47,553,506                       5,110,519   

Construction                                           0.4%                            0.2%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
CRH PLC (Ireland)                   161,824       2,575,411         214,062       3,406,773          22,850         363,655   
CSR, Ltd. (Australia)               447,940         983,700          76,900         168,877           8,900          19,545   
Cemex SA de CV ADR (Mexico)          31,785         637,687              --              --              --              --   
Hanson PLC (United Kingdom)         168,605         939,477              --              --              --              --   
Lafarge Coppee (France)              32,360       2,226,743          33,291       2,290,807           3,554         244,556   
                                             --------------                  --------------                  --------------   
                                                  7,363,018                       5,866,457                         627,756   

Consumer Cyclicals                                     0.3%                            0.2%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Harman International Industries,                                                                                              
Inc.                                  8,700         340,170              --              --              --              --   
Matsushita Electric Industrial Co.                                                                                            
(Japan) (NON)                        47,000       1,231,232              --              --              --              --   
Sony Corp. (Japan)                   35,600       3,611,737          45,500       4,616,125           4,900         497,121   
                                             --------------                  --------------                  --------------   
                                                  5,183,139                       4,616,125                         497,121   

Consumer Finance                                       0.4%                            0.2%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Acom Co., Ltd. (Japan)                4,000         333,241              --              --              --              --   
Aiful Corp. (Japan)                  18,875       1,817,088              --              --              --              --   
AmeriCredit Corp. (NON)              21,500         619,469          10,300         296,769              --              --   
Capital One Financial Corp.           1,700         119,106           3,500         245,219              --              --   
Countrywide Credit Industries, Inc.     600          22,650           1,300          49,075              --              --   
Household International, Inc.        50,800       2,876,550          88,800       5,028,300           9,970         564,551   
MBNA Corp.                            6,000         231,000          12,800         492,800              --              --   
Metris Companies, Inc.               12,200         481,900              --              --              --              --   
Promise Co., Ltd. (Japan)            18,700       1,445,386              --              --              --              --   
Providian Financial Corp.             1,500         190,500           3,100         393,700              --              --   
Theta Group, Ltd. (South Africa)                                                                                              
(NON)                               131,100         118,092              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                  8,254,982                       6,505,863                         564,551   

Consumer Goods                                         0.5%                            0.4%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
AptarGroup, Inc.                     28,000         670,250          43,200       1,034,100              --              --   
Avon Products, Inc.                   1,700          69,488           3,700         151,238              --              --   
Beiersdorf AG (Germany)               1,000          93,954              --              --              --              --   
Clorox Co.                            1,200          47,475           2,500          98,906              --              --   
Colgate-Palmolive Co.                 4,800         226,560          10,200         481,440              --              --   
Dial Corp. (The)                     18,000         209,250          28,000         325,500              --              --   
Estee Lauder Cos. Class A             1,100          40,288          20,600         754,475           2,300          84,238   
Gillette Co.                          6,400         197,600          13,600         419,900              --              --   
Hindustan Lever, Ltd. (India) (NON)  95,000         430,627              --              --              --              --   
International Flavors & Fragrances,                                                                                           
Inc.                                  1,000          18,250           2,100          38,325              --              --   
KAO Corp. (Japan)                    16,000         436,916              --              --              --              --   
Kimberly-Clark Corp.                 31,100       1,735,769          55,300       3,086,431           5,600         312,550   
L'Oreal SA (France)                  31,450       2,440,189              --              --              --              --   
Lancaster Colony Corp.               21,700         533,006          33,800         830,213              --              --   
Oneida, Ltd.                         13,700         190,088          21,300         295,538              --              --   
Procter & Gamble Co.                  8,800         589,600          18,600       1,246,200              --              --   
Shiseido Co., Ltd. (Japan) (NON)    168,000       2,086,976         113,000       1,403,740          12,000         149,070   
Yankee Candle Company, Inc. (The)                                                                                             
(NON)                                11,560         232,645          44,800         901,600              --              --   
                                             --------------                  --------------                  --------------   
                                                 10,248,931                      11,067,606                         545,858   

Consumer Services                                       --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
HotJobs.com Ltd. (NON)                8,500         145,031              --              --              --              --   
Hotel Reservations Network, Inc.                                                                                              
Class A (NON)                         5,600         205,100          24,600         900,975              --              --   
Ipsos (France)                        1,336         154,399              --              --              --              --   
Multex.com, Inc. (NON)                6,800         116,450          29,900         512,038              --              --   
Register.com (NON)                   11,200         106,400              --              --              --              --   
TMP Worldwide, Inc. (NON)               400          32,200             800          64,400              --              --   
VerticalNet, Inc. (NON)               1,100          38,638           2,400          84,300              --              --   
                                             --------------                  --------------                  --------------   
                                                    798,218                       1,561,713                              --   

Distribution                                           0.1%                            0.2%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Performance Food Group Co. (NON)     24,600         925,575          31,000       1,166,375              --              --   
SYSCO Corp.                          40,800       1,889,550          70,700       3,274,294           8,270         383,004   
                                             --------------                  --------------                  --------------   
                                                  2,815,125                       4,440,669                         383,004   

Electric Utilities                                     1.6%                            1.3%                            0.4%   
---------------------------------------------------------------------------------------------------------------------------   
ACEA SpA (Italy)                     31,313         437,017              --              --              --              --   
AES Corp. (NON)                       2,400         164,400           5,000         342,500              --              --   
American Electric Power                 440          17,215           1,020          39,908              --              --   
CP&L, Inc.                           44,200       1,842,588          76,800       3,201,600           8,900         371,019   
Calpine Corp. (NON)                     900          93,938           2,000         208,750              --              --   
Chubu Electric Power, Inc. (Japan)   15,800         255,947              --              --              --              --   
CiNergy Corp.                        36,600       1,210,088          63,120       2,086,905           7,600         251,275   
Citizens Communications Co. (NON)     1,100          14,781           2,300          30,906              --              --   
Consolidated Edison, Inc.             2,500          85,313           5,200         177,450              --              --   
DPL, Inc.                            61,382       1,826,115         105,343       3,133,954          12,974         385,977   
Dominion Resources, Inc.             13,800         801,263          24,700       1,434,144           2,400         139,350   
Duke Energy Corp.                    25,600       2,195,200          45,300       3,884,475           4,600         394,450   
E.On AG (Germany)                    50,725       2,613,376              --              --              --              --   
Edison International                  3,300          63,731           7,100         137,119              --              --   
Electricidade de Portugal SA                                                                                                  
(Portugal)                           39,500         124,752              --              --              --              --   
Eletropaulo Metropolitana (Brazil)    8,700         521,387              --              --              --              --   
Entergy Corp.                        30,000       1,117,500          53,100       1,977,975           5,600         208,600   
FPL Group, Inc.                       1,700         111,775           3,700         243,275              --              --   
Hongkong Electric Holdings, Ltd.                                                                                              
(Hong Kong)                         483,000       1,492,978         324,500       1,003,046          35,000         108,187   
Iberdrola SA (Spain)                226,770       2,880,814         155,465       1,974,978          17,430         221,425   
Manila Electric Co. Class B                                                                                                   
(Philippines)                       132,480         152,309              --              --              --              --   
Montana Power Co.                       400          13,350             800          26,700              --              --   
NSTAR, Inc.                             800          32,200           1,700          68,425              --              --   
PPL Corp.                               800          33,400           1,700          70,975              --              --   
Pacific Gas & Electric Co.           42,500       1,027,969          74,650       1,805,597           8,200         198,338   
Peco Energy Co.                       1,700         102,956           3,600         218,025              --              --   
Potomac Electric Power Co.              700          17,631           1,500          37,781              --              --   
Public Service Co. of New Mexico     27,700         716,738          43,200       1,117,800              --              --   
Public Service Enterprise Group,                                                                                              
Inc.                                  2,100          93,844           4,400         196,625              --              --   
Puget Sound Energy, Inc.                600          15,225           1,300          32,988              --              --   
Reliant Energy, Inc.                 31,100       1,446,150          55,800       2,594,700           5,900         274,350   
SMTC Corp. (Canada) (NON)             5,900         126,850          26,000         559,000              --              --   
Scottish & Southern Energy PLC                                                                                                
(United Kingdom)                    126,500       1,032,058              --              --              --              --   
Scottish Power PLC (United Kingdom) 555,432       4,309,875         366,034       2,840,241          62,809         487,366   
Sierra Pacific Resources             39,700         714,600          62,400       1,123,200              --              --   
Southern Co.                          2,800          90,825           5,900         191,381              --              --   
TXU Corp.                            44,612       1,767,751          77,710       3,079,259           8,960         355,040   
Teco Energy, Inc.                     1,000          28,750           2,100          60,375              --              --   
Tokyo Electric Power Co. (Japan)     39,400         928,196              --              --              --              --   
Unicom Corp.                          1,900         106,756           4,100         230,369              --              --   
Utilicorp United, Inc.                2,300          59,513           4,800         124,200              --              --   
Viridian Group PLC (United Kingdom)  58,728         610,838              --              --              --              --   
Wisconsin Energy Corp.                  700          13,956           1,500          29,906              --              --   
XCEL Energy, Inc.                     1,705          46,888           3,565          98,038              --              --   
                                             --------------                  --------------                  --------------   
                                                 31,358,806                      34,382,570                       3,395,377   

Electrical Equipment                                   0.8%                            0.4%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
ABB AG (Switzerland)                 11,930       1,159,861          15,610       1,517,639           1,657         161,097   
Advanced Lighting Techs (NON)        10,000         123,750              --              --              --              --   
BE Aerospace, Inc. (NON)             54,300         875,588          94,600       1,525,425              --              --   
BEI Technologies, Inc.               10,100         421,675          15,800         659,650              --              --   
C&D Technologies, Inc.                8,900         505,075              --              --              --              --   
Electro Scientific Industries, Inc.                                                                                           
(NON)                                 9,600         337,200              --              --              --              --   
Emerson Electric Co.                 33,800       2,264,600          59,600       3,993,200           6,400         428,800   
Furukawa Electric Co., Ltd. (Japan)  52,000       1,436,823           5,000         138,156              --              --   
Hilti AG (Switzerland)                  615         512,500              --              --              --              --   
Invensys PLC (United Kingdom)       586,919       1,281,681              --              --              --              --   
Keyence Corp. (Japan)                 4,050       1,402,111              --              --              --              --   
Lincoln Electric Holdings, Inc.      16,200         215,663          23,100         307,519              --              --   
Manufacturers' Services, Ltd. (NON)  13,100         155,563          58,000         688,750              --              --   
REMEC, Inc. (NON)                     6,350         186,928              --              --              --              --   
Rockwell International Corp.          1,800          54,450           3,900         117,975              --              --   
SGL Carbon (Germany)                 10,993         698,258              --              --              --              --   
SLI, Inc.                             2,700          19,744           4,300          31,444              --              --   
Schneider Electric SA (France)       19,450       1,225,138              --              --              --              --   
Siemens AG (Germany)                  8,000       1,028,645              --              --              --              --   
Therma-Wave, Inc. (NON)               1,370          39,388           6,200         178,250              --              --   
Thomas & Betts Corp.                 33,600         585,900          53,200         927,675              --              --   
Vestas Wind Systems A/S (Denmark)    24,180       1,235,863              --              --              --              --   
Wavecom SA (France) (NON)             3,020         365,420              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                 16,131,824                      10,085,683                         589,897   

Electronics                                            5.1%                            4.2%                            0.7%   
---------------------------------------------------------------------------------------------------------------------------   
ADVA AG Optical Networking (NON)      7,193         682,159              --              --              --              --   
ANADIGICS, Inc. (NON)                 5,750         127,219              --              --              --              --   
APW, Ltd. (NON)                      19,800         965,250          30,800       1,501,500              --              --   
ARM Holdings PLC (United Kingdom)                                                                                             
(NON)                               268,519       2,984,471         121,000       1,344,862          12,863         142,967   
ASE Test Limited (Taiwan) (NON)      52,513       1,102,773              --              --              --              --   
Act Manufacturing, Inc. (NON)        14,300         754,325          63,000       3,323,250              --              --   
Advanced Micro Devices, Inc. (NON)    3,000          70,875           6,200         146,475              --              --   
Advantest Corp. (Japan)               4,700         738,739              --              --              --              --   
Agilent Technologies, Inc. (NON)      3,201         156,649           6,767         331,160              --              --   
Alpha Industries, Inc. (NON)          5,500         187,344          24,100         820,906              --              --   
Altera Corp. (NON)                    3,700         176,675           7,800         372,450              --              --   
American Power Conversion Corp.                                                                                               
(NON)                                 1,300          24,944           2,700          51,806              --              --   
American Superconductor Corp. (NON)   3,800         186,794          17,000         835,656              --              --   
Amphenol Corp. (NON)                  4,200         239,138              --              --              --              --   
Analog Devices, Inc. (NON)            3,200         264,200           6,700         553,169              --              --   
Applied Micro Circuits Corp. (NON)   21,100       4,369,019          35,600       7,371,425           4,000         828,250   
Asyst Technologies, Inc. (NON)       11,800         238,950              --              --              --              --   
Atmel Corp. (NON)                     4,600          69,863           9,600         145,800              --              --   
AudioCodes, Ltd. (Israel) (NON)       5,100         434,138              --              --              --              --   
August Technology Corp. (NON)         2,500          33,125          10,900         144,425              --              --   
Avnet, Inc.                          26,800         760,450          42,000       1,191,750              --              --   
Aware, Inc. (NON)                     8,500         327,250          37,500       1,443,750              --              --   
Belden, Inc.                         26,300         621,338          41,200         973,350              --              --   
Benchmark Electronics, Inc. (NON)     5,000         260,000          22,000       1,144,000              --              --   
Broadcom Corp. (NON)                    950         231,563           2,000         487,500              --              --   
Brooks Automation, Inc. (NON)         2,900          96,063              --              --              --              --   
C-Mac Industries, Inc. (Canada)                                                                                               
(NON)                                 1,400          80,048           2,800         160,096              --              --   
Centillium Communications, Inc.                                                                                               
(NON)                                 3,200         307,200          14,100       1,353,600              --              --   
Chartered Semiconductor                                                                                                       
Manufacturing (Singapore) (NON)     349,000       2,226,635              --              --          38,000         242,442   
Chloride Group PLC (United Kingdom) 225,984         637,948              --              --              --              --   
Cree Research, Inc. (NON)             1,200         139,500              --              --              --              --   
CuberOptics Corp. (NON)               8,900         162,981              --              --              --              --   
Cymer, Inc. (NON)                     6,700         205,606              --              --              --              --   
Cypress Semiconductor Corp. (NON)     7,100         295,094              --              --              --              --   
DIAGONAL PLC (United Kingdom)        18,100          91,357              --              --              --              --   
DSP Group, Inc. (NON)                16,700         624,163              --              --              --              --   
Dallas Semiconductor Corp.           11,900         391,213          18,600         611,475              --              --   
Delta Electronic Industrial                                                                                                   
(Taiwan)                             65,250         232,366              --              --              --              --   
Dialog Semiconductor PLC                                                                                                      
(United Kingdom) (NON)                9,426         328,467              --              --              --              --   
Elantec Semiconductor, Inc. (NON)     4,000         398,500              --              --              --              --   
Epcos AG (Germany) (NON)             14,520       1,178,478              --              --              --              --   
Exar Corp. (NON)                     12,150       1,470,150          33,900       4,101,900              --              --   
FDK Corp. (Japan) (NON)              12,000         122,188              --              --              --              --   
FEI Co. (NON)                        10,500         227,719              --              --              --              --   
GN Store Nord (Denmark) (NON)         7,623       1,082,274              --              --              --              --   
General Cable Corp.                 194,000       1,467,125         296,000       2,238,500              --              --   
GlobeSpan, Inc. (NON)                 1,500         183,000              --              --              --              --   
Hirose Electric Co., Ltd. (Japan)     4,500         587,337              --              --              --              --   
Hon Hai Precision Industry (Taiwan) 230,100       1,513,912         206,700       1,359,955              --              --   
Infineon Technologies, Inc.                                                                                                   
(Germany) (NON)                      14,800         710,930              --              --              --              --   
Integrated Silicon Solutions, Inc.                                                                                            
(NON)                                21,900         310,706          54,600         774,638              --              --   
Intel Corp.                         199,000       8,270,938         356,287      14,808,178          29,700       1,234,406   
Intergrated Device Technology,                                                                                                
Inc. (NON)                              500          45,250           1,000          90,500              --              --   
International Rectifier Corp. (NON)   4,100         207,306              --              --              --              --   
JDS Uniphase Corp. (NON)             31,200       2,954,250          54,800       5,188,875           5,000         473,438   
Jabil Circuit, Inc. (NON)             1,500          85,125           3,100         175,925              --              --   
Johnson Electric Holdings, Ltd.                                                                                               
(Hong Kong)                         573,000       1,231,002              --              --              --              --   
Keithley Instruments, Inc.            3,700         259,000          16,500       1,155,000              --              --   
Kent Electronics Corp. (NON)          5,700         136,088          25,400         606,425              --              --   
Kyocera Corp. (Japan)                 9,800       1,496,806              --              --              --              --   
LSI Logic Corp. (NON)                 2,600          76,050           5,600         163,800              --              --   
Legend Holdings, Ltd. (Hong Kong)   434,000         411,918              --              --              --              --   
Linear Technology Corp.               2,900         187,775           6,200         401,450              --              --   
Littlelfuse, Inc. (NON)              18,800         558,125          20,600         611,563              --              --   
MACNICA, Inc. (Japan)                 3,800         589,188              --              --              --              --   
MIPS Technologies, Inc. (NON)         3,700         170,200              --              --              --              --   
Maxim Integrated Products, Inc.                                                                                               
(NON)                                 2,300         185,006           4,800         386,100              --              --   
Methode Electronics, Inc.            14,350         635,884          22,400         992,600              --              --   
Micrel, Inc. (NON)                    8,600         576,200          19,100       1,279,700              --              --   
Microchip Technology, Inc. (NON)      1,350          44,634           2,850          94,228              --              --   
Micron Technology, Inc. (NON)         3,600         165,600           7,700         354,200              --              --   
Molex, Inc.                             500          27,219             975          53,077              --              --   
Motorola, Inc.                       49,000       1,384,250          90,000       2,542,500           7,200         203,400   
Murata Manufacturing Co., Ltd.                                                                                                
(Japan)                              10,700       1,475,794              --              --              --              --   
NKT Hiolding A/S (Denmark)            2,019         606,737              --              --              --              --   
Nanometrics, Inc. (NON)               9,000         480,938          20,100       1,074,094              --              --   
National Semiconductor Corp. (NON)    2,200          88,550           4,700         189,175              --              --   
Oak Technology, Inc. (NON)           17,260         472,493          22,500         615,938              --              --   
PMC - Sierra, Inc. (NON)             15,900       3,422,475          26,900       5,790,225           2,800         602,700   
PSi Technologies Holdings, Inc. ADR                                                                                           
(Philippines) (NON)                  10,540         134,385          46,600         594,150              --              --   
Pace Micro Technology PLC                                                                                                     
(United Kingdom)                     72,315         753,515              --              --              --              --   
Park Electrochemical Corp.           19,600       1,090,250          30,600       1,702,125              --              --   
Pemstar, Inc. (NON)                   7,900         155,531          35,000         689,063              --              --   
PerkinElmer, Inc.                    14,400       1,503,000          23,600       2,463,250           2,800         292,250   
Perlos OYJ (Finland)                 43,342       1,143,266              --              --              --              --   
Pioneer-Standard Electronics, Inc.   76,100       1,032,106         118,600       1,608,513              --              --   
Plexus Corp. (NON)                    7,000         493,500              --              --              --              --   
Power-One, Inc. (NON)                 2,100         127,083              --              --              --              --   
Premier Farnell PLC (United Kingdom) 85,292         573,580              --              --              --              --   
QLogic Corp. (NON)                      800          70,400           1,700         149,600              --              --   
RF Micro Devices, Inc. (NON)          1,600          51,200           3,200         102,400              --              --   
Rambus, Inc. (NON)                      900          71,044           1,900         149,981              --              --   
Recoton Corp. (NON)                  49,000         774,813          76,100       1,203,331              --              --   
Rohm Co., Ltd. (Japan)                1,600         438,545              --              --             500         137,045   
S3, Inc. (NON)                        5,600          57,750           8,800          90,750              --              --   
SCI Systems, Inc. (NON)               1,500          61,500           3,200         131,200              --              --   
SDL, Inc. (NON)                       6,900       2,134,256          11,800       3,649,888           1,330         411,386   
STMicroelectronics NV (France)       36,138       1,770,986              --              --              --              --   
Samsung Electronics Co.                                                                                                       
(South Korea)                        30,319       5,492,770          24,967       4,523,170              --              --   
Samsung SDI Co., Ltd. (South Korea)  18,000         711,928              --              --              --              --   
Sanmina Corp. (NON)                   1,400         131,075           2,900         271,513              --              --   
Semitool, Inc. (NON)                 14,000         179,375              --              --              --              --   
Semtech Corp. (NON)                   4,800         207,000              --              --              --              --   
Silicon Valley Group, Inc. (NON)     12,500         328,906              --              --              --              --   
Sipex Corp. (NON)                    13,610         572,471          59,900       2,519,544              --              --   
Solectron Corp. (NON)                 3,600         166,050           7,700         355,163              --              --   
Swatch Group AG (The) (Switzerland)   1,888       2,731,481           2,542       3,677,662             267         386,285   
TDK Corp. (Japan)                     8,000       1,014,533              --              --              --              --   
TTM Technologies, Inc. (NON)          6,300         148,050          27,800         653,300              --              --   
Taiwan Semiconductor Manufacturing                                                                                            
Co. (Taiwan) (NON)                1,463,200       4,860,198         748,360       2,485,769              --              --   
Technitrol, Inc.                      5,700         575,700              --              --              --              --   
Texas Instruments, Inc.              67,300       3,175,719         118,100       5,572,844          11,100         523,781   
TranSwitch Corp. (NON)                3,780         240,975              --              --              --              --   
Trimble Navigation, Ltd. (NON)       15,700         351,288          48,900       1,094,138              --              --   
United Microelectronics Corp.                                                                                                 
(Taiwan) (NON)                      639,920       1,369,359              --              --              --              --   
United Microelectronics Corp. ADR                                                                                             
(Taiwan)                             28,600         339,625              --              --              --              --   
Varian, Inc. (NON)                    3,200         137,800              --              --              --              --   
Varian Medical Systems, Inc. (NON)   10,400         469,950          17,900         808,856              --              --   
Varian Semiconductor Equipment (NON)  5,300         198,419              --              --              --              --   
Venture Manufacturing, Ltd.                                                                                                   
(Singapore)                         127,187       1,228,154          23,000         222,094           3,000          28,969   
Via Technologies, Inc. (Taiwan)                                                                                               
(NON)                                11,000         116,289              --              --              --              --   
Vishay Intertechnology, Inc. (NON)      900          27,675           2,000          61,500              --              --   
Vitesse Semiconductor Corp. (NON)     1,200         106,725           2,500         222,344              --              --   
W. W. Grainger                       17,160         451,523          29,575         778,192           3,565          93,804   
Winbond Electronics Corp. (Taiwan)                                                                                            
(NON)                               484,000         731,179              --              --              --              --   
Winbond Electronics Corp. GDR                                                                                                 
(Taiwan) (NON)                       22,163         335,215              --              --              --              --   
Woodhead Industries, Inc.            17,900         372,544          27,900         580,669              --              --   
X-Rite, Inc.                         85,500         748,125         133,400       1,167,250              --              --   
Xilinx, Inc. (NON)                   30,300       2,594,438          50,900       4,358,313           5,600         479,500   
Zoran Corp. (NON)                     9,660         470,925          42,800       2,086,500              --              --   
                                             --------------                  --------------                  --------------   
                                                100,345,186                     113,330,023                       6,080,623   

Energy                                                 0.7%                            0.8%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
BJ Services Co. (NON)                24,000       1,467,000          40,300       2,463,338           4,600         281,175   
Baker Hughes, Inc.                    3,100         115,088           6,600         245,025              --              --   
Chiles Offshore, Inc. (NON)          20,600         445,475          32,300         698,488              --              --   
Cooper Cameron Corp. (NON)              800          58,950           1,700         125,269              --              --   
Diamond Offshore Drilling, Inc.       1,500          61,500           3,100         127,100              --              --   
ENSCO International Inc.              1,100          42,075           2,300          87,975              --              --   
Global Industries, Ltd. (NON)         6,300          78,750           9,800         122,500              --              --   
Global Marine, Inc. (NON)             1,000          30,875           2,100          64,838              --              --   
Grant Prideco, Inc. (NON)               800          17,550           1,700          37,294              --              --   
GulfMark Offshore, Inc. (NON)        15,700         461,188          23,700         696,188              --              --   
Halliburton Co.                       3,500         171,281           7,500         367,031              --              --   
Helmerich & Payne, Inc.              15,980         577,278          24,900         899,513              --              --   
Hydril Co. (NON)                     16,000         364,000          25,100         571,025              --              --   
Nabors Industries, Inc. (NON)        29,200       1,530,080          48,700       2,551,880           5,700         298,680   
National-Oilwell, Inc. (NON)         23,500         734,375          35,600       1,112,500              --              --   
Newpark Resources, Inc. (NON)        53,900         498,575          78,900         729,825              --              --   
Pride International, Inc. (NON)      23,800         630,700          35,200         932,800              --              --   
ProSafe ASA (Norway) (NON)           26,799         426,637              --              --              --              --   
R & B Falcon Corp. (NON)              1,200          33,450           2,500          69,688              --              --   
Schlumberger, Ltd.                   13,950       1,148,259          23,875       1,965,211           3,010         247,761   
Smith International, Inc. (NON)         500          40,781           1,000          81,563              --              --   
Spinnaker Exploration Company (NON)  14,200         495,225          22,200         774,225              --              --   
TGS Nopec Geophysical Company ASA                                                                                             
(Norway) (NON)                       32,460         443,448              --              --              --              --   
Tidewater, Inc.                      19,700         896,350          30,600       1,392,300              --              --   
Transocean Sedco Forex, Inc.         47,100       2,761,238          79,300       4,648,963           9,800         574,525   
Weatherford International, Inc.                                                                                               
(NON)                                 1,400          60,200           2,900         124,700              --              --   
                                             --------------                  --------------                  --------------   
                                                 13,590,328                      20,889,239                       1,402,141   

Energy (Oil Field)                                      --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Clayton Williams Energy, Inc. (NON)   7,600         307,800              --              --              --              --   

Engineering and Construction                           0.3%                            0.2%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
ABB, Ltd. (Switzerland)               1,690         165,349           3,190         312,108             344          33,657   
Abengoa SA (Spain)                   18,448         458,136              --              --              --              --   
Ameron International Corp.           11,400         418,950          17,800         654,150              --              --   
Bouygues SA (France)                 21,282       1,072,051          26,172       1,318,378           2,793         140,694   
Coflexip Stena Offshore ADR (France) 11,000         684,750              --              --              --              --   
Dycom Industries, Inc. (NON)         10,400         432,900          45,900       1,910,588              --              --   
Fluor Corp.                             600          18,000           1,300          39,000              --              --   
Grupo Dragados SA (Spain)            81,016         643,966              --              --              --              --   
IJM Copr. Berhad (Malaysia)         374,000         311,011              --              --              --              --   
Insituform Technologies, Inc. (NON)   8,100         272,363          35,600       1,197,050              --              --   
MasTec, Inc. (NON)                    4,750         148,438              --              --              --              --   
Quanta Services, Inc. (NON)           6,050         166,375              --              --              --              --   
Societe Generale d'Enterprises SA                                                                                             
(France)                             28,241       1,438,796              --              --              --              --   
Texas Industries, Inc.               12,800         408,000          20,200         643,875              --              --   
VA Technolgies AG (Austria)           3,150         158,399              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                  6,797,484                       6,075,149                         174,351   

Entertainment                                          0.2%                            0.2%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
AOI Advertising Promotions, Inc.                                                                                              
(Japan)                              13,460         186,893              --              --              --              --   
Bec World Public Co., Ltd.                                                                                                    
(Thailand)                           48,700         247,138              --              --              --              --   
Manchester United PLC                                                                                                         
(United Kingdom)                     61,506         250,900              --              --              --              --   
Six Flags, Inc. (NON)                   600           9,300           1,200          18,600              --              --   
Viacom, Inc. Class B (NON)           51,943       3,038,607          90,650       5,303,025           8,397         491,225   
Yoshimoto Kogyo Co., Ltd. (Japan)    19,000         188,013              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                  3,920,851                       5,321,625                         491,225   

Financial                                              1.9%                            1.5%                            0.4%   
---------------------------------------------------------------------------------------------------------------------------   
Affiliated Managers Group, Inc.                                                                                               
(NON)                                 4,300         244,831              --              --              --              --   
Allied Zurich AG (United Kingdom)   207,282       2,355,930         179,000       2,034,482          19,267         218,985   
American Express Co.                 10,900         662,175          23,100       1,403,325              --              --   
Associates First Capital Corp.        6,300         239,400          13,300         505,400              --              --   
Avocent Corp. (NON)                  10,700         589,838          26,600       1,466,325              --              --   
Axia Holding, Inc. 144A (PIK) (NON)     225           2,925              --              --              --              --   
Bradespar S/A (Brazil) (NON)             --              --               1              --              --              --   
Citigroup, Inc.                     139,601       7,547,179         253,001      13,677,867          22,534       1,218,244   
Cosco Pacific, Ltd. (Hong Kong)     486,000         367,771              --              --              --              --   
Fannie Mae                           73,500       5,255,250         129,830       9,282,845          13,700         979,550   
Federal Home Loan Mortgage Corp.     49,100       2,654,469          85,900       4,643,969           9,100         491,969   
Fortis B NV (Netherlands)            27,689         851,289          46,759       1,437,590           5,010         154,031   
Fortis NL NV (Netherlands)           23,840         729,798          45,220       1,384,290           5,156         157,837   
Groupe Bruxelles Lambert SA                                                                                                   
(Belgium)                             6,637       1,610,755              --              --              --              --   
Haci Omer Sabanci Holdings ADR                                                                                                
(Turkey) (NON)                      103,056         193,230              --              --              --              --   
Heller Financial, Inc.                1,100          31,419           2,300          65,694              --              --   
Hong Kong Exchanges and Clearing,                                                                                             
Ltd. (Hong Kong)                     90,000         180,653              --              --              --              --   
ICICI, Ltd. ADR (India)              17,600         193,600              --              --              --              --   
Intuit, Inc. (NON)                    1,000          57,000           2,100         119,700              --              --   
Julius Baer Holdings AG                                                                                                       
(Switzerland)                           876       4,544,757             757       3,927,376              85         440,987   
MGIC Investment Corp.                 1,300          79,463           2,700         165,038              --              --   
Mizuho Holdings, Inc. (Japan)            47         387,207              --              --              --              --   
MLP AG (Germany)                     25,196       3,767,631              --              --              --              --   
NH Hoteles SA (Spain)               146,360       1,710,824              --              --              --              --   
Nissin Co., Ltd. (Japan) (NON)        9,900         394,057              --              --              --              --   
PSF Holdings LLC Class A (NON)          162         226,660              --              --              41          57,400   
Tecis Holdings (Germany)             21,162       1,530,868              --              --              --              --   
Tucker Anthony Sutro Corp.           10,200         258,825          15,900         403,463              --              --   
USA Education, Inc.                   1,000          48,188           2,100         101,194              --              --   
Yazicilar Otomotiv Gida Yatirim Ve                                                                                            
Pazarlama A.S. (Turkey) (NON)     3,643,300         164,310              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                 36,880,302                      40,618,558                       3,719,003   

Food                                                   1.1%                            0.9%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
American Italian Pasta Co. Class                                                                                              
A (NON)                              14,700         282,056          27,600         529,575              --              --   
Archer Daniels Midland Co.            3,360          28,980           7,035          60,677              --              --   
Aurora Foods, Inc. (NON)              8,234          27,790              --              --             354           1,195   
Bestfoods Corp.                       1,500         109,125           3,100         225,525              --              --   
C TWO-NETWORK Co., Ltd. (Japan)       4,050         326,159              --              --              --              --   
Campbell Soup Co.                       800          20,700           1,700          43,988              --              --   
ConAgra, Inc.                         2,000          40,125           4,200          84,263              --              --   
Danisco A/S (Denmark)                 6,300         227,337              --              --              --              --   
Dreyer's Grand Ice Cream, Inc.        6,000         129,375              --              --              --              --   
Earthgrains Co. (The)                32,400         597,375          50,600         932,938              --              --   
Elior 144A (France) (NON)             5,300          60,737              --              --              --              --   
Elior (France) (NON)                 63,959         732,956              --              --              --              --   
General Mills, Inc.                   3,000         106,500           6,500         230,750              --              --   
Groupe Danone (France)               21,657       2,972,863          14,703       2,018,286           1,567         215,103   
Grupo Sanborns SA de CV (Mexico)                                                                                              
(NON)                               244,900         373,537              --              --              --              --   
Hain Celestial Group, Inc. (NON)      6,600         231,825          29,000       1,018,625              --              --   
Heinz (H.J.) Co.                     44,600       1,652,988          77,200       2,861,225           9,200         340,975   
IBP, Inc.                             1,100          20,144           2,300          42,119              --              --   
Iceland Group PLC (United Kingdom)  188,749         896,892              --              --              --              --   
International Multifoods Corp.       62,700       1,089,413          93,500       1,624,563              --              --   
Kellogg Co.                           1,200          29,025           2,500          60,469              --              --   
McCormick & Company, Inc.               800          23,800           1,700          50,575              --              --   
Michael Foods, Inc.                  15,400         359,975          24,200         565,675              --              --   
Nabisco Group Holdings Corp.          4,200         119,700           8,800         250,800              --              --   
Nabisco Holdings Corp. Class A        1,100          59,125           2,300         123,625              --              --   
Nestle SA (Switzerland)               3,255       6,781,250           2,467       5,139,583             262         545,833   
Nissin Food Products (Japan) (NON)   19,800         489,364              --              --              --              --   
Quaker Oats Co. (The)                 1,400         110,775           2,900         229,463              --              --   
Ralston-Ralston Purina Group         75,100       1,778,931         128,700       3,048,581          15,900         376,631   
Sara Lee Corp.                       79,100       1,606,719         136,600       2,774,688          16,300         331,094   
Smithfield Foods, Inc. (NON)         18,800         493,500          31,800         834,750              --              --   
Universal Foods Corp.                27,800         566,425          43,300         882,238              --              --   
                                             --------------                  --------------                  --------------   
                                                 22,345,466                      23,632,981                       1,810,831   

Gaming and Lottery                                      --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Dover Downs Entertainment, Inc.      33,100         444,781          57,500         772,656              --              --   
Fitzgeralds Gaming Corp. (NON)        1,338              13              --              --             630               6   
Harrah's Entertainment, Inc. (NON)    1,100          30,250           2,300          63,250              --              --   
International Game Technology (NON)     800          26,900           1,700          57,163              --              --   
Station Casinos, Inc. (NON)          18,450         262,913              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                    764,857                         893,069                               6   

Health Care Services                                   1.7%                            1.9%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Accredo Health, Inc. (NON)            8,300         405,663          36,600       1,788,825              --              --   
Aetna, Inc.                             500          29,031           1,000          58,063              --              --   
AmSurg Corp. (NON)                    3,800          53,200          16,800         235,200              --              --   
AmeriSource Health Corp. Class A                                                                                              
(NON)                                51,700       2,429,900          64,100       3,012,700              --              --   
Baxter International, Inc.           29,600       2,362,450          51,700       4,126,306           5,800         462,913   
Bindley Western Industries, Inc.     36,100       1,155,200          56,300       1,801,600              --              --   
CIGNA Corp.                          21,500       2,244,600          37,360       3,900,384           4,300         448,920   
Cardinal Health, Inc.                 2,500         220,469           5,300         467,394              --              --   
Caremark Rx, Inc. (NON)              28,100         316,125              --              --              --              --   
Cerner Corp. (NON)                    7,200         334,350              --              --              --              --   
Conventry Health Care, Inc. (NON)    55,400         837,925          85,700       1,296,213              --              --   
ESC Medical Systems, Ltd. (Israel)                                                                                            
(NON)                                29,800         558,750              --              --              --              --   
HCA - The Healthcare Corp.           36,200       1,343,925          63,400       2,353,725           7,000         259,875   
Health Management Assoc., Inc.                                                                                                
(NON)                                 1,900          39,544           4,000          83,250              --              --   
Hooper Holmes, Inc.                  38,500         366,135          88,400         840,684              --              --   
IMS Health, Inc.                      2,700          56,025           5,800         120,350              --              --   
Invacare Corp.                       27,900         896,288          43,600       1,400,650              --              --   
Invitrogen Corp. (NON)                3,000         213,375          13,200         938,850              --              --   
Laboratory Corp. of America Holdings                                                                                          
(NON)                                 3,700         443,075              --              --              --              --   
LifePoint Hospitals, Inc. (NON)      19,550         694,025          26,500         940,750              --              --   
Lincare Holdings, Inc. (NON)         15,700         450,394          24,700         708,581              --              --   
Mallinckrodt, Inc.                    1,300          59,313           2,700         123,188              --              --   
Matria Healthcare, Inc. (NON)        54,500         190,750          85,800         300,300              --              --   
Mckesson HBOC, Inc.                   1,600          48,900           3,300         100,856              --              --   
Mid Atlantic Medical Services, Inc.                                                                                           
(NON)                                30,500         461,313              --              --              --              --   
Neose Technologies, Inc. (NON)        4,000         193,500              --              --              --              --   
Omnicare, Inc.                      126,300       2,036,588         197,300       3,181,463              --              --   
On Assignment, Inc. (NON)            16,890         529,924          44,500       1,396,188              --              --   
Orthodontic Centers of America,                                                                                               
Inc. (NON)                           25,200         839,475          39,600       1,319,175              --              --   
Oxford Health Plans, Inc. (NON)      13,100         402,620           2,300          70,689              --              --   
PSS World Medical, Inc. (NON)        51,800         187,775          73,800         267,525              --              --   
Per-Se Technologies, Inc. (NON)      44,400         563,325          78,200         992,163              --              --   
Pharmaceutical Product Development,                                                                                           
Inc. (NON)                            1,500          39,844           6,900         183,281              --              --   
PolyMedica Corp. (NON)                3,600         154,350              --              --              --              --   
Province Healthcare Co. (NON)        19,680         785,970          87,450       3,492,534              --              --   
Quest Diagnostics, Inc. (NON)        13,500       1,549,125          14,500       1,663,875           1,700         195,075   
Quintiles Transnational Corp. (NON)   1,100          17,531           2,300          36,656              --              --   
Quorum Health Group, Inc. (NON)      45,800         595,400          72,200         938,600              --              --   
RehabCare Group, Inc. (NON)          21,900         930,750          63,400       2,694,500              --              --   
Rightchoice Managed Care, Inc.                                                                                                
Class C (NON)                        17,000         412,250              --              --              --              --   
ServiceMaster Co. (The)               4,100          40,488           8,600          84,925              --              --   
Sun Life Financial Services of                                                                                                
Canada, Inc. (Canada) (NON)          65,300       1,348,025         125,091       2,582,325              --              --   
Syncor International Corp. (NON)      7,200         265,050              --              --              --              --   
Tecan (Switzerland)                   1,002       1,066,944              --              --              --              --   
Tenet Healthcare Corp.                2,700          98,213           5,700         207,338              --              --   
Total Renal Care Holdings, Inc.                                                                                               
(NON)                                35,100         263,250              --              --              --              --   
Trigon Healthcare, Inc. (NON)        15,200         798,950          23,600       1,240,475              --              --   
US Oncology, Inc. (NON)              57,800         261,906          90,600         410,531              --              --   
United Health Group, Inc. Class A                                                                                             
(NON)                                23,601       2,330,599          39,600       3,910,500           4,500         444,375   
United Wisconsin Services, Inc.      49,400         247,000          76,800         384,000              --              --   
Universal Health Services, Inc.                                                                                               
(NON)                                 9,200         787,750          14,300       1,224,438              --              --   
Vital Signs, Inc.                    17,700         469,050          27,400         726,100              --              --   
Wellpoint Health Networks, Inc.                                                                                               
(NON)                                   200          19,200             400          38,400              --              --   
                                             --------------                  --------------                  --------------   
                                                 33,445,577                      51,643,550                       1,811,158   

Homebuilding                                            --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Lennar Corp.                         21,500         638,281          33,600         997,500              --              --   
Standard Pacific Corp.                5,100          91,800           8,000         144,000              --              --   
                                             --------------                  --------------                  --------------   
                                                    730,081                       1,141,500                              --   

Household Furniture and Appliances                     0.1%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Applica, Inc, (NON)                  24,300         150,356          38,400         237,600              --              --   
Black & Decker Manufacturing Co.        600          20,513           1,200          41,025              --              --   
Electrolux AB (Sweden)                6,300          79,175              --              --              --              --   
Forbo Holding AG (Switzerland)        1,007         431,238              --              --              --              --   
Furniture Brands International, Inc.                                                                                          
(NON)                                 7,000         116,375          11,000         182,875              --              --   
Haverty Furniture Companies, Inc.    22,400         245,000              --              --              --              --   
Leggett & Platt, Inc.                 1,600          25,300           3,300          52,181              --              --   
Maytag Corp.                            600          18,638           1,300          40,381              --              --   
Newell Rubbermaid, Inc.               1,700          38,781           3,700          84,406              --              --   
Salton, Inc. (NON)                    3,700         119,556              --              --              --              --   
Whirlpool Corp.                         500          19,438           1,000          38,875              --              --   
                                             --------------                  --------------                  --------------   
                                                  1,264,370                         677,343                              --   

Insurance                                              2.7%                            2.0%                            0.6%   
---------------------------------------------------------------------------------------------------------------------------   
AFLAC, Inc.                           2,100         134,531           4,400         281,875              --              --   
AMBAC Indemnity Corp.                   400          29,300             800          58,600              --              --   
AMP, Ltd. (Australia)               191,447       1,699,536              --              --              --              --   
AON Corp.                             1,300          51,025           2,700         105,975              --              --   
AXA Financial, Inc.                   1,800          91,688           3,900         198,656              --              --   
Aegon NV (Netherlands)               80,460       3,034,472           5,800         218,741             620          23,383   
Alleanza Assicurazioni SA (Italy)    22,400         296,419              --              --              --              --   
Allianz AG (Germany)                  9,369       3,070,571           6,951       2,278,102             744         243,837   
Allstate Corp.                       35,200       1,223,200          72,257       2,510,931          13,525         469,994   
AmerUs Group Co.                     21,400         551,050          33,300         857,475              --              --   
American General Corp.               33,840       2,639,520          58,400       4,555,200           6,600         514,800   
American International Group, Inc.   37,700       3,607,419          69,400       6,640,713           4,550         435,378   
Assurances Generales de France (AGF)                                                                                          
(France)                             15,700         844,883              --              --              --              --   
Axa SA (France)                      33,256       4,342,090          33,189       4,333,342           3,547         463,116   
Berkley (W.R.) Corp.                 47,000       1,624,438          73,500       2,540,344              --              --   
CNP Assurances (France)               9,020         267,291              --              --              --              --   
Cathay Life Insurance Co., Ltd.                                                                                               
(Taiwan)                            283,120         632,973              --              --              --              --   
Commerce Group, Inc.                 27,700         801,569          43,500       1,258,781              --              --   
Conseco, Inc.                         1,900          14,488           4,000          30,500              --              --   
Enhance Financial Services Group,                                                                                             
Inc.                                 47,100         612,300          73,400         954,200              --              --   
Erie Indemnity Co. Class A              600          17,625           1,300          38,188              --              --   
FBL Financial Group, Inc. Class A    26,000         422,500          43,900         713,375              --              --   
Fidelity National Financial, Inc.    26,200         648,450          40,900       1,012,275              --              --   
Fremont General Corp.                76,900         264,344         120,000         412,500              --              --   
Gallagher, Arthur J. & Co.            3,600         212,850              --              --              --              --   
Hartford Financial Services Group    45,780       3,339,079          79,025       5,763,886           9,495         692,542   
Horace Mann Educators Corp.          26,300         430,663          41,100         673,013              --              --   
Internationale Nederlanden Groep                                                                                              
(ING) NV (Netherlands)              167,567      11,158,028         177,319      11,807,398          18,934       1,260,786   
Jefferson-Pilot Corp.                 1,300          88,238           2,700         183,263              --              --   
Lincoln National Corp.               32,300       1,554,438          55,800       2,685,375           6,400         308,000   
Loews Corp.                             300          25,013             600          50,025              --              --   
MBIA, Inc.                              600          42,675           1,200          85,350              --              --   
Nationwide Financial Services, Inc.                                                                                           
Class A                                 600          22,425           1,200          44,850              --              --   
Old Mutual PLC (United Kingdom)     357,800         864,634              --              --              --              --   
Pohjola Group Insurance Corp.                                                                                                 
(Finland)                            16,869         651,080              --              --              --              --   
Presidential Life Corp.              38,700         578,081          60,500         903,719              --              --   
Prudential Corp. PLC                                                                                                          
(United Kingdom)                         --              --              --              --          20,458         279,087   
Royal & Sun Alliance Insurance Group                                                                                          
PLC (United Kingdom)                 14,300          95,532              --              --              --              --   
Sampo Insurance Co., Ltd. Class                                                                                               
A (Finland)                          34,465       1,684,438              --              --              --              --   
Samsung Fire & Marine Insurance                                                                                               
(South Korea)                        11,000         286,099              --              --              --              --   
Skandia Forsakrings AB (Sweden)     121,971       2,419,657              --              --              --              --   
Stancorp Financial Group             15,400         658,350          24,100       1,030,275              --              --   
State Auto Financial Corp.            1,400          18,375           2,200          28,875              --              --   
Swiss Reinsurance Co. (Switzerland)     539       1,029,340           1,019       1,946,007             108         206,250   
The Chubb Corp.                         500          39,563           1,000          79,125              --              --   
The PMI Group, Inc.                     800          54,200           1,700         115,175              --              --   
Torchmark Corp.                       1,700          47,281           3,500          97,344              --              --   
Zurich Allied AG (Switzerland)        1,484         686,178              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                 52,907,899                      54,493,453                       4,897,173   

Investment Banking and Brokerage                       1.2%                            0.9%                            0.3%   
---------------------------------------------------------------------------------------------------------------------------   
3i Group PLC (United Kingdom)         7,700         191,536              --              --              --              --   
Bear Stearns Companies, Inc. (The)   30,100       1,895,700          51,700       3,257,100           6,200         390,600   
Blackrock, Inc. (NON)                 7,300         233,600              --              --              --              --   
Consors Discount Broker AG (Germany)                                                                                          
(NON)                                21,428       2,249,550              --              --              --              --   
Direkt Anlage Bank AG (Germany)                                                                                               
(NON)                                17,819         880,316              --              --              --              --   
E*Trade Group, Inc. (NON)             1,100          18,081           2,300          37,806              --              --   
Franklin Resources, Inc.              1,500          66,645           3,100         137,733              --              --   
Goldman Sachs Group, Inc. (The)      34,100       3,885,269          58,200       6,631,163           6,800         774,775   
Investment Technology Group, Inc.                                                                                             
(NON)                                 5,800         231,638              --              --              --              --   
Knight Trading Group, Inc. (NON)        600          21,600           1,200          43,200              --              --   
Legg Mason, Inc.                        400          23,250             800          46,500              --              --   
Lehman Brothers Holdings, Inc.          700         103,425           1,500         221,625              --              --   
Merrill Lynch & Co., Inc.             6,200         409,200          13,000         858,000              --              --   
Van der Moolen Holding NV                                                                                                     
(Netherlands)                         5,146         376,577              --              --              --              --   
Morgan Stanley, Dean Witter, Discover                                                                                         
and Co.                              31,600       2,889,219          56,700       5,184,506           4,600         420,613   
Nikko Securities Co., Ltd. (Japan)  766,000       6,806,998         798,000       7,091,364          85,000         755,346   
Nomura Securities Co., Ltd. (Japan)  58,000       1,261,687              --              --              --              --   
Paine Webber Group, Inc.              1,600         109,000           3,300         224,813              --              --   
Schwab (Charles) Corp.                8,050         285,775          17,100         607,050              --              --   
Stilwell Financial, Inc. (NON)        1,600          69,600           3,400         147,900              --              --   
T. Rowe Price Associates, Inc.          800          37,550           1,700          79,794              --              --   
TD Waterhouse Group, Inc. (NON)      52,125         970,828              --              --              --              --   
Waddell & Reed Financial, Inc.        5,200         161,200              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                 23,178,244                      24,568,554                       2,341,334   

Leisure Time                                           0.1%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Brunswick Corp.                         700          12,775           1,500          27,375              --             --    
Callaway Golf Co.                    17,300         265,988           9,100         139,913              --              --   
Harley-Davidson, Inc.                 2,300         110,113           4,800         229,800              --              --   
Swatch Group AG (The) (Switzerland)   3,069         905,781           2,833         836,128             312          92,083   
                                             --------------                  --------------                  --------------   
                                                  1,294,657                       1,233,216                          92,083   

Lodging and Tourism                                    0.3%                            0.2%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Four Seasons Hotels, Inc. (Canada)   19,617       1,458,135              --              --              --              --   
Hilton Hotels Corp.                   2,100          24,281           4,400          50,875              --              --   
Marriott International, Inc.                                                                                                  
Class A                              29,800       1,085,838          51,300       1,869,244           6,200         225,913   
Orbis SA (Poland)                    24,800         140,181              --              --              --              --   
Orient Express Hotels, Ltd. (NON)    39,800         766,150              --              --              --              --   
Resorts World Berhad (Malaysia)     116,000         187,737              --              --              --              --   
Starwood Hotels & Resorts Worldwide,                                                                                          
Inc.                                 42,552       1,329,750          73,500       2,296,875           8,800         275,000   
Tanjong Public, Ltd. (Malaysia)     142,000         293,342              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                  5,285,414                       4,216,994                         500,913   

Machinery                                              0.5%                            0.3%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Caterpillar, Inc.                    44,100       1,488,375          75,800       2,558,250           9,200         310,500   
DT Industries, Inc.                  57,500         287,500          90,000         450,000              --              --   
Deere (John) & Co.                      600          19,950           1,200          39,900              --              --   
Disco Corp. (Japan)                   5,050         673,614              --              --              --              --   
Dover Corp.                           1,500          70,406           3,100         145,506              --              --   
FSI International, Inc. (NON)        16,100         229,425              --              --              --              --   
Fujitec Co., Ltd. (Japan)            45,000         360,317              --              --              --              --   
Gardner Denver, Inc. (NON)           28,000         455,000          44,000         715,000              --              --   
Ingersoll-Rand Co.                    1,100          37,263           2,300          77,913              --              --   
KCI Konecranes International PLC                                                                                              
(Finland)                            29,052         777,861              --              --              --              --   
Kurita Water Industries, Ltd.                                                                                                 
(Japan)                              16,000         295,473              --              --              --              --   
Larsen & Toubro, Ltd. GDR (India)    32,200         115,914              --              --              --              --   
MSC Industrial Direct Co., Inc.                                                                                               
Class A (NON)                        32,600         497,150          50,300         767,075              --              --   
Milacron, Inc.                       44,700         595,069          69,600         926,550              --              --   
NEG Micon A/S (Denmark)               5,700         303,471              --              --              --              --   
Parker-Hannifin Corp.                   600          20,250           1,200          40,500              --              --   
Presstek, Inc. (NON)                 17,000         326,188              --              --              --              --   
Regal-Beloit Corp.                   21,000         356,160          32,700         554,592              --              --   
SMC Corp. (Japan)                    10,000       1,680,089              --              --              --              --   
Sandvik AB (Sweden)                  46,059         925,677          82,158       1,651,181          10,700         215,045   
Tomra Systems ASA 144A (Norway)       1,100          36,175              --              --              --              --   
Tomra Systems ASA (Norway)           12,368         406,739              --              --              --              --   
Wabtex Corp.                         16,600         168,075          26,400         267,300              --              --   
                                             --------------                  --------------                  --------------   
                                                 10,126,141                       8,193,767                         525,545   

Manufacturing                                          0.5%                            0.3%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
AMETEK, Inc.                         13,900         294,506          21,900         464,006              --              --   
Bombardier, Inc. (Canada)            58,810       1,016,595              --              --              --              --   
CoorsTek, Inc. (NON)                  5,200         198,900          23,000         879,750              --              --   
Danaher Corp.                           600          29,850           1,300          64,675              --              --   
GSI Lumonics, Inc. (Canada) (NON)    47,165         778,223          38,400         633,600              --              --   
Geberit International AG                                                                                                      
(Switzerland)                         3,104         901,741              --              --              --              --   
Hankuk Electric Glass (South Korea)   3,940         222,619              --              --              --              --   
Illinois Tool Works, Inc.            28,320       1,582,380          49,180       2,747,933           5,645         315,414   
Kaman Corp.                          17,900         225,988          28,100         354,763              --              --   
Klockner Windsor India, Ltd. (India)                                                                                          
(NON)                                13,900          72,975          21,800         114,450              --              --   
Pentair, Inc.                        13,900         371,825          21,700         580,475              --              --   
Riber SA (France) (NON)                 703          16,528              --              --              --              --   
Roper Industries, Inc.               13,000         431,438          20,400         677,025              --              --   
SKF AB (Sweden)                      75,832         984,524              --              --              --              --   
SKF Corp. AB (Sweden)                29,021         361,708          32,857         409,518           3,682          45,891   
Stinnes AG (Germany)                 32,476         729,151              --              --              --              --   
Teleflex, Inc.                       11,800         405,625          18,300         629,063              --              --   
Tennant Co.                          10,600         469,050          16,400         725,700              --              --   
Thermo Electron Corp. (NON)           1,000          26,000           2,100          54,600              --              --   
UCAR International, Inc. (NON)       21,800         276,588          33,900         430,106              --              --   
Vestel Elektronik Sanayi ve Ticaret                                                                                           
A.S. (Turkey) (NON)               2,266,300         417,351              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                  9,813,565                       8,765,664                         361,305   

Media                                                  0.7%                            0.7%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Agora SA GDR  (Poland) (NON)         28,000         541,100              --              --              --              --   
Carlton Communications PLC                                                                                                    
(United Kingdom)                    187,056       1,459,755         310,860       2,425,902          33,225         259,283   
Disney (Walt) Productions, Inc.      62,800       2,402,100         113,400       4,337,550          10,400         397,800   
EMI Group PLC (United Kingdom)      151,869       1,212,097         199,115       1,589,177          20,943         167,150   
Fox Entertainment Group, Inc. (NON)   1,200          31,800           2,500          66,250              --              --   
Impresa SGPS 144A (Portugal) (NON)   13,911         132,173              --              --              --              --   
Impresa SGPS (Portugal) (NON)        36,316         345,049              --              --              --              --   
Johnnies Industrial Corp.                                                                                                     
(South Africa)                       76,000         986,863              --              --              --              --   
Martha Stewart Living Omnimedia                                                                                               
Class A (NON)                         9,500         249,375              --              --              --              --   
NRJ Group (France) (NON)             15,208         598,376              --              --              --              --   
Seagram Co., Ltd.                    47,319       2,717,885          89,839       5,160,128              --              --   
Time Warner, Inc.                    36,100       2,824,825          63,100       4,937,575           5,500         430,375   
                                             --------------                  --------------                  --------------   
                                                 13,501,398                      18,516,582                       1,254,608   

Medical Technology                                     0.7%                            0.8%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Adac Laboratories (NON)              21,400         445,388              --              --              --              --   
Allergan, Inc.                        1,300         109,769           2,700         227,981              --              --   
Arrow International, Inc.            11,550         420,131          18,000         654,750              --              --   
ArthroCare Corp. (NON)               10,900         211,869          48,400         940,775              --              --   
Bard (C.R.), Inc.                       600          25,350           1,300          54,925              --              --   
Bausch & Lomb, Inc.                     600          23,363           1,200          46,725              --              --   
Beckman Coulter, Inc.                 8,700         670,988          13,600       1,048,900              --              --   
Becton, Dickson and Co.               2,300          60,806           4,800         126,900              --              --   
Biomet, Inc.                          1,600          56,000           3,450         120,750              --              --   
Biosite Diagnostics, Inc. (NON)       4,400         175,450              --              --              --              --   
Boston Scientific Corp. (NON)         2,100          34,519           4,400          72,325              --              --   
Coherent, Inc. (NON)                  2,800         190,400              --              --              --              --   
Cyberonics, Inc. (NON)                3,800          81,463          16,700         358,006              --              --   
Cytyc Corp. (NON)                     3,200         138,000              --              --              --              --   
DENTSPLY International, Inc.            600          20,963           1,200          41,925              --              --   
Diagnostic Products Corp.             8,400         450,450          13,100         702,488              --              --   
Edwards Lifesciences Corp. (NON)     16,300         355,544              --              --              --              --   
Guidant Corp. (NON)                   1,800         127,238           3,900         275,681              --              --   
Haemonetics Corp. (NON)              20,600         525,300          36,400         928,200              --              --   
Igen, Inc. (NON)                      1,800          36,225           8,100         163,013              --              --   
Medtronic, Inc.                       8,100         419,681          17,200         891,175              --              --   
Mentor Corp.                         55,100         867,825          86,100       1,356,075              --              --   
Meridian Diagnostics, Inc.           30,900         243,338          48,200         379,575              --              --   
Millipore Corp.                         500          24,219           1,000          48,438              --              --   
Molecular Devices Corp. (NON)         2,700         265,275          12,100       1,188,825              --              --   
Owens & Minor, Inc.                  99,700       1,570,275         151,500       2,386,125              --              --   
Oxford Glycosciences PLC                                                                                                      
(United Kingdom) (NON)               18,613         628,329              --              --              --              --   
PE Corp. -- PE Biosystems Group      35,200       4,100,800          59,200       6,896,800           6,600         768,900   
Pall Corp.                            1,100          21,931           2,300          45,856              --              --   
ResMed, Inc. (NON)                    7,310         228,438          32,800       1,025,000              --              --   
Respironics, Inc. (NON)               3,200          53,400           5,000          83,438              --              --   
St. Jude Medical, Inc. (NON)          1,200          61,200           2,600         132,600              --              --   
Stryker Corp.                         1,100          47,231           2,300          98,756              --              --   
Sybron International Corp. (NON)      1,200          28,800           2,500          60,000              --              --   
Techne Corp. (NON)                    2,300         257,600              --              --              --              --   
Waters Corp. (NON)                    1,200         106,800           2,400         213,600              --              --   
                                             --------------                  --------------                  --------------   
                                                 13,084,358                      20,569,607                         768,900   

Metals                                                 0.6%                            0.2%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Alcoa, Inc.                           6,536         165,443          13,960         353,363              --              --   
Allegheny Technologies, Inc.          1,100          19,938           2,300          41,688              --              --   
Anglo American Platinum Corp.                                                                                                 
(South Africia)                       8,500         327,467              --              --              --              --   
Anglogold, Ltd. (South Africa)        6,100         226,552              --              --              --              --   
Arkivator AB (Sweden)                46,774       1,141,659              --              --              --              --   
Broken Hill Proprietary Co., Ltd.                                                                                             
(Australia)                          19,200         199,025              --              --              --              --   
Carpenter Technology Corp.           15,600         454,350          24,100         701,913              --              --   
Coflexip SA (France)                  4,800         603,425              --              --              --              --   
Companhia Vale do Rio Doce ADR                                                                                                
(Brazil)                             40,400         994,850              --              --              --              --   
Compania de Minas Buenaventura SA                                                                                             
ADR (Peru)                            9,700         137,013              --              --              --              --   
De Beers-Centenary (South Africa)    29,000         806,181              --              --              --              --   
Draka Holding NV (Netherlands)        8,637         575,277              --              --              --              --   
Gerdau S/A. (Brazil)                 34,900         447,606              --              --              --              --   
Grupo Mexico SA (Mexico)            119,400         455,291              --              --              --              --   
Impala Platinum Holdings, Ltd.                                                                                                
(South Africa)                       25,000       1,084,396              --              --              --              --   
Lone Star Technologies, Inc. (NON)    5,100         235,365              --              --              --              --   
Material Sciences Corp. (NON)        27,000         307,125          42,200         480,025              --              --   
Newmont Mining Corp.                  1,000          17,000           2,100          35,700              --              --   
Nucor Corp.                             700          21,088           1,500          45,188              --              --   
Pohang Iron & Steel Company, Ltd.                                                                                             
(South Korea)                         8,610         650,538           1,365         103,134              --              --   
Pohang Iron & Steel Company, Ltd.                                                                                             
ADR (South Korea)                    38,700         720,788          40,368         751,854              --              --   
Quanex Corp.                         22,800         434,625          35,300         672,906              --              --   
Reliance Steel & Aluminum Co.        17,300         364,381          27,700         583,431              --              --   
Rio Tinto PLC (United Kingdom)       24,400         353,780          45,700         662,613           5,290          76,701   
Rio Tinto, Ltd. (Australia)          15,800         211,675              --              --              --              --   
Usiminas (Brazil)                    54,900         312,608              --              --              --              --   
Yanzhou Coal Mining Co., Ltd.                                                                                                 
(Turkey)                            694,000         189,151              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                 11,456,597                       4,431,815                          76,701   

Natural Gas Utilities                                  0.4%                            0.5%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
AGL Resources, Inc.                  17,700         355,106          27,400         549,713              --              --   
Coastal Corp.                         1,900         140,838           4,000         296,500              --              --   
Columbia Gas System, Inc.               500          35,500           1,000          71,000              --              --   
Dynegy, Inc.                          1,000          57,000           2,000         114,000              --              --   
El Paso Energy Corp.                  2,500         154,063           5,200         320,450              --              --   
Enron Corp.                          50,500       4,425,063          86,300       7,562,038           9,000         788,625   
Hong Kong and China Gas Co., Ltd.                                                                                             
(Hong Kong)                         375,800         469,949         366,000         457,694          44,000          55,023   
KeySpan Corp.                         1,000          40,125           2,100          84,263              --              --   
Sempra Energy                        69,474       1,445,928         118,994       2,476,563          14,764         307,276   
Williams Cos., Inc.                  37,100       1,567,475          64,800       2,737,800           7,200         304,200   
                                             --------------                  --------------                  --------------   
                                                  8,691,047                      14,670,021                       1,455,124   

Office Equipment and Supplies                          0.2%                            0.1%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Cannon, Inc. (Japan)                 41,000       1,817,921              --              --              --              --   
Falcon Products, Inc.                24,800         232,500          37,500         351,563              --              --   
HON INDUSTRIES, Inc.                 16,500         406,313          25,600         630,400              --              --   
Pitney Bowes, Inc.                    1,500          59,156           3,100         122,256              --              --   
Reynolds and Reynolds Co. (The)                                                                                               
Class A                                 800          15,900           1,700          33,788              --              --   
Standard Register Co. (The)          30,100         481,600          47,000         752,000              --              --   
Steelcase, Inc.                       2,400          40,200           5,000          83,750              --              --   
United Stationers, Inc. (NON)        14,600         392,375          22,700         610,063              --              --   
Wallace Computer Services, Inc.      50,400         768,600          79,300       1,209,325              --              --   
                                             --------------                  --------------                  --------------   
                                                  4,214,565                       3,793,145                              --   

Oil and Gas                                            3.8%                            3.2%                            1.0%   
---------------------------------------------------------------------------------------------------------------------------   
Alberta Energy Company, Ltd.                                                                                                  
(Canada)                             25,700       1,067,060              --              --              --              --   
Anadarko Petroleum Corp.              2,984         198,317           6,285         417,701              --              --   
Apache Corp.                         13,814         816,753          23,500       1,389,438           2,500         147,813   
Basin Exploratin, Inc. (NON)         37,800         737,100          58,700       1,144,650              --              --   
British Petroleum Co. PLC                                                                                                     
(United Kingdom)                    930,557       8,279,687         798,932       7,108,545          93,896         835,445   
Brown (Tom), Inc. (NON)              15,200         372,400              --              --              --              --   
Burlington Resources, Inc.            2,200          80,988           4,600         169,338              --              --   
Chevron, Inc.                        25,100       2,139,775          44,865       3,824,741           4,200         358,050   
Conoco, Inc.                         23,100         603,488          39,520       1,032,460           4,945         129,188   
Conoco, Inc. Class B                 35,300         950,894          63,446       1,709,077           5,900         158,931   
Cross Timbers Oil Co.                14,250         273,422              --              --              --              --   
Devon Energy Corp.                   14,100         848,115          12,600         757,890              --              --   
EEX Corp. (NON)                      42,100         205,238              --              --              --              --   
Ente Nazionale Idrocarburi (ENI)                                                                                              
SpA (Italy)                         834,040       4,414,741         807,404       4,273,751         119,902         634,665   
ExxonMobil Corp.                    116,100      10,347,413         209,501      18,671,777          19,365       1,725,906   
KEY Production Company, Inc. (NON)   19,300         425,806              --              --              --              --   
Louis Dreyfus Natural Gas (NON)       6,400         253,600              --              --              --              --   
Meridian Resource Corp. (NON)        37,600         258,500              --              --              --              --   
Mitchell Energy & Development Corp.                                                                                           
Class A                              12,600         587,475          19,600         913,850              --              --   
Murphy Oil Corp.                      6,000         388,875              --              --              --              --   
Newfield Exploration Co. (NON)       11,900         555,581          18,200         849,713              --              --   
Nobile Affilitates, Inc.              6,700         248,738              --              --              --              --   
Noble Drilling Corp. (NON)              700          35,175           1,500          75,375              --              --   
Occidental Petroleum Corp.            3,500          76,344           7,500         163,594              --              --   
PTT Exploration & Production Public                                                                                           
Co. Ltd. (Thailand)                  85,000         215,675              --              --              --              --   
PetroChina Co., Ltd. (Hong Kong)  1,600,000         326,292              --              --              --              --   
Petroleo Brasileiro S.A.-Petrobras    9,000         269,414              --              --              --              --   
Petroleo Brasileiro S.A.-Petrobras                                                                                            
ADR (NON)                            95,700       2,876,981          55,400       1,665,463              --              --   
Petroleo Brasileiro S.A.-Petrobras                                                                                            
ADR (Euro)                           30,150         851,738              --              --              --              --   
Polski Koncern Naftowy Orlen SA GDR                                                                                           
(Poland) (NON)                       16,000         123,600              --              --              --              --   
Range Resources Corp.                70,400         338,800         109,400         526,488              --              --   
Repsol SA (Spain)                    11,000         202,333              --              --              --              --   
Royal Dutch Petroleum Co. PLC NV                                                                                              
(Netherlands)                        39,450       2,383,643              --              --              --              --   
Royal Dutch Petroleum Co. PLC ADR                                                                                             
NV (Netherlands)                     52,100       3,122,744          88,900       5,328,444          11,240         673,698   
Sasol, Ltd. (South Africa)          122,600         968,431              --              --              --              --   
Shell Transportation & Trading                                                                                                
(United Kingdom)                    888,466       7,235,472       1,473,605      12,000,715         157,087       1,279,282   
Siam Commercial Bank Public Co. Ltd.                                                                                          
GDR                                  65,000         502,125              --              --              --              --   
St. Mary Land & Exploration Co.      23,000         530,438          36,000         830,250              --              --   
Stone Energy Corp. (NON)              3,200         176,000              --              --              --              --   
Suncor Energy, Inc. (Canada)         19,100         421,594          36,158         798,116              --              --   
Surgutneftegaz ADR (Russia)          80,200       1,122,800              --              --              --              --   
Swift Energy Co. (NON)                6,300         261,844              --              --              --              --   
Tatneft ADR (Russia)                 53,600         532,650              --              --              --              --   
Texaco, Inc.                          3,200         168,000           6,700         351,750              --              --   
Tosco Corp.                          24,020         749,124          41,590       1,297,088           4,925         153,598   
Total Fina Elf SA ADR (France)       22,000       1,615,625          30,400       2,232,500           3,800         279,063   
Total Fina Elf SA Class B (France)  103,312      15,111,318         116,732      17,074,245          12,394       1,812,855   
USX-Marathon Group, Inc.              1,100          31,213           2,300          65,263              --              --   
Ultramar Diamond Shamrock Corp.       1,200          30,450           2,500          63,438              --              --   
Unocal Corp.                          2,100          74,419           4,400         155,925              --              --   
Vintage Petroleum                    28,200         641,550          28,800         655,200              --              --   
                                             --------------                  --------------                  --------------   
                                                 75,049,758                      85,546,785                       8,188,494   

Paper and Forest Products                              0.6%                            0.4%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Abitibi-Consolidated, Inc. (Canada)  95,712         894,059              --              --              --              --   
Albany International Corp. (NON)     22,600         271,200          35,500         426,000              --              --   
Aracruz Celulose S/A ADR (Brazil)   139,800         233,505              --              --              --              --   
BWAY Corp. (NON)                     26,500         130,844          41,800         206,388              --              --   
Bemis Company, Inc.                     500          16,063           1,000          32,125              --              --   
Boise Cascade Corp.                  45,600       1,211,250          77,500       2,058,594           9,700         257,656   
Bowater, Inc.                        13,300         617,619          22,600       1,049,488           2,800         130,025   
Caraustar Industries, Inc.           23,300         257,756          35,900         397,144              --              --   
Fort James Corp.                        600          18,338           1,300          39,731              --              --   
Georgia Pacific Corp.                 1,300          30,550           2,700          63,450              --              --   
International Paper Co.               2,865          82,190           6,060         173,846              --              --   
Jefferson Smurfit Group PLC                                                                                                   
(Ireland)                           706,281       1,221,343              --              --              --              --   
Mead Corp.                            1,200          28,050           2,500          58,438              --              --   
Norske Skogindustrier ASA (Norway)      800          20,184              --              --              --              --   
Owens-Illinois, Inc. (NON)           45,600         421,800          78,800         728,900           9,400          86,950   
P.H. Glatfelter Co.                  25,200         305,550          39,000         472,875              --              --   
Packaging Corporation of America                                                                                              
(NON)                                21,700         240,056          34,000         376,125              --              --   
Sappi, Ltd. (South Africa)          221,888       1,645,095              --              --              --              --   
Sealed Air Corp. (NON)                1,000          45,250           2,100          95,025              --              --   
Smurfit-Stone Container Corp. (NON)   2,800          33,600           5,900          70,800              --              --   
Stora Enso OYJ (Finland)             74,822         626,416         142,253       1,190,953          15,180         127,088   
Svenska Cellulosa AB (SCA) (Sweden)  35,231         622,068              --              --              --              --   
Temple Inland, Inc.                     400          15,150             800          30,300              --              --   
Votorantim Celulose e Papel S/A ADR                                                                                           
(Brazil)                             15,300         301,219              --              --              --              --   
Weyerhaeuser Co.                     40,000       1,615,000          69,000       2,785,875           8,200         331,075   
Willamette Industries, Inc.             800          22,400           1,700          47,600              --              --   
                                             --------------                  --------------                  --------------   
                                                 10,926,555                      10,303,657                         932,794   

Pharmaceuticals                                        4.9%                            4.3%                            1.3%   
---------------------------------------------------------------------------------------------------------------------------   
Abbott Laboratories                  66,500       3,162,906         118,500       5,636,156          11,900         565,994   
Alpharma, Inc. Class A                4,300         262,838              --              --              --              --   
Alza Corp. (NON)                        700          60,550           1,500         129,750              --              --   
American Home Products Corp.         68,900       3,897,156         118,700       6,713,969          11,900         673,094   
Andrx Group (NON)                    12,900       1,204,538          25,100       2,343,713           2,600         242,775   
Anesta Corp. (NON)                   13,200         303,600          58,500       1,345,500              --              --   
Angiotech Pharmaceuticals, Inc.                                                                                               
(Canada) (NON)                        3,300         130,350          15,300         604,350              --              --   
Ares-Serono Group Class B                                                                                                     
(Switzerland)                         5,002       6,107,766           4,713       5,754,878             501         611,753   
AstraZeneca Group PLC                                                                                                         
(United Kingdom)                      9,000         472,061              --              --              --              --   
Aventis S.A. (France)               105,759       7,930,550         112,429       8,430,713          11,966         897,294   
Bayer AG (Germany)                   16,000         591,427              --              --              --              --   
Block Drug, Inc. Class A             13,000         560,625          20,300         875,438              --              --   
Bristol-Myers Squibb Co.             56,700       3,238,988         103,200       5,895,300           8,900         508,413   
Cambrex Corp.                        12,500         462,500          19,400         717,800              --              --   
Cubist Pharmaceuticals, Inc. (NON)    3,400         177,013              --              --              --              --   
Discovery Partners International, Inc.                                                                                        
(NON)                                 6,900         140,156          30,500         619,531              --              --   
Dura Pharmaceuticals, Inc. (NON)      6,500         229,938              --              --              --              --   
Durect Corp. (NON)                      400           6,000           1,900          28,500              --              --   
Eisai Co., Ltd. (Japan)              77,000       2,430,529          68,000       2,146,441           7,000         220,957   
Elan Corp. PLC (Ireland) (NON)       32,998       1,848,538          64,513       3,613,999           6,705         375,612   
Elan Corp. PLC ADR (Ireland) (NON)   42,454       2,324,357          10,480         573,780           1,101          60,280   
Forest Laboratories, Inc. (NON)       7,800         894,563          19,700       2,259,344           2,000         229,375   
Fujisawa Pharmaceutical Co. (Japan)  88,800       3,271,536          45,600       1,679,978           5,800         213,681   
GelTex Pharmaceuticals, Inc. (NON)   10,500         491,531              --              --              --              --   
Glaxo Wellcome PLC (United Kingdom)  31,600         956,514              --              --              --              --   
IVAX Corp. (NON)                     34,600       1,591,600          48,850       2,247,100           5,500         253,000   
Johnson & Johnson                    52,600       4,941,113          94,300       8,858,306           9,000         845,438   
King Pharmacueticals, Inc. (NON)      6,850         229,047              --              --              --              --   
Lilly (Eli) & Co.                    48,700       3,950,788          84,100       6,822,613           8,300         673,338   
Medicines Co. (NON)                   2,000          68,375           8,900         304,269              --              --   
Medicis Pharmaceutical Corp.                                                                                                  
Class A (NON)                         6,860         421,890          13,700         842,550              --              --   
Merck & Co., Inc.                    17,600       1,310,100          37,400       2,783,963              --              --   
Mylan Laboratories, Inc.                800          21,550           1,700          45,794              --              --   
NPS Pharmaceuticals, Inc. (NON)       5,000         282,813              --              --              --              --   
Novartis AG ADR (Switzerland)           780       1,196,181              --              --              --              --   
Novo-Nordisk A/S (Denmark)            4,350         964,985              --              --              --              --   
Pfizer, Inc.                        223,675      10,051,395         386,550      17,370,591          35,560       1,597,978   
Pharmacia Corp.                      58,323       3,510,316         104,014       6,260,343          10,253         617,102   
Pharmacia Corp. SDR                   8,388         507,044              --              --              --              --   
Pharmagene PLC 144A (United Kingdom)                                                                                          
(NON)                                28,300         142,213              --              --              --              --   
Pharmagene PLC (United Kingdom)                                                                                               
(NON)                                 5,174          26,000              --              --              --              --   
Priority Healthcare Corp. Class B                                                                                             
(NON)                                11,550         880,688          31,800       2,424,750              --              --   
Roche Holdings AG (Switzerland)          32         281,481              --              --              --              --   
Sankyo Co, Ltd. (Japan)              16,000         356,197              --              --              --              --   
Sanofi-Synthelabo SA (France)       127,235       6,835,825         117,491       6,312,319          12,562         674,906   
Schering-Plough Corp.                39,600       1,841,400          72,600       3,375,900           6,050         281,325   
SmithKline Beecham PLC ADR                                                                                                    
(United Kingdom)                    281,300       3,852,029              --              --              --              --   
Takeda Chemical Industries (Japan)   68,000       4,494,307          35,000       2,313,246           4,000         264,371   
Watson Pharmaceuticals, Inc. (NON)      800          51,900           1,700         110,288              --              --   
Yamanouchi Pharmaceutical Co., Ltd.                                                                                           
(Japan)                              37,000       1,780,987              --              --              --              --   
Zeneca Group PLC (United Kingdom)   128,369       6,724,009         127,485       6,677,705          13,560         710,277   
                                             --------------                  --------------                  --------------   
                                                 97,470,763                     116,118,877                      10,516,963   

Photography and Imaging                                0.2%                            0.2%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Advanced Vision Technology, Ltd.                                                                                              
(Israel) (NON)                       11,492         116,590              --              --              --              --   
Advanced Vision Technology, Ltd.                                                                                              
144A (Israel) (NON)                  14,949         151,662              --              --              --              --   
BMC Industries, Inc.                 74,500         512,188         116,400         800,250              --              --   
Eastman Kodak Co.                    33,560       1,371,765          58,130       2,376,064           6,916         282,692   
Imation Corp. (NON)                  19,500         363,188          30,600         569,925              --              --   
Polaroid Corp.                        4,300          57,781           6,800          91,375              --              --   
Ricoh Co., Ltd. (Japan) (NON)        40,000         727,576              --              --              --              --   
T/R Systems, Inc. (NON)               5,100          45,263          22,600         200,575              --              --   
Xerox Corp.                          52,790         795,149          91,760       1,382,135          10,495         158,081   
                                             --------------                  --------------                  --------------   
                                                  4,141,162                       5,420,324                         440,773   

Power Producers                                         --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Centrais Geradoras do Sul do Brasil                                                                                           
S/A (Brazil) (NON)                   59,110          91,358              --              --              --              --   
Southern Energy, Inc. (NON)             600          18,825              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                    110,183                              --                              --   

Publishing                                             0.5%                            0.4%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Dai Nippon Printing Co., Ltd.                                                                                                 
(Japan) (NON)                        80,000       1,188,559              --              --              --              --   
EMAP PLC (United Kingdom)            50,443         677,703          93,395       1,254,764           9,956         133,759   
Gannett Co., Inc.                     2,400         127,200           5,000         265,000              --              --   
Hurriyet Gazetecilik Ve Matbaacilik                                                                                           
A.S. (Turkey)                    55,095,660         521,802              --              --              --              --   
Information Holdings, Inc. (NON)      6,600         233,888          29,300       1,038,319              --              --   
Kadokawa Shoten Publishing Co., Ltd.                                                                                          
(Japan)                               3,200         147,218              --              --              --              --   
Knight-Ridder, Inc.                     400          20,325             800          40,650              --              --   
McClatchy Co. (The)                  12,300         432,806          19,400         682,638              --              --   
McGraw-Hill, Inc.                    24,600       1,563,638          42,500       2,701,406           5,100         324,169   
Media General, Inc. Class A           6,000         258,000          10,000         430,000              --              --   
New York Times Co. (The) Class A        600          23,588           1,300          51,106              --              --   
PRIMEDIA, Inc. (NON)                  1,000          16,375           2,100          34,388              --              --   
Pearson PLC (United Kingdom)         53,000       1,471,896              --              --              --              --   
Reader's Digest Association, Inc.                                                                                             
(The) Class A                           700          24,719           1,500          52,969              --              --   
Reed International PLC                                                                                                        
(United Kingdom)                     70,300         557,961              --              --              --              --   
Singapore Press Holdings, Ltd.                                                                                                
(Singapore)                           5,000          75,009           5,000          75,009           1,000          15,002   
Tribune Co.                          20,900         911,763          36,400       1,587,950           4,200         183,225   
Trinity PLC (United Kingdom)         59,986         437,977              --              --              --              --   
VNU NV (Netherlands)                  9,500         477,711              --              --              --              --   
Wiley (John) & Sons                  10,300         236,256              --              --              --              --   
Wolters Kluwer NV (Netherlands)      42,270         857,684          72,483       1,470,724           7,750         157,252   
                                             --------------                  --------------                  --------------   
                                                 10,262,078                       9,684,923                         813,407   

Railroads                                              0.1%                            0.1%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Burlington Northern Santa Fe Corp.    4,700         101,344          10,000         215,625              --              --   
CSX Corp.                             3,900          85,069           8,300         181,044              --              --   
GATX Corp.                              600          25,125           1,200          50,250              --              --   
Kansas City Southern Industries, Inc.   450           3,909             850           7,384              --              --   
Union Pacific Corp.                  48,800       1,897,100          84,200       3,273,275          10,100         392,638   
                                             --------------                  --------------                  --------------   
                                                  2,112,547                       3,727,578                         392,638   

Real Estate                                            0.5%                            0.5%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Apartment Investment & Management Co.                                                                                         
Class A (R)                             500          23,031           1,000          46,063              --              --   
Avalonbay Communities, Inc. (R)         500          23,844           1,000          47,688              --              --   
Cheung Kong Infrastructure Holdings                                                                                           
(Hong Kong)                         252,476       3,052,043         431,000       5,210,121          46,000         556,069   
China Resources Beijing Land                                                                                                  
(Hong Kong)                       1,290,000         266,382              --              --              --              --   
Consorcio ARA SA (Mexico) (NON)     353,837         573,425              --              --              --              --   
Duke Realty Investments, Inc. (R)       800          19,300           1,700          41,013              --              --   
Equity Office Properties Trust (R)   58,800       1,826,475         101,900       3,165,269          12,000         372,750   
Equity Residential Properties Trust                                                                                           
(R)                                  59,192       2,841,216         101,780       4,885,440          12,298         590,304   
Henderson Land Development Co., Ltd.                                                                                          
(Hong Kong) (R)                      47,000         242,333              --              --              --              --   
Host Marriott Corp.                   3,600          40,500           7,700          86,625              --              --   
Keppel Land, Ltd. (Singapore)        32,000          45,982              --              --              --              --   
LNR Property Corp.                   22,300         493,388          34,900         772,163              --              --   
Spieker Properties, Inc. (R)            500          28,781           1,000          57,563              --              --   
Sun Hung Kai Properties, Ltd.                                                                                                 
(Hong Kong)                          32,000         301,666              --              --              --              --   
Vornado Realty Trust (R)                600          22,275           1,200          44,550              --              --   
                                             --------------                  --------------                  --------------   
                                                  9,800,641                      14,356,495                       1,519,123   

Regional Bells                                         0.8%                            1.1%                            0.3%   
---------------------------------------------------------------------------------------------------------------------------   
BellSouth Corp.                      75,300       3,030,825         134,500       5,413,625          13,100         527,275   
SBC Communications, Inc.            161,000       8,050,000         285,000      14,250,000          28,700       1,435,000   
Verizon Communications              107,542       5,209,066         191,969       9,298,498          18,880         914,500   
                                             --------------                  --------------                  --------------   
                                                 16,289,891                      28,962,123                       2,876,775   

Restaurants                                            0.4%                            0.4%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
AmeriKing, Inc. (NON)                   150           1,500              --              --              --              --   
CBRL Group, Inc.                     56,300         809,313          87,500       1,257,813              --              --   
California Pizza Kitchen, Inc. (NON)  4,500         126,000          20,100         562,800              --              --   
Cheesecake Factory (The) (NON)        4,700         203,275          21,000         908,250              --              --   
Granada Compass PLC (United Kingdom)                                                                                          
(NON)                               500,770       4,685,074         565,301       5,288,809          60,318         564,320   
Jack in the Box, Inc. (NON)          11,400         244,388              --              --              --              --   
McDonald's Corp.                     40,700       1,228,631          73,500       2,218,781           6,800         205,275   
NPC International, Inc. (NON)        19,800         193,669              --              --              --              --   
Outback Steakhouse, Inc. (NON)        1,200          32,550           2,500          67,813              --              --   
P.F. Chang's China Bistro, Inc.                                                                                               
(NON)                                 3,270         113,019          14,700         508,069              --              --   
RARE Hospitality International, Inc.                                                                                          
(NON)                                21,300         433,988              --              --              --              --   
Starbucks Corp. (NON)                 1,500          60,094           3,100         124,194              --              --   
Tricon Global Restaurants, Inc.                                                                                               
(NON)                                 1,000          30,625           2,100          64,313              --              --   
Wendy's International, Inc.           1,200          24,075           2,500          50,156              --              --   
                                             --------------                  --------------                  --------------   
                                                  8,186,201                      11,050,998                         769,595   

Retail                                                 2.3%                            2.0%                            0.4%   
---------------------------------------------------------------------------------------------------------------------------   
99 Cents Only Stores (NON)            4,900         245,919          21,600       1,084,050              --              --   
Aaron Rents, Inc.                    12,000         154,500          15,500         199,563              --              --   
Albertsons, Inc.                     42,775         898,275          74,060       1,555,260           8,555         179,655   
Amazon.com, Inc. (NON)                  600          23,063           1,300          49,969              --              --   
American Eagle Outfitters, Inc. (NON) 6,000         189,000          26,700         841,050              --              --   
Audiodev 144A (NON)                   9,000          65,434              --              --              --              --   
AutoZone, Inc. (NON)                  1,200          27,225           2,500          56,719              --              --   
Baker (J.), Inc.                     36,200         162,900          55,100         247,950              --              --   
Barnes & Noble, Inc. (NON)           15,000         295,313          24,900         490,219              --              --   
Bed Bath & Beyond, Inc. (NON)         2,200          53,659           4,600         112,197              --              --   
Best Buy Co., Inc. (NON)              1,200          76,350           2,500         159,063              --              --   
Bulgari SpA (Italy)                 173,625       2,136,749          99,443       1,223,814          10,521         129,479   
CDW Computer Centers, Inc. (NON)        600          41,400           1,200          82,800              --              --   
CVS Corp.                            27,400       1,268,963          48,250       2,234,578           5,200         240,825   
Carrefour Supermarche SA (France)     6,400         472,577              --              --              --              --   
Castorama Dubois Investissements                                                                                              
(France)                              4,775       1,053,126              --              --              --              --   
Chico's FAS, Inc. (NON)               6,700         227,800              --              --              --              --   
China Everbright, Ltd. (Hong Kong)  221,000         215,424              --              --              --              --   
Circuit City Stores, Inc.             1,700          39,100           3,700          85,100              --              --   
Claire's Stores, Inc.                56,000       1,008,000          87,900       1,582,200              --              --   
Coldwater Creek, Inc. (NON)          35,500         958,500          40,900       1,104,300              --              --   
Columbia Sportswear Co. (NON)         5,100         233,963              --              --              --              --   
Companhia Brasileria de                                                                                                       
Distribuicano Grupo Pao de Acucar                                                                                             
(Brazil)                              5,300         198,865              --              --              --              --   
Companhia Brasileira de                                                                                                       
Distribuicao Grupo Pao de Acucar                                                                                              
ADR (Brazil)                          9,200         342,125              --              --              --              --   
Controladora Comercial Mexicana                                                                                               
(Mexico)                            136,900         160,956              --              --              --              --   
Cost Plus, Inc. (NON)                14,250         429,281          36,700       1,105,588              --              --   
Costco Wholesale Corp. (NON)          2,600          90,838           5,600         195,650              --              --   
Delhaize America, Inc.                1,300          21,775           2,700          45,225              --              --   
Dixons Group PLC (United Kingdom)    49,200         153,434              --              --              --              --   
Dollar General Corp.                  1,400          23,450           2,925          48,994              --              --   
Dollar Tree Stores, Inc. (NON)          200           8,113             400          16,225              --              --   
Electronics Boutique PLC                                                                                                      
(United Kingdom)                    326,201         260,348              --              --              --              --   
Esprit Holdings, Ltd. (Hong Kong)   297,000         243,795              --              --              --              --   
Factory 2-U Stores, Inc. (NON)       12,280         375,308          38,800       1,185,825              --              --   
Family Dollar Stores, Inc.            1,000          19,250           2,100          40,425              --              --   
Fastenal Co.                            400          23,050             800          46,100              --              --   
Federated Department Stores, Inc.                                                                                             
(NON)                                46,500       1,214,813          79,975       2,089,347           9,750         254,719   
Gap, Inc. (The)                       5,000         100,625          10,700         215,338              --              --   
Genesco, Inc. (NON)                  16,900         286,244              --              --              --              --   
Grupo Elektra SA ADR                 42,300         401,850              --              --              --              --   
Gucci Group NV (Netherlands)         22,741       2,293,998          43,358       4,373,738           4,578         461,806   
Gucci Group NV (Netherlands)          7,500         758,251              --              --              --              --   
HOT Topic, Inc. (NON)                 6,600         198,000              --              --              --              --   
Harcourt General, Inc.                  600          35,400           1,300          76,700              --              --   
Home Depot, Inc. (The)               65,400       3,470,288         116,100       6,160,556           9,600         509,400   
Intimate Brands, Inc.                54,500       1,018,469          90,800       1,696,825          10,800         201,825   
J. Jill Group, Inc. (NON)            75,000         965,625              --              --              --              --   
Jones Apparel Group, Inc. (NON)       1,500          39,750           3,100          82,150              --              --   
K mart Corp. (NON)                   71,100         426,600         122,700         736,200          14,600          87,600   
Kenneth Cole Productions, Inc.                                                                                                
Class A (NON)                         7,350         259,547              --              --              --              --   
Kingfisher Leisure PLC                                                                                                        
(United Kingdom)                      7,900          51,609              --              --              --              --   
Kohls Corp. (NON)                     2,800         161,525           5,900         340,356              --              --   
Kojima Co., Ltd. (Japan)              4,700         116,380              --              --              --              --   
Koninklijke Ahold NV (Netherlands)    9,690         274,664              --              --              --              --   
Kookmin Credit Card Company, Ltd.                                                                                             
(South Korea) (NON)                  10,000         290,583              --              --              --              --   
Kroger Co. (NON)                      6,000         135,375          12,700         286,544              --              --   
LG Home Shopping, Inc.                                                                                                        
(South Korea)                         2,000         159,283              --              --              --              --   
La Rinascente SpA (Italy)             3,200          17,955              --              --              --              --   
Lands' End, Inc. (NON)               12,600         264,600          19,700         413,700              --              --   
Limited, Inc. (The)                   2,700          59,569           5,800         127,963              --              --   
Linens 'N Things, Inc. (NON)          2,100          53,550           8,900         226,950              --              --   
Lowe's Cos., Inc.                     3,200         143,600           6,700         300,663              --              --   
Marks & Spencer PLC (United Kingdom) 18,000          54,006              --              --              --              --   
Marui Co., Ltd. (Japan) (NON)        52,000         807,220              --              --              --              --   
Matalan PLC (United Kingdom)         78,379         637,143              --              --              --              --   
May Department Stores Co.             1,500          30,750           3,200          65,600              --              --   
Metro AG (Germany)                   19,013         778,280          45,118       1,846,864           3,782         154,813   
Michaels Stores, Inc. (NON)           3,700         148,000              --              --              --              --   
Next PLC (United Kingdom)             7,900          84,127              --              --              --              --   
Oakley, Inc. (NON)                   26,500         465,406              --              --              --              --   
Office Depot, Inc. (NON)              2,600          20,313           5,500          42,969              --              --   
Organizacion Soriana S.A. (Mexico)   68,400         249,952              --              --              --              --   
Penney (J.C.) Co., Inc.               1,600          18,900           3,300          38,981              --              --   
Pier 1 Imports, Inc.                160,200       2,172,713         174,100       2,361,231              --              --   
President Chain Store Corp.                                                                                                   
(Taiwan)                            137,104         433,513              --              --              --              --   
Promodes SA (France)                    160         134,094              --              --              --              --   
RadioShack Corp.                     32,600       2,106,775          54,600       3,528,525           6,200         400,675   
Regis Corp.                          29,000         435,000          45,200         678,000              --              --   
Rent-A-Center, Inc. (NON)             5,800         201,188              --              --              --              --   
Ross Stores, Inc.                     1,300          18,688           2,700          38,813              --              --   
Ruddick Corp.                        32,800         455,100          51,300         711,788              --              --   
SUPERVALU, Inc.                       1,300          19,581           2,700          40,669              --              --   
Safeway, Inc. (NON)                   4,000         186,750           8,500         396,844              --              --   
Saks, Inc. (NON)                      1,200          11,850           2,500          24,688              --              --   
Sears, Roebuck & Co.                 27,800         901,276          48,400       1,569,128           5,600         181,552   
Spiegel, Inc. Class A                29,200         204,400              --              --              --              --   
Staples, Inc. (NON)                  41,500         588,781          72,500       1,028,594           8,100         114,919   
Stein Mart, Inc. (NON)               17,900         193,544              --              --              --              --   
Sundrug Co., Ltd. (Japan)             9,100         585,439              --              --              --              --   
TJX Cos., Inc. (The)                  3,300          74,250           7,100         159,750              --              --   
Talbots, Inc. (The)                   3,300         218,625              --              --              --              --   
Target Corp.                          6,900         176,813          14,600         374,125              --              --   
Tesco PLC (United Kingdom)          566,343       2,080,082         842,625       3,094,818          89,369         328,237   
Tiffany & Co.                           800          30,850           1,600          61,700              --              --   
Timberland Co. (The) Class A (NON)    4,700         192,700              --              --              --              --   
Too, Inc. (NON)                       8,000         190,000              --              --              --              --   
Topps Co., Inc. (The) (NON)          23,100         212,231              --              --              --              --   
Tsuruha Co., Ltd. (Japan)             7,200         153,291              --              --              --              --   
Tuesday Morning Corp. (NON)           2,790          21,797          12,300          96,094              --              --   
Tweeter Home Entertainment Group,                                                                                             
Inc. (NON)                           10,984         398,857          29,800       1,082,113              --              --   
Ultimate Electonics, Inc. (NON)       6,000         246,750              --              --              --              --   
United Natural Foods, Inc. (NON)     52,200         645,975          82,900       1,025,888              --              --   
Vendex International NV                                                                                                       
(Netherlands)                         6,400          86,780              --              --              --              --   
Walgreen Co.                          6,500         246,594          13,700         519,744              --              --   
Walmart de Mexico Ser. C (Mexico)                                                                                             
(NON)                                87,400         172,930              --              --              --              --   
Walmart de Mexico Ser. V (Mexico)                                                                                             
(NON)                               205,000         425,591              --              --              --              --   
Wal-Mart Stores, Inc.                61,400       2,954,875         111,300       5,356,313           8,200         394,625   
Wet Seal, Inc. (NON)                  4,300          67,456          18,400         288,650              --              --   
Zale Corp. (NON)                      5,000         162,188              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                 46,097,405                      55,351,783                       3,640,130   

Schools                                                0.1%                            0.2%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Career Education Corp. (NON)         21,400         952,300          36,200       1,610,900              --              --   
Corinthian Colleges, Inc. (NON)       4,900         289,100              --              --              --              --   
Education Management Corp. (NON)      1,100          29,631           4,400         118,525              --              --   
Learning Tree International, Inc.                                                                                             
(NON)                                16,290         775,811          41,800       1,990,725              --              --   
Prosoft Training.com (NON)           11,060         157,605          48,700         693,975              --              --   
                                             --------------                  --------------                  --------------   
                                                  2,204,447                       4,414,125                              --   

Semiconductor                                          0.3%                            0.4%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
ASM Lithography Holding NV                                                                                                    
(Netherlands) (NON)                   5,100         169,171              --              --              --              --   
ATMI, Inc. (NON)                      2,900          67,788          12,900         301,538              --              --   
Advanced Energy Industries, Inc.                                                                                              
(NON)                                 8,700         287,100          18,600         613,800              --              --   
Applied Materials, Inc. (NON)         6,000         355,875          12,700         753,269              --              --   
Cohu, Inc.                           19,200         294,000          30,000         459,375              --              --   
Conexant Systems, Inc. (NON)          2,000          83,750           4,400         184,250              --              --   
Credence Systems Corp. (NON)          4,900         147,000          21,600         648,000              --              --   
DuPont Photomasks, Inc. (NON)         8,300         487,625          12,900         757,875              --              --   
Helix Technology Corp.               15,000         448,125          47,000       1,404,125              --              --   
KLA Tencor Corp. (NON)                1,500          61,781           3,100         127,681              --              --   
LAM Research Corp. (NON)              1,400          29,313           3,000          62,813              --              --   
LTX Corp. (NON)                      15,660         296,561          68,800       1,302,900              --              --   
Novellus Systems, Inc. (NON)          1,300          60,531           2,700         125,719              --              --   
Orbotech, Ltd. (Israel) (NON)        21,150       1,156,641              --              --              --              --   
Photon Dynamics, Inc. (NON)           3,800         143,450          16,900         637,975              --              --   
Rudolph Technologies, Inc. (NON)      2,907          97,203          12,900         431,344              --              --   
Teradyne, Inc. (NON)                  1,500          52,500           3,100         108,500              --              --   
Veeco Instruments, Inc. (NON)         5,260         558,957          23,100       2,454,736              --              --   
Zygo Corp. (NON)                      5,190         451,530          13,100       1,139,700              --              --   
                                             --------------                  --------------                  --------------   
                                                  5,248,901                      11,513,600                              --   

Shipping                                               0.1%                            0.2%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
China Shipping Development Co.                                                                                                
(China) (NON)                     1,030,000         179,666              --              --              --              --   
Circle International Group, Inc.     16,900         511,225          26,300         795,575              --              --   
EGL, Inc. (NON)                       8,420         254,705          37,100       1,122,275              --              --   
Expeditors International of                                                                                                   
Washington, Inc.                      7,500         337,969          31,800       1,432,988              --              --   
Fritz Companies, Inc. (NON)          48,080         576,960          80,300         963,600              --              --   
USFreightways Corp.                  25,400         576,263          40,000         907,500              --              --   
Wabash National Corp.                 5,800          52,925           8,400          76,650              --              --   
                                             --------------                  --------------                  --------------   
                                                  2,489,713                       5,298,588                              --   

Software                                               2.9%                            3.4%                            0.9%   
---------------------------------------------------------------------------------------------------------------------------   
Actuate Corp. (NON)                   9,000         310,922              --              --              --              --   
Adobe Systems, Inc.                  11,600       1,800,900          19,700       3,058,425           2,000         310,500   
Advent Software, Inc. (NON)           3,800         265,525              --              --              --              --   
Agile Software Corp. (NON)           25,200       2,266,425          41,600       3,741,400           5,000         449,688   
Allaire Corp. (NON)                  11,500          97,750              --              --              --              --   
Amdocs, Ltd. (NON)                   14,750         920,031           1,000          62,375              --              --   
Autodesk, Inc.                       12,700         322,263          20,500         520,188              --              --   
BEA Systems, Inc. (NON)              42,100       3,278,538          69,600       5,420,100           7,800         607,425   
BMC Software, Inc. (NON)              1,700          32,513           3,600          68,850              --              --   
BackWeb Technologies, Ltd. (Israel)                                                                                           
(NON)                                 2,400          24,338          10,500         106,477              --              --   
BroadVision, Inc. (NON)               6,600         169,538           4,000         102,750              --              --   
Broadbase Software, Inc. (NON)        5,700          77,306              --              --              --              --   
Citrix Systems, Inc. (NON)            1,700          34,106           3,500          70,219              --              --   
Click Commerce, Inc. (NON)           11,200         478,800          49,600       2,120,400              --              --   
Computer Associates International,                                                                                            
Inc.                                 23,481         591,428          41,507       1,045,458           4,300         108,306   
Compuware Corp. (NON)                 2,300          19,263           4,800          40,200              --              --   
DSET Corp. (NON)                     10,400         214,500          46,200         952,875              --              --   
Dendrite International, Inc. (NON)    8,300         222,544          36,800         986,700              --              --   
Documentum, Inc. (NON)                4,200         340,988              --              --              --              --   
E.piphany, Inc. (NON)                   200          15,413             400          30,825              --              --   
Electronic Arts, Inc. (NON)           1,200          59,250           2,600         128,375              --              --   
eXcelon Corp. (NON)                   9,400         116,325          41,600         514,800              --              --   
Hyperion Solutions Corp. (NON)       22,000         569,250          35,400         915,975              --              --   
I2 Technologies, Inc. (NON)          18,900       3,535,481          31,100       5,817,644           3,650         682,778   
Informatica Corp. (NON)               3,800         354,350          16,900       1,575,925              --              --   
Infosys Technologies, Ltd. (India)                                                                                            
(NON)                                 9,250       1,475,740              --              --              --              --   
Internet Security Systems, Inc.                                                                                               
(NON)                                   300          22,538             600          45,075              --              --   
JDA Software Group, Inc. (NON)       30,500         388,875          47,400         604,350              --              --   
Kronos, Inc. (NON)                    6,630         198,900          29,400         882,000              --              --   
MIH, Ltd. (United Kingdom) (NON)     10,100         302,369              --              --              --              --   
Macromedia, Inc. (NON)                  500          40,406           1,000          80,813              --              --   
Magic Software Enterprises, Ltd.                                                                                              
(Israel) (NON)                       21,300         162,413              --              --              --              --   
Manugistics Group, Inc. (NON)         9,600         942,000          42,300       4,150,688              --              --   
Mercury Interactive Corp. (NON)         500          78,375           1,000         156,750              --              --   
Micromuse, Inc. (NON)                10,000       2,009,375          16,700       3,355,656           1,900         381,781   
Microsoft Corp. (NON) (SEG)          84,100       5,072,281         152,700       9,209,719          11,000         663,438   
Misys PLC (United Kingdom)          244,200       2,291,890         259,972       2,439,915          27,685         259,832   
NET One Systems Co., Ltd. (Japan)        27         767,287              --              --              --              --   
NETIQ Corp. (NON)                     3,800         249,613              --              --              --              --   
NVIDIA Corp. (NON)                    2,000         163,750              --              --              --              --   
Netegrity, Inc. (NON)                 6,000         420,000          26,250       1,837,500              --              --   
Network Associates, Inc. (NON)        2,200          49,775           4,700         106,338              --              --   
Nuance Communications, Inc. (NON)     1,400         170,363              --              --              --              --   
Open Text Corp. (Canada) (NON)       20,580         398,164              --              --              --              --   
Oracle Corp. (Japan)                     50          11,515              --              --              --              --   
Oracle Corp. (Japan) (NON)           85,100       6,701,625         148,300      11,678,625          13,800       1,086,750   
Orchestream Holdings PLC 144A                                                                                                 
(United Kingdom) (NON)               82,800         826,054              --              --              --              --   
Orchestream Holdings PLC                                                                                                      
(United Kingdom) (NON)               24,321         242,638              --              --              --              --   
PeopleSoft, Inc. (NON)                1,800          50,288           3,900         108,956              --              --   
Phone.com, Inc. (NON)                21,700       2,465,663          35,900       4,079,138           4,300         488,588   
Portal Software, Inc. (NON)             900          36,000           2,000          80,000              --              --   
Progress Software Corp. (NON)        12,400         168,950              --              --              --              --   
Rational Software Corp. (NON)        22,100       1,533,188          37,500       2,601,563           4,000         277,500   
SAP AG (Germany)                     11,148       2,143,979          11,537       2,218,791           1,227         235,976   
SAP AG Systeme Preference Bearer                                                                                              
(Germany)                             8,409       2,062,321          15,959       3,913,970           1,704         417,909   
Secure Computing Corp. (NON)         13,500         351,844              --              --              --              --   
Siebel Systems, Inc. (NON)           33,800       3,762,363          57,200       6,367,075           6,200         690,138   
Silverline Technologies, Ltd. ADR                                                                                             
(India) (NON)                        13,113         233,575              --              --              --              --   
Software.com, Inc. (NON)                500          90,719           1,000         181,438              --              --   
Synavant, Inc. (NON)                    135             903             290           1,939              --              --   
VERITAS Software Corp. (NON)         42,400       6,020,800          71,950      10,216,900           7,825       1,111,150   
Verity, Inc. (NON)                    7,180         256,236              --              --              --              --   
Vignette Corp. (NON)                  1,000          29,875           2,100          62,738              --              --   
Vitria Technology, Inc. (NON)           500          23,313           1,000          46,625              --              --   
webMethods, Inc. (NON)                  100          11,513             200          23,025              --              --   
                                             --------------                  --------------                  --------------   
                                                 58,345,223                      91,729,548                       7,771,759   

Technology                                             0.3%                            0.2%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
HCL Technologies Ltd. (India)        12,200         305,583              --              --              --              --   
Informa Group PLC (United Kingdom)   55,056         610,296              --              --              --              --   
Koninklijke Philips Electronics NV                                                                                            
(Netherlands)                       120,374       5,179,079         103,456       4,451,183          21,812         938,459   
Lightpath Technologies, Inc.                                                                                                  
Class A (NON)                         4,200         199,500          18,700         888,250              --              --   
                                             --------------                  --------------                  --------------   
                                                  6,294,458                       5,339,433                         938,459   

Technology Services                                    1.0%                            0.9%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Acxiom Corp. (NON)                      600          19,050           1,200          38,100              --              --   
Affiliated Computer Services, Inc.                                                                                            
Class A (NON)                           600          29,925           1,300          64,838              --              --   
America Online, Inc. (NON)           61,200       3,289,500         109,200       5,869,500           8,900         478,375   
American Management Systems (NON)     8,500         146,094          25,500         438,281              --              --   
Analysts International Corp.         29,600         213,675          45,900         331,341              --              --   
Art Technology Group, Inc. (NON)        200          18,950             400          37,900              --              --   
Asianfo Holdings, Inc. (NON)            300           5,681             600          11,363              --              --   
Automatic Data Processing, Inc.       5,100         341,063          10,900         728,938              --              --   
BISYS Group, Inc. (The) (NON)           300          23,194             600          46,388              --              --   
C-Bridge Internet Solutions, Inc.                                                                                             
(NON)                                 5,200          97,500          23,100         433,125              --              --   
CACI International, Inc. (NON)       15,200         325,850          23,800         510,213              --              --   
CMG Information Services, Inc.                                                                                                
(NON)                                 1,500          41,906           3,101          86,634              --              --   
CNET Networks, Inc. (NON)             1,900          46,283           4,000          97,438              --              --   
CSG Systems International, Inc.                                                                                               
(NON)                                   900          26,100           2,000          58,000              --              --   
Checkfree Corp. (NON)                   400          16,756             800          33,513              --              --   
Ciber, Inc. (NON)                    40,200         331,650          62,700         517,275              --              --   
Cognizant Technology Solutions Corp.                                                                                          
(NON)                                 4,400         171,600              --              --              --              --   
Commerce One, Inc. (NON)              1,900         149,150           4,000         314,000              --              --   
Computer Sciences Corp. (NON)         1,200          89,100           2,500         185,625              --              --   
Computer Task Group, Inc.            41,800         130,625          65,200         203,750              --              --   
Davox Corp. (NON)                    53,200         535,325          85,600         861,350              --              --   
Diamond Technology Partners, Inc.                                                                                             
(NON)                                 4,700         348,975              --              --              --              --   
Digex, Inc. (NON)                       500          23,438           1,000          46,875              --              --   
Docent, Inc. (NON)                    3,500          64,094          15,500         170,500              --              --   
Electronic Data Systems Corp.        28,200       1,170,300          49,540       2,055,910           5,400         224,100   
Enea Data AB (Sweden)               219,796       1,267,000              --              --              --              --   
Exodus Communications, Inc. (NON)     2,500         123,438           5,400         266,625              --              --   
Fair, Isaac and Company, Inc.         8,100         345,769          12,700         542,131              --              --   
FileNET Corp. (NON)                  44,100         802,069          59,300       1,078,519              --              --   
Fiserv, Inc. (NON)                      600          35,925           1,300          77,838              --              --   
Forrester Research, Inc. (NON)        6,300         401,625              --              --              --              --   
Globix Corp. (NON)                    8,700         202,819          38,600         899,863              --              --   
Go2Net, Inc. (NON)                    4,600         249,622              --              --              --              --   
GoTo.com, Inc. (NON)                  8,700         143,550              --              --              --              --   
HiQ International AB (Sweden)        51,202         417,465              --              --              --              --   
InfoSpace.com, Inc. (NON)            36,700       1,110,175          61,100       1,848,275           7,100         214,775   
Internet Capital Group, Inc. (NON)    1,200          20,925           2,600          45,338              --              --   
Internet Pictures Corp. (NON)        16,200          88,088              --              --              --              --   
Intranet Solutions, Inc. (NON)        4,400         220,000              --              --              --              --   
Jack Henry & Associates, Inc.         3,900         169,163              --              --              --              --   
Keane, Inc. (NON)                    19,600         341,040          32,100         558,540              --              --   
LifeMinders, Inc. (NON)               5,100         116,981              --              --              --              --   
Logica PLC (United Kingdom)          14,500         476,840              --              --              --              --   
Logitech International (Switzerland)                                                                                          
(NON)                                 1,384         435,704              --              --              --              --   
LookSmart, Ltd. (NON)                12,700         142,081              --              --              --              --   
Lycos, Inc. (NON)                     7,900         543,248           1,600         110,025              --              --   
MTS Systems Corp.                    56,200         393,400          87,300         611,100              --              --   
Management Network Group, Inc. (The)                                                                                          
(NON)                                14,860         310,203          65,300       1,363,138              --              --   
MarchFirst, Inc. (NON)                  505           7,922           1,138          17,852              --              --   
Navisite Technologies, Inc. (NON)       500          13,469           1,000          26,938              --              --   
PSINet, Inc. (NON)                      600           5,775           1,300          12,513              --              --   
Pandatel AG (Germany) (NON)           1,250         122,405              --              --              --              --   
Paychex, Inc.                        25,250       1,325,625          42,650       2,239,125           4,700         246,750   
Pilot Network Services, Inc. (NON)    5,270          54,676          23,200         240,700              --              --   
Predictive Systems, Inc. (NON)           80           1,545             100           1,931              --              --   
Rare Medium Group, Inc. (NON)        11,400          84,788              --              --              --              --   
SEI Investments Co.                     800          56,600           1,800         127,350              --              --   
Safeguard Scientifics, Inc. (NON)     1,400          27,913           2,900          57,819              --              --   
Sapient Corp. (NON)                   1,200          48,825           2,400          97,650              --              --   
Scient Corp. (NON)                      900          18,844           2,000          41,875              --              --   
Siliconware Precision Industries ADR                                                                                          
(Taiwan) (NON)                       42,100         207,869              --              --              --              --   
Softbank Corp. (Japan)                  800          74,794              --              --              --              --   
SunGard Data Systems, Inc. (NON)        800          34,250           1,700          72,781              --              --   
Support.com, Inc. (NON)               4,200         128,625          18,400         563,500              --              --   
Symbol Technologies, Inc.             1,050          37,734           2,200          79,063              --              --   
Tech Data Corp. (NON)                 6,000         256,500              --              --              --              --   
Telxon Corp.                         34,400         602,000          53,600         938,000              --              --   
U.S. Interactive, Inc. (NON)             --              --             500           1,266             300             759   
Unisys Corp. (NON)                    2,500          28,125           5,200          58,500              --              --   
Yahoo!, Inc. (NON)                    2,000         182,000           4,200         382,200              --              --   
                                             --------------                  --------------                  --------------   
                                                 19,333,198                      25,501,312                       1,164,759   

Telecommunications                                     4.2%                            2.9%                            0.8%   
---------------------------------------------------------------------------------------------------------------------------   
ALLTEL Corp.                         34,265       1,788,205          59,670       3,114,028           6,800         354,875   
APAC Customer Services, Inc. (NON)   24,500         130,156              --              --              --              --   
AT&T Wireless Group (NON)             1,200          25,050           2,500          52,188              --              --   
Advanced Info Service (Thailand)                                                                                              
(NON)                                30,400         256,637              --              --              --              --   
Airgate PCS, Inc. (NON)               8,200         367,975          36,100       1,619,988              --              --   
Alamosa PCS Holdings, Inc. (NON)      8,000         129,500          35,500         574,656              --              --   
Allegiance Telecom, Inc. (NON)          650          24,213           1,450          54,013              --              --   
American Telephone & Telegraph Co.  122,408       3,595,735         220,169       6,467,464          20,700         608,063   
American Tower Corp. Class A (NON)      600          22,613           1,300          48,994              --              --   
At Home Corp. (NON)                     600           8,475           1,300          18,363              --              --   
BCE, Inc. (Canada)                   13,599         316,897          25,829         601,892              --              --   
Boston Communications Group (NON)     7,300         140,525          32,400         623,700              --              --   
Brasil Telecom Participacoes S/A ADR                                                                                          
(Brazil)                              6,700         390,275              --              --              --              --   
British Telecommunications PLC ADR                                                                                            
(United Kingdom)                     64,000         672,549              --              --              --              --   
Carphone Warehouse Group PLC 144A                                                                                             
(United Kingdom) (NON)               38,100         109,245              --              --              --              --   
CTC Communications Group, Inc. (NON)  3,900          78,975          17,300         350,325              --              --   
Cable & Wireless PLC                                                                                                          
(United Kingdom)                    163,628       2,333,777         139,364       1,987,707          14,876         212,172   
Carphone Warehouse Group PLC 144A                                                                                             
(United Kingdom) (NON)              139,561         400,166              --              --              --              --   
Carso Global Telecom (Mexico) (NON) 691,442       1,677,155         482,727       1,170,898              --              --   
CenturyTel, Inc.                        500          13,625           1,000          27,250              --              --   
China Telecom, Ltd. (Hong Kong)                                                                                               
(NON)                               671,998       4,460,335         510,000       3,385,086          54,500         361,740   
China Unicom, Ltd. (Hong Kong)                                                                                                
(NON)                               208,000         465,530              --              --              --              --   
Choice One Communications, Inc.                                                                                               
(NON)                                 4,900          59,719          21,600         263,250              --              --   
Clearnet Communications, Inc.                                                                                                 
(Canada) (NON)                       26,367       1,169,257              --              --              --              --   
Colt Telecommunications Group PLC                                                                                             
(United Kingdom) (NON)               16,375         469,524              --              --              --              --   
Comdisco, Inc.                          600          11,438           1,300          24,781              --              --   
Compania Telecommunications de Chile                                                                                          
S.A. ADR (Chile)                     15,500         269,313              --              --              --              --   
Covad Communications Group, Inc.                                                                                              
144A (NON)                              950          12,706           2,000          26,750              --              --   
DDI Corp. (Japan)                         2          14,429              --              --              --              --   
Deutsche Telekom AG (Germany)        18,900         648,602              --              --              --              --   
Digi.com Berhad (Malaysia) (NON)    147,000         263,053              --              --              --              --   
Embratel Participacoes S/A (Brazil)   8,900         130,845              --              --              --              --   
Embratel Participacoes S/A ADR                                                                                                
(Brazil)                             25,000         462,500              --              --              --              --   
Energis PLC (United Kingdom) (NON)  154,700       1,092,931              --              --              --              --   
France Telecom SA (France)            9,800       1,049,571              --              --              --              --   
Global Light Telecom, Inc. (Canada)                                                                                           
(NON)                                10,800          55,620              --              --              --              --   
Hellenic Telecommunications                                                                                                   
Organization SA (Greece)             16,264         313,005              --              --              --              --   
Hellenic Telecommunications                                                                                                   
Organization SA GDR (Greece)         53,200         492,100              --              --              --              --   
Inet Technologies, Inc. (NON)           500          14,625           1,000          29,250              --              --   
Infonet Services Corp. (NON)            500           5,281           1,000          10,563              --              --   
KPNQwest NV (Netherlands) (NON)      26,523         754,605              --              --              --              --   
Kingston Communication (Hull) PLC                                                                                             
(United Kingdom)                     89,903         552,767              --              --              --              --   
Leap Wireless (NON)                   5,200         325,325             309          19,332             447          27,965   
Level 3 Communication, Inc. (NON)     1,900         146,538           4,000         308,500              --              --   
Liberty Digital, Inc. Class A (NON)     400           8,100             800          16,200              --              --   
MCK Communications, Inc. (NON)       19,100         432,138          84,600       1,914,075              --              --   
MGC Communications, Inc. (NON)          604           5,266              --              --             120           1,046   
Mahanager Telephone GDR 144A (India) 70,500         361,313              --              --              --              --   
McLeodUSA, Inc. Class A (NON)         2,300          32,919           4,800          68,700              --              --   
Metrocall, Inc. (NON)                26,100          78,300              --              --              --              --   
Metromedia Fiber Network, Inc.                                                                                                
Class A (NON)                        75,500       1,835,594         126,500       3,075,531          14,600         354,963   
Mpower Communications Corp. (NON)        --              --              45             392              31             270   
NTL, Inc. (United Kingdom) (NON)        800          37,050           1,700          78,731              --              --   
NTT DoCoMo (Japan) (NON)                215       6,169,583             163       4,677,404              25         717,393   
Net2Phone, Inc. (NON)                 3,900          87,750              --              --              --              --   
NetCom AB (Sweden) (NON)              4,081         209,391              --              --              --              --   
Nextel Communications, Inc. Class A                                                                                           
(NON)                                34,500       1,612,875          58,200       2,720,850           6,300         294,525   
Nextlink Communications, Inc.                                                                                                 
Class A (NON)                        31,000       1,090,813          52,500       1,847,344           5,700         200,569   
Nippon Telegraph and Telephone Corp.                                                                                          
(Japan) (NON)                           715       7,015,644             684       6,711,469              74         726,095   
Panafon Hellenic Telecommunication                                                                                            
GDR                                  44,000         418,000              --              --              --              --   
Peco II, Inc. (NON)                   5,200         243,425          23,200       1,086,050              --              --   
Pinnacle Holdings, Inc. (NON)         7,900         210,338          36,000         958,500              --              --   
Portugal Telecom SA (Portugal)       15,800         162,387              --              --              --              --   
Price Communications Corp. (NON)     13,592         265,894          59,800       1,169,838              --              --   
Qwest Communications International,                                                                                           
Inc. (NON)                            7,563         363,497          16,034         770,634              --              --   
RCN Corp. (NON)                         300           6,225             600          12,450              --              --   
Research in Motion, Ltd. (Canada)                                                                                             
(NON)                                 2,500         246,406              --              --              --              --   
Rhythms Netconnections, Inc. (NON)   16,900         124,638              --              --              --              --   
Royal PTT (United Kingdom)            9,300         202,486              --              --              --              --   
Rural Cellular Corp. Class A (NON)    3,560         242,525          15,800       1,076,375              --              --   
SBA Communications Corp. (NON)       11,530         483,539          50,300       2,109,456              --              --   
SK Telecom Co., Ltd. (South Korea)    6,120       1,492,951              --              --              --              --   
SK Telecom Co., Ltd. ADR                                                                                                      
(South Korea)                        11,400         292,125              --              --              --              --   
Somera Communications, Inc. (NON)    11,880         112,860          52,000         494,000              --              --   
Sonera Group OYJ (Finland)            3,900          99,089              --              --              --              --   
Sprint Corp.                         61,100       1,790,994         106,200       3,112,988          11,900         348,819   
Sprint Corp. (PCS Group) (NON)       56,600       1,984,538          95,400       3,344,963          10,700         375,169   
Sunrise Telecom, Inc. (NON)             800          23,050           1,700          48,981              --              --   
Swisscom AG ADR (Switzerland)           700         171,557              --              --              --              --   
Taiwan Cellular Corp. (Taiwan) (NON) 69,000         167,486              --              --              --              --   
Tele Celular Sul Participacoes S/A                                                                                            
(Brazil)                             74,000         172,560              --              --              --              --   
Tele Celular Sul Participacoes S/A                                                                                            
ADR (Brazil)                         19,200         576,000              --              --              --              --   
Tele Danmark A/S (Denmark)            3,200         176,049              --              --              --              --   
Tele Norte Leste Participacoes S/A                                                                                            
ADR (Brazil)                         29,600         677,100              --              --              --              --   
Telecom Italia Mobile SpA (Italy)    80,000         646,476              --              --              --              --   
Telefonos de Mexico SA ADR Class L                                                                                            
(Mexico)                            115,633       6,150,230          74,173       3,945,076              --              --   
Telephone and Data Systems, Inc.        500          55,350           1,000         110,700              --              --   
Telesp Celular Participacoes S/A ADR                                                                                          
(Brazil)                             35,200         464,052              --              --              --              --   
Teligent, Inc. Class A (NON)         12,600         163,800              --              --              --              --   
Uecomm, Ltd 144A (NON)               44,100          38,194              --              --              --              --   
United States Cellular Corp. (NON)      300          21,000             600          42,000              --              --   
Versatel Telecom International NV                                                                                             
(Netherlands) (NON)                  23,322         536,999              --              --              --              --   
Vodafone Group PLC                                                                                                            
(United Kingdom)                  4,723,289      17,627,078       4,130,880      15,416,238         440,041       1,642,211   
VoiceStream Wireless Corp. (NON)      1,300         150,881           2,700         313,369              --              --   
Western Wireless Corp. (NON)            600          21,375           1,200          42,750              --              --   
Williams PLC (United Kingdom)        82,300         401,410         138,398         675,022          14,776          72,068   
WinStar Communications, Inc. (NON)      500           7,750           1,722          26,691             380           5,890   
Worldcom, Inc. (NON)                 21,800         662,175          46,300       1,406,363              --              --   
                                             --------------                  --------------                  --------------   
                                                 82,350,592                      78,052,118                       6,303,833   

Telephone                                              0.7%                            0.4%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
BCE, Inc. (Canada)                  111,300       2,601,638          29,085         679,862              --              --   
Broadwing, Inc.                         600          15,338           1,200          30,675              --              --   
CT Communications, Inc.              16,800         341,250          26,400         536,250              --              --   
Elisa Communications OYJ (Finland)   12,750         455,434              --              --              --              --   
Korea Telecom Corp. (South Korea)    43,800       1,472,775          50,300       1,691,338              --              --   
Manitoba Telecom Svcs, Inc. (Canada) 25,129         505,387              --              --              --              --   
Tampere Telephone PLC (Finland)      14,531          89,735              --              --              --              --   
Telecom Corp. of New Zealand, Ltd.                                                                                            
(New Zealand)                        50,000         124,267              --              --              --              --   
Telecom Italia SpA (Italy)           31,000         329,272              --              --              --              --   
TelecomAsia Corporation Public Co.,                                                                                           
Ltd. (Thailand) (NON)               467,800         313,383              --              --              --              --   
Telefonica SA (Spain) (NON)         306,830       6,076,888         299,382       5,929,377          67,664       1,340,112   
Telefonica SA ADR (Spain) (NON)       9,508         565,132          18,309       1,088,241              --              --   
Telekom Malaysia Berhad (Malaysia)  114,000         300,000              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                 13,190,499                       9,955,743                       1,340,112   

Textiles                                               0.2%                            0.1%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Adidas-Salomon AG (Germany)          17,400         951,717              --              --              --              --   
Culp, Inc.                           31,700         126,800          48,400         193,600              --              --   
Far Eastern Textile, Ltd. (Taiwan)  243,760         260,810              --              --              --              --   
Interface, Inc.                      33,800         269,344          53,100         423,141              --              --   
Liz Claiborne, Inc.                     500          19,250           1,000          38,500              --              --   
Nike, Inc.                              600          24,038           1,200          48,075              --              --   
OshKosh B' Gosh, Inc. Class A        12,500         190,234          19,500         296,766              --              --   
Shaw Industries, Inc.                51,800         958,300          89,000       1,646,500          10,800         199,800   
Ted Baker PLC (United Kingdom)        7,495          52,176              --              --              --              --   
V. F. Corp.                             600          14,813           1,200          29,625              --              --   
WESCO International, Inc. (NON)      26,500         212,000              --              --              --              --   
Wolverine World Wide, Inc.           39,000         363,188          60,800         566,200              --              --   
                                             --------------                  --------------                  --------------   
                                                  3,442,670                       3,242,407                         199,800   

Tire and Rubber                                         --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Goodyear Tire & Rubber Co. (The)        600          10,800           1,200          21,600              --              --   
Michelin Corp. Class B SA (France)    5,000         138,947              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                    149,747                          21,600                              --   

Tobacco                                                0.5%                            0.5%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
British American Tobacco PLC                                                                                                  
(United Kingdom)                     80,800         521,876              --              --              --              --   
Cie Finance Richemont AG                                                                                                      
(Switzerland)                         1,763       5,300,223           2,454       7,377,622             261         784,661   
ITC, Ltd. (India)                    15,800         246,182              --              --              --              --   
Philip Morris Cos., Inc.            128,203       3,773,976         226,125       6,656,555          23,871         702,703   
R.J. Reynolds Tobacco Holdings,                                                                                               
Inc.                                  2,000          64,500           4,200         135,450              --              --   
UST, Inc.                             3,200          73,200           6,700         153,263              --              --   
                                             --------------                  --------------                  --------------   
                                                  9,979,957                      14,322,890                       1,487,364   

Toys                                                   0.1%                            0.1%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Hasbro, Inc.                            500           5,719           1,000          11,438              --              --   
Mattel, Inc.                          3,200          35,800           6,700          74,956              --              --   
Nintendo Co., Ltd. (Japan) (NON)      8,400       1,534,129          11,600       2,118,560           1,900         347,005   
Toys R Us (NON)                       1,600          26,000           3,300          53,625              --              --   
Zapf Creaton AG (Germany)            12,694         559,932              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                  2,161,580                       2,258,579                         347,005   

Transaction Processing                                  --%                            0.1%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Concord EFS, Inc. (NON)               1,700          60,377           3,600         127,856              --              --   
NOVA Corp./Georgia (NON)                600          10,275           1,200          20,550              --              --   
National Data Corp.                  27,500         902,344          43,100       1,414,219              --              --   
                                             --------------                  --------------                  --------------   
                                                    972,996                       1,562,625                              --   

Transportation Services                                0.1%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Beijing Capital international Airport                                                                                         
(China)                             146,000          26,778              --              --              --              --   
Firstgroup PLC (United Kingdom)     218,294         703,352              --              --              --              --   
Grupo Aeroportuario del Sureste SA                                                                                            
de CV ADR (Mexico) (NON)             61,900         940,106              --              --              --              --   
TNT Post Group NV (Netherlands)       4,800         111,581              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                  1,781,817                              --                              --   

Trucks and Parts                                        --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Johnson Controls, Inc.                1,000          53,188           2,100         111,694              --              --   
PACCAR, Inc.                            500          18,531           1,000          37,063              --              --   
                                             --------------                  --------------                  --------------   
                                                     71,719                         148,757                              --   

Utilities                                               --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
BSES, Ltd. GDR (India)               44,600         219,609              --              --              --              --   
Celcaribe S.A. (France) (NON)        28,943           3,618              --              --           2,316             290   
Electrabel SA (Belgium)                 800         167,900              --              --              --              --   
Tenneco, Inc. (Malaysia)             69,000         205,184              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                    596,311                              --                             290   

Waste Management                                       0.1%                            0.2%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Republic Services, Inc. (NON)        38,300         502,688          65,200         855,750           8,200         107,625   
Stericycle, Inc. (NON)                6,400         156,800          10,000         245,000              --              --   
Waste Connections, Inc. (NON)         7,900         202,438          35,200         902,000              --              --   
Waste Management, Inc.               90,100       1,571,119         155,000       2,702,813          18,300         319,106   
                                             --------------                  --------------                  --------------   
                                                  2,433,045                       4,705,563                         426,731   

Water Utilities                                         --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Anglian Water PLC (United Kingdom)   15,800         135,210              --              --              --              --   
                                             --------------                  --------------                  --------------   
Total Common Stocks                                                                                                           
(cost $1,294,483,631, $1,410,971,863                                                                                          
and $112,609,147)                            $1,346,293,316                  $1,583,110,699                    $122,899,699   
---------------------------------------------------------------------------------------------------------------------------   

                                        GROWTH                              BALANCED                    CONSERVATIVE          
                                                      12.3%                            3.6%                            7.3%   
ASSET BACKED                     Principal                        Principal                       Principal                   
SECURITIES(a)                      Amount             Value         Amount            Value         Amount            Value   
---------------------------------------------------------------------------------------------------------------------------   
Advanta Mortgage Loan Trust Ser.                                                                                              
97-2, Class A2, 7.05s, 2021    $         --  $           --      $  120,791  $      120,229      $  116,209  $      115,669   
Advanta Mortgage Loan Trust Ser.                                                                                              
99-2, Class A4, 6.89s, 2029       1,400,000       1,341,594       6,000,000       5,749,688       3,000,000       2,874,844   
Advanta Mortgage Loan Trust Ser.                                                                                              
97-4, Class A7, 6.63s, 2029              --              --       1,515,000       1,478,013       1,275,000       1,243,872   
CN Finance Ser. 00-5, Class A6,                                                                                               
7.96s, 2032                         505,000         505,947       2,105,000       2,108,947       1,090,000       1,092,044   
Capital One Master Trust Ser.                                                                                                 
99-2, Class A, 6.74s, 2005       12,679,000      12,651,233       4,212,000       4,202,776         609,000         607,666   
Capital One Master Trust Ser.                                                                                                 
96-2, Class A, 6.72s, 2005        8,435,000       8,432,301       2,870,000       2,869,082       1,695,000       1,694,458   
Chase Credit Card Master Trust                                                                                                
Ser. 00-2, Class A, 6.72s, 2005  10,012,000      10,021,311       3,326,000       3,329,093       2,162,000       2,164,011   
Chevy Chase Master Credit Card                                                                                                
Trust Ser. 95-C, Class A, 6.88s,                                                                                              
2006                              6,488,000       6,494,034       2,208,000       2,210,053       1,304,000       1,305,213   
Citibank Credit Card Issuance                                                                                                 
Trust Ser. 00-A1, Class A1, 6.9s,                                                                                             
2007                              2,500,000       2,506,250              --              --              --              --   
Conseco Finance Securitization                                                                                                
Ser. 00-4, Class A6, 8.31s,                                                                                                   
2032                                505,000         515,413       2,070,000       2,112,683       1,080,000       1,102,270   
Conseco Finance Securitization                                                                                                
Corp. Ser. 00-4, Class A4, 7.73s,                                                                                             
2032                              1,515,000       1,533,453       6,200,000       6,275,516       3,240,000       3,279,463   
Contimortgage Home Equity Loan                                                                                                
Trust Ser. 97-1, Class M2, 7.67s,                                                                                             
2028                                     --              --          38,986          19,286              --              --   
Discover Card Master Trust I Ser.                                                                                             
00-3, Class A, 6.74s, 2005       15,000,000      15,000,000       5,000,000       5,000,000       5,000,000       5,000,000   
Federal Home Loan Mortgage                                                                                                    
Acceptance Corp. Ser. T-25,                                                                                                   
Class A1, 6.76s, 2030            22,064,115      22,064,115       1,885,298       1,885,298              --              --   
First Plus Ser. 98-A, Class A,                                                                                                
8 1/2s, 2023                        179,015         133,310         386,509         287,829         594,004         442,347   
First USA Credit Card Master                                                                                                  
Trust Ser. 95-2, Class A, 6.86s,                                                                                              
2004                              7,096,000       7,115,940       1,304,000       1,307,664              --              --   
First USA Credit Card Master                                                                                                  
Trust Ser. 98-1, Class A, 6.70s,                                                                                              
2006                              9,495,000       9,497,943       3,155,000       3,155,978       2,050,000       2,050,636   
Fleet Credit Card Master Trust II                                                                                             
Ser. 00-B, Class A, 6.223s,                                                                                                   
2005                             15,000,000      15,004,650       5,000,000       5,001,550       5,000,000       5,001,550   
MBNA Master Credit Card Trust                                                                                                 
Ser. 96-E, Class A, 6.97s,                                                                                                    
2005                             30,000,000      30,075,000      12,000,000      12,030,000       8,000,000       8,020,000   
MBNA Master Credit Card Trust                                                                                                 
Ser. 95-E, Class A, 6.84s,                                                                                                    
2005                              9,213,000       9,241,745         787,000         789,455              --              --   
MBNA Master Credit Card Trust                                                                                                 
Ser. 96-J, Class A, 6.77s,                                                                                                    
2006                             30,000,000      30,056,100      20,000,000      20,037,400      20,000,000      20,037,400   
MBNA Master Credit Card Trust                                                                                                 
Ser. 96-K, Class A, 6.75s,                                                                                                    
2006                              9,365,000       9,376,706       3,112,000       3,115,890       2,023,000       2,025,529   
MBNA Master Credit Card Trust                                                                                                 
Ser. 00-B, Class A, 6.74s,                                                                                                    
2005                             30,000,000      30,018,600      10,000,000      10,006,200              --              --   
MBNA Master Credit Card Trust                                                                                                 
Ser. 98-A, Class A, 6.73s,                                                                                                    
2005                             21,345,000      21,351,617       4,743,000       4,744,470       2,407,000       2,407,746   
Provident Bank Home Equity Loan                                                                                               
Trust Ser. 99-1, class A2, 6.77s,                                                                                             
2019                                     --              --         180,498         180,498              --              --   
                                             --------------                  --------------                  --------------   
Total Asset Backed Securities                                                                                                 
(cost $242,912,271, $97,960,942                                                                                               
and $60,534,144)                             $  242,937,262                  $   98,017,598                  $   60,464,718   

---------------------------------------------------------------------------------------------------------------------------   
                                        GROWTH                              BALANCED                    CONSERVATIVE          
                                                       8.2%                           11.2%                           33.0%   
CORPORATE BONDS                  Principal                        Principal                       Principal                   
AND NOTES (a)                      Amount             Value         Amount            Value         Amount            Value   

Advertising and Marketing Services                     0.1%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Adams Outdoor Advertising sr.                                                                                                 
notes 10 3/4s, 2006            $     95,000  $       97,850      $       --  $           --      $   60,000  $       61,800   
Interact Operating Co. notes                                                                                                  
14s, 2003                           228,980          11,449              --              --          51,520           2,576   
Lamar Media Corp. company guaranty                                                                                            
9 5/8s, 2006                        530,000         542,588              --              --         615,000         629,606   
Lamar Media Corp. sr. sub. notes 9                                                                                            
1/4s, 2007                          835,000         847,525              --              --         110,000         111,650   
Lamar Media Corp. company guaranty                                                                                            
8 5/8s, 2007                         75,000          73,875              --              --          10,000           9,850   
SFX Entertainment, Inc. company                                                                                               
guaranty 9 1/8s, 2008               290,000         303,050              --              --              --              --   
SFX Entertainment, Inc. 144A                                                                                                  
company guaranty Ser. B, 9 1/8s,                                                                                              
2008                                340,000         355,300              --              --         450,000         470,250   
                                             --------------                  --------------                  --------------   
                                                  2,231,637                              --                       1,285,732   

Aerospace and Defense                                  0.2%                            0.5%                            1.0%   
---------------------------------------------------------------------------------------------------------------------------   
Argo-Tech Corp. company guaranty                                                                                              
8 5/8s, 2007                        835,000         688,875              --              --         220,000         181,500   
Argo-Tech Corp. company guaranty                                                                                              
Ser. D, 8 5/8s, 2007                 80,000          65,600              --              --         240,000         196,800   
BE Aerospace, Inc. sr. sub. notes                                                                                             
9 1/2s, 2008                        405,000         395,888              --              --         300,000         293,250   
BE Aerospace, Inc. sr. sub. notes                                                                                             
Ser. B, 8s, 2008                    380,000         341,050              --              --              --              --   
Decrane Aircraft Holdings company                                                                                             
guaranty Ser. B, 12s, 2008               --              --              --              --         150,000         138,750   
L-3 Communications Corp. sr. sub.                                                                                             
notes Ser. B, 10 3/8s, 2007         465,000         475,463              --              --         380,000         388,550   
L-3 Communications Corp. sr. sub.                                                                                             
notes 8 1/2s, 2008                  320,000         298,400              --              --          70,000          65,275   
L-3 Communications Corp. company                                                                                              
guaranty Ser. B, 8s, 2008           300,000         271,500              --              --          80,000          72,400   
Lockheed Martin Corp. bonds 8 1/2s,                                                                                           
2029                                     --              --       3,265,000       3,440,428       1,830,000       1,928,326   
Lockheed Martin Corp. company                                                                                                 
guaranty 7.45s, 2004                     --              --       2,770,000       2,793,684       1,435,000       1,447,269   
Lockheed Martin Corp. company                                                                                                 
guaranty 7 1/4s, 2006                    --              --       4,765,000       4,726,642       2,475,000       2,455,076   
Moog, Inc. sr. sub. notes Ser.                                                                                                
B, 10s, 2006                        580,000         575,650              --              --         220,000         218,350   
Sequa Corp. med. term notes 10s,                                                                                              
2001                                120,000         120,850              --              --          30,000          30,212   
Sequa Corp. sr. notes 9s, 2009       50,000          49,000       1,070,000       1,048,600         990,000         970,200   
                                             --------------                  --------------                  --------------   
                                                  3,282,276                      12,009,354                       8,385,958   

Agriculture                                             --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Premium Standard Farms, Inc. sr.                                                                                              
sec. notes 11s, 2003 (PIK)           21,122          19,221                              --         519,560         472,800   

Airlines                                               0.1%                            0.2%                            0.5%   
---------------------------------------------------------------------------------------------------------------------------   
Airbus Industries 144A equipment                                                                                              
trust 12.266s, 2020                 200,000         212,291         548,692         582,412         450,000         477,655   
Calair LLC 144A company guaranty                                                                                              
8 1/8s, 2008                        710,000         667,400       1,970,000       1,851,800       1,100,000       1,034,000   
Continental Airlines, Inc. notes 8s,                                                                                          
2005                                130,000         123,375              --              --          70,000          66,433   
Continental Airlines, Inc.                                                                                                    
pass-through certificates Ser.                                                                                                
981C, 6.541s, 2009                       --              --       2,099,375       2,006,330       1,112,489       1,063,184   
Northwest Airlines, Inc. company                                                                                              
guaranty 8.52s, 2004                     --              --       1,100,000       1,062,424         950,000         917,548   
Northwest Airlines, Inc. company                                                                                              
guaranty 8 3/8s, 2004               410,000         392,743              --              --          40,000          38,316   
Northwest Airlines, Inc. company                                                                                              
guaranty 7 7/8s, 2008                    --              --              --              --          40,000          36,453   
Northwest Airlines, Inc. company                                                                                              
guaranty 7 5/8s, 2005                    --              --              --              --         130,000         121,573   
US Air, Inc. pass-through                                                                                                     
certificates Ser. 93A3, 10 3/8s,                                                                                              
2013                                 90,000          82,125              --              --         100,000          91,250   
US Air, Inc. pass-through                                                                                                     
certificates Ser. 93-A2, 9 5/8s,                                                                                              
2003                                100,000          95,572       1,100,000       1,051,292         400,000         382,288   
                                             --------------                  --------------                  --------------   
                                                  1,573,506                       6,554,258                       4,228,700   

Automotive                                             0.3%                            0.4%                            1.1%   
---------------------------------------------------------------------------------------------------------------------------   
Aftermarket Technology Corp. sr.                                                                                              
sub. notes 12s, 2004                763,000         763,000              --              --         398,000         398,000   
Chrysler Corp. deb. Ser. B, 7.45s,                                                                                            
2097                                     --              --       1,715,000       1,554,699         990,000         897,465   
Collins & Aikman Products, Inc.                                                                                               
company guaranty 11 1/2s, 2006      160,000         155,200              --              --          80,000          77,600   
Delphi Automotive Systems Corp.                                                                                               
notes 6 1/8s, 2004                       --              --       3,660,000       3,493,031       1,895,000       1,808,550   
Dura Operating Corp. company                                                                                                  
guaranty Ser. B, 9s, 2009           650,000         559,000              --              --         340,000         292,400   
Federal Mogul Corp. notes 7 3/4s,                                                                                             
2006                              1,510,000         588,900         490,000         191,100       1,050,000         409,500   
Federal Mogul Corp. notes 7 1/2s,                                                                                             
2009                                280,000         106,400       3,370,000       1,280,600       3,180,000       1,208,400   
Federal Mogul Corp. notes 7 3/8s,                                                                                             
2006                                 90,000          35,100         240,000          93,600          90,000          35,100   
Hayes Wheels International, Inc.                                                                                              
144A sr. sub. notes 9 1/8s,                                                                                                   
2007                                     --              --              --              --         320,000         280,000   
Hayes Wheels International, Inc.                                                                                              
company guaranty Ser. B, 9 1/8s,                                                                                              
2007                                665,000         591,850              --              --         280,000         249,200   
Lear Corp. sub. notes 9 1/2s,                                                                                                 
2006                                150,000         151,367         730,000         736,650         250,000         252,278   
Lear Corp. company guaranty 8.11s,                                                                                            
2009                                720,000         684,475              --              --         450,000         427,797   
Lear Corp. company guaranty Ser. B,                                                                                           
7.96s, 2005                          40,000          38,325              --              --              --              --   
Navistar International Corp. sr.                                                                                              
notes Ser. B, 7s, 2003              500,000         475,000         640,000         608,000         250,000         237,500   
Oxford Automotive, Inc. company                                                                                               
guaranty Ser. D, 10 1/8s, 2007      700,000         630,000              --              --         370,000         333,000   
Safety Components International,                                                                                              
Inc. sr. sub. notes Ser. B, 10                                                                                                
1/8s, 2007 (In default) (NON)       160,000          64,000              --              --          35,000          14,000   
Talon Automotive Group sr. sub.                                                                                               
notes Ser. B, 9 5/8s, 2008          780,000         195,000              --              --         190,000          47,500   
Tenneco, Inc. company guaranty                                                                                                
Ser. B, 11 5/8s, 2009 (Malaysia)    720,000         460,800              --              --         390,000         249,600   
Visteon Corp. sr. notes 8 1/4s,                                                                                               
2010                                     --              --       3,780,000       3,785,973       1,950,000       1,953,081   
                                             --------------                  --------------                  --------------   
                                                  5,498,417                      11,743,653                       9,170,971   

Banking                                                0.1%                            1.4%                            3.1%   
---------------------------------------------------------------------------------------------------------------------------   
Bank One Corp. sub notes 7 7/8s,                                                                                              
2010                                     --              --       5,725,000       5,858,074       2,950,000       3,018,571   
BankAmerica Corp. sr. notes 5 7/8s,                                                                                           
2009                                     --              --       4,750,000       4,317,180       2,490,000       2,263,111   
Bank United Corp. sub. notes 8 7/8s,                                                                                          
2007                                120,000         118,723       2,025,000       2,003,454       1,785,000       1,766,008   
Chevy Chase Savings Bank, Inc.                                                                                                
sub. deb. 9 1/4s, 2008              460,000         424,350              --              --              --              --   
Chevy Chase Savings Bank, Inc.                                                                                                
sub. deb. 9 1/4s, 2005              120,000         112,950              --              --         300,000         282,375   
Citicorp sub. notes 6 3/8s, 2008         --              --       1,190,000       1,130,262         565,000         536,637   
Citigroup, Inc. deb. 6 5/8s, 2028        --              --       1,770,000       1,554,626         970,000         851,970   
Colonial Capital II 144A company                                                                                              
guaranty 8.92s, 2027                 35,000          32,212         540,000         496,984         980,000         901,933   
Dime Capital Trust I bank guaranty                                                                                            
Ser. A, 9.33s, 2027                      --              --              --              --          30,000          27,584   
First Union Institute Capital I                                                                                               
bonds 8.04s, 2026                        --              --       4,530,000       4,045,924       2,370,000       2,116,742   
First Union National Bank sub.                                                                                                
notes 7 7/8s, 2010                       --              --       1,910,000       1,940,445       1,075,000       1,092,136   
Firstar Bank Milwaukee sr. bank                                                                                               
notes 6 1/4s, 2002                       --              --       1,420,000       1,396,542         805,000         791,701   
GS Escrow Corp. sr. notes 7 1/8s,                                                                                             
2005                                875,000         807,905       3,850,000       3,554,782       3,565,000       3,291,636   
Imperial Bank sub. notes 8 1/2s,                                                                                              
2009                                     --              --       2,700,000       2,458,408       2,300,000       2,094,199   
Merita Bank, Ltd. sub. notes 6 1/2s,                                                                                          
2006 (Finland)                           --              --       1,230,000       1,181,944         645,000         619,800   
NationsBank Corp. sub. notes 6 7/8s,                                                                                          
2005                                     --              --       1,385,000       1,371,081         740,000         732,563   
Peoples Bank-Bridgeport sub. notes                                                                                            
7.2s, 2006                               --              --       1,075,000       1,002,180         595,000         554,695   
Peoples Heritage Capital Trust                                                                                                
company guaranty Ser. B, 9.06s,                                                                                               
2027                                     --              --         210,000         205,764         175,000         171,470   
Provident Capital Trust company                                                                                               
guaranty 8.6s, 2026                      --              --         190,000         160,514              --              --   
Riggs Capital Trust 144A bonds                                                                                                
8 5/8s, 2026                         35,000          27,978         120,000          95,926          70,000          55,957   
Sovereign Bancorp, Inc. sr. notes                                                                                             
10 1/2s, 2006                       190,000         192,850       4,420,000       4,486,300       3,730,000       3,785,950   
Sovereign Capital Trust company                                                                                               
guaranty 9s, 2027                    50,000          36,685              --              --          45,000          33,017   
St. Paul Bancorp sr. notes 7 1/8s,                                                                                            
2004                                     --              --       1,070,000       1,043,100         585,000         570,293   
Superior Financial 144A sr. notes                                                                                             
8.65s, 2003                              --              --              --              --         240,000         232,684   
Webster Capital Trust I 144A bonds                                                                                            
9.36s, 2027                           5,000           4,255          20,000          17,022         140,000         119,153   
                                             --------------                  --------------                  --------------   
                                                  1,757,908                      38,320,512                      25,910,185   

Beverage                                               0.1%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Triarc Consumer Products, Inc.                                                                                                
company guaranty 10 1/4s, 2009      980,000       1,096,375              --              --         510,000         570,563   

Broadcasting                                           0.6%                            0.2%                            1.3%   
---------------------------------------------------------------------------------------------------------------------------   
AMFM Operating, Inc. deb. 12 5/8s,                                                                                            
2006 (PIK)                           25,500          29,198          63,600          72,822          22,200          25,419   
Acme Television sr. disc. notes                                                                                               
10 7/8s, 2004                       680,000         646,000              --              --         360,000         342,000   
Allbritton Communications Co. sr.                                                                                             
sub. notes Ser. B, 8 7/8s, 2008     680,000         635,800              --              --         360,000         336,600   
Benedek Communications Corp. sr.                                                                                              
disc. notes stepped-coupon zero %                                                                                             
(13 1/4s, 5/15/01), 2006 (STP)    1,050,000         905,625              --              --         565,000         487,313   
Capstar Broadcasting sr. disc.                                                                                                
notes stepped-coupon zero %                                                                                                   
(12 3/4s, 2/1/02), 2009 (STP)     1,060,000       1,014,950              --              --         915,000         876,113   
Capstar Broadcasting sub. deb.                                                                                                
12s, 2009 (PIK)                     234,100         269,215              --              --          56,900          65,435   
Capstar Broadcasting sr. sub.                                                                                                 
notes 9 1/4s, 2007                1,080,000       1,101,600              --              --         195,000         198,900   
Citadel Broadcasting, Inc. sr.                                                                                                
sub. notes 10 1/4s, 2007            104,370         108,545              --              --         240,000         249,600   
Diva Systems Corp. sr. disc.                                                                                                  
notes, stepped-coupon Ser. B,                                                                                                 
zero % (12 5/8s, 3/1/03), 2008                                                                                                
(STP)                             1,719,000         756,360              --              --         403,000         177,320   
Echostar Broadband Corp. 144A                                                                                                 
sr. notes 10 3/8s, 2007           2,360,000       2,360,000              --              --       1,250,000       1,250,000   
Fox Family Worldwide, Inc. sr.                                                                                                
disc. notes stepped-coupon zero %                                                                                             
(10 1/4s, 11/1/02), 2007 (STP)      140,000         101,850              --              --          80,000          58,200   
Fox Family Worldwide, Inc. sr.                                                                                                
notes 9 1/4s, 2007                  460,000         440,450              --              --         250,000         239,375   
Golden Sky DBS, Inc. sr. disc.                                                                                                
notes, stepped-coupon Ser. B,                                                                                                 
zero % (13 1/2s, 3/1/04), 2007                                                                                                
(STP)                               575,000         405,375              --              --              --              --   
Golden Sky Systems company                                                                                                    
guaranty Ser. B, 12 3/8s, 2006      750,000         821,250              --              --         300,000         328,500   
Granite Broadcasting Corp. sr.                                                                                                
sub. notes 9 3/8s, 2005             225,000         182,250              --              --              --              --   
Granite Broadcasting Corp. sr.                                                                                                
sub. notes 8 7/8s, 2008                  --              --              --              --         150,000         105,000   
Knology Holdings, Inc. sr. disc.                                                                                              
notes stepped-coupon zero %                                                                                                   
(11 7/8s, 10/15/02), 2007 (STP)     655,000         343,875              --              --         260,000         136,500   
LIN Holdings Corp. sr. disc.                                                                                                  
notes stepped-coupon zero %                                                                                                   
(10s, 3/1/2003), 2008 (STP)         350,000         252,000              --              --         350,000         252,000   
LIN Television Corp. company                                                                                                  
guaranty 8 3/8s, 2008               740,000         708,550              --              --         290,000         277,675   
News America Holdings, Inc. deb.                                                                                              
7.7s, 2025                               --              --       6,585,000       6,061,032       3,590,000       3,304,344   
Onepoint Communications, Inc.                                                                                                 
company guaranty Ser. B, 14 1/2s,                                                                                             
2008                                190,000         190,950              --              --          50,000          50,250   
PHI Holdings, Inc. sr. sub.                                                                                                   
notes zero %, 2001                  606,000         570,125              --              --         788,000         741,350   
Pegasus Communications Corp. sr.                                                                                              
notes Ser. B, 9 3/4s, 2006          150,000         146,250              --              --          40,000          39,000   
Pegasus Media & Communications                                                                                                
notes Ser. B, 12 1/2s, 2005         200,000         208,000              --              --         160,000         166,400   
RCN Corp. sr. notes 10 1/8s,                                                                                                  
2010                                     --              --              --              --         170,000         121,550   
Radio One, Inc. company guaranty                                                                                              
Ser. B, 7s, 2004                    255,000         270,300              --              --         130,000         137,800   
Scandinavian Broadcasting System                                                                                              
SA cv. sub. notes 7s, 2004                                                                                                    
(Luxembourg)                             --              --         300,000         420,375         200,000         280,250   
Spanish Broadcasting System, Inc.                                                                                             
sr. sub notes 9 5/8s, 2009          360,000         359,100              --              --         190,000         189,525   
                                             --------------                  --------------                  --------------   
                                                 12,827,618                       6,554,229                      10,436,419   

Building Materials                                     0.2%                             --%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
American Architectural Products Corp.                                                                                         
company guaranty 11 3/4s, 2007                                                                                                
(In default) (NON)                  125,000          22,500              --              --          25,000           4,500   
American Standard, Inc. company                                                                                               
guaranty 7 5/8s, 2010               315,000         296,888              --              --         270,000         254,475   
American Standard, Inc. company                                                                                               
guaranty 7 1/8s, 2003               425,000         413,313              --              --         110,000         106,975   
Atrium Companies, Inc. company                                                                                                
guaranty Ser. B, 10 1/2s, 2009      210,000         189,000              --              --          50,000          45,000   
Building Materials Corp. company                                                                                              
guaranty 8s, 2008                   330,000         207,900       1,240,000         781,200         930,000         585,900   
Dayton Superior Corp. company                                                                                                 
guaranty 13s, 2009                  560,000         562,800              --              --         280,000         281,400   
NCI Building Systems, Inc. sr.                                                                                                
sub. notes Ser. B, 9 1/4s, 2009     380,000         358,150              --              --         100,000          94,250   
                                             --------------                  --------------                  --------------   
                                                  2,050,551                         781,200                       1,372,500   

Cable Television                                       0.4%                            0.2%                            1.0%   
---------------------------------------------------------------------------------------------------------------------------   
Adelphia Communications Corp. sr.                                                                                             
notes Ser. B, 9 7/8s, 2007          585,000         549,900              --              --         295,000         277,300   
Adelphia Communications Corp. sr.                                                                                             
notes Ser. B, 8 3/8s, 2008           60,000          52,350              --              --              --              --   
Adelphia Communications Corp. sr.                                                                                             
notes 7 7/8s, 2009                       --              --         835,000         695,138         280,000         233,100   
CSC Holdings, Inc. sr. sub. deb.                                                                                              
10 1/2s, 2016                        10,000          10,713          10,000          10,713         260,000         278,525   
CSC Holdings, Inc. sr. sub. deb.                                                                                              
9 7/8s, 2013                        375,000         384,375       1,310,000       1,342,750       1,560,000       1,599,000   
CSC Holdings, Inc. sr. notes                                                                                                  
7 7/8s, 2007                             --              --       1,285,000       1,268,475         630,000         621,898   
CSC Holdings, Inc. sr. notes                                                                                                  
7 1/4s, 2008                             --              --         310,000         292,553         110,000         103,809   
Century Communications Corp. sr.                                                                                              
notes 8 7/8s, 2007                  130,000         118,950          30,000          27,450          50,000          45,750   
Charter Communications Holdings                                                                                               
LLC sr. disc. notes, stepped-coupon                                                                                           
zero % (11 3/4s, 1/15/05), 2010                                                                                               
(STP)                                70,000          40,950              --              --          40,000          23,400   
Charter Communications Holdings                                                                                               
LLC sr. notes 8 5/8s, 2009        1,840,000       1,646,800              --              --         975,000         872,625   
Classic Cable, Inc. company                                                                                                   
guaranty 10 1/2s, 2010              210,000         178,500              --              --          60,000          51,000   
Comcast UK Cable, Ltd. deb.                                                                                                   
stepped-coupon zero % (11.2s,                                                                                                 
11/15/00), 2007 (Bermuda) (STP)     550,000         519,750              --              --       1,090,000       1,030,050   
Diamond Cable Communication Co.                                                                                               
sr. disc. notes stepped-coupon                                                                                                
zero % (10 3/4s, 2/15/02), 2007                                                                                               
(United Kingdom) (STP)            1,025,000         786,688       1,070,000         821,225       1,330,000       1,020,775   
Jones Intercable, Inc. sr.                                                                                                    
notes 8 7/8s, 2007                       --              --       1,230,000       1,274,194         340,000         352,216   
NTL Communications Corp. 144A                                                                                                 
sr. notes 11 7/8s, 2010           1,320,000       1,293,600              --              --         210,000         205,800   
NTL Communications Corp. sr.                                                                                                  
notes Ser. B, 11 1/2s, 2008         300,000         291,750              --              --              --              --   
Supercanal Holdings S.A. 144A sr.                                                                                             
notes 11 1/2s, 2005 (In default)                                                                                              
(Argentina) (NON)                   420,000         176,400              --              --         100,000          42,000   
TeleWest Communications PLC 144A                                                                                              
sr. disc. notes stepped-coupon                                                                                                
zero % (11 3/8s, 2/1/05), 2010                                                                                                
(United Kingdom) (STP)                   --              --              --              --         260,000         137,800   
TeleWest Communications PLC deb.                                                                                              
stepped-coupon zero % (11s,                                                                                                   
10/1/00), 2007 (United Kingdom)                                                                                               
(STP)                               710,000         678,050              --              --         170,000         162,350   
TeleWest Communications PLC                                                                                                   
144A sr. notes 9 7/8s, 2010                                                                                                   
(United Kingdom)                    620,000         570,400              --              --         390,000         358,800   
TeleWest Communications PLC sr.                                                                                               
disc. notes zero % (9 1/4s,                                                                                                   
4/15/04) 2009 (United Kingdom)                                                                                                
(STP)                                60,000          31,800              --              --          30,000          15,900   
United Pan-Europe NV sr. disc.                                                                                                
notes stepped-coupon Ser. B,                                                                                                  
zero % (13 3/4s, 2/01/05), 2010                                                                                               
(Netherlands) (STP)               1,250,000         575,000              --              --         490,000         225,400   
United Pan-Europe NV sr. disc.                                                                                                
notes stepped coupon zero %                                                                                                   
(12 1/2s, 8/1/04), 2009                                                                                                       
(Netherlands) (STP)                  80,000          38,400              --              --         460,000         220,800   
United Pan-Europe NV sr. notes                                                                                                
Ser. B, 10 7/8s, 2009 (Netherlands)      --              --              --              --          80,000          67,800   
Williams Communications Group,                                                                                                
Inc. 144A sr. notes 11.7s, 2008     400,000         388,000              --              --         210,000         203,700   
                                             --------------                  --------------                  --------------   
                                                  8,332,376                       5,732,498                       8,149,798   

Chemicals                                              0.3%                            0.5%                            1.4%   
---------------------------------------------------------------------------------------------------------------------------   
Arco Chemical Co. deb. 9.8s, 2020        --              --              --              --         240,000         235,200   
du Pont (E.I.) de Nemours & Co.,                                                                                              
Ltd. notes 6 7/8s, 2009                  --              --       6,715,000       6,579,961       3,475,000       3,405,118   
Geo Specialty Chemicals, Inc. sr.                                                                                             
sub. notes 10 1/8s, 2008            340,000         299,200              --              --          70,000          61,600   
Huntsman Corp. 144A sr. sub. notes                                                                                            
9 1/2s, 2007                        140,000         120,400              --              --         360,000         309,600   
Huntsman Corp. 144A sr. sub. notes                                                                                            
FRN 10.0262s, 2007                  760,000         615,600              --              --         100,000          81,000   
Huntsman ICI Chemicals, Inc.                                                                                                  
company guaranty 10 1/8s, 2009    1,490,000       1,467,650              --              --         800,000         788,000   
ISP Holdings, Inc. sr. notes                                                                                                  
Ser. B, 9 3/4s, 2002                190,000         185,725         895,000         874,863         835,000         816,213   
ISP Holdings, Inc. sr. notes                                                                                                  
Ser. B, 9s, 2003                    100,000          90,000              --              --          50,000          45,000   
Lyondell Petrochemical Co. sr.                                                                                                
sub. notes 10 7/8s, 2009                 --              --              --              --         710,000         688,700   
Lyondell Petrochemical Co. sec.                                                                                               
notes Ser. B, 9 7/8s, 2007        1,630,000       1,597,400       2,950,000       2,891,000       3,575,000       3,503,500   
Lyondell Petrochemical Co. notes                                                                                              
Ser. A, 9 5/8s, 2007                310,000         303,800       1,780,000       1,744,400         660,000         646,800   
PCI Chemicals & Pharmaceuticals                                                                                               
company guaranty 9 1/4s, 2007                                                                                                 
(India)                             100,000          49,500              --              --              --              --   
Pioneer Americas Acquisition 144A                                                                                             
sr. notes 9 1/4s, 2007              185,000         118,400              --              --          90,000          57,600   
Polymer Group, Inc. company                                                                                                   
guaranty Ser. B, 9s, 2007            70,000          56,000              --              --         120,000          96,000   
Polymer Group, Inc. company                                                                                                   
guaranty Ser. B, 8 3/4s, 2008       440,000         347,600              --              --         150,000         118,500   
Polytama International notes                                                                                                  
11 1/4s, 2007 (Indonesia)           203,146          16,516              --              --          48,368           3,932   
Royster-Clark, Inc. 1st mtge.                                                                                                 
10 1/4s, 2009                       495,000         371,250              --              --         450,000         337,500   
Sterling Chemicals Holdings sr.                                                                                               
disc. notes stepped-coupon zero %                                                                                             
(13 1/2s, 8/15/01), 2008 (STP)      370,000         148,000              --              --         100,000          40,000   
Sterling Chemicals, Inc. company                                                                                              
guaranty Ser. B, 12 3/8s, 2006      500,000         510,000              --              --         260,000         265,200   
Texas Petrochemical Corp. sr.                                                                                                 
sub. notes Ser. B, 11 1/8s, 2006    140,000         119,000              --              --          70,000          59,500   
                                             --------------                  --------------                  --------------   
                                                  6,416,041                      12,090,224                      11,558,963   

Coal                                                    --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Lodestar Holdings, Inc. company                                                                                               
guaranty 11 1/2s, 2005              710,000          99,400              --              --         190,000          26,600   

Commercial and Consumer Services                        --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Coinmach Corp. sr. notes Ser.                                                                                                 
D, 11 3/4s, 2005                    830,000         830,000              --              --         440,000         440,000   

Computers                                               --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Unisys Corp. sr. notes 7 7/8s,                                                                                                
2008                                310,000         286,750         670,000         619,750         600,000         555,000   

Conglomerates                                           --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Tyco International, Ltd. company                                                                                              
guaranty 6 3/8s, 2005                    --              --         935,000         908,268         515,000         500,276   
Tyco International, Ltd. company                                                                                              
guaranty 6 1/4s, 2003                    --              --       1,785,000       1,738,769       1,030,000       1,003,323   
                                             --------------                  --------------                  --------------   
                                                         --                       2,647,037                       1,503,599   

Construction                                            --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Morrison Knudsen Corp. 144A sr.                                                                                               
notes 11s, 2010                     720,000         738,000              --              --         375,000         384,375   
Republic Group, Inc. sr. sub.                                                                                                 
notes 9 1/2s, 2008                   55,000          54,450              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                    792,450                              --                         384,375   

Consumer                                               0.1%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Fortune Brands, Inc. 144A sr. notes                                                                                           
7 1/8s, 2004                             --              --       3,040,000       3,033,160       1,690,000       1,686,198   
Home Interiors & Gifts, Inc.                                                                                                  
company guaranty 10 1/8s, 2008      730,000         218,088              --              --         370,000         110,538   
Samsonite Corp. sr. sub. notes                                                                                                
10 3/4s, 2008                     1,090,000         861,100              --              --         220,000         173,800   
                                             --------------                  --------------                  --------------   
                                                  1,079,188                       3,033,160                       1,970,536   

Consumer Finance                                        --%                            0.9%                            1.5%   
---------------------------------------------------------------------------------------------------------------------------   
Associates First Capital Corp. sr.                                                                                            
notes 6 1/4s, 2008                       --              --       3,590,000       3,354,891       2,030,000       1,897,055   
Contifinancial Corp. sr. notes                                                                                                
8 3/8s, 2003 (In default) (NON)     505,000          70,700              --              --         135,000          18,900   
Contifinancial Corp. sr. notes                                                                                                
8 1/8s, 2008 (In default) (NON)     730,000         102,200              --              --         200,000          28,000   
Contifinancial Corp. sr. notes                                                                                                
7 1/2s, 2002 (In default) (NON)     810,000         113,400              --              --         210,000          29,400   
Finova Capital Corp. sr. notes                                                                                                
7 5/8s, 2009                             --              --       2,700,000       1,876,500       1,300,000         903,500   
Finova Capital Corp. notes 7.4s,                                                                                              
2007                                     --              --         520,000         353,600         290,000         197,200   
Finova Capital Corp. notes 7 1/4s,                                                                                            
2004                                     --              --       2,050,000       1,537,500       1,120,000         840,000   
Ford Motor Credit Corp. notes                                                                                                 
7 3/8s, 2009                             --              --       5,475,000       5,349,185       2,840,000       2,774,737   
Ford Motor Credit Corp. sr. notes                                                                                             
5.8s, 2009                               --              --       2,690,000       2,380,058       1,510,000       1,336,018   
General Motors Acceptance Corp.                                                                                               
notes 6 5/8s, 2002                       --              --       1,600,000       1,589,120         900,000         893,880   
Household Finance Corp. notes 8s,                                                                                             
2005                                     --              --       6,800,000       7,025,760       3,545,000       3,662,694   
Outsourcing Solutions, Inc. sr.                                                                                               
sub. notes Ser. B, 11s, 2006        100,000          85,000              --              --         215,000         182,750   
                                             --------------                  --------------                  --------------   
                                                    371,300                      23,466,614                      12,764,134   

Consumer Goods                                          --%                            0.2%                            0.5%   
---------------------------------------------------------------------------------------------------------------------------   
French Fragrances, Inc. company                                                                                               
guaranty Ser. D, 10 3/8s, 2007      180,000         175,500              --              --          40,000          39,000   
French Fragrances, Inc. sr. notes                                                                                             
Ser. B, 10 3/8s, 2007               115,000         114,425              --              --          30,000          29,850   
NBTY, Inc. 144A sr. sub. notes                                                                                                
8 5/8s, 2007                             --              --              --              --         530,000         453,150   
Procter & Gamble Co. unsub. 6 7/8s,                                                                                           
2009                                     --              --       6,210,000       6,158,271       3,240,000       3,213,011   
Revlon Consumer Products sr. notes                                                                                            
9s, 2006                            530,000         381,600              --              --         275,000         198,000   
                                             --------------                  --------------                  --------------   
                                                    671,525                       6,158,271                       3,933,011   

Consumer Services                                       --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Iron Mountain, Inc. sr. sub. notes                                                                                            
8 1/4s, 2011                        490,000         445,900              --              --          40,000          36,400   

Containers                                             0.3%                            0.2%                            0.5%   
---------------------------------------------------------------------------------------------------------------------------   
AEP Industries, Inc. sr. sub. notes                                                                                           
9 7/8s, 2007                        935,000         790,075              --              --         470,000         397,150   
Ball Corp. company guaranty 8 1/4s,                                                                                           
2008                                290,000         272,600       2,275,000       2,138,500         455,000         427,700   
Ball Corp. company guaranty 7 3/4s,                                                                                           
2006                                     --              --         545,000         512,300       1,877,000       1,764,380   
Consumers International sr. notes                                                                                             
10 1/4s, 2005                        15,000           6,000              --              --           5,000           2,000   
Huntsman Packaging Corp. 144A                                                                                                 
company guaranty 13s, 2010               --              --              --              --         160,000         149,859   
Owens-Illinois, Inc. sr. notes                                                                                                
8.1s, 2007                          350,000         318,458              --              --         510,000         464,039   
Owens-Illinois, Inc. sr. notes                                                                                                
7.35s, 2008                         220,000         189,493         560,000         482,345         190,000         163,653   
Owens-Illinois, Inc. sr. notes                                                                                                
7.15s, 2005                         430,000         393,076         670,000         612,467         230,000         210,250   
Radnor Holdings, Inc. sr. notes                                                                                               
10s, 2003                           185,000         164,650         365,000         324,850         170,000         151,300   
Tekni-Plex, Inc. 144A sr. sub.                                                                                                
notes 12 3/4s, 2010                 960,000         945,600              --              --         510,000         502,350   
                                             --------------                  --------------                  --------------   
                                                  3,079,952                       4,070,462                       4,232,681   

Distribution                                            --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
RAB Enterprises, Inc. company                                                                                                 
guaranty 10 1/2s, 2005              700,000         560,000              --              --         160,000         128,000   

Electric Utilities                                      --%                            0.3%                            0.8%   
---------------------------------------------------------------------------------------------------------------------------   
Arizona Public Service Co. sr.                                                                                                
notes 6 3/4s, 2006                       --              --       1,975,000       1,899,476       1,135,000       1,091,598   
CMS Energy Corp. sr. notes 7 1/2s,                                                                                            
2009                                     --              --              --              --          70,000          62,498   
CMS Energy Corp. pass-through                                                                                                 
certificates 7s, 2005               480,000         441,782         900,000         828,342         460,000         423,375   
CMS Energy Corp. sr. notes Ser.                                                                                               
B, 6 3/4s, 2004                          --              --       1,750,000       1,636,250       2,400,000       2,244,000   
Cleveland Electric Illuminating Co.                                                                                           
1st mtge. Ser. B, 9 1/2s, 2005       60,000          60,833              --              --         150,000         152,084   
Jersey Central Power & Light Co.                                                                                              
1st mtge. med. term note 6.85s,                                                                                               
2006                                     --              --         420,000         411,886         230,000         225,556   
NRG Northeast Generating Corp.                                                                                                
144A notes 8.065s, 2004                  --              --       2,440,000       2,448,833       1,310,000       1,314,742   
Northeast Utilities System notes                                                                                              
Ser. A, 8.58s, 2006                  14,940          15,197          37,349          37,993         180,553         183,668   
Northeast Utilities System                                                                                                    
notes Ser. B, 8.38s, 2005            82,133          82,356         238,933         239,581         134,400         134,764   
PP&L Capital Funding, Inc. company                                                                                            
guaranty 5.9s, 2000                      --              --         665,000         664,814         360,000         359,899   
Panda Global Energy Co. company                                                                                               
guaranty 12 1/2s, 2004 (China)       20,000           9,000              --              --           5,000           2,250   
Toledo Edison Co. med. term notes                                                                                             
9.22s, 2021                              --              --              --              --         500,000         525,165   
                                             --------------                  --------------                  --------------   
                                                    609,168                       8,167,175                       6,719,599   

Energy                                                 0.3%                            0.2%                            0.6%   
---------------------------------------------------------------------------------------------------------------------------   
AES Corp. sr. notes 9 3/8s,                                                                                                   
2010                              1,210,000       1,228,150              --              --         640,000         649,600   
Cliffs Drilling Co. company                                                                                                   
guaranty Ser. D, 10 1/4s, 2003      200,000         206,000         150,000         154,500         500,000         515,000   
Leviathan Gas Corp. company                                                                                                   
guaranty Ser. B, 10 3/8s, 2009      430,000         453,650         620,000         654,100         700,000         738,500   
Parker Drilling Corp. company                                                                                                 
guaranty Ser. D, 9 3/4s, 2006            --              --              --              --         250,000         251,875   
Petro Geo-Services ADR notes                                                                                                  
7 1/2s, 2007 (Norway)                    --              --       1,295,000       1,275,420         720,000         709,114   
Pride Petroleum Services, Inc. sr.                                                                                            
notes 9 3/8s, 2007                       --              --         810,000         830,250         690,000         707,250   
RBF Finance Co. company guaranty                                                                                              
11 3/8s, 2009                       830,000         958,650              --              --         800,000         924,000   
RBF Finance Co. company guaranty                                                                                              
11s, 2006                           420,000         480,900       1,100,000       1,259,500         670,000         767,150   
                                             --------------                  --------------                  --------------   
                                                  3,327,350                       4,173,770                       5,262,489   

Entertainment                                          0.1%                             --%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
AMC Entertainment, Inc. sr. sub.                                                                                              
notes 9 1/2s, 2009                    5,000           2,300              --              --         223,000         102,580   
Autotote Corp. 144A company                                                                                                   
guaranty 12 1/2s, 2010              650,000         659,750              --              --         340,000         345,100   
Cinemark USA, Inc. sr. sub. notes                                                                                             
8 1/2s, 2008 (Mexico)               675,000         324,000              --              --         290,000         139,200   
Premier Parks, Inc. sr. notes 9                                                                                               
3/4s, 2007                          690,000         648,600              --              --         230,000         216,200   
Premier Parks, Inc. sr. notes 9                                                                                               
1/4s, 2006                          668,000         622,075              --              --         525,000         488,906   
Silver Cinemas, Inc. sr. sub.                                                                                                 
notes 10 1/2s, 2005 (In default)                                                                                              
(NON)                               450,000          36,000              --              --         110,000           8,800   
United Artists Theatre sr. sub.                                                                                               
notes 9 3/4s, 2008 (In default)                                                                                               
(NON)                             1,650,000          28,875              --              --         435,000           7,613   
                                             --------------                  --------------                  --------------   
                                                  2,321,600                              --                       1,308,399   

Financial                                              0.2%                            1.0%                            2.1%   
---------------------------------------------------------------------------------------------------------------------------   
AMRESCO, Inc. sr. sub. notes Ser.                                                                                             
97-A, 10s, 2004                     101,000          45,450              --              --          30,000          13,500   
AMRESCO, Inc. sr. sub. notes Ser.                                                                                             
98-A, 9 7/8s, 2005                  840,000         378,000              --              --         210,000          94,500   
Aames Financial Corp. sr. notes                                                                                               
9 1/8s, 2003                         20,000          10,250              --              --         190,000          97,375   
Advanta Corp. company guaranty                                                                                                
Ser. B, 8.99s, 2026                      --              --         100,000          62,375          85,000          53,019   
Advanta Corp. med. term notes                                                                                                 
Ser. B, 7s, 2001                    352,000         335,910         706,000         673,729         340,000         324,459   
Advanta Corp. med. term notes                                                                                                 
Ser. D, 6.98s, 2002                  20,000          17,918         140,000         125,425          90,000          80,630   
Advanta Corp. med. term notes                                                                                                 
Ser. D, 6.92s, 2002                 110,000          98,493         460,000         411,879       1,030,000         922,252   
Advanta Corp. notes Ser. C,                                                                                                   
7.47s, 2001                          26,000          25,490          64,000          62,745          35,000          34,314   
Conseco Finance Trust III, Inc.                                                                                               
bonds 8.796s, 2027                       --              --              --              --         260,000         111,800   
Conseco Financial Corp. sr. sub.                                                                                              
notes 10 1/4s, 2002                      --              --       2,700,000       2,025,000       2,300,000       1,725,000   
Delta Financial Corp. sr. notes                                                                                               
9 1/2s, 2004                        767,000         345,150              --              --         192,000          86,400   
General Motors Acceptance Corp.                                                                                               
notes 5 3/4s, 2003                       --              --       3,135,000       3,025,494       1,805,000       1,741,951   
Goldman Sachs Group, Inc. (The)                                                                                               
notes Ser. B, 7.35s, 2009                --              --       6,775,000       6,700,204       3,505,000       3,466,305   
Heller Financial, Inc. notes 6s,                                                                                              
2004                                     --              --       3,760,000       3,620,090       1,960,000       1,887,068   
Imperial Credit Capital Trust I                                                                                               
144A company guaranty 10 1/4s,                                                                                                
2002                                385,000         250,250              --              --         200,000         130,000   
Imperial Credit Industries, Inc.                                                                                              
sr. notes 9 7/8s, 2007              535,000         294,250              --              --          40,000          22,000   
Money Store, Inc. notes 8.05s,                                                                                                
2002                                     --              --       1,960,000       1,986,009       1,090,000       1,104,464   
National Westminster Bank sub.                                                                                                
notes 7 3/8s, 2009 (United Kingdom)      --              --       5,235,000       5,185,634       2,715,000       2,689,398   
Nationwide Credit, Inc. sr. notes                                                                                             
Ser. A, 10 1/4s, 2008               660,000         415,800              --              --         160,000         100,800   
Ocwen Capital Trust I company                                                                                                 
guaranty 10 7/8s, 2027               70,000          35,700              --              --          15,000           7,650   
Ocwen Federal Bank FSB sub. deb.                                                                                              
12s, 2005                            15,000          13,800              --              --           5,000           4,600   
Ocwen Financial Corp. notes 11                                                                                                
7/8s, 2003                           20,000          18,050              --              --          10,000           9,025   
Resource America, Inc. 144A sr.                                                                                               
notes 12s, 2004                   1,042,000         948,220              --              --         263,000         239,330   
TIG Holdings, Inc. notes 8 1/8s,                                                                                              
2005                                     --              --       3,408,000       3,055,681       2,900,000       2,600,198   
                                             --------------                  --------------                  --------------   
                                                  3,232,731                      26,934,265                      17,546,038   

Food                                                    --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Aurora Foods, Inc. 144A ser. sub.                                                                                             
notes Ser. D, 9 7/8s, 2007          385,000         302,225              --              --              --              --   
Aurora Foods, Inc. sr. sub. notes                                                                                             
Ser. B, 9 7/8s, 2007                 80,000          62,800              --              --          20,000          15,700   
Doane Pet Care Co. sr. sub. notes                                                                                             
9 3/4s, 2007                             --              --              --              --         220,000         190,300   
Premier International Foods PLC sr.                                                                                           
notes 12s, 2009 (United Kingdom)    140,000         116,200              --              --          70,000          58,100   
Vlasic Foods Intl., Inc. sr.                                                                                                  
sub notes Ser. B, 10 1/4s, 2009          --              --              --              --         240,000         132,000   
                                             --------------                  --------------                  --------------   
                                                    481,225                              --                         396,100   

Gaming & Lottery                                       0.5%                            0.2%                            1.1%   
---------------------------------------------------------------------------------------------------------------------------   
Ameristar Casinos, Inc. company                                                                                               
guaranty Ser. B, 10 1/2s, 2004           --              --              --              --          90,000          90,225   
Fitzgeralds Gaming Corp. company                                                                                              
guaranty Ser. B, 12 1/4s, 2004                                                                                                
(In default) (NON)                  650,000         351,000              --              --         180,000          97,200   
Harrahs Entertainment, Inc.                                                                                                   
company guaranty 7 1/2s, 2009       500,000         471,140       1,250,000       1,177,850         450,000         424,026   
Hollywood Casino Corp. company                                                                                                
guaranty 11 1/4s, 2007              930,000         974,175              --              --         510,000         534,225   
Hollywood Park, Inc. sr. sub.                                                                                                 
notes Ser. B, 9 1/2s, 2007          750,000         766,875              --              --         190,000         194,275   
Hollywood Park, Inc. company                                                                                                  
guaranty Ser. B, 9 1/4s, 2007       280,000         285,600              --              --         220,000         224,400   
International Game Technology                                                                                                 
144A sr. notes 8 3/8s, 2009          50,000          49,000       1,400,000       1,372,000       1,230,000       1,205,400   
Isle of Capri Black Hawk LLC                                                                                                  
144A 1st mtge. Ser. B, 13s,                                                                                                   
2004                                110,000         119,900              --              --         400,000         436,000   
Isle of Capri Black Hawk LLC                                                                                                  
company guaranty 8 3/4s, 2009       870,000         809,100              --              --         190,000         176,700   
MGM Grand, Inc. company guaranty                                                                                              
9 3/4s, 2007                        590,000         609,175              --              --         310,000         320,075   
Mohegan Tribal Gaming, Auth. sr.                                                                                              
sub. notes 8 3/4s, 2009             590,000         585,575         850,000         843,625       1,010,000       1,002,425   
Mohegan Tribal Gaming, Auth. sr.                                                                                              
notes 8 1/8s, 2006                  190,000         185,250         460,000         448,500         270,000         263,250   
Park Place Entertainment sr. sub.                                                                                             
notes 9 3/8s, 2007                       --              --       1,620,000       1,650,375       1,380,000       1,405,875   
Park Place Entertainment sr. sub.                                                                                             
notes 8 7/8s, 2008                  480,000         475,200              --              --         180,000         178,200   
Park Place Entertainment sr. sub.                                                                                             
notes 7 7/8s, 2005                       --              --              --              --          70,000          67,200   
Riviera Black Hawk, Inc. 1st                                                                                                  
mtge. 13s, 2005                          --              --              --              --         200,000         200,000   
Trump A.C. 1st mtge. 11 1/4s,                                                                                                 
2006                              2,150,000       1,488,875              --              --       1,135,000         785,988   
Trump Castle Funding, Inc. 144A                                                                                               
sr. sub. notes 11 3/4s, 2003        810,000         676,350              --              --         290,000         242,150   
Trump Castle Funding, Inc. 144A                                                                                               
sub. notes 10 1/4s, 2003          1,120,000       1,120,000              --              --         700,000         700,000   
Venetian Casino, Inc. company                                                                                                 
guaranty 12 1/4s, 2004              270,000         278,100              --              --         320,000         329,600   
                                             --------------                  --------------                  --------------   
                                                  9,245,315                       5,492,350                       8,877,214   

Health Care                                            0.2%                            0.2%                            0.9%   
---------------------------------------------------------------------------------------------------------------------------   
ALARIS Medical Systems, Inc.                                                                                                  
company guaranty 9 3/4s, 2006       265,000         193,450              --              --              --              --   
Bio-Rad Labs Corp. sr. sub. notes                                                                                             
11 5/8s, 2007                       170,000         178,500              --              --         110,000         115,500   
Columbia/HCA Healthcare Corp.                                                                                                 
notes 8 3/4s, 2010                  280,000         283,755              --              --         180,000         182,414   
Columbia/HCA Healthcare Corp. deb.                                                                                            
8.36s, 2024                          50,000          46,750              --              --         125,000         116,875   
Columbia/HCA Healthcare Corp.                                                                                                 
med. term notes 7.69s, 2025          80,000          67,000         200,000         167,500          70,000          58,625   
Columbia/HCA Healthcare Corp.                                                                                                 
notes 7 1/4s, 2008                       --              --          35,000          32,550              --              --   
Columbia/HCA Healthcare Corp. debs.                                                                                           
7.19s, 2015                         310,000         261,950       1,665,000       1,406,925       1,800,000       1,521,000   
Columbia/HCA Healthcare Corp.                                                                                                 
notes 6.91s, 2005                 1,240,000       1,165,600              --              --         290,000         272,600   
Columbia/HCA Healthcare Corp.                                                                                                 
med. term notes 6.63s, 2045         270,000         259,122         640,000         614,214         230,000         220,733   
Conmed Corp. company guaranty                                                                                                 
9s, 2008                            410,000         344,400              --              --         205,000         172,200   
Hudson Respiratory Care, Inc.                                                                                                 
sr. sub. notes 9 1/8s, 2008         450,000         315,000              --              --         110,000          77,000   
Kinetic Concepts, Inc. company                                                                                                
guaranty Ser. B, 9 5/8s, 2007       465,000         358,050              --              --         100,000          77,000   
Lifepoint Hospital Holdings                                                                                                   
company guaranty Ser. B, 10 3/4s,                                                                                             
2009                                     --              --              --              --         260,000         273,000   
Mediq, Inc. deb. stepped-coupon                                                                                               
zero % (13s, 6/1/03), 2009 (STP)    410,000              41              --              --         100,000              10   
Mediq, Inc. company guaranty 11s,                                                                                             
2008 (In default) (NON)             510,000          15,300              --              --         130,000           3,900   
Paracelsus Healthcare sr. sub.                                                                                                
notes 10s, 2006 (In default)                                                                                                  
(NON)                               505,000         202,000              --              --         115,000          46,000   
Tenet Healthcare Corp. sr. sub.                                                                                               
notes 8 5/8s, 2007                       --              --       2,240,000       2,206,400       2,170,000       2,137,450   
Tenet Healthcare Corp. sr. notes                                                                                              
Ser. B, 8 1/8s, 2008                     --              --         810,000         772,538         950,000         906,063   
Tenet Healthcare Corp. sr. notes                                                                                              
8s, 2005                                 --              --         975,000         960,375         500,000         492,500   
Tenet Healthcare Corp. sr. notes                                                                                              
Ser. B, 7 5/8s, 2008                430,000         405,275         390,000         367,575         680,000         640,900   
Triad Hospitals Holdings company                                                                                              
guaranty Ser. B, 11s, 2009          675,000         691,875              --              --         360,000         369,000   
                                             --------------                  --------------                  --------------   
                                                  4,788,068                       6,528,077                       7,682,770   

Homebuilding                                           0.1%                            0.1%                            0.4%   
---------------------------------------------------------------------------------------------------------------------------   
D.R. Horton, Inc. company guaranty                                                                                            
10s, 2006                           120,000         121,950              --              --         290,000         294,713   
D.R. Horton, Inc. company guaranty                                                                                            
8 3/8s, 2004                             --              --         760,000         735,300         610,000         590,175   
D.R. Horton, Inc. company guaranty                                                                                            
8s, 2009                            190,000         177,413         810,000         756,338         480,000         448,200   
Del Webb Corp. sr. sub. deb.                                                                                                  
10 1/4s, 2010                            --              --              --              --          50,000          48,250   
Del Webb Corp. sr. sub. deb. 9 3/8s,                                                                                          
2009                                 60,000          55,200              --              --         110,000         101,200   
K. Hovnanian Enterprises, Inc.                                                                                                
144A company guaranty 10 1/2s,                                                                                                
2007                                480,000         469,800              --              --         250,000         244,688   
Lennar Corp. company guaranty                                                                                                 
Ser. B, 9.95s, 2010                      --              --         530,000         545,900         510,000         525,300   
Lennar Corp. sr. notes 7 5/8s,                                                                                                
2009                                370,000         340,400              --              --          90,000          82,800   
Ryland Group, Inc. sr. notes                                                                                                  
9 3/4s, 2010                        430,000         435,375              --              --         230,000         232,875   
Standard Pacific Corp. sr. notes                                                                                              
9 1/2s, 2010                        400,000         401,000              --              --         210,000         210,525   
Toll Corp. company guaranty 8 1/8s,                                                                                           
2009                                170,000         161,075         390,000         369,525         200,000         189,500   
                                             --------------                  --------------                  --------------   
                                                  2,162,213                       2,407,063                       2,968,226   

Household Furniture and Appliances                     0.1%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Albecca, Inc. company guaranty                                                                                                
10 3/4s, 2008                       450,000         406,125              --              --         110,000          99,275   
Sealy Mattress Co. sr. sub.                                                                                                   
notes Ser. B, 9 7/8s, 2007          775,000         749,813              --              --         365,000         353,138   
                                             --------------                  --------------                  --------------   
                                                  1,155,938                              --                         452,413   

Industrial                                              --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Ford Motor Co. bonds 6 5/8s, 2028        --              --       3,440,000       2,892,524       1,810,000       1,521,939   

Lodging and Tourism                                    0.1%                            0.2%                            0.7%   
---------------------------------------------------------------------------------------------------------------------------   
Epic Resorts LLC company guaranty                                                                                             
Ser. B, 13s, 2005                   350,000         105,000              --              --          80,000          24,000   
HMH Properties, Inc. sr. notes                                                                                                
Ser. C, 8.45s, 2008                      --              --              --              --          10,000           9,550   
HMH Properties, Inc. company                                                                                                  
guaranty Ser. B, 7 7/8s, 2008     1,860,000       1,715,850       3,880,000       3,579,300       4,195,000       3,869,888   
Host Marriott L.P. sr. notes                                                                                                  
Ser. E, 8 3/8s, 2006                100,000          96,250         220,000         211,750         100,000          96,250   
ITT Corp. notes 6 3/4s, 2005        530,000         494,718       1,665,000       1,554,161       1,205,000       1,124,783   
Starwood Hotels & Resorts notes                                                                                               
6 3/4s, 2003                             --              --         485,000         466,037         505,000         485,255   
                                             --------------                  --------------                  --------------   
                                                  2,411,818                       5,811,248                       5,609,726   

Manufacturing                                          0.1%                             --%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Blount, Inc. company guaranty                                                                                                 
13s, 2009                         1,000,000       1,027,500              --              --         525,000         539,438   
Continental Global Group sr.                                                                                                  
notes Ser. B, 11s, 2007             235,000          77,550              --              --          60,000          19,800   
Day International Group, Inc.                                                                                                 
company guaranty 9 1/2s, 2008       600,000         513,000              --              --         140,000         119,700   
Motors and Gears, Inc. sr. notes                                                                                              
Ser. D, 10 3/4s, 2006               815,000         798,700              --              --         430,000         421,400   
Roller Bearing Co. company                                                                                                    
guaranty Ser. B, 9 5/8s, 2007            --              --              --              --         450,000         414,000   
                                             --------------                  --------------                  --------------   
                                                  2,416,750                              --                       1,514,338   

Media                                                   --%                            0.2%                            0.3%   
---------------------------------------------------------------------------------------------------------------------------   
TCI Communications, Inc. sr. notes                                                                                            
8.65s, 2004                              --              --       4,070,000       4,273,012       2,095,000       2,199,499   

Medical Services                                        --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Extendicare Health Services, Inc.                                                                                             
company guaranty 9.35s, 2007        855,000         495,900              --              --         220,000         127,600   
Integrated Health Services, Inc.                                                                                              
sr. sub. notes Ser. A, 9 1/2s,                                                                                                
2007 (In default) (NON)             810,000           8,100              --              --         220,000           2,200   
Integrated Health Services, Inc.                                                                                              
sr. sub. notes Ser. A, 9 1/4s,                                                                                                
2008 (In default) (NON)             250,000           2,500              --              --          60,000             600   
Mariner Post-Acute Network, Inc.                                                                                              
sr. sub. notes stepped-coupon                                                                                                 
Ser. B, zero % (10 1/2s, 11/1/02),                                                                                            
2007 (In default) (STP) (NON)       230,000           1,725              --              --         100,000             750   
Mariner Post-Acute Network, Inc.                                                                                              
sr. sub. notes Ser. B, 9 1/2s,                                                                                                
2007 (In default) (NON)           1,160,000           8,700              --              --         170,000           1,275   
Multicare Cos., Inc. sr. sub.                                                                                                 
notes 9s, 2007 (In default)                                                                                                   
(NON)                             1,410,000          77,550              --              --         330,000          18,150   
Sun Healthcare Group, Inc. sr.                                                                                                
sub. notes Ser. B, 9 1/2s, 2007                                                                                               
(In default) (NON)                  250,000           5,000              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                    599,475                              --                         150,575   

Medical Technology                                      --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Hanger Orthopedic Group, Inc. sr.                                                                                             
sub. notes 11 1/4s, 2009            260,000         232,700              --              --         140,000         125,300   

Metals                                                 0.2%                            0.3%                            0.9%   
---------------------------------------------------------------------------------------------------------------------------   
AK Steel Corp. sr. notes 9 1/8s,                                                                                              
2006                                     --              --         510,000         492,150         685,000         661,025   
AK Steel Corp. company guaranty                                                                                               
7 7/8s, 2009                        690,000         617,550       3,080,000       2,756,600       2,420,000       2,165,900   
Alcoa, Inc. notes 7 3/8s, 2010           --              --       3,200,000       3,226,912       1,655,000       1,668,919   
Anker Coal Group, Inc. company                                                                                                
guaranty Ser. B, 14 1/4s, 2007                                                                                                
(PIK)                             1,478,325         665,246              --              --         342,800         154,260   
Kaiser Aluminum & Chemical Corp.                                                                                              
sr. sub. notes 12 3/4s, 2003      1,125,000       1,001,250              --              --         275,000         244,750   
LTV Corp. company guaranty 11                                                                                                 
3/4s, 2009                          980,000         509,600       1,490,000         774,800       1,790,000         930,800   
National Steel Corp. 1st mtge.                                                                                                
Ser. D, 9 7/8s, 2009                890,000         534,000       1,410,000         846,000       1,690,000       1,014,000   
Oregon Steel Mills 1st mtge.                                                                                                  
11s, 2003                                --              --              --              --         110,000          88,000   
WCI Steel, Inc. sr. notes Ser.                                                                                                
B, 10s, 2004                        600,000         540,000              --              --         400,000         360,000   
WHX Corp. sr. notes 10 1/2s,                                                                                                  
2005                                470,000         260,850              --              --         160,000          88,800   
Wheeling-Pittsburgh Steel Corp.                                                                                               
sr. notes 9 1/4s, 2007                   --              --              --              --         250,000          87,500   
                                             --------------                  --------------                  --------------   
                                                  4,128,496                       8,096,462                       7,463,954   

Oil and Gas                                            0.3%                            0.8%                            1.9%   
---------------------------------------------------------------------------------------------------------------------------   
Belco Oil & Gas Corp. company                                                                                                 
guaranty Ser. B, 10 1/2s, 2006    1,325,000       1,328,313              --              --         370,000         370,925   
Belco Oil & Gas Corp. sr. sub.                                                                                                
notes Ser. B, 8 7/8s, 2007          900,000         850,500              --              --         220,000         207,900   
CMS Panhandle Holding Corp.                                                                                                   
sr. notes 6 1/8s, 2004                   --              --       2,325,000       2,215,562       1,320,000       1,257,868   
Columbia Gas System, Inc. notes                                                                                               
Ser. E, 7.32s, 2010                      --              --         670,000         628,004         380,000         356,182   
Columbia Gas System, Inc. notes                                                                                               
Ser. B, 6.61s, 2002                      --              --         530,000         519,533         210,000         205,853   
Conoco, Inc. sr. notes 5.9s, 2004        --              --       1,200,000       1,163,868         700,000         678,923   
Giant Industries Corp. company                                                                                                
guaranty 9s, 2007                    40,000          36,900              --              --         140,000         129,150   
Gulf Canada Resources, Ltd.                                                                                                   
sr. sub. notes 9 5/8s, 2005                                                                                                   
(Canada)                            755,000         774,819       1,215,000       1,246,894         500,000         513,125   
HS Resources, Inc. company                                                                                                    
guaranty 9 1/4s, 2006                70,000          70,525              --              --          90,000          90,675   
HS Resources, Inc. sr. sub.                                                                                                   
notes Ser. B, 9 1/4s, 2006          260,000         260,000              --              --         270,000         270,000   
K N Energy, Inc. sr. notes 6.45s,                                                                                             
2003                                     --              --       3,770,000       3,701,989       2,110,000       2,071,936   
Nuevo Energy Co. sr. sub. notes                                                                                               
Ser. B, 9 1/2s, 2008                     --              --              --              --          80,000          80,200   
Nuevo Energy Co. 144A sr. sub.                                                                                                
notes 9 3/8s, 2010                  690,000         686,550              --              --         280,000         278,600   
Ocean Energy, Inc. company                                                                                                    
guaranty Ser. B, 8 7/8s, 2007       170,000         171,700         370,000         373,700         630,000         636,300   
Ocean Energy, Inc. company                                                                                                    
guaranty Ser. B, 8 3/8s, 2008       140,000         139,300         350,000         348,250         580,000         577,100   
Phillips Petroleum Co. notes                                                                                                  
8 1/2s, 2005                             --              --       5,015,000       5,301,156       2,590,000       2,737,785   
Pioneer Natural Resources Co.                                                                                                 
company guaranty 9 5/8s, 2010       230,000         243,800         530,000         561,800         540,000         572,400   
Port Arthur Finance Corp.                                                                                                     
company guaranty 12 1/2s, 2009           --              --       1,350,000       1,350,000       1,300,000       1,300,000   
Seven Seas Petroleum sr. notes                                                                                                
Ser. B, 12 1/2s, 2005                    --              --              --              --          60,000          14,400   
Snyder Oil Corp. sr. sub. notes                                                                                               
8 3/4s, 2007                         35,000          35,817          90,000          92,101          30,000          30,700   
Stone Energy Corp. company                                                                                                    
guaranty 8 3/4s, 2007               130,000         124,150              --              --         380,000         362,900   
Triton Energy, Ltd. 144A sr.                                                                                                  
notes 8 7/8s, 2007                                                                                                            
(Cayman Islands)                    530,000         530,000              --              --         280,000         280,000   
Union Pacific Resources Group,                                                                                                
Inc. notes 7.3s, 2009                    --              --       4,425,000       4,374,998       2,295,000       2,269,067   
Vintage Petroleum sr. sub.                                                                                                    
notes 9 3/4s, 2009                  840,000         877,800              --              --         430,000         449,350   
                                             --------------                  --------------                  --------------   
                                                  6,130,174                      21,877,855                      15,741,339   

Paper and Forest Products                              0.4%                            0.4%                            1.1%   
---------------------------------------------------------------------------------------------------------------------------   
Boise Cascade Co. med. term notes                                                                                             
Ser. A, 7.43s, 2005                  20,000          19,424         660,000         640,985          10,000           9,712   
Doman Industries, Ltd. company                                                                                                
guaranty 12s, 2004 (Canada)         190,000         192,850              --              --         100,000         101,500   
Doman Industries, Ltd. 144A sr.                                                                                               
notes 8 3/4s, 2004                  580,000         417,600              --              --         305,000         219,600   
Gaylord Container Corp. sr. notes                                                                                             
Ser. B, 9 3/8s, 2007                340,000         227,800              --              --         130,000          87,100   
Georgia Pacific Corp. bonds                                                                                                   
7 3/4s, 2029                             --              --       1,570,000       1,431,212         880,000         802,208   
International Paper Co. 144A                                                                                                  
notes 8 1/8s, 2005                       --              --       5,745,000       5,934,125       2,940,000       3,036,785   
Norampac, Inc. sr. notes 9 1/2s,                                                                                              
2008 (Canada)                            --              --       1,350,000       1,356,750       1,150,000       1,155,750   
Pacifica Papers, Inc. sr. notes                                                                                               
10s, 2009 (Canada)                  950,000         954,750              --              --         330,000         331,650   
Packaging Corp. company guaranty                                                                                              
9 5/8s, 2009                        330,000         333,300              --              --         170,000         171,700   
Repap New Brunswick sr. notes                                                                                                 
10 5/8s, 2005 (Canada)            1,415,000       1,457,450              --              --         730,000         751,900   
Riverwood International Corp.                                                                                                 
company guaranty 10 7/8s, 2008    1,775,000       1,650,750              --              --         455,000         423,150   
Riverwood International Corp.                                                                                                 
company guaranty 10 1/4s, 2006      520,000         514,800              --              --         555,000         549,450   
Stone Container Corp. 1st mtge.                                                                                               
10 3/4s, 2002                       500,000         506,250              --              --              --              --   
Stone Container Corp. sr. notes                                                                                               
12.58s, 2016                        350,000         361,375              --              --          40,000          41,300   
Tembec Industries, Inc. company                                                                                               
guaranty 8 5/8s, 2009 (Canada)      700,000         682,500       1,080,000       1,053,000       1,330,000       1,296,750   
                                             --------------                  --------------                  --------------   
                                                  7,318,849                      10,416,072                       8,978,555   

Pharmaceuticals                                         --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
ICN Pharmaceuticals, Inc. 144A sr.                                                                                            
notes 9 1/4s, 2005                  265,000         263,013         150,000         148,875         230,000         228,275   
ICN Pharmaceuticals, Inc. 144A sr.                                                                                            
notes 8 3/4s, 2008                       --              --         820,000         811,800         670,000         663,300   
                                             --------------                  --------------                  --------------   
                                                    263,013                         960,675                         891,575   

Power Producers                                        0.2%                            0.2%                            0.7%   
---------------------------------------------------------------------------------------------------------------------------   
Calpine Corp. sr. notes 10 1/2s,                                                                                              
2006                                150,000         154,500       1,000,000       1,030,000         250,000         257,500   
Calpine Corp. sr. notes 8 3/4s,                                                                                               
2007                                240,000         241,318              --              --          80,000          80,439   
Calpine Corp. sr. notes 7 7/8s,                                                                                               
2008                                 50,000          47,954         380,000         364,454         510,000         489,135   
Calpine Corp. sr. notes 7 3/4s,                                                                                               
2009                                280,000         266,350       2,000,000       1,902,500       2,435,000       2,316,294   
Midland Funding II Corp. deb.                                                                                                 
Ser. B, 13 1/4s, 2006                53,000          59,633         395,000         444,434          80,000          90,012   
Midland Funding II Corp. deb.                                                                                                 
Ser. A, 11 3/4s, 2005             2,710,000       2,930,188       1,400,000       1,513,750       2,050,000       2,216,563   
York Power Funding 144A                                                                                                       
company guaranty 12s, 2007                                                                                                    
(Cayman Islands)                    277,000         279,770         674,000         680,740         248,000         250,480   
                                             --------------                  --------------                  --------------   
                                                  3,979,713                       5,935,878                       5,700,423   

Publishing                                             0.1%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Affinity Group Holdings sr.                                                                                                   
notes 11s, 2007                   1,165,000         966,950              --              --         600,000         498,000   
Garden State Newspapers, Inc.                                                                                                 
sr. sub. notes Ser. B, 8 3/4s,                                                                                                
2009                              1,175,000       1,098,625              --              --         275,000         257,125   
Garden State Newspapers, Inc.                                                                                                 
sr. sub. notes 8 5/8s, 2011         280,000         257,600              --              --          90,000          82,800   
                                             --------------                  --------------                  --------------   
                                                  2,323,175                              --                         837,925   

Railroads                                               --%                            0.2%                            0.4%   
---------------------------------------------------------------------------------------------------------------------------   
Kansas City Southern Railway                                                                                                  
144A sr. notes 9 1/2s, 2008         530,000         537,950              --              --         280,000         284,200   
Union Pacific Corp. notes 7 3/8s,                                                                                             
2009                                     --              --       6,700,000       6,581,343       3,475,000       3,413,458   
                                             --------------                  --------------                  --------------   
                                                    537,950                       6,581,343                       3,697,658   

Regional Bells                                          --%                            0.1%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
GTE Corp. deb. 6.94s, 2028               --              --       1,750,000       1,586,463         980,000         888,419   

Restaurants                                            0.1%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
FRD Acquisition Co. sr. notes                                                                                                 
Ser. B, 12 1/2s, 2004               275,000         127,875              --              --          75,000          34,875   
Felcor Lodging 144A sr. notes                                                                                                 
9 1/2s, 2008                        390,000         390,975              --              --         210,000         210,525   
Sbarro, Inc. company guaranty                                                                                                 
11s, 2009                           330,000         339,900              --              --         170,000         175,100   
Tricon Global Restaurants,                                                                                                    
Inc. sr. notes 7.65s, 2008          300,000         280,146              --              --         160,000         149,411   
                                             --------------                  --------------                  --------------   
                                                  1,138,896                              --                         569,911   

Retail                                                 0.2%                            0.2%                            0.6%   
---------------------------------------------------------------------------------------------------------------------------   
Amazon.com, Inc. sr. disc. notes                                                                                              
stepped-coupon zero % (10s, 5/1/03),                                                                                          
2008 (STP)                        1,000,000         530,000              --              --         500,000         265,000   
Federated Department Stores,                                                                                                  
Inc. sr. notes 8 1/2s, 2003              --              --         690,000         704,104         390,000         397,972   
Federated Department Stores, Inc.                                                                                             
deb. 7.45s, 2017                         --              --       1,130,000         982,467         585,000         508,622   
Iron Age Holdings Corp. sr. disc.                                                                                             
notes stepped-coupon zero %                                                                                                   
(12 1/8s, 5/1/03), 2009 (STP)            --              --         340,000          51,000              --              --   
Iron Age Corp. company guaranty                                                                                               
9 7/8s, 2008                        815,000         570,500              --              --         190,000         133,000   
K mart Corp. med. term notes                                                                                                  
8.85s, 2011                         140,000         118,607         350,000         296,517         120,000         101,663   
K mart Corp. notes 8 3/8s,                                                                                                    
2004                                     --              --       2,990,000       2,569,337       2,780,000       2,388,882   
K mart Corp. med. term notes 8s,                                                                                              
2001                                 10,000           9,771         310,000         302,913              --              --   
K mart Corp. deb. 7 3/4s, 2012       10,000           8,597           5,000           4,298          10,000           8,597   
Mothers Work, Inc. sr. notes                                                                                                  
12 5/8s, 2005                       560,000         515,200              --              --         300,000         276,000   
Saks, Inc. company guaranty                                                                                                   
8 1/4s, 2008                      1,860,000       1,116,000              --              --         980,000         588,000   
Southland Corp. sr. sub. deb.                                                                                                 
5s, 2003                            135,000         117,052         350,000         303,468         165,000         143,063   
                                             --------------                  --------------                  --------------   
                                                  2,985,727                       5,214,104                       4,810,799   

Shipping                                                --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Eletson Holdings, Inc. 1st pfd.                                                                                               
mtge. notes 9 1/4s, 2003 (Greece)        --              --         585,000         552,825         480,000         453,600   
International Shipholding Corp.                                                                                               
sr. notes 7 3/4s, 2007               40,000          34,800          90,000          78,300          30,000          26,100   
Kitty Hawk, Inc. company guaranty                                                                                             
9.95s, 2004 (In default) (NON)           --              --              --              --          70,000          39,900   
Navistar International Corp. sr.                                                                                              
notes Ser. B, 8s, 2008              190,000         174,800         210,000         193,200         430,000         395,600   
                                             --------------                  --------------                  --------------   
                                                    209,600                         824,325                         915,200   

Software                                                --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Telehub Communications Corp.                                                                                                  
company guaranty stepped-coupon                                                                                               
zero % (13 7/8s, 7/31/02), 2005                                                                                               
(STP)                               290,000          52,200              --              --          80,000          14,400   

Specialty Printing                                      --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Perry-Judd company guaranty                                                                                                   
10 5/8s, 2007                       615,000         547,350              --              --         130,000         115,700   
Von Hoffman Press, Inc. 144A                                                                                                  
sr. sub. notes 13 1/2s, 2009        113,608         102,247              --              --          27,014          24,313   
Von Hoffman Press, Inc. 144A                                                                                                  
sr. sub. notes 10 3/8s, 2007        125,000         115,000              --              --          30,000          27,600   
                                             --------------                  --------------                  --------------   
                                                    764,597                              --                         167,613   

Technology                                             0.2%                            0.3%                            0.7%   
---------------------------------------------------------------------------------------------------------------------------   
Amkor Technologies, Inc., structured                                                                                          
note (issued by Steers, Credit                                                                                                
Linked Trust 2000) 12.58s, 2005     270,000         270,675              --              --         140,000         140,350   
Amkor Technologies, Inc. sr.                                                                                                  
notes 9 1/4s, 2006                       --              --       1,080,000       1,069,200       1,050,000       1,039,500   
Celestica International, Ltd.                                                                                                 
144A sr. sub. notes 10 1/2s,                                                                                                  
2006 (Canada)                       375,000         386,250              --              --         250,000         257,500   
Fairchild Semiconductor Corp.                                                                                                 
company guaranty 10 3/8s, 2007       80,000          80,800              --              --         270,000         272,700   
Fairchild Semiconductor Corp. sr.                                                                                             
sub. notes 10 1/8s, 2007            905,000         905,000              --              --         250,000         250,000   
Flextronics International, Ltd.                                                                                               
sr. sub. notes Ser. B, 8 3/4s,                                                                                                
2007                              1,490,000       1,460,200              --              --         395,000         387,100   
IBM Corp. deb. 6 1/2s, 2028              --              --       6,695,000       5,918,179       3,510,000       3,102,735   
Telecommunications Techniques, Inc.                                                                                           
company guaranty 9 3/4s, 2008       700,000         658,000              --              --          60,000          56,400   
U.S. Can Corp. 144A sr. sub.                                                                                                  
notes 12 3/8s, 2010                 260,000         262,600              --              --         140,000         141,400   
Viasystems, Inc. sr. notes Ser.                                                                                               
B, 9 3/4s, 2007                     700,000         637,000              --              --         225,000         204,750   
Viasystems, Inc. sr. sub notes                                                                                                
9 3/4s, 2007                        210,000         197,400              --              --         330,000         310,200   
                                             --------------                  --------------                  --------------   
                                                  4,857,925                       6,987,379                       6,162,635   

Technology Services                                    0.2%                             --%                            0.3%   
---------------------------------------------------------------------------------------------------------------------------   
Covad Communications Group, Inc.                                                                                              
sr. notes 12 1/2s, 2009             670,000         505,850              --              --         140,000         105,700   
Equinix, Inc. sr. notes 13s, 2007        --              --              --              --         540,000         432,000   
Exodus Communications, Inc. 144A sr.                                                                                          
notes 11 5/8s, 2010               1,160,000       1,165,800              --              --         540,000         542,700   
Exodus Communications, Inc. sr.                                                                                               
notes 10 3/4s, 2009                 200,000         193,500              --              --         160,000         154,800   
Globix Corp. sr. notes 12 1/2s,                                                                                               
2010                                255,000         183,600              --              --         130,000          93,600   
Iron Mountain, Inc. company                                                                                                   
guaranty 8 3/4s, 2009             1,165,000       1,130,050              --              --         525,000         509,250   
PSINet, Inc. sr. notes 11s, 2009    800,000         520,000              --              --         310,000         201,500   
Pierce Leahy Corp. sr. sub.                                                                                                   
notes 11 1/8s, 2006                      --              --              --              --         100,000         103,500   
Rhythms Netconnections sr. notes                                                                                              
Ser. B, 14s, 2010                        --              --              --              --         160,000         105,600   
                                             --------------                  --------------                  --------------   
                                                  3,698,800                              --                       2,248,650   

Telecommunications                                     1.0%                            0.9%                            3.2%   
---------------------------------------------------------------------------------------------------------------------------   
360Networks, Inc. sr. notes 13s,                                                                                              
2008                                510,000         474,300              --              --         270,000         251,100   
AirTouch Communications, Inc.                                                                                                 
notes 7s, 2003                           --              --         910,000         908,544         560,000         559,104   
American Mobile Satellite Corp.                                                                                               
company guaranty 12 1/4s, 2008           --              --              --              --          20,000          14,900   
Arch Communications, Inc. sr.                                                                                                 
notes 13 3/4s, 2008                  80,000          62,800              --              --          40,000          31,400   
Call-Net Enterprises, Inc. sr.                                                                                                
notes 8s, 2008 (Canada)             410,000         164,000              --              --         110,000          44,000   
Carrier1 Intl. S.A. sr. notes                                                                                                 
Ser. B, 13 1/4s, 2009                                                                                                         
(Luxembourg)                      1,050,000         924,000              --              --         470,000         413,600   
CellNet Data Systems, Inc. sr.                                                                                                
disc. notes stepped-coupon zero %                                                                                             
(14s, 10/1/02), 2007 (In default)                                                                                             
(STP) (NON)                       1,420,000          99,400              --              --         375,000          26,250   
Clearnet Communications, Inc. sr.                                                                                             
disc. notes stepped-coupon                                                                                                    
zero % (14 3/4s, 12/15/00), 2005                                                                                              
(STP)                                60,000          63,000              --              --          30,000          31,500   
Crown Castle Intl., Corp. sr.                                                                                                 
notes 10 3/4s, 2011                 510,000         515,100              --              --         260,000         262,600   
Dobson Communications Corp. sr.                                                                                               
notes 10 7/8s, 2010                 420,000         409,500              --              --         220,000         214,500   
Dobson/Sygnet Communications, Inc.                                                                                            
sr. notes 12 1/4s, 2008             300,000         301,500              --              --         540,000         542,700   
Esprit Teleom Group PLC sr.                                                                                                   
notes 11 1/2s, 2007                                                                                                           
(United Kingdom)                    600,000         280,500              --              --         160,000          74,800   
Exodus Communications, Inc. sr.                                                                                               
notes 11 1/4s, 2008                 180,000         177,300              --              --         120,000         118,200   
Flag Ltd. 144A sr. notes 8 1/4s,                                                                                              
2008 (Bermuda)                      640,000         563,200       1,945,000       1,711,600       1,740,000       1,531,200   
Flextronics International Ltd.                                                                                                
144A sr. sub. notes 9 7/8s, 2010         --              --              --              --         340,000         351,900   
Global Crossing Holdings, Ltd.                                                                                                
company guaranty 9 5/8s, 2008                                                                                                 
(Bermuda)                           600,000         598,500       1,530,000       1,526,175       1,300,000       1,296,750   
Global Crossing Holdings, Ltd.                                                                                                
144A sr. notes 9 1/2s, 2009                                                                                                   
(Bermuda)                           300,000         298,500       1,410,000       1,402,950       1,240,000       1,233,800   
Global Crossing Holdings, Ltd.                                                                                                
company guaranty 9 1/8s, 2006                                                                                                 
(Bermuda)                         1,450,000       1,431,875              --              --         710,000         701,125   
Koninklijke KPN NV 144A sr.                                                                                                   
unsub. notes 8 3/8s, 2030                                                                                                     
(Netherlands)                            --              --       4,160,000       4,171,398       2,230,000       2,236,110   
Level 3 Communications, Inc.                                                                                                  
sr. notes 11s, 2008                 180,000         174,600              --              --         590,000         572,300   
Level 3 Communications, Inc.                                                                                                  
sr. notes 9 1/8s, 2008              995,000         858,188              --              --              --              --   
Loral Space & Communication, Ltd.                                                                                             
sr. notes 9 1/2s, 2006                   --              --              --              --         130,000          94,250   
MCI WorldCom, Inc. sr. notes                                                                                                  
6 1/8s, 2001                             --              --         540,000         536,020         290,000         287,863   
Metrocall, Inc. sr. sub. notes                                                                                                
11s, 2008                           150,000         100,500              --              --          80,000          53,600   
Metrocall, Inc. sr. sub. notes                                                                                                
10 3/8s, 2007                       210,000         130,200              --              --         120,000          74,400   
Metrocall, Inc. sr. sub. notes                                                                                                
9 3/4s, 2007                         70,000          46,375              --              --          30,000          19,875   
Metromedia Fiber Network, Inc.                                                                                                
sr. notes 10s, 2009                      --              --              --              --         240,000         224,400   
Metromedia Fiber Network, Inc.                                                                                                
sr. notes Ser. B, 10s, 2008       1,730,000       1,617,550         700,000         654,500       1,190,000       1,112,650   
Millicom International                                                                                                        
Cellular S.A. sr. disc. notes                                                                                                 
stepped-coupon zero % (13 1/2s,                                                                                               
6/1/01), 2006 (Luxembourg)                                                                                                    
(STP)                               813,000         699,180              --              --         434,000         373,240   
Nextel Communications, Inc.                                                                                                   
sr. notes 12s, 2008                 950,000       1,016,500              --              --         650,000         695,500   
Nextel Communications, Inc.                                                                                                   
sr. notes 9 3/8s, 2009            1,640,000       1,607,200       2,200,000       2,156,000       2,720,000       2,665,600   
Nextel International, Inc.                                                                                                    
144A sr. notes 12 3/4s, 2010      1,400,000       1,386,000              --              --         910,000         900,900   
Nextel Partners, Inc. sr. notes                                                                                               
11s, 2010                            50,000          50,250              --              --         270,000         271,350   
NorthEast Optic Network, Inc.                                                                                                 
sr. notes 12 3/4s, 2008             450,000         387,000              --              --         240,000         206,400   
NorthPoint Communications                                                                                                     
Group, Inc. sr. notes 12 7/8s,                                                                                                
2010                                370,000         370,000              --              --         200,000         200,000   
Orbital Imaging Corp. sr. notes                                                                                               
Ser. B, 11 5/8s, 2005               415,000         153,550              --              --         100,000          37,000   
Pinnacle Holdings, Inc. sr.                                                                                                   
disc. notes stepped-coupon                                                                                                    
zero % (10s, 3/15/03), 2008                                                                                                   
(STP)                                60,000          43,200              --              --         130,000          93,600   
Price Communications Wireless,                                                                                                
Inc. 144A sr. notes 9 1/8s, 2006    445,000         445,000       2,820,000       2,820,000       2,590,000       2,590,000   
Primus Telecommunications Group,                                                                                              
Inc. sr. notes 12 3/4s, 2009        265,000         156,350              --              --         205,000         120,950   
Primus Telecommunications Group,                                                                                              
Inc. sr. notes Ser. B, 9 7/8s,                                                                                                
2008                                310,000         173,600              --              --          80,000          44,800   
RSL Communications, Ltd. 144A                                                                                                 
12 7/8s, 2010                        60,000          10,800              --              --         420,000          75,600   
RSL Communications, Ltd. company                                                                                              
guaranty 12 1/4s, 2006              490,000         147,000              --              --         123,000          36,900   
RSL Communications, Ltd. 144A                                                                                                 
10 1/2s, 2008                       360,000          91,800              --              --          90,000          22,950   
RSL Communications, Ltd. company                                                                                              
guaranty 9 1/8s, 2008               600,000         150,000              --              --         165,000          41,250   
Rogers Cantel, Inc. sr. sub.                                                                                                  
notes 8.8s, 2007 (Canada)           625,000         618,750         950,000         940,500         695,000         688,050   
Spectrasite Holdings, Inc.                                                                                                    
sr. disc. notes stepped-coupon                                                                                                
Ser. B, zero % (12 7/8s, 3/15/05),                                                                                            
2010 (STP)                          540,000         275,400              --              --         280,000         142,800   
Spectrasite Holdings, Inc.                                                                                                    
sr. disc. notes stepped-coupon                                                                                                
zero % (11 1/4s, 4/15/04), 2009                                                                                               
(STP)                                20,000          10,900              --              --          10,000           5,450   
Sprint Capital Corp. company                                                                                                  
guaranty 6.9s, 2019                      --              --       1,485,000       1,313,007         705,000         623,347   
Sprint Capital Corp. company                                                                                                  
guaranty 6 7/8s, 2028                    --              --          90,000          77,689              --              --   
Sprint Capital Corp. company                                                                                                  
guaranty 6 1/8s, 2008                    --              --       2,330,000       2,104,689       1,310,000       1,183,323   
Sprint Capital Corp. company                                                                                                  
guaranty 5.7s, 2003                      --              --          30,000          28,691              --              --   
Startec Global Communications                                                                                                 
Corp. sr. notes 12s, 2008           390,000         312,000              --              --          90,000          72,000   
Viatel, Inc. sr. disc. notes                                                                                                  
stepped-coupon zero % (12 1/2s,                                                                                               
4/15/03), 2008 (STP)                920,000         331,200              --              --       1,110,000         399,600   
Viatel, Inc. sr. notes 11 1/2s,                                                                                               
2009                                753,000         376,500              --              --         178,000          89,000   
Viatel, Inc. sr. notes 11 1/4s,                                                                                               
2008                                230,000         117,300              --              --              --              --   
Williams Communications                                                                                                       
Group, Inc. sr. notes 10 7/8s,                                                                                                
2009                                310,000         282,875       3,210,000       2,929,125       2,675,000       2,440,938   
World Access, Inc. sr. notes                                                                                                  
Ser. B, 13 1/4s, 2008               560,000         436,800              --              --         320,000         249,600   
                                             --------------                  --------------                  --------------   
                                                 18,940,043                      23,280,888                      26,645,025   

Telephone                                              0.6%                            0.1%                            1.1%   
---------------------------------------------------------------------------------------------------------------------------   
Airgate PCS, Inc. sr. sub. notes                                                                                              
stepped-coupon zero % (13 1/2s,                                                                                               
10/1/04), 2009 (STP)                570,000         342,000              --              --              --              --   
Alamosa PCS Holdings, Inc.                                                                                                    
company guaranty stepped-coupon                                                                                               
zero % (12 7/8s, 2/15/05), 2010                                                                                               
(STP)                                    --              --              --              --         550,000         291,500   
Alaska Communications Systems                                                                                                 
Corp. company guaranty 9 3/8s,                                                                                                
2009                                     --              --              --              --         300,000         276,000   
Allegiance Telecom, Inc. sr.                                                                                                  
disc. notes stepped-coupon                                                                                                    
Ser. B, zero % (11 3/4s,                                                                                                      
2/15/03), 2008 (STP)                 10,000           6,700              --              --          10,000           6,700   
Allegiance Telecom, Inc. sr.                                                                                                  
notes 12 7/8s, 2008                  60,000          59,400              --              --          30,000          29,700   
BTI Telecom Corp. sr. notes                                                                                                   
10 1/2s, 2007                       855,000         495,900              --              --         390,000         226,200   
Birch Telecommunications, Inc. sr.                                                                                            
notes 14s, 2008                     340,000         204,000              --              --         300,000         180,000   
Covad Communications Group, Inc.                                                                                              
sr. disc. notes stepped-coupon                                                                                                
Ser. B, zero % (13 1/2s,                                                                                                      
03/15/03), 2008 (STP)                    --              --              --              --         330,000         151,800   
Firstworld Communication Corp.                                                                                                
sr. disc. notes stepped-coupon                                                                                                
zero % (13, 4/15/03), 2008                                                                                                    
(STP)                               520,000         124,800              --              --         360,000          86,400   
Focal Communications Corp. sr.                                                                                                
disc. notes stepped-coupon                                                                                                    
Ser. B, zero % (12 1/8s,                                                                                                      
02/15/03), 2008 (STP)               580,000         290,000              --              --         420,000         210,000   
Focal Communications Corp. sr.                                                                                                
notes 11 7/8s, 2010                 170,000         130,900              --              --          20,000          15,400   
GTE Corp. deb. 6.46s, 2008               --              --       1,730,000       1,637,237         980,000         927,452   
Hyperion Telecommunications Corp.,                                                                                            
Inc. sr. notes Ser. B, 12 1/4s,                                                                                               
2004                                     --              --       1,470,000       1,337,700       1,160,000       1,055,600   
ICG Holdings, Inc. company                                                                                                    
guaranty stepped-coupon zero %                                                                                                
(12 1/2s, 5/1/01), 2006 (STP)       425,000          85,000              --              --         115,000          23,000   
ICG Services, Inc. sr. disc.                                                                                                  
notes stepped-coupon zero %                                                                                                   
(10s, 2/15/03), 2008 (STP)        2,190,000         295,650              --              --         940,000         126,900   
ICG Services, Inc. sr. disc.                                                                                                  
notes stepped-coupon zero %                                                                                                   
(9 7/8s, 5/1/03), 2008 (STP)        130,000          17,225              --              --         245,000          32,463   
KMC Telecommunications Holdings,                                                                                              
Inc.sr. disc. notes stepped-coupon                                                                                            
zero % (12 1/2s, 2/15/03), 2008                                                                                               
(STP)                               780,000         312,000              --              --       1,155,000         462,000   
MGC Communications, Inc. sr.                                                                                                  
notes 13s, 2010                          --              --              --              --         210,000         126,000   
Madison River Capital Corp.                                                                                                   
sr. notes 13 1/4s, 2010           1,000,000         800,000              --              --         510,000         408,000   
McLeodUSA, Inc. sr. notes                                                                                                     
8 1/8s, 2009                      1,590,000       1,383,300              --              --         810,000         704,700   
Microcell Telecommunications sr.                                                                                              
disc. notes stepped-coupon                                                                                                    
Ser. B, zero % (14s, 12/1/01),                                                                                                
2006 (Canada) (STP)                 850,000         813,875              --              --         450,000         430,875   
NEXTLINK Communications, Inc.                                                                                                 
sr. notes 10 1/2s, 2009             500,000         455,000              --              --         220,000         200,200   
Telecorp PCS, Inc. 144A sr.                                                                                                   
sub. notes 10 5/8s, 2010          1,240,000       1,246,200              --              --         650,000         653,250   
Time Warner Telecom, Inc. sr.                                                                                                 
notes 9 3/4s, 2008                1,160,000       1,075,900              --              --         430,000         398,825   
Triton PCS, Inc. company                                                                                                      
guaranty stepped-coupon                                                                                                       
zero % (11s, 5/1/03), 2008                                                                                                    
(STP)                               120,000          91,200              --              --          60,000          45,600   
US UnWired, Inc. company                                                                                                      
guaranty, stepped-coupon Ser. B,                                                                                              
zero % (13 3/8s, 11/1/04),                                                                                                    
2009 (STP)                          770,000         408,100              --              --         640,000         339,200   
UbiquiTel Operating Co. company                                                                                               
guaranty stepped-coupon zero %                                                                                                
(14s, 4/15/05), 2010 (STP)               --              --              --              --         590,000         280,250   
Versatel Telecom NV sr. notes                                                                                                 
13 1/4s, 2008 (Netherlands)         180,000         162,000              --              --          40,000          36,000   
Versatel Telecom NV 144A sr.                                                                                                  
notes 13 1/4s, 2008 (Netherlands)   390,000         351,000              --              --         280,000         252,000   
Voicestream Wire, Inc. sr.                                                                                                    
notes 10 3/8s, 2009               1,040,000       1,118,000              --              --         530,000         569,750   
WinStar Communications, Inc.                                                                                                  
144A sr. disc. notes                                                                                                          
stepped-coupon zero %                                                                                                         
(14 3/4s, 4/15/05), 2010 (STP)    2,339,000         725,090              --              --       1,187,000         367,970   
WinStar Communications, Inc.                                                                                                  
144A sr. notes 12 3/4s, 2010        151,000         108,720              --              --         106,000          76,320   
                                             --------------                  --------------                  --------------   
                                                 11,101,960                       2,974,937                       8,990,055   

Textiles                                               0.2%                             --%                            0.3%   
---------------------------------------------------------------------------------------------------------------------------   
Guess Jeans, Inc. sr. sub. notes                                                                                              
9 1/2s, 2003                      1,030,000       1,023,563         940,000         934,125         865,000         859,594   
Kasper A.S.L., Ltd. sr. notes                                                                                                 
12 3/4s, 2004                       285,000         162,450              --              --          30,000          17,100   
Levi Strauss & Co. notes 6.8s,                                                                                                
2003                                740,000         621,600              --              --         390,000         327,600   
Westpoint Stevens, Inc. sr.                                                                                                   
notes 7 7/8s, 2008                1,090,000         904,700         500,000         415,000         510,000         423,300   
Westpoint Stevens, Inc. sr.                                                                                                   
notes 7 7/8s, 2005                  370,000         320,050              --              --         440,000         380,600   
William Carter Holdings Co. sr.                                                                                               
sub. notes Ser. A, 12s, 2008        190,000         174,800              --              --          50,000          46,000   
William Carter Holdings Co. sr.                                                                                               
sub. notes Ser. A, 10 3/8s, 2006    750,000         723,750              --              --         340,000         328,100   
                                             --------------                  --------------                  --------------   
                                                  3,930,913                       1,349,125                       2,382,294   

Transportation Services                                 --%                            0.1%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Hertz Corp. sr. notes 7s, 2028           --              --       2,265,000       1,955,080       1,270,000       1,096,226   
North American Van Lines, Inc.                                                                                                
144A sr. sub. notes 13 3/8s,                                                                                                  
2009                              1,000,000         922,500              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                    922,500                       1,955,080                       1,096,226   

Trucks and Parts                                        --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Transportation Manufacturing                                                                                                  
Operations, Inc. company guaranty                                                                                             
11 1/4s, 2009                            --              --              --              --         210,000         157,500   

Waste Management                                       0.1%                            0.1%                            0.5%   
---------------------------------------------------------------------------------------------------------------------------   
Allied Waste Industries, Inc.                                                                                                 
company guaranty Ser. B, 10s,                                                                                                 
2009                              1,425,000       1,236,188              --              --         805,000         698,338   
Allied Waste Industries, Inc.                                                                                                 
company guaranty Ser. B, 7 7/8s,                                                                                              
2009                                425,000         370,813       3,415,000       2,979,588       3,090,000       2,696,025   
Allied Waste Industries, Inc.                                                                                                 
company guaranty Ser. B, 7 5/8s,                                                                                              
2006                                180,000         161,550         270,000         242,325         150,000         134,625   
Browning-Ferris Industries, Inc.                                                                                              
deb. 7.4s, 2035                     320,000         231,200         506,000         365,585         500,000         361,250   
                                             --------------                  --------------                  --------------   
                                                  1,999,751                       3,587,498                       3,890,238   

Water Utilities                                         --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Azurix Corp. 144A notes 10 3/8s,                                                                                              
2007                                260,000         236,600       2,360,000       2,147,600       2,020,000       1,838,200   
                                             --------------                  --------------                  --------------   
Total Corporate Bonds and Notes                                                                                               
(cost $179,251,803, $310,692,708                                                                                              
and $290,898,868)                            $  161,807,624                  $  304,236,390                  $  273,940,144   
---------------------------------------------------------------------------------------------------------------------------   

                                        GROWTH                              BALANCED                    CONSERVATIVE          
                                                       1.6%                            5.0%                            8.8%   
U.S. GOVERNMENT AND                                                                                                           
AGENCY                           Principal                        Principal                       Principal                   
OBLIGATIONS(a)                     Amount             Value         Amount            Value         Amount            Value   
---------------------------------------------------------------------------------------------------------------------------   

U.S. Government Agency                                                                                                        
Mortgage Obligations                                   1.6%                            4.9%                            8.7%   
---------------------------------------------------------------------------------------------------------------------------   
Federal Home Loan Mortgage                                                                                                    
Association                                                                                                                   
8 1/2s, July 1, 2028          $          --  $           --      $1,264,889  $    1,299,142      $1,490,314  $    1,530,672   
6 1/2s, April 1, 2029                    --              --         372,664         358,025              --              --   
Federal National Mortgage                                                                                                     
Association 7s, TBA, October 1,                                                                                               
2030                              3,500,000       3,427,830              --              --              --              --   
Federal National Mortgage                                                                                                     
Association Pass-Through                                                                                                      
Certificates                                                                                                                  
8 1/2s, March 1, 2030                    --              --         660,576         676,879              --              --   
8s, with due dates from                                                                                                       
October 1, 2022 to July 1,                                                                                                    
2030                                 31,545          31,969       7,748,595       7,852,658       1,701,439       1,724,289   
7 1/2s, with due dates from                                                                                                   
January 1, 2015 to September 1,                                                                                               
2030                             13,762,710      13,848,855      51,210,758      51,518,455      26,899,912      27,064,925   
7s, with due dates from                                                                                                       
August 1, 2029 to September 1,                                                                                                
2030                              1,531,029       1,499,597      17,401,363      17,044,112      12,789,368      12,526,801   
6 1/2s, with due dates from                                                                                                   
August 1, 2010 to December 1,                                                                                                 
2011                                     --              --              --              --         560,606         549,653   
6s, with due dates from                                                                                                       
October 1, 2013 to June 15,                                                                                                   
2015                              3,868,600       3,722,912      13,087,677      12,594,797       7,647,782       7,359,766   
Government National Mortgage                                                                                                  
Association Pass-Through                                                                                                      
Certificates                                                                                                                  
10s, with due dates from June 15,                                                                                             
2013 to March 1, 2029                    --              --       1,389,317       1,498,361       1,304,012       1,405,256   
9 1/2s, December 15, 2017                --              --         625,007         672,102         553,017         594,688   
9s, with due dates from                                                                                                       
December 15, 2009 to October 15,                                                                                              
2029                              4,456,605       4,676,650      11,774,684      12,311,341       5,940,075       6,213,462   
8s, with due dates from                                                                                                       
January 15, 2022 to August 15,                                                                                                
2030                              1,864,235       1,898,425      13,858,677      14,132,101       8,359,895       8,524,287   
7 1/2s, with due dates from                                                                                                   
April 15, 2022 to January 15,                                                                                                 
2024                                     --              --       1,466,401       1,474,701       1,938,978       1,949,951   
7s, with due dates from                                                                                                       
August 15, 2025 to November 15,                                                                                               
2028                              2,860,242       2,820,948      12,360,169      12,195,996       2,637,173       2,601,571   
6 1/2s, March 15, 2028                   --              --         315,980         304,327              --              --   
                                             --------------                  --------------                  --------------   
                                                 31,927,186                     133,932,997                      72,045,321   

U.S. Treasury Obligations                               --%                            0.1%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
U.S. Treasury Interest Strip                                                                                                  
zero %, February 15, 2023           640,000         167,430       7,815,000       2,044,482       3,610,000         944,412   
U.S. Treasury Interest Strip                                                                                                  
zero %, November 15, 2024           650,000         153,654              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                    321,084                       2,044,482                         944,412   
Total U.S. Government and                                                                                                     
Agency Obligations (cost                                                                                                      
$31,824,288, $134,606,711 and                                                                                                 
$70,740,581)                                 $   32,248,270                  $  135,977,479                  $   72,989,733   
---------------------------------------------------------------------------------------------------------------------------   

                                        GROWTH                              BALANCED                    CONSERVATIVE          
                                                       1.3%                            1.7%                            3.2%   
COLLATERALIZED                   Principal                        Principal                       Principal                   
MORTGAGE OBLIGATIONS(a)            Amount             Value         Amount            Value         Amount            Value   
---------------------------------------------------------------------------------------------------------------------------   
Collateralized Mortgage                                                                                                       
Obligation Trust                                                                                                              
Ser. 64, Class Z, 9s, 2020    $          --  $           --      $1,146,801  $    1,193,390      $  931,412      $  969,251   
Commercial Mortgage                                                                                                           
Acceptance Corp.                                                                                                              
Ser. 97-ML1, Class D, 7.50s,                                                                                                  
2010                                     --              --         110,000         104,414              --              --   
Ser. 97-ML1, Interest Only                                                                                                    
(IO), 0.8963s, 2017               5,157,215         230,463       6,898,863         308,293       7,329,437         327,534   
Commercial Mortgage                                                                                                           
Asset Trust                                                                                                                   
Ser. 99-C1, Class A3,                                                                                                         
6.64s, 2010                              --              --          25,000          24,214              --              --   
Countrywide Mortgage Backed                                                                                                   
Securities, Inc. Ser.                                                                                                         
93-C, Class A8, 6 1/2s, 2024             --              --         180,000         166,738              --              --   
Criimi Mae Commercial                                                                                                         
Mortgage Trust                                                                                                                
Ser. 98-C1, Class A2, 7s,                                                                                                     
2011                                     --              --         760,000         691,363         470,000         427,553   
CS First Boston                                                                                                               
Mortgage Securities Corp.                                                                                                     
Ser. 00-C1, Class A2,                                                                                                         
7.545s, 2010                        870,000         890,798       3,160,000       3,235,544       1,645,000       1,684,326   
DLJ Commercial                                                                                                                
Mortgage Corp.                                                                                                                
Ser. 98-CG1, Class A1A,                                                                                                       
6.11s, 2007                       1,453,626       1,413,708       4,703,262       4,574,106       2,047,434       1,991,209   
Deutsche Mortgage                                                                                                             
& Asset Receiving Corp.                                                                                                       
Ser. 98-C1, Class X, IO,                                                                                                      
1.241s, 2031                      3,142,963         158,376       7,291,674         367,432       6,034,489         304,082   
Fannie Mae                                                                                                                    
Ser. 92-184, Class J, IO,                                                                                                     
11.46s, 2022                             --              --           5,516         201,052           4,903         178,713   
Ser. 92-181, Class PJ, IO,                                                                                                    
1--7s, 2022                              --              --           3,739         118,718           3,519         111,735   
Ser. 281, Class 2, IO, 9s, 2026     440,740         121,961         228,040          63,103              --              --   
Ser. 98-1, Class SA, IO,                                                                                                      
8.93s, 2024                              --              --       3,765,200       1,871,422       1,885,300         937,053   
Ser. 00-4, Class SX, 8.93s,                                                                                                   
2023                                     --              --       1,120,000       1,057,000       1,020,000         962,625   
Ser. 266, Class 2, IO, 7.5s,                                                                                                  
2024                                937,076         264,138         500,842         141,175              --              --   
Ser. 252, Class 2, IO, 7.5s,                                                                                                  
2023                                     --              --       3,629,598       1,054,852       3,327,911         967,174   
Ser. 218, Class 2, IO, 7.5s,                                                                                                  
2023                                     --              --          22,231           6,329          20,865           5,940   
Ser. 276, Class 2, IO, 6.5s,                                                                                                  
2024                                     --              --         938,174         267,966              --              --   
Ser. 97-23, Class SJ, IO,                                                                                                     
5.94s, 2023                              --              --         579,000         119,509              --              --   
Ser. 97-23, Class SH, IO,                                                                                                     
4.87s, 2023                              --              --         548,489         124,610              --              --   
Ser. 97-91, Class FB, IO,                                                                                                     
4.74s, 2023                         439,873          80,827              --              --              --              --   
Ser. 203, Class 2, IO, 4.371s,                                                                                                
2023                                207,716          58,939       1,102,936         312,958         598,482         169,819   
Ser. 251, Class 2, IO, 3.922s,                                                                                                
2023                                234,966          66,672       1,247,584         354,002         676,764         192,032   
Ser. 97-91, Class SL, IO,                                                                                                     
2.76s, 2023                              --              --              --              --         830,462          83,955   
Ser. 97-92, Class SM, IO,                                                                                                     
2.44s, 2022                              --              --       1,702,166         129,790         876,621          66,842   
Ser. 99-51, Class S, IO,                                                                                                      
2.38s, 2029                              --              --       2,047,632         158,691       1,773,810         137,470   
Ser. 99-64, Class SE, IO,                                                                                                     
1.778s, 2030                      4,495,681         250,775              --              --              --              --   
Ser. 98-66, Class SB, IO,                                                                                                     
1.53s, 2028                              --              --              --              --       1,141,183          60,269   
Freddie Mac                                                                                                                   
Ser. 2032, Class SK, IO,                                                                                                      
8.93s, 2024                       2,593,000       1,226,003              --              --              --              --   
Ser. 2028, Class SG, IO,                                                                                                      
8.35s, 2023                              --              --       1,324,000         648,139       1,035,000         506,665   
Ser. 147, IO, 8s, 2023              313,725          87,647         638,157         178,285         346,287          96,744   
Ser. 2113,                                                                                                                    
Class ZM, 6.5s,  2028                    --              --          47,745          39,091          36,984          30,281   
Ser. 1717, Class L, 6.5s,                                                                                                     
2024                                     --              --          70,210          68,227              --              --   
Ser. 2122,  Class ZA, 6                                                                                                       
1/4s, 2028                          266,407         214,458              --              --              --              --   
Ser. 2183, Class SG, 3.96s,                                                                                                   
2014                                160,000         131,000              --              --              --              --   
Ser. 2090, Class SB, IO,                                                                                                      
2.18s, 2028                       1,653,978          93,036         311,456          17,519              --              --   
Ser. 2090, Class SC, IO,                                                                                                      
2.18s, 2028                         576,875          32,449         108,630           6,110              --              --   
Ser. 2191, Class MS, IO,                                                                                                      
1.78s, 2027                              --              --         318,438          16,917              --              --   
Ser. 203, Principal Only                                                                                                      
(PO),   zero %, 2029                     --              --         355,793         228,375         117,917          75,688   
Ser. 180, PO zero %, 2026                --              --          11,426           8,214         107,135          77,020   
Ser. 1208, Class F, PO,                                                                                                       
zero %, 2022                         92,257          69,856              --              --              --              --   
GE Capital Mortgage                                                                                                           
Services, Inc. Ser. 98-11,                                                                                                    
Class 2A4, 6 3/4s, 2028                  --              --          75,000          71,267              --              --   
Government National                                                                                                           
Mortgage Association                                                                                                          
Ser. 99-44, Class SZ, 11 1/2s,                                                                                                
2029                                429,582         412,936              --              --              --              --   
Ser. 99-30, Class SG, 9.64s,                                                                                                  
2025                                137,244         133,299              --              --         247,359         240,247   
Ser. 00-17, Class SB, 9.14s,                                                                                                  
2026                                234,863         242,383       1,634,866       1,687,214         862,387         890,001   
Ser. 00-16, Class SA, 8.64s,                                                                                                  
2026                                     --              --       1,664,500       1,532,006              --              --   
Ser. 99-46, Class SQ, IO,                                                                                                     
1.83s, 2027                              --              --       1,695,716          87,965              --              --   
Ser. 98-2, Class EA, PO,                                                                                                      
zero %, 2028                        379,603         265,722          72,424          50,696              --              --   
GS Mortgage Securities Corp.                                                                                                  
II Ser. 98-C1, Class A2, 6.62s,                                                                                               
2030                                660,000         637,158       2,510,000       2,423,130       1,275,000       1,230,873   
LB Commercial Conduit Mortgage                                                                                                
Trust Ser. 99-C1, Class A2,                                                                                                   
6.78s, 2009                       2,480,000       2,424,816      10,130,000       9,904,591       5,315,000       5,196,733   
LB-UBS Commercial Mortgage Trust                                                                                              
Ser. 00-C4, Class A2, 7.37s,                                                                                                  
2010                              1,055,000       1,068,666       4,355,000       4,411,413       2,255,000       2,284,211   
Merrill Lynch Mortgage                                                                                                        
Investors, Inc.                                                                                                               
Ser. 95-C3, Class D, 7.79s,                                                                                                   
2025                                     --              --          75,000          74,578              --              --   
Ser. 96-C2, Class E, 6.96s,                                                                                                   
2028                                     --              --          65,000          57,688              --              --   
Ser. 98-C2, Class A1, 6.22s,                                                                                                  
2030                                106,923         104,902         562,336         551,704         495,014         485,655   
Ser. 96-C2, IO, 3.06s, 2028       1,377,858          89,561       2,347,270         152,573         850,329          55,271   
Ser. 98-C2, IO, 1.57s, 2030       2,263,451         154,551       8,461,677         577,774       4,331,118         295,734   
Mortgage Capital Funding, Inc.                                                                                                
Ser. 98-MC1, Class A1,                                                                                                        
6.417s, 2007                        429,325         421,979         508,520         499,820         483,511         475,239   
Ser. 97-MC2, Class X, IO,                                                                                                     
1.58s, 2012                       1,854,961         122,456         513,916          33,926              --              --   
Ser. 98-MC1, Class X, IO,                                                                                                     
0.854s, 2009                      3,404,992         119,441       5,576,221         195,603       7,902,885         277,218   
Morgan Stanley                                                                                                                
Capital I Ser. 98-HF1, Class                                                                                                  
A1, 6.19s, 2007                     189,686         185,789         428,691         419,883         357,243         349,903   
PNC Mortgage                                                                                                                  
Securities Corp. Ser. 97-6,                                                                                                   
Class A2, 6.6s, 2027                     --              --          86,397          86,123              --              --   
Prudential Home Mortgage                                                                                                      
Securities Ser. 93-57, Class A                                                                                                
4, 5.9s, 2023                            --              --           6,569           6,470              --              --   
Washington Mutual                                                                                                             
Corp. Ser. 00-1, Class A1,                                                                                                    
6.91s, 2024                      13,038,537      13,038,537       4,346,179       4,346,179       4,346,179       4,346,179   
                                             --------------                  --------------                  --------------   
Total Collateralized Mortgage                                                                                                 
Obligations                                                                                                                   
(cost $24,434,085, $44,512,596                                                                                                
and $26,349,889)                             $   24,813,302                  $   45,028,151                  $   26,491,244   
---------------------------------------------------------------------------------------------------------------------------   

                                        GROWTH                              BALANCED                    CONSERVATIVE          
                                                       0.4%                            0.1%                            0.5%   

PREFERRED STOCKS (a)                 Shares           Value          Shares           Value          Shares           Value   
---------------------------------------------------------------------------------------------------------------------------   
AmeriKing, Inc. $3.25 cum. pfd.                                                                                               
(PIK)                                 9,084       $  36,336             188  $          752              --  $           --   
CSBI Capital Trust I 144A company                                                                                             
guaranty $11.75, 2027                    --              --              --              --          90,000          90,000   
CSC Holdings, Inc. Ser. M, $11.13                                                                                             
cum. pfd. (PIK)                       6,670         715,358              --              --             876          93,951   
Citadel Broadcasting, Inc. 144A                                                                                               
Ser. B, $13.25 cum. pfd. (PIK)        5,199         584,888              --              --           1,191         133,988   
Dobson Communications 12.25% pfd.                                                                                             
(PIK)                                   418         392,920              --              --              --              --   
Dobson Communications 13.00% pfd.                                                                                             
(PIK)                                   939         887,355              --              --             299         282,555   
Fresenius Medical Capital Trust I                                                                                             
Ser. D, 9.00% company guaranty, pfd.                                                                                          
(Germany)                         1,010,000       1,002,425       1,380,000       1,369,650       1,610,000       1,597,925   
Fresenius Medical Capital                                                                                                     
Trust II 7.875% company guaranty,                                                                                             
pfd. (Germany)                           --              --       1,000,000         940,000         450,000         423,000   
Golden State Bancorp Ser. A,                                                                                                  
$2.28 pfd.                            8,100         188,325          20,300         471,975          17,000         395,250   
Intermedia Communications Ser. B,                                                                                             
13.50% pfd. (PIK)                     1,105       1,049,750              27          25,650             294         279,300   
NEXTLINK Communications, Inc.                                                                                                 
14.00% pfd. (PIK)                     1,222          54,990              --              --             124           5,580   
NEXTLINK Communications, Inc.                                                                                                 
Ser. B, 13.50% pfd. (PIK)               312         240,240               8           6,160              76          58,520   
Nextel Communications, Inc. Ser. D,                                                                                           
13.00% cum. pfd. (PIK)                  248         265,360              --              --              52          55,640   
Nextel Communications, Inc. Ser. E,                                                                                           
$11.125 pfd. (PIK)                        5           4,825              --              --               2           1,930   
Paxson Communications Corp. 13.25%                                                                                            
cum. pfd. (PIK)                         102         999,600              --              --              23         225,400   
Prosieben Media AG zero % pfd.                                                                                                
(Germany)                            11,616       1,321,945              --              --              --              --   
Public Service Co. of New                                                                                                     
Hampshire $2.651 1st mtge. pfd.         577          14,569           3,141          79,310             577          14,569   
R & B Falcon Corp. 13.875%                                                                                                    
cum. pfd. (PIK)                         189         241,920             439         561,920             275         352,000   
United Global Communications                                                                                                  
$0.875 pfd.                              --              --           5,800         184,150           3,900         123,825   
                                             --------------                  --------------                  --------------   
Total Preferred Stocks                                                                                                        
(cost $8,348,196, $3,889,429                                                                                                  
and $4,362,969                               $    8,000,806                  $    3,639,567                  $    4,133,433   
---------------------------------------------------------------------------------------------------------------------------   

                                        GROWTH                              BALANCED                    CONSERVATIVE          
                                                       0.2%                            0.1%                            0.2%   

UNITS(a)                         Units                Value           Units           Value           Units           Value   
---------------------------------------------------------------------------------------------------------------------------   
Cipla, Ltd. equity participation                                                                                              
note (issued by Credit Suisse                                                                                                 
First Boston) zero %, 2003            8,000  $      118,080              --  $           --              --  $           --   
D.R. Reddy's lab, Ltd. Ser. A                                                                                                 
equity participation notes                                                                                                    
(issued by Credit Suisse First                                                                                                
Boston) zero %, 2003                  4,000         108,143              --              --              --              --   
Horizon Pcs., Inc. units                                                                                                      
stepped-coupon zero % (14s,                                                                                                   
10/1/05), 2010 (STP)                790,000         402,900              --              --         420,000         214,200   
Investcorp units 12 3/4s, 2010      440,000         453,200              --              --         240,000         247,200   
IPCS, Inc. units stepped-coupon                                                                                               
zero % (14s 7/15/05), 2010                                                                                                    
(STP)                               500,000         260,000              --              --         260,000         135,200   
Nippon Television Network Corp.                                                                                               
structured warrants (issued                                                                                                   
by Lehman Brothers Finance                                                                                                    
S.A.) zero %, 2001                       --              --             440         253,260              --              --   
Railamerica Transportation                                                                                                    
Corp. units 12 7/8s, 2010         1,210,000       1,142,900              --              --         640,000         601,600   
Ranbaxy Labs equity                                                                                                           
participation note (issued by                                                                                                 
Credit Suisse First Boston)                                                                                                   
zero % 2003                          14,000         189,889              --              --              --              --   
Stone Container Corp. sr. sub.                                                                                                
deb. stepped-coupon zero %                                                                                                    
(12 1/4s, 11/13/00), 2002                                                                                                     
(STP)                                    --              --              --              --         520,000         525,200   
Tokyo Broadcasting System, Inc.                                                                                               
structured note (Issued by UBS                                                                                                
AG) 3.15%, 2000 (Japan)              22,100         909,137          39,000       1,604,359           5,000         205,687   
Tokyo Broadcasting System, Inc.                                                                                               
structured call warrants (Issued                                                                                              
by Lehman Brothers Finance                                                                                                    
S.A.) zero %, 2000 (Japan)              600          24,216              --              --              --              --   
WIPRO, Ltd. equity participation                                                                                              
note (issued by Goldman Sachs)                                                                                                
zero %, 2001                          1,350          77,936              --              --              --              --   
WIPRO, Ltd. structured notes                                                                                                  
(issued by The Goldman Sachs                                                                                                  
Group, Inc.) zero %, 2001                                                                                                     
(India)                               8,000         461,760              --              --              --              --   
                                             --------------                  --------------                  --------------   
Total Units                                                                                                                   
(cost $5,265,230, $1,293,123 and                                                                                              
$1,873,756)                                  $    4,148,161                  $    1,857,619                  $    1,929,087   



------------------------------------------------------------------------------------------------------------------------------
                                             GROWTH                              BALANCED                    CONSERVATIVE     
                                                            0.1%                            --%                            --%
                        Expiration                                                                                            
WARRANTS(a) (NON)          Date          Warrants          Value       Warrants           Value     Warrants             Value
------------------------------------------------------------------------------------------------------------------------------
                                                                                                                              
Anker Coal Group,                                                                                                             
Inc. 144A                10/28/09            32       $       --             --     $        --            7 $            --  
Birch Telecommunications,                                                                                                     
INC. 144A (PIK)           6/15/08           340           34,000             --              --           80          8,000   
Carrier1 Intl. SA         2/19/09           465          116,250             --              --          163         40,750   
CellNet Data                                                                                                                  
Systems, Inc.            10/01/07           995                1             --              --          210             --   
Dayton Superior                                                                                                               
Corp.                     6/15/09           560           11,200             --              --          280          5,600   
Diva Systems                                                                                                                  
Corp.                     5/15/06           295          168,150             --              --           75         42,750   
Diva Systems                                                                                                                  
Corp.                      3/1/08         5,157           85,091             --              --        1,209         19,949   
Epic Resorts              6/15/05            --               --             --              --           80              1   
Firstworld                                                                                                                    
Communication Corp.       4/15/08         1,510           30,200             --              --          360          7,200   
Globalstar                                                                                                                    
Telecommunications        2/15/04           400              400             --              --           90             90   
Huntsman Packaging                                                                                                            
Corp. 144A                 6/1/10            --               --             --              --          160          5,817   
ICG Communications       10/15/05         1,287            1,287             --              --          330            330   
Interact Systems, Inc.     8/1/03           400                4             --              --           90              1   
Interact Systems, Inc.                                                                                                        
144A                     12/15/09           400                4             --              --           90              1   
International                                                                                                                 
Wireless Communications                                                                                                       
Holdings 144A             8/15/01           155               --             --              --           40             --   
KMC Telecommunications                                                                                                        
Holdings, Inc.            4/15/08           700            2,100             --              --          175            525   
Knology Holdings         10/22/07         1,005            6,030             --              --          210          1,260   
LEHM Vodaphone 144A      12/20/00       161,300          488,127             --              --           --             --   
McCaw International,                                                                                                          
Ltd.                      4/15/07            30              600             --              --           10            200   
Mediq, Inc. 144A           6/1/09           410                4             --              --          100              1   
Motient Corp. 144A         4/1/08            --               --             --              --           20            760   
Onepoint Communications,                                                                                                      
Inc.                       6/1/08           190           15,200             --              --           50          4,000   
Orbital Imaging                                                                                                               
Corp. 144A                 3/1/05           415            2,075             --              --          100            500   
Paxson Communications                                                                                                         
Corp. 144A                6/30/03           960            5,280             --              --          320          1,760   
Raintree Resort 144A      12/1/04           195                2             --              --           40             --   
Startec Global                                                                                                                
Communications Corp.      5/15/08           390              390             --              --           90             90   
Sterling Chemicals                                                                                                            
Holdings                  8/15/08           145              580             --              --           30            120   
Telehub Communications                                                                                                        
Corp.                     7/31/05           290              145             --              --           80             40   
UIH Australia/Pacific,                                                                                                        
Inc. 144A                 5/15/06           820           24,600             --              --          200          6,000   
Ubiquitel, Inc. 144A      4/15/10            --               --             --              --          590         23,600   
Versatel Telecom NV       5/15/08            20            5,200             --              --           10          2,600   
                                                  --------------                 --------------              --------------   
Total Warrants                                                                                                                
(cost $1,253,532, $0 and $185,179)                $      996,920                 $           --              $      171,945   



---------------------------------------------------------------------------------------------------------------------------   
                                        GROWTH                              BALANCED                    CONSERVATIVE          
                                                        --%                            1.5%                            3.3%   
CONVERTIBLE                                                                                                                   
PREFERRED STOCKS(a)                  Shares           Value          Shares           Value          Shares           Value   

Automotive                                              --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
                                                                                                                              
Federal-Mogul Financial Trust                                                                                                 
$3.50 cum. cv. pfd.                      --  $           --           8,600  $       62,350           3,500 $        25,375   
Tower Automotive Capital Trust                                                                                                
$3.375 cv. pfd.                          --              --           8,600         222,525           5,900         152,663   
                                             --------------                  --------------                  --------------   
                                                         --                         284,875                         178,038   

Banking                                                 --%                            0.1%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
CNB Capital Trust I $1.50 cum. cv.                                                                                            
pfd.                                     --              --          14,900         599,725          10,100         406,525   
Sovereign Bancorp, Inc. $7.50 cv.                                                                                             
pfd.                                     --              --           6,100         333,975           4,100         224,475   
Union Planters Corp. Ser. E, $2.00                                                                                            
cv. cum. pfd.                            --              --           8,500         349,563           5,700         234,413   
                                             --------------                  --------------                  --------------   
                                                         --                       1,283,263                         865,413   

Biotechnology                                           --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Alkermes, Inc. $3.25 cv. pfd.            --              --           1,600         210,200           1,100         144,513   
Biovail Corp. $3.375 cv. pfd.            --              --           5,043         375,073           3,196         237,703   
Cephalon, Inc. $3.63 cv. pfd.            --              --           1,156         157,216             706          96,016   
                                             --------------                  --------------                  --------------   
                                                         --                         742,489                         478,232   

Broadcasting                                            --%                            0.1%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Cox Communications, Inc. $3.50 cv.                                                                                            
pfd.                                     --              --           8,400         436,800           7,600         395,200   
Emmis Broadcasting Corp. Ser. A,                                                                                              
$3.13 cv. pfd.                           --              --           4,800         200,400           3,300         137,775   
Paxson Communications Corp. 144A                                                                                              
9.75% cv. pfd. (PIK)                     --              --              --              --              10          97,000   
Pegasus Communications Corp.                                                                                                  
Ser. C, $6.50 cum. cv. pfd.              --              --           1,555         137,618             981          86,819   
Radio One, Inc. $6.50 cum. cv. pfd.      --              --             300         175,500             180         105,300   
Sinclair Broadcast Group, Inc.                                                                                                
$3.00 cv. pfd.                           --              --           6,900         219,075           4,600         146,050   
XM Satellite Radio Holdings Ser. B,                                                                                           
$8.25 cv. pfd.                           --              --           1,992         125,994           1,355          85,704   
                                             --------------                  --------------                  --------------   
                                                         --                       1,295,387                       1,053,848   

Cable Television                                        --%                            0.1%                            0.3%   
---------------------------------------------------------------------------------------------------------------------------   
Adelphia Communications Corp. Ser. D,                                                                                         
$5.50 cv. pfd.                           --              --           1,600         173,400           1,100         119,213   
MediaOne Group, Inc. $6.25 cv. pfd.      --              --          31,803       2,589,264          19,855       1,620,664   
TCI Pacific Comm $5.00 cv. pfd.          --              --           3,331         618,733           2,101         390,261   
                                             --------------                  --------------                  --------------   
                                                         --                       3,381,397                       2,130,138   

Commercial and Consumer Services                        --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Carriage Services Capital Trust                                                                                               
$3.50 cv. pfd.                           --              --              --              --           1,500          33,000   

Consumer Goods                                          --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Estee Lauder Aces TR II $5.41 cv.                                                                                             
pfd.                                     --              --           8,600         597,700           5,100         354,450   

Electric Utilities                                      --%                            0.3%                            0.5%   
---------------------------------------------------------------------------------------------------------------------------   
AES Trust II $3.38 cv. pfd.              --              --          19,294       1,994,517          14,800       1,529,950   
Alliant Energy 144A $7.25 cv. pfd.       --              --          16,294         914,582          10,200         572,526   
CMS Energy Corp. 8.75% cum. cv. pfd.     --              --          13,730         437,644           8,613         274,539   
Calpine Corp. 144A $2.875 cv. pfd.       --              --           7,440         802,590           4,658         502,482   
NiSource, Inc. $3.875 c.v. pfd.          --              --           5,000         228,125           3,400         155,125   
Reliant Energy, Inc. $2.00 cv. pfd.      --              --          19,649       1,508,061          12,290         943,258   
TXU Corporation $4.625 cum. cv. pfd.     --              --           9,300         432,450           3,600         167,400   
TXU Corporation $1.657 cum. cv. pfd.     --              --           5,300         213,325           3,600         144,900   
                                             --------------                  --------------                  --------------   
                                                         --                       6,531,294                       4,290,180   

Electronics                                             --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Interact Systems, Inc. 14.00% cv. pfd    --              --              --              --              90               1   
Pioneer Standard Electronics, Inc.                                                                                            
144A $3.375 cv. pfd.                     --              --           3,200         155,200           2,000          97,000   
Titan Corp. 144A $5.75 cv. pfd.          --              --           3,000          90,000           2,000          60,000   
World Access, Inc. 144A Ser. D, zero %                                                                                        
cv. pfd.                                 --              --              --              --              27          23,490   
                                             --------------                  --------------                  --------------   
                                                         --                         245,200                         180,491   

Energy                                                  --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Evi, Inc. $2.50 cum. cv. pfd.            --              --          18,217         863,030          11,385         539,364   
Hanover Compressor 7.25% cv. pfd.        --              --           1,900         186,200           1,300         127,400   
                                             --------------                  --------------                  --------------   
                                                         --                       1,049,230                         666,764   

Entertainment                                           --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Six Flags, Inc. 7.50% pfd.               --              --           3,481         114,873           2,176          71,808   

Food                                                    --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Suiza Capital Trust II $2.75 cv. pfd.    --              --          16,033         637,312          10,117         402,151   

Household Furniture and Appliances                      --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Metromedia International Group, Inc.                                                                                          
$3.625 cum. cv. pfd.                     --              --          11,400         283,575           7,300         181,588   
Newell Financial Trust I $2.625 cv.                                                                                           
cum. pfd.                                --              --          12,300         445,875           8,300         300,875   
                                             --------------                  --------------                  --------------   
                                                         --                         729,450                         482,463   

Insurance                                               --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
ACE, Ltd. $4.125 cv. pfd.                --              --           2,877         226,204           1,799         141,446   
Conseco Financing Trust IV $3.50 cum.                                                                                         
cv. pfd.                                 --              --          10,691         105,574           6,568          64,859   
Lincoln National Corp. $0.463 cum.                                                                                            
cv. pfd.                                 --              --          11,399         245,079           7,130         153,295   
Metlife Capital Trust I $4.00 cv. pfd.   --              --          17,402       1,444,366          10,150         842,450   
Philadelphia Consolidated Holding                                                                                             
Corp. $7.00 cv. pfd.                     --              --          81,500         733,500          42,200         379,800   
Protective Life Corp. $3.25 cum. cv.                                                                                          
pfd.                                     --              --           4,800         227,400           2,500         118,438   
                                             --------------                  --------------                  --------------   
                                                         --                       2,982,123                       1,700,288   

Media                                                   --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Seagram Co., Ltd. $3.76 cv. pfd.                                                                                              
(Canada)                                 --              --           3,793         195,814           2,285         117,963   

Medical Technology                                      --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Owens & Minor Trust I 144A Ser. A,                                                                                            
$2.69 cum. cv. pfd.                      --              --          14,200         601,725           9,700         411,038   

Metals                                                  --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Kinam Gold, Inc. Ser. B, $3.75 cum. cv.                                                                                       
pfd.                                     --              --           7,800          58,500           5,200          39,000   

Natural Gas Utilities                                   --%                            0.1%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
El Paso Energy Capital Trust $2.375 cv.                                                                                       
pfd.                                     --              --           9,600         727,200           4,400         333,300   
K N Energy, Inc. $3.55 cv. pfd.          --              --          12,000         655,500           8,000         437,000   
Semco Energy Inc. 11.00% cv. cum.                                                                                             
pfd.                                     --              --          10,541         115,951           6,651          73,161   
                                             --------------                  --------------                  --------------   
                                                         --                       1,498,651                         843,461   

Oil and Gas                                             --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Apache Corp. $2.015 cv. pfd.             --              --           9,423         475,862           5,906         298,253   
Coastal Corp. $1.656 cv. pfd.            --              --           9,900         405,900           6,700         274,700   
Kerr-McGee Corp. $1.825 cv. pfd.         --              --           5,000         270,625           3,300         178,613   
Newfield Exploration Co. $3.25 cv. pfd.  --              --           3,700         259,000           2,500         175,000   
Pogo Producing Co. Ser. A, $3.25 cv.                                                                                          
pfd.                                     --              --           3,200         190,800           2,391         142,563   
Tosco Financing Trust $2.875 cv. pfd.    --              --           5,000         253,125           3,500         177,188   
Unocal Capital Trust $3.125 cum. cv.                                                                                          
pfd.                                     --              --          21,500       1,029,313          14,600         698,975   
                                             --------------                  --------------                  --------------   
                                                         --                       2,884,625                       1,945,292   

Paper and Forest Products                               --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Georgia Pacific Corp. $3.75 cv. pfd.     --              --           8,583         247,834           5,170         149,284   
Inrernational Paper Co. $2.625 cv. pfd.  --              --          21,700         840,875          15,600         604,500   
Owens-Illinois, Inc. $2.375 cv.pfd.      --              --          12,300         210,638           8,300         142,138   
Sealed Air Corp. Ser. A, $2.00 cv.pfd.   --              --          24,000       1,071,000          13,400         597,975   
                                             --------------                  --------------                  --------------   
                                                         --                       2,370,347                       1,493,897   

Pharmaceuticals                                         --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Monsanto Co. $2.60 cv. pfd.              --              --          15,022         773,633           9,821         505,782   

Power Producers                                         --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
SEI Trust I $3.125 cum. cv. pfd.         --              --           8,900         590,181           5,500         364,719   

Publishing                                              --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Readers Digest $0.453 cv. pfd.           --              --           6,900         212,175           4,600         141,450   
Tribune Co. $2.00 cv. pfd.               --              --          15,297       1,812,695          11,268       1,335,258   
Tribune Co. $1.75 cv. pfd.               --              --          11,317         164,097           7,075         102,588   
                                             --------------                  --------------                  --------------   
                                                         --                       2,188,967                       1,579,296   

Railroads                                               --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Canadian National Railway Co. $2.625                                                                                          
cv. pfd. (Canada)                        --              --           2,100          93,975           4,000         179,000   
Union Pacific Capital Trust $3.125                                                                                            
cum. cv. pfd.                            --              --          19,435         774,971          12,156         484,721   
                                             --------------                  --------------                  --------------   
                                                         --                         868,946                         663,721   

Real Estate                                             --%                            0.1%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Equity Residential Properties Trust                                                                                           
Ser. E, $1.75 cv. pfd.                   --              --          32,594         867,815          18,254         486,013   
Vornado Realty Trust Ser. A, $3.25                                                                                            
cum. cv. pfd.                            --              --           5,100         262,650           3,400         175,100   
                                             --------------                  --------------                  --------------   
                                                         --                       1,130,465                         661,113   

Restaurants                                             --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Wendy's Financing Ser. A, $2.50 cv.                                                                                           
pfd.                                     --              --           1,336          62,625             846          39,656   

Retail                                                  --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
CVS Auto Exchange 6.00% cv. pfd.         --              --           5,163         413,040           4,100         328,000   
Dollar General Strypes Trust $3.352 cv.                                                                                       
pfd.                                     --              --           2,086          63,884           1,239          37,944   
K mart Financing I $3.875 cum. cv. pfd.  --              --          12,132         374,576           7,588         234,280   
                                             --------------                  --------------                  --------------   
                                                         --                         851,500                         600,224   

Shipping                                                --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
CNF Trust I Ser. A, $2.50 cum. cv. pfd.  --              --          15,000         575,625          10,100         387,588   

Software                                                --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Amdocs 6.75% cv. pfd.                    --              --           1,174          61,929             741          39,088   

Technology Services                                     --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
NBC Internet, Inc. $7.25 cv. pfd.        --              --           1,000          18,500             700          12,950   
PSINet, Inc. 144A $3.50 cv. pfd.         --              --              --              --           4,000          68,500   
                                             --------------                  --------------                  --------------   
                                                         --                          18,500                          81,450   

Telecommunications                                      --%                            0.3%                            0.5%   
---------------------------------------------------------------------------------------------------------------------------   
Comcast Corp. 2.00% cv. pfd.             --              --           5,600         599,900           3,800         407,075   
Comcast Corp. 2.00% cv. pfd.             --              --           3,400         233,538           2,300         157,981   
Cox Communications, Inc. $7.75 cv. pfd.  --              --          15,600       1,103,700          14,400       1,018,800   
Crown Castle International Corp.                                                                                              
$3.125 cum. cv. pfd.                     --              --           1,067          57,351             670          36,013   
DECS Trust VI 6.25% cv. pfd.             --              --          10,110         444,840           6,380         280,720   
Global Crossing Ltd. 6.75% cum. cv. pfd  --              --           6,467       1,618,771           4,938       1,236,043   
Global Crossing Ltd. $6.375 cum cv. pfd. --              --           3,756         333,345           2,370         210,338   
Global Telesystems Group, Inc. $3.63                                                                                          
cv. pfd.                                 --              --           4,600          48,898           3,600          38,268   
Mpower Communications Corp. $3.625 cum.                                                                                       
cv. pfd.                                 --              --           1,400          22,050           1,000          15,750   
Nextlink Communications, Inc. $3.25 cv.                                                                                       
pfd.                                     --              --           3,393         556,452           2,141         351,124   
Omnipoint Corp. $3.50 cv. pfd.           --              --             635         106,045             381          63,627   
Qwest Trends Trust 144A 5.75% cv. pfd.   --              --           4,500         353,250           3,600         282,600   
Williams Communications Group, Inc.                                                                                           
144A $3.375 cv. pfd.                     --              --           6,700         280,563           4,200         175,875   
WinStar Communications, Inc. $3.50 cv.                                                                                        
pfd.                                     --              --           3,784         121,088           2,369          75,807   
Interact Systems, Inc. 14.00% cv. pfd   400               4              --              --              --              --   
Paxson Communications Corp. 144A 9.75%                                                                                        
cv. pfd. (PIK)                           30         291,000              --              --              --              --   
World Access, Inc. 144A Ser. D, zero %                                                                                        
cv. pfd.                                106          92,220              --              --              --              --   
                                             --------------                  --------------                  --------------   
                                                    383,224                       5,879,791                       4,350,021   
                                             --------------                  --------------                  --------------   
Total Convertible Preferred Stocks                                                                                            
(cost $417,647, $42,287,354 and                                                                                               
$28,216,098)                                 $      383,224                  $   40,486,417                  $   27,010,573   

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

                                        GROWTH                              BALANCED                    CONSERVATIVE          
                                                        --%                            2.5%                            5.2%   
CONVERTIBLE                      Principal                        Principal                       Principal                   
BONDS AND NOTES(a)                 Amount             Value         Amount            Value         Amount            Value   
Advertising and                                                                                                               
Marketing Services                                      --%                            0.1%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
DoubleClick, Inc. cv. sub. notes 4                                                                                            
3/4s, 2006                      $        --  $           --      $  126,000      $  121,433       $  82,000       $  79,028   
Inco, Ltd. cv. deb. 7 3/4s, 2016         --              --         144,000         129,420          90,000          80,888   
Interpublic Group Cos., Inc. cv.                                                                                              
sub. notes 1.8s, 2004                    --              --         500,000         497,500         300,000         298,500   
Omnicom Group, Inc. cv. sub.                                                                                                  
deb. 2 1/4s, 2013                        --              --         329,000         508,716         200,000         309,250   
Young & Rubicam, Inc. 144A cv.                                                                                                
sr. notes 3s, 2005                       --              --         250,000         245,625         160,000         157,200   
                                             --------------                  --------------                  --------------   
                                                         --                       1,502,694                         924,866   

Aerospace and Defense                                   --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Orbital Sciences Corp. cv. sub.                                                                                               
notes 5s, 2002                           --              --         200,000         114,500         200,000         114,500   
SPACEHAB, Inc. cv. sub. notes 8s,                                                                                             
2007                                     --              --         157,000         113,825          97,000          70,325   
                                             --------------                  --------------                  --------------   
                                                         --                         228,325                         184,825   

Automotive                                              --%                            0.1%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Magna International cv. sub. deb.                                                                                             
5s, 2002                                 --              --         800,000         775,000         500,000         484,375   
Standard Motor Products, Inc. cv.                                                                                             
sub. deb. 6 3/4s, 2009                   --              --         239,000         121,890         146,000          74,460   
Tower Automotive, Inc. cv. sub.                                                                                               
notes 5s, 2004                           --              --         500,000         397,500         300,000         238,500   
                                             --------------                  --------------                  --------------   
                                                         --                       1,294,390                         797,335   

Biotechnology                                           --%                            0.3%                            0.6%   
---------------------------------------------------------------------------------------------------------------------------   
Affymetrix, Inc. cv. sub. notes 4                                                                                             
3/4s, 2007                               --              --         100,000          59,250         100,000          59,250   
Alexion Pharmaceuticals, Inc. 144A cv.                                                                                        
sub. notes 5 3/4s, 2007                  --              --         178,000         218,940         118,000         145,140   
Alkermes, Inc. cv. sub. notes 3                                                                                               
3/4s, 2007                               --              --         200,000         151,000         200,000         151,000   
Athena Neurosciences, Inc. cv. notes 4                                                                                        
3/4s, 2004                               --              --         800,000       1,233,000         500,000         770,625   
Centocor, Inc. cv. sub. deb. 4 3/4s,                                                                                          
2005                                     --              --       1,019,000       1,295,404         550,000         699,188   
Chiron Corp. cv. sub. notes 1.9s,                                                                                             
2000                                     --              --         179,000         279,688         112,000         175,000   
COR Therapeutics, Inc. 144A cv.                                                                                               
notes 5s, 2007                           --              --         139,000         272,788          89,000         174,663   
Genzyme Corp. cv. sub. notes 5 1/4s,                                                                                          
2005                                     --              --         200,000         369,500              --              --   
Human Genome Sciences, Inc. cv. sub.                                                                                          
notes 3 3/4s, 2007                       --              --         430,000         416,563         290,000         280,938   
IDEC Pharmaceuticals Corp. cv. sub.                                                                                           
notes zero %, 2019                       --              --          80,000         189,200          53,000         125,345   
Imclone Systems, Inc 144A cv. sub.                                                                                            
notes 5 1/2s, 2005                       --              --          56,000          67,830          35,000          42,394   
Millennium Pharmaceuticals, Inc. cv.                                                                                          
sub. notes 5 1/2s, 2007                  --              --         323,000         610,874         189,000         357,446   
Protein Design Labs, Inc. 144A cv.                                                                                            
sub. notes 5 1/2s, 2007                  --              --         170,000         297,713         112,000         196,140   
Roche Holdings, Inc. 144A cv. bonds                                                                                           
zero %, 2015                             --              --       1,266,000       1,201,118         772,000         732,435   
Sepracor, Inc. cv. sub. deb. 7s,                                                                                              
2005                                     --              --         661,000       1,365,791         413,000         853,361   
Sepracor, Inc. cv. sub. deb. 6 1/4s,                                                                                          
2005                                     --              --          38,000         197,125          25,000         129,688   
Vertex Pharmaceuticals, Inc. 144A                                                                                             
cv. sub. notes 5s, 2007                  --              --         190,000         209,475         130,000         143,325   
ViroPharma, Inc. 144A cv. sub.                                                                                                
notes 6s, 2007                           --              --         120,000          50,700          80,000          33,800   
                                             --------------                  --------------                  --------------   
                                                         --                       8,485,959                       5,069,738   

Broadcasting                                            --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Clear Channel Communications, Inc.                                                                                            
cv. sr. notes 1 1/2s, 2002               --              --       1,100,000       1,017,500         500,000         462,500   
Echostar Communications Corp. cv.                                                                                             
sub. notes 4 7/8s, 2007                  --              --         936,000       1,235,520         591,000         780,120   
Jacor Communications, Inc. cv.                                                                                                
sr. notes zero %, 2011                   --              --         418,000         367,840         276,000         242,880   
News America Holdings, Inc. cv.                                                                                               
notes zero %, 2013                       --              --         782,000         796,178         500,000         509,065   
                                             --------------                  --------------                  --------------   
                                                         --                       3,417,038                       1,994,565   

Commercial and Consumer Services                        --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Cedant Corp. cv. sub. notes 3s,                                                                                               
2002                                     --              --       1,000,000         912,500         500,000         456,250   

Communications Equipment                                --%                            0.2%                            0.3%   
---------------------------------------------------------------------------------------------------------------------------   
American Tower Corp. 144A cv. notes 5s,                                                                                       
2010                                     --              --       1,100,000       1,045,000         700,000         665,000   
Antec Corp. cv. sub. notes 4 1/2s,                                                                                            
2003                                     --              --          47,000          62,216          29,000          38,389   
Commscope, Inc. cv. sub. notes 4s,                                                                                            
2006                                     --              --         122,000         103,853          73,000          62,141   
Comverse Technology, Inc. cv. sub.                                                                                            
deb. 4 1/2s, 2005                        --              --         200,000       1,007,750              --              --   
Efficient Networks, Inc. 144A cv.                                                                                             
sub. notes 5s, 2005                      --              --         337,000         214,838         204,000         130,050   
Juniper Networks, Inc. cv. sub. notes                                                                                         
4 3/4s, 2007                             --              --       1,000,000       1,517,500         630,000         956,025   
Redback Networks, Inc. 144A cv. sub.                                                                                          
notes 5s, 2007                           --              --         220,000         244,200         133,000         147,630   
Terayon Communications Systems, Inc.                                                                                          
144A cv. sr. notes 5s, 2007              --              --         193,000         128,104         116,000          76,995   
                                             --------------                  --------------                  --------------   
                                                         --                       4,323,461                       2,076,230   

Computers                                               --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Adaptec, Inc. cv. sub. notes 4 3/4s,                                                                                          
2004                                     --              --         151,000         127,406          95,000          80,156   
Anixter International, Inc. 144A sr.                                                                                          
notes zero %, 2020                       --              --         979,000         271,673         599,000         166,223   
Aspen Technology, Inc. cv. sub. deb.                                                                                          
5 1/4s, 2005                             --              --              --              --         111,000         112,943   
Critical Path, Inc. 144A cv. bonds                                                                                            
5 3/4s, 2005                             --              --          67,000          58,960          42,000          36,960   
Digital Island, Inc. cv. bonds 6s,                                                                                            
2005                                     --              --         330,000         191,813         210,000         122,063   
Hewlett-Packard Co. cv. sub. notes                                                                                            
zero %, 2017                             --              --       1,321,000         972,586         826,000         608,143   
Quantum Corp. cv. sub. 7s, 2004          --              --         500,000         393,440         300,000         236,064   
Vantive Corp. (The) cv. sub. notes                                                                                            
4 3/4s, 2002                             --              --         200,000         202,000              --              --   
                                             --------------                  --------------                  --------------   
                                                         --                       2,217,878                       1,362,552   

Conglomerates                                           --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
ADT Operations, Inc. cv. sub. notes                                                                                           
zero %, 2010                             --              --          79,000         223,274          49,000         138,486   

Consumer Services                                       --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Getty Images, Inc. 144A cv. sub.                                                                                              
notes 5s, 2007                           --              --         350,000         270,813         230,000         177,963   
VerticalNet, Inc. cv. sub. deb. 5                                                                                             
1/4s, 2004                               --              --          56,000         105,000          35,000          65,625   
                                             --------------                  --------------                  --------------   
                                                         --                         375,813                         243,588   

Electrical Equipment                                    --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Amkor Technologies, Inc. 144A cv.                                                                                             
sub. notes 5s, 2007                      --              --         229,000         182,055         144,000         114,480   
Oak Industries, Inc. cv. sub.                                                                                                 
notes 4 7/8s, 2008                       --              --          70,000         446,775          46,000         293,595   
                                             --------------                  --------------                  --------------   
                                                         --                         628,830                         408,075   

Electronics                                             --%                            0.3%                            0.6%   
---------------------------------------------------------------------------------------------------------------------------   
Benchmark Electronics, Inc. cv. sub                                                                                           
notes 6s, 2006                           --              --              --              --          29,000          41,144   
Benchmark Electronics, Inc. 144A cv.                                                                                          
sub. notes 6s, 2006                      --              --         114,000         161,738              --              --   
Burr-Brown Corp. 144A cv. sub.                                                                                                
notes 4 1/4s, 2007                       --              --         135,000         179,381          85,000         112,944   
Cypress Semiconductor Corp. cv.                                                                                               
sub. notes 4s, 2005                      --              --         225,000         253,688         142,000         160,105   
Cypress Semiconductor Corp. cv. sub.                                                                                          
deb. 3 3/4s, 2005                        --              --         133,000         124,854          83,000          77,916   
Kent Electronics Corp. cv. sub.                                                                                               
notes 4 1/2s, 2004                       --              --          81,000          66,521          51,000          41,884   
Kulicke & Soffa Industries, Inc.                                                                                              
144A cv. sub. notes 4 3/4s, 2006         --              --         130,000         108,875          82,000          68,675   
LSI Logic Corp. cv. sub. notes 4                                                                                              
1/4s, 2004                               --              --         165,000         326,288          99,000         195,773   
Park Electrochemical Corp. cv. sub.                                                                                           
notes 5 1/2s, 2006                       --              --         183,000         250,024         115,000         157,119   
Perkinelmer, Inc. cv. deb. zero %,                                                                                            
2020                                     --              --         318,000         216,240         199,000         135,320   
S3, Inc. 144A cv. sub. notes 5                                                                                                
3/4s, 2003                               --              --         300,000         274,875         200,000         183,250   
SCI Systems, Inc. cv. sub. 3s,                                                                                                
2007                                     --              --         600,000         597,750         400,000         398,500   
Sanmina Corp. cv. sub. notes 4                                                                                                
1/4s, 2004                               --              --         363,000         803,138         227,000         502,238   
Semtech Corp. 144A cv. sub notes                                                                                              
4 1/2s, 2007                             --              --          49,000          58,188          31,000          36,813   
Solectron Corp. cv. notes zero %, 2020   --              --       1,592,000       1,066,640       1,110,000         743,700   
Solectron Corp. cv. notes zero%, 2019    --              --       2,042,000       1,503,423       1,273,000         937,246   
Transwitch Corp. 144A cv. notes 4 1/2s,                                                                                       
2005                                     --              --         330,000         405,075         210,000         257,775   
TriQuint Semiconductor, Inc. cv.                                                                                              
notes 4s, 2007                           --              --         190,000         149,388         130,000         102,213   
Vitesse Semiconductor Corp. 144A cv.                                                                                          
sub. deb. 4s, 2005                       --              --         864,000         898,560         540,000         561,600   
                                             --------------                  --------------                  --------------   
                                                         --                       7,444,646                       4,714,215   

Energy                                                  --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Baker Hughes, Inc. cv. notes zero %,                                                                                          
2008                                     --              --         100,000          79,750         100,000          79,750   
Diamond Offshore Drilling, Inc. cv.                                                                                           
sub. notes 3 3/4s, 2007                  --              --         900,000       1,010,250         700,000         785,750   
Diamond Offshore Drilling, Inc. 144A                                                                                          
cv. deb. zero %, 2020                    --              --         310,000         155,000         190,000          95,000   
Global Marine, Inc. 144A cv. deb.                                                                                             
zero %, 2020                             --              --       1,008,000         511,560         630,000         319,725   
Offshore Logistics, Inc. cv. sub.                                                                                             
notes 6s, 2003                           --              --         213,000         209,805         141,000         138,885   
Parker Drilling Corp. cv. sub. notes                                                                                          
5 1/2s, 2004                             --              --              --              --         245,000         207,638   
Pride International, Inc. cv. sub.                                                                                            
deb. zero %, 2018                        --              --         281,000         130,314         172,000          79,765   
Seacor Holdings, Inc. cv. sub. notes                                                                                          
5.38s, 2006                              --              --         200,000         221,000         115,000         127,075   
                                             --------------                  --------------                  --------------   
                                                         --                       2,317,679                       1,833,588   

Environmental                                           --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Thermo Electron Corp. cv. sr. notes 4s,                                                                                       
2005                                     --              --         250,000         218,750         200,000         175,000   

Health Care Services                                    --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
HEALTHSOUTH Corp. cv. sub. deb. 3 1/4s,                                                                                       
2003                                     --              --         391,000         325,508         176,000         146,520   
Invitrogen Corp. 144A cv. sub. notes                                                                                          
5 1/2s, 2007                             --              --         140,000         141,225          90,000          90,788   
Omnicare, Inc. cv. bonds 5s, 2007        --              --       1,000,000         741,250         450,000         333,563   
Total Renal Care Holdings, Inc. 144A                                                                                          
cv. notes 7s, 2009                       --              --              --              --         680,000         482,800   
Universal Health Services, Inc. 144A                                                                                          
cv. sr. notes 0.426s, 2020               --              --         680,000         377,400         420,000         233,100   
Wellpoint Health Networks, Inc. cv.                                                                                           
sub. deb. zero %, 2019                   --              --         500,000         392,500         200,000         157,000   
                                             --------------                  --------------                  --------------   
                                                         --                       1,977,883                       1,443,771   

Homebuilding                                            --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Lennar Corp. cv. deb. zero %, 2018       --              --         440,000         210,100         288,000         137,520   

Insurance                                               --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Mutual Risk Management cv. sub. deb.                                                                                          
zero %, 2015                             --              --         656,000         334,560         403,000         205,530   

Investment Banking and Brokerage                        --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Berkshire Hathaway, Inc. cv. sr.                                                                                              
notes 1s, 2001                           --              --         149,000         482,574          99,000         320,636   
E*Trade Group, Inc. 144A cv. sub.                                                                                             
notes 6s, 2007                           --              --          51,000          46,410          32,000          29,120   
E*Trade Group, Inc. cv. sub. notes                                                                                            
6s, 2007                                 --              --         190,000         172,900         119,000         108,290   
                                             --------------                  --------------                  --------------   
                                                         --                         701,884                         458,046   

Manufacturing                                           --%                             --%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Thermo Ecotek Corp. 144A cv. bonds                                                                                            
4 7/8s, 2004                             --              --         300,000         276,375         200,000         184,250   
Thermo Electron Corp. 144A cv. sub.                                                                                           
deb. 4 1/4s, 2003                        --              --         300,000         283,125         300,000         283,125   
                                             --------------                  --------------                  --------------   
                                                         --                         559,500                         467,375   

Medical Technology                                      --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Thermo Cardiosystems, Inc. 144A cv.                                                                                           
company guaranty 4 3/4s, 2004            --              --         500,000         438,750         300,000         263,250   

Metals                                                  --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Inco, Ltd. deb. 5 3/4s, 2004 (Canada)    --              --         300,000         271,125         200,000         180,750   
Quanex Corp. cv. sub. deb. 6.88s,                                                                                             
2007                                     --              --         276,000         248,400         173,000         155,700   
                                             --------------                  --------------                  --------------   
                                                         --                         519,525                         336,450   

Oil and Gas                                             --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Anadarko Petroleum Corp. cv. sub.                                                                                             
notes zero %, 2020                       --              --         410,000         336,713         257,000         211,061   
Devon Energy Corp. cv. deb. 4.95s,                                                                                            
2008                                     --              --       1,200,000       1,156,500         900,000         867,375   
Kerr-McGee Corp. cv. sub. deb. 5 1/4s,                                                                                        
2010                                     --              --         200,000         248,500         200,000         248,500   
Swift Energy Co. cv. sub. notes 6 1/4s,                                                                                       
2006                                     --              --         300,000         393,750         198,000         259,875   
                                             --------------                  --------------                  --------------   
                                                         --                       2,135,463                       1,586,811   

Pharmaceuticals                                         --%                            0.1%                            0.3%   
---------------------------------------------------------------------------------------------------------------------------   
Alpharma, Inc. cv. sub. notes 5 3/4s,                                                                                         
2005                                     --              --         160,000         348,000         101,000         219,675   
Alza Corp. cv. sub. zero %, 2014         --              --         756,000         849,555         473,000         531,534   
C.V. Therapeutics 144A cv. sub. notes                                                                                         
4 3/4s, 2007                             --              --         148,000         198,505          96,000         128,760   
IVAX Corp. 144A cv. sr. sub. notes                                                                                            
5 1/2s, 2007                             --              --         250,000         360,000         160,000         230,400   
Inhale Therapeutic Systems 144A cv.                                                                                           
sub. notes 5s, 2007                      --              --         116,000         183,715          77,000         121,949   
Roche Holdings, Inc. 144A cv. unsub.                                                                                          
zero %, 2010 (Switzerland)               --              --       2,060,000       1,129,086       1,350,000         739,935   
                                             --------------                  --------------                  --------------   
                                                         --                       3,068,861                       1,972,253   

Photography and Imaging                                 --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Xerox Corp. cv. sub. deb. 0.57s, 2018    --              --         490,000         249,900         294,000         149,940   

Publishing                                              --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Times Mirror Co. cv. sub. notes                                                                                               
zero %, 2017                             --              --         426,000         278,498         280,000         183,050   

Real Estate                                             --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
EOP Operating LP 144A cv. sr. notes                                                                                           
7 1/4s, 2008                             --              --         373,000         380,926         234,000         238,973   

Retail                                                  --%                            0.1%                            0.2%   
---------------------------------------------------------------------------------------------------------------------------   
Amazon.com, Inc. cv. sub. deb. 4 3/4s,                                                                                        
2009                                     --              --         502,000         333,830         315,000         209,475   
Ann Taylor Stores Corp. cv. company                                                                                           
guaranty 0.55s, 2019                     --              --         400,000         225,500         400,000         225,500   
Costco Cos, Inc. cv. sub. notes                                                                                               
zero %, 2017                             --              --         700,000         587,125         500,000         419,375   
Office Depot, Inc. cv. zero %, 2007      --              --       1,500,000         907,500         700,000         423,500   
Rite Aid Corp. cv. sub. notes 5 1/4s,                                                                                         
2002                                     --              --         300,000         107,250         200,000          71,500   
                                             --------------                  --------------                  --------------   
                                                         --                       2,161,205                       1,349,350   

Semiconductor                                           --%                            0.1%                            0.1%   
---------------------------------------------------------------------------------------------------------------------------   
Advanced Energy Industries, Inc. cv.                                                                                          
sub. notes 5 1/4s, 2006                  --              --         200,000         185,250         200,000         185,250   
Conexant Systems, Inc. cv. sub. notes                                                                                         
4 1/4s, 2006                             --              --         200,000         383,250         200,000         383,250   
Conexant Systems, Inc. 144A cv. sub.                                                                                          
notes 4s, 2007                           --              --         200,000         142,750         200,000         142,750   
Conexant Systems, Inc. cv. sub.                                                                                               
notes 4s, 2007                           --              --         176,000         125,620         110,000          78,513   
Photronics, Inc. cv. sub. notes 6s,                                                                                           
2004                                     --              --         300,000         288,750         200,000         192,500   
                                             --------------                  --------------                  --------------   
                                                         --                       1,125,620                         982,263   

Software                                                --%                            0.3%                            0.7%   
---------------------------------------------------------------------------------------------------------------------------   
Akamai Technologies, Inc. 144A cv. sub.                                                                                       
notes 5 1/2s, 2007                       --              --         107,000          76,505          66,000          47,190   
BEA Systems, Inc. 144A cv. sub.                                                                                               
notes 4s, 2006                           --              --         605,000       1,434,606         366,000         867,878   
BEA Systems, Inc. cv. sub. notes 4s,                                                                                          
2006                                     --              --         201,000         476,621         126,000         298,778   
Citrix Systems, Inc. cv. sub. deb.                                                                                            
zero %, 2019                             --              --         283,000         103,295         174,000          63,510   
I2 Technologies, Inc. cv. sub. notes                                                                                          
5 1/4s, 2006                             --              --         406,000       1,044,943         254,000         653,733   
Mercury Interactive Corp. 144A cv.                                                                                            
bonds 4 3/4s, 2007                       --              --         304,000         470,820         187,000         289,616   
Network Associates, Inc. cv. sub deb.                                                                                         
zero %, 2018                             --              --       2,200,000         830,500       1,100,000         415,250   
Rational Software Corp. 144A cv. sub.                                                                                         
notes 5s, 2007                           --              --         500,000       1,035,000         300,000         621,000   
Siebel Systems, Inc. cv. sub. notes                                                                                           
5 1/2s, 2006                             --              --         220,000       1,066,450         138,000         668,955   
Veritas Software Corp. cv. disc.                                                                                              
notes 1.856s, 2006                       --              --         731,000       2,929,483         459,000       1,825,308   
                                             --------------                  --------------                  --------------   
                                                         --                       9,468,223                       5,751,218   

Technology Services                                     --%                            0.2%                            0.3%   
---------------------------------------------------------------------------------------------------------------------------   
America Online, Inc. cv. sub. notes 4s,                                                                                       
2002                                     --              --          71,000         584,419              --              --   
America Online, Inc. cv. sub. notes                                                                                           
zero %, 2019                             --              --       1,200,000         616,500       1,100,000         565,125   
Automatic Data Processing, Inc. cv.                                                                                           
deb. zero %, 2012                        --              --         300,000         528,750         200,000         352,500   
CNET Networks, Inc. cv. sub. notes 5s,                                                                                        
2006                                     --              --          56,000          48,370          34,000          29,368   
CheckFree Holdings Corp. 144A cv. sub.                                                                                        
notes 6 1/2s, 2006                       --              --         196,000         171,990         121,000         106,178   
EarthWeb, Inc. cv. sub. notes 7s,                                                                                             
2005                                     --              --         200,000          77,500              --              --   
Exodus Communications, Inc. 144A cv.                                                                                          
sub. notes 4 3/4s, 2008                  --              --         500,000         766,250         339,000         519,518   
Exodus Communications, Inc. cv. sub.                                                                                          
notes 4 3/4s, 2008                       --              --         657,000       1,006,853         380,000         582,350   
Internet Capital Group, Inc. cv. sub.                                                                                         
notes 5 1/2s, 2004                       --              --         449,000         231,235         279,000         143,685   
Safeguard Scientifics, Inc. cv. sub.                                                                                          
notes 5s, 2006                           --              --         296,000         294,150         200,000         198,750   
                                             --------------                  --------------                  --------------   
                                                         --                       4,326,017                       2,497,474   

Telecommunications                                      --%                            0.2%                            0.5%   
---------------------------------------------------------------------------------------------------------------------------   
Aether Systems, Inc. cv. sub. notes 6s,                                                                                       
2005                                     --              --         183,000         139,766         112,000          85,540   
American Tower Corp. cv. notes 6 1/4s,                                                                                        
2009                                     --              --          97,000         163,081          61,000         102,556   
Corecomm, Ltd. cv. sub. notes 6s,                                                                                             
2006                                     --              --         300,000         140,250         200,000          93,500   
Covad Communications Group, Inc. 144A                                                                                         
cv. sr. notes 6s, 2005                   --              --         250,000         231,250         160,000         148,000   
Cox Communications, Inc. cv. sub. deb.                                                                                        
0.426s, 2020                             --              --         887,000         368,105         550,000         228,250   
Level 3 Communication, Inc. cv. sub.                                                                                          
deb. 6s, 2010                            --              --         613,000         518,751         390,000         330,038   
Level 3 Communication, Inc. cv. sub.                                                                                          
notes 6s, 2009                           --              --         473,000         636,776         297,000         399,836   
Liberty Media Group 144A cv. deb.                                                                                             
3 3/4s, 2030                             --              --         962,000         739,538         421,000         323,644   
Liberty Media Group cv.                                                                                                       
mortgage-backed 4s, 2029                 --              --         957,000         893,599         598,000         558,383   
NTL, Inc. cv. sub. notes 7s,                                                                                                  
2008 (United Kingdom)                    --              --         296,000         393,310         187,000         248,476   
Nextel Communications, Inc. sr.                                                                                               
notes 5 1/4s, 2010                       --              --       1,401,000       1,313,438       1,125,000       1,054,688   
Pinnacle Holdings, Inc. 144A cv. sub.                                                                                         
notes 5 1/2s, 2007                       --              --         240,000         157,800         210,000         138,075   
Primus Telecommunications Group, Inc.                                                                                         
144A cv.sub. deb 5 3/4s, 2007            --              --          70,000          30,800          50,000          22,000   
                                             --------------                  --------------                  --------------   
                                                         --                       5,726,464                       3,732,986   

Tobacco                                                 --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
Standard Commercial Corp. cv. sub.                                                                                            
deb. 7 1/4s, 2007                        --              --         300,000         188,250         300,000         188,250   

Transaction Processing                                  --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
National Data Corp. cv. sub. notes 5s,                                                                                        
2003                                     --              --         600,000         529,500         246,000         217,095   

Waste Management                                        --%                             --%                             --%   
---------------------------------------------------------------------------------------------------------------------------   
HEALTHSOUTH Corp. cv. sub. deb.                                                                                               
3 1/4s, 2003                        110,000          91,575              --              --              --              --   
Parker Drilling Corp. cv. sub.                                                                                                
notes 5 1/2s, 2004                  440,000         372,900              --              --              --              --   
Waste Management, Inc. cv. sub.                                                                                               
notes 4s, 2002                           --              --         300,000         279,000         200,000         186,000   
                                             --------------                  --------------                  --------------   
                                                    464,475                         279,000                         186,000   
                                             --------------                  --------------                  --------------   
Total Convertible Bonds and Notes                                                                                             
(cost $437,783, $66,870,369 and                                                                                               
$42,395,696)                                 $      464,475                  $   68,251,366                  $   42,726,918   



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

                                                  GROWTH                       BALANCED                  CONSERVATIVE         
PURCHASED                                               --%                             --%                             --%   
OPTIONS                Expiration Date/       Contract                     Contract                  Contract                 
OUTSTANDING(a)          Strike Price           Amount          Value        Amount         Value      Amount          Value   
---------------------------------------------------------------------------------------------------------------------------   
                                                                                                                              
Japanese Government                                                                                                           
Bond Future Contracts                                                                                                         
(Call)                  Oct-00/110.6         $19,967,577      $11,142   $        --     $     --   $       --     $      --   
Japanese Government                                                                                                           
Bond Future Contracts                                                                                                         
(Call)                  Oct-00/110.6          20,125,127       12,075            --           --           --            --   
NA Van Lines (Put)       Oct-00/93.0           1,000,000        7,950            --           --           --            --   
                                                             --------                   --------                   --------   
Total Purchased Options                                                                                                       
Outstanding (cost $378,955,                                                                                                   
$0 and $0)                                                    $31,167                   $     --                   $     --   
---------------------------------------------------------------------------------------------------------------------------   



                                        GROWTH                              BALANCED                    CONSERVATIVE          

FOREIGN GOVERNMENT               Principal              --%        Principal           0.2%       Principal            0.4%   
BONDS AND NOTES(a)                 Amount             Value         Amount            Value         Amount            Value   
---------------------------------------------------------------------------------------------------------------------------   
                                                                                                                              
Ontario (Province of) sr. unsub.                                                                                              
5 1/2s, 2008 (Canada)           $        --  $           --     $ 4,590,000  $    4,208,112      $2,400,000  $    2,200,320   
Quebec (Province of) sr. unsub.                                                                                               
5 3/4s, 2009 (Canada)                    --              --       1,985,000       1,826,002       1,175,000       1,080,883   
                                             --------------                  --------------                  --------------   
Total Foreign Government                                                                                                      
Bonds and Notes (cost                                                                                                         
$0, $5,842,017 and                                                                                                            
$3,216,118)                                  $           --                  $    6,034,114                  $    3,281,203   
---------------------------------------------------------------------------------------------------------------------------   

                                        GROWTH                              BALANCED                    CONSERVATIVE          
                                                       7.4%                           14.6%                           21.9%   
SHORT-TERM                       Principal                         Principal                      Principal                   
INVESTMENTS(a)                     Amount             Value          Amount           Value         Amount            Value   
---------------------------------------------------------------------------------------------------------------------------   
Asset Securitization Cooperative                                                                                              
Corp. effective yield of 6.49s,                                                                                               
November 14, 2000               $        --  $           --     $50,000,000  $   49,603,389      $       --  $           --   
Barclays U.S. Funding Corp.                                                                                                   
effective yield of 6 1/2s,                                                                                                    
October 10, 2000                         --              --              --              --      20,000,000      19,967,500   
CBA Delaware Finance                                                                                                          
effective yield of 6.49s,                                                                                                     
October 10, 2000                         --              --      25,000,000      24,959,437              --              --   
Corporate Asset effective yield                                                                                               
of 6 1/2s, November 22, 2000             --              --              --              --      25,000,000      24,765,278   
Corporate Receivables Corp.                                                                                                   
effective yield of 6 1/2s,                                                                                                    
November 7, 2000                         --              --      25,000,000      24,832,986              --              --   
CXC Incorp. effective yield                                                                                                   
of 6 1/2s, December 15,                                                                                                       
2000                                     --              --              --              --      28,000,000      27,671,389   
Falcon Asset Securitization                                                                                                   
Corp. effective yield of 6.52s,                                                                                               
October 4, 2000                          --              --      40,000,000      39,978,267              --              --   
Formosa Plstics Corp. effective                                                                                               
yield of 6.52s, October 4, 2000  20,000,000      19,989,133              --              --              --              --   
Merrill Lynch & Co., Inc.                                                                                                     
effective yield of 6.49s,                                                                                                     
October 11, 2000                         --              --              --              --      20,000,000      19,963,944   
Old Line Funding Corp. effective                                                                                              
yield of 6 1/2s, November 3, 2000        --              --              --              --      20,000,000      19,880,833   
Old Slip Funding Corp. effective                                                                                              
yield of 6.53s, November 1, 2000         --              --      18,864,000      18,751,083              --              --   
Park Avenue Receivables                                                                                                       
effective yield of 6.52s,                                                                                                     
October 17, 2000                         --              --      50,000,000      49,855,111              --              --   
Sheffield Receivables                                                                                                         
Corp. effective yield of 6.52s,                                                                                               
October 19, 2000                 50,000,000      49,837,000              --              --              --              --   
Sigma Finance, Inc. effective                                                                                                 
yield of 6 1/2s, October 13,                                                                                                  
2000                                     --              --      41,900,000      41,809,217              --              --   
Sigma Finance, Inc. effective                                                                                                 
yield of 6 1/2s, October 23,                                                                                                  
2000                             25,000,000      24,900,694              --              --              --              --   
Sigma Finance, Inc. effective                                                                                                 
yield of 6 1/2s, November 16,                                                                                                 
2000                                     --              --              --              --      20,000,000      19,833,889   
Thunder Bay Funding, Inc.                                                                                                     
effective yield of 6.51s,                                                                                                     
October 5, 2000                          --              --      29,946,000      29,924,339              --              --   
Venture Business Trust effective                                                                                              
yield of 6.52s, October 6, 2000          --              --      30,000,000      29,972,833              --              --   
Interest in $789,642,000                                                                                                      
joint repurchase agreement dated                                                                                              
September 29, 2000 with Morgan                                                                                                
(J.P.) & Co., Inc. due October                                                                                                
2, 2000 with respect to                                                                                                       
various U.S. Government                                                                                                       
Agency obligations --                                                                                                         
maturity value of $40,090,204,                                                                                                
$56,930,154, and $41,141,787,                                                                                                 
for an effective yield of                                                                                                     
6.65%                            40,068,000      40,068,000      56,920,000      56,920,000      41,119,000      41,119,000   
Interest in $843,280,000                                                                                                      
joint repurchase agreement dated                                                                                              
September 29, 2000 with Morgan                                                                                                
Stanley & Co., Inc. due October                                                                                               
2, 2000 with respect to                                                                                                       
various U.S. Government                                                                                                       
Agency obligations --                                                                                                         
maturity value of 4,443,454,                                                                                                  
for an effective yield of 6.63%          --              --              --              --       4,441,000       4,441,000   
US Treasury 5.99s, December                                                                                                   
21, 2000 (SEG)                           --              --      29,680,000      29,282,813              --              --   
US Treasury 5.975s, December                                                                                                  
21, 2000 (SEG)                   11,925,000      11,764,692              --              --              --              --   
US Treasury 5.432s, December                                                                                                  
21, 2000 (SEG)                           --              --              --              --       4,200,000       4,143,539   
                                             --------------                  --------------                  --------------   
Total Short-Term Investments                                                                                                  
(cost $146,559,519, $395,889,475                                                                                              
and $181,786,372)                            $  146,559,519                  $  395,889,475                    $181,786,372   
---------------------------------------------------------------------------------------------------------------------------   
Total Investments (cost                                                                                                       
$1,935,566,940, $2,514,816,587                                                                                                
and $823,168,817)                            $1,968,684,046                  $2,682,528,875                    $817,825,069   
---------------------------------------------------------------------------------------------------------------------------   



(a) Percentages indicated are based on net assets as follows:                                                                 
------------------------------------------------------------------                                                            
Growth portfolio              $1,978,571,472                                                                                  
Balanced portfolio             2,710,173,254                                                                                  
Conservative portfolio           829,434,220                                                                                  
------------------------------------------------------------------                                                            
(b) The aggregate identified cost on a tax basis is as follows:                                                               

                                                                                           Unrealized                         
                               Aggregate         Gross Unrealized   Gross Unrealized      Appreciation/                       
                            Identified Cost        Appreciation       Depreciation       (Depreciation)                       
---------------------------------------------------------------------------------------------------------                     
                                                                                                                              
Growth portfolio            $ 1,962,582,535        $168,791,139       $162,689,628        $  6,101,511                        
Balanced portfolio            2,533,907,081         305,190,325        156,568,531         148,621,794                        
Conservative portfolio          825,616,466          30,391,596         38,182,993          (7,791,397)                       
---------------------------------------------------------------------------------------------------------                     

(NON) Non-income-producing security.                                                                                          

(STP) The interest or dividend rate and date shown parenthetically represent the new interest or                              
      dividend rate to be paid and the date the fund will begin receiving interest or dividend income                         
      at this rate.                                                                                                           

(PIK) Income may be received in cash or additional securities at the discretion of the issuer.                                

(REL) BiPop-Carire SpA is involved in a joint venture with Putnam Investments.                                                

(SEG) A portion of these securities were pledged and segregated with the custodian to cover margin                            
      requirements  for futures contracts at September 30, 2000.                                                              

  (R) Real Estate Investment Trust.                                                                                           

      144A after the name of a security represents those exempt from registration under Rule 144A of                          
      the Securities Act of 1933. These securities may be resold  in transactions exempt from                                 
      registration, normally to qualified institutional buyers.                                                               

      ADR or GDR after the name of a foreign holding stands for American Depositary Receipts or Global                        
      Depositary Receipts representing ownership of foreign securities on deposit with a domestic                             
      custodian bank.                                                                                                         

      TBA after the name of a security represents to be announced securities (Note 1).                                        

      The rates shown on Floating Rate Notes (FRN) are the current interest rates at September 30, 2000,                      
      which are subject to change based on the terms of the security.                                                         

      DIVERSIFICATION BY COUNTRY                                                                                              

      Distribution of investments by country of issue at September 30, 2000:                                                  
      (as percentage of Market Value)                                                                                         

      Growth Portfolio                                                                                                        
      -----------------------------------                                                                                     
      Brazil                         1.0%                                                                                     
      Canada                         1.5                                                                                      
      Finland                        1.0                                                                                      
      France                         3.6                                                                                      
      Germany                        1.8                                                                                      
      Hong Kong                      1.0                                                                                      
      Italy                          1.0                                                                                      
      Japan                          4.7                                                                                      
      Mexico                         1.1                                                                                      
      Netherlands                    2.2                                                                                      
      South Korea                    1.0                                                                                      
      Spain                          1.0                                                                                      
      Sweden                         1.0                                                                                      
      Switzerland                    2.1                                                                                      
      Taiwan                         1.0                                                                                      
      United Kingdom                 6.0                                                                                      
      United States                 65.1                                                                                      
      Other                          3.9                                                                                      
      -----------------------------------                                                                                     
      Total                        100.0%                                                                                     

      Distribution of investments by country of issue at September 30, 2000: (as percentage of Market Value)                  

      Balanced Portfolio                                                                                                      
      -----------------------------------                                                                                     
      Canada                         1.1%                                                                                     
      France                         1.9                                                                                      
      Germany                        1.0                                                                                      
      Japan                          1.8                                                                                      
      Netherlands                    1.5                                                                                      
      Switzerland                    1.2                                                                                      
      United Kingdom                 3.1                                                                                      
      United States                 84.8                                                                                      
      Other                          3.6                                                                                      
      -----------------------------------                                                                                     
      Total                        100.0%                                                                                     

      Distribution of investments by country of issue at September 30, 2000: (as percentage of Market Value)                  

      Conservative Portfolio                                                                                                  
      -----------------------------------                                                                                     

      Bermuda                        1.0%                                                                                     
      Canada                         1.1                                                                                      
      France                         1.0                                                                                      
      Japan                          1.0                                                                                      
      Netherlands                    1.0                                                                                      
      United Kingdom                 1.7                                                                                      
      United States                 91.1                                                                                      
      Other                          2.1                                                                                      
      -----------------------------------                                                                                     
      Total                        100.0%                                                                                     

-----------------------------------------------------------------------------                                                 
Forward Currency Contracts                                                                                                    
to Buy at September 30, 2000                                                                                                  
(aggregate face value $216,869,058)                                                                                           

                                                         GROWTH                                                               
                                                                  Unrealized                                                  
                                    Aggregate Face   Delivery    Appreciation/                                                
                     Market Value        Value         Date     (Depreciation)                                                
-----------------------------------------------------------------------------                                                 
Australian Dollars    $49,665,559     $52,839,946    12/20/00     $(3,174,387)                                                
British Pounds          8,931,176       8,526,887    12/20/00         404,289                                                 
Canadian Dollars          196,521         197,542    12/20/00          (1,021)                                                
Euro Dollars          118,758,996     119,539,655    12/20/00        (780,659)                                                
Greek Drachma           5,127,227       5,032,782    12/20/00          94,445                                                 
Japanese Yen           20,575,598      20,731,632    12/20/00        (156,034)                                                
Swedish Krona           9,970,536      10,000,614    12/20/00         (30,078)                                                
-----------------------------------------------------------------------------                                                 
                                                                  $(3,643,445)                                                
-----------------------------------------------------------------------------                                                 
Forward Currency Contracts                                                                                                    
to Sell at September 30, 2000                                                                                                 
(aggregate face value $436,208,257)                                                                                           

                                              GROWTH                                                                          
                                                                  Unrealized                                                  
                          Market     Aggregate Face  Delivery    Appreciation/                                                
                          Value           Value        Date     (Depreciation)                                                
-----------------------------------------------------------------------------                                                 
Australian Dollars     $3,424,814      $3,645,004    12/20/00     $   220,190                                                 
British Pounds         68,347,923      67,082,266    12/20/00      (1,265,657)                                                
Canadian Dollars       18,539,142      18,897,229    12/20/00         358,087                                                 
Danish Krone            1,510,025       1,530,661    12/20/00          20,636                                                 
Euro Dollars          192,507,604     193,603,548    12/20/00       1,095,944                                                 
Hong Kong Dollar       11,244,261      11,244,115    12/20/00            (146)                                                
Japanese Yen           93,112,069      96,113,657    12/20/00       3,001,588                                                 
Singapore Dollar        4,991,183       5,050,000    12/20/00          58,817                                                 
Swiss Franc            22,480,869      22,463,196    12/20/00         (17,673)                                                
Swedish Krona          14,443,752      14,864,795    12/20/00         421,043                                                 
Mexican Peso            1,759,434       1,713,786    12/20/00         (45,648)                                                
-----------------------------------------------------------------------------                                                 
                                                                  $ 3,847,181                                                 
-----------------------------------------------------------------------------                                                 

-----------------------------------------------------------------------------                                                 
Futures Contracts Outstanding                                                                                                 
at September 30, 2000                                                                                                         

                                                         GROWTH                                                               
                                                                  Unrealized                                                  
                                      Aggregate Face Expiration  Appreciation/                                                
                        Total Value        Value        Date    (Depreciation)                                                
-----------------------------------------------------------------------------                                                 
ASX Index (long)        $46,921,383    $ 46,931,543    Dec-00  $   (10,160)                                                   
CAC 40 (short)            7,549,691       7,597,338    Oct-00       47,647                                                    
DAX Index (long)            454,818         485,328    Dec-00      (30,510)                                                   
DAX Index (short)         5,609,425       5,966,331    Dec-00      356,906                                                    
Euro-Bund 10yr (short)   15,606,471      15,581,628    Dec-00      (24,843)                                                   
FT-SE 100 (short)        43,595,797      45,530,042    Dec-00    1,934,245                                                    
Gilt (short)             10,881,849      10,799,786    Dec-00      (82,063)                                                   
JGB 10yr (long)          23,895,307      23,646,085    Dec-00      249,222                                                    
MIB 30 Index (short)      5,038,465       5,371,364    Dec-00      332,899                                                    
S & P 500 Index (long)    7,631,925       7,979,636    Dec-00     (347,711)                                                   
S & P 500 Index (short)   3,634,250       3,809,083    Dec-00      174,833                                                    
Topix (long)             35,106,915      35,623,480    Dec-00     (516,565)                                                   
US Agency 10yr (long)     1,701,844       1,693,686    Dec-00        8,158                                                    
US Long Bond (long)       1,282,531       1,281,930    Dec-00          601                                                    
US Treasury Note 10yr                                                                                                         
(long)                   40,688,813      40,677,845    Dec-00       10,968                                                    
US Treasury Note 10yr                                                                                                         
(short)                 216,372,281     216,207,871    Dec-00     (164,410)                                                   
US Treasury Note 5yr                                                                                                          
(long)                   40,111,969      39,901,696    Dec-00      210,273                                                    
US Treasury Note 2yr                                                                                                          
(long)                    2,000,156       1,999,105    Dec-00        1,051                                                    
----------------------------------------------------------------------------                                                  
                                                               $ 2,150,541                                                    
----------------------------------------------------------------------------                                                  



--------------------------------------------------------------------------------------------                                  
Swap Contracts Outstanding                                                                                                    
at September 30, 2000                                                                                                         

                                                                        GROWTH                                                
                                                                                 Unrealized                                   
                                                    Notional     Termination    Appreciation/                                 
                                                     Amount         Date       Depreciation                                   
--------------------------------------------------------------------------------------------                                  
                                                                                                                              
Agreement with Lehman Brothers, Inc. dated                                                                                    
February 29, 2000 to receive (pay) monthly the                                                                                
notional amount multiplied by the return of the                                                                               
Lehman Brothers U.S. Government Index and pay                                                                                 
the notional amount multiplied by one month                                                                                   
LIBOR adjusted by a specified spread.              $67,860,829     Mar-03         $ 103,928                                   

Agreement with J.P. Morgan Securities, Inc. dated                                                                             
May 15, 2000 to receive (pay) monthly the notional                                                                            
amount multiplied by the return of the Lehman                                                                                 
Brothers U.S. Government Bond Index and pay the                                                                               
notional amount multiplied by one month LIBOR                                                                                 
adjusted by a specified spread.                     58,321,809     Jun-03          (321,150)                                  

Agreement with Deutshe Bank AG dated                                                                                          
September 5, 2000 to receive (pay)                                                                                            
semi-annually the notional amount                                                                                             
multiplied by 6.845% and pay quarterly                                                                                        
the notional amount multiplied by three                                                                                       
months LIBOR adjusted by a specified spread.        18,000,000     Sep-05           (39,098)                                  

Agreement with Deutshe Bank AG dated                                                                                          
September 21, 2000 to receive (pay)                                                                                           
semi-annually the notional amount multiplied                                                                                  
by the return of 7.0275% and pay quarterly                                                                                    
the notional amount multiplied by three                                                                                       
months LIBOR adjusted by a specified spread.         7,300,000     Sep-10           (65,253)                                  

Agreement with Merrill Lynch, Pierce, Fenner &                                                                                
Smith, Inc. dated September 29, 2000 to                                                                                       
receive (pay) monthly the notional amount                                                                                     
multiplied by the return of the Merrill Lynch                                                                                 
Mortgage Index and pay the notional amount                                                                                    
multiplied by one month LIBOR adjusted by a                                                                                   
specified spread.                                   13,000,278     Dec-00              (773)                                  

Agreement with Salomon Brothers dated                                                                                         
January 28, 2000 to receive (pay)                                                                                             
monthly the notional amount multiplied by the                                                                                 
return of the Salomon Brothers Non-U.S. World                                                                                 
Government bond Index (hedged) and pay the                                                                                    
notional amount multiplied by one month LIBOR                                                                                 
adjusted by a specified spread.                    105,662,826     Jan-03           238,229                                   

Agreement with Salomon Brothers dated                                                                                         
January 28, 2000 to receive (pay)                                                                                             
monthly the notional amount multiplied by the                                                                                 
return of the Salomon Brothers Non-U.S. World                                                                                 
Government Bond Index (unhedged) and pay the                                                                                  
notional amount multiplied by one month LIBOR                                                                                 
adjusted by a specified spread.                     96,683,645     Jan-03            84,480                                   
-------------------------------------------------------------------------------------------                                   
                                                                                   $    363                                   
-------------------------------------------------------------------------------------------                                   
Forward Currency Contracts to Buy                                                                                             
at September 30, 2000                                                                                                         
(aggregate face value $284,893,847)                                                                                           

                                                     BALANCED                                                                 
                                                                Unrealized                                                    
                                   Aggregate Face  Delivery    Appreciation/                                                  
                    Market Value        Value        Date     (Depreciation)                                                  
---------------------------------------------------------------------------                                                   
Australian Dollars  $ 48,446,162    $ 51,546,676   12/20/00     $(3,100,514)                                                  
British Pounds         8,491,574       8,107,184   12/20/00         384,390                                                   
Canadian Dollars       9,334,118       9,518,359   12/20/00        (184,241)                                                  
Euro Dollars         168,053,213     169,048,869   12/20/00        (995,656)                                                  
Greek Drachma          1,199,331       1,224,870   12/20/00         (25,539)                                                  
Japanese Yen          32,855,917      33,922,335   12/20/00      (1,066,418)                                                  
Swedish Krona         10,202,171      10,232,628   12/20/00         (30,457)                                                  
Swiss Franc            1,295,404       1,292,926   12/20/00           2,478                                                   
---------------------------------------------------------------------------                                                   
                                                                $(5,015,957)                                                  
---------------------------------------------------------------------------                                                   

---------------------------------------------------------------------------                                                   
Forward Currency Contracts to Sell                                                                                            
at September 30, 2000                                                                                                         
(aggregate face value $569,230,536)                                                                                           

                                                     BALANCED                                                                 
                                                                Unrealized                                                    
                         Market    Aggregate Face  Delivery    Appreciation/                                                  
                         Value          Value        Date     (Depreciation)                                                  
---------------------------------------------------------------------------                                                   
Australian Dollars  $  9,398,202    $  9,997,940   12/20/00     $   599,738                                                   
British Pounds        89,606,168      87,969,005   12/20/00      (1,637,163)                                                  
Canadian Dollars      34,484,573      35,165,566   12/20/00         680,993                                                   
Euro Dollars         283,788,041     285,139,669   12/20/00       1,351,628                                                   
Greek Drachma          1,199,331       1,225,359   12/20/00          26,028                                                   
Hong Kong Dollars     14,877,115      14,876,922   12/20/00            (193)                                                  
Japanese Yen          80,963,982      83,577,376   12/20/00       2,613,394                                                   
Singapore Dollars      4,179,852       4,229,108   12/20/00          49,256                                                   
Swedish Krona         16,554,680      17,037,258   12/20/00         482,578                                                   
Swiss Franc           30,069,987      30,012,333   12/20/00         (57,654)                                                  
---------------------------------------------------------------------------                                                   
                                                                $ 4,108,605                                                   
---------------------------------------------------------------------------                                                   
Futures Contracts Outstanding                                                                                                 
at September 30, 2000                                                                                                         

                                                     BALANCED                                                                 
                                                                   Unrealized                                                 
                                       Aggregate Face Expiration  Appreciation/                                               
                          Total Value       Value        Date   (Depreciation)                                                
------------------------------------------------------------------------------                                                
ASX Index (long)          $63,938,789   $ 63,935,955    Dec-00  $      2,834                                                  
ASX Index (short)           2,245,042      2,213,728    Dec-00       (31,314)                                                 
CAC 40 (short)             23,648,297     23,797,424    Oct-00       149,127                                                  
DAX Index (short)          19,860,395     21,124,036    Dec-00     1,263,641                                                  
FT-SE 100 (short)         102,412,541    106,956,173    Dec-00     4,543,632                                                  
Hang Seng (short)           3,121,192      3,049,808    Oct-00       (71,384)                                                 
IBEX Plus (short)           6,945,102      7,202,072    Oct-00       256,970                                                  
JGB 10yr (long)            34,188,670     33,836,168    Dec-00       352,502                                                  
MIB 30 Index (short)        8,464,621      9,023,891    Dec-00       559,270                                                  
Nikkei 225 (short)          9,345,552      9,682,703    Dec-00       337,151                                                  
OMX (short)                 3,169,397      3,371,210    Oct-00       201,813                                                  
Russell 2000 Index                                                                                                            
(short)                   121,565,700    125,170,428    Dec-00     3,604,728                                                  
S & P 500 Index (long)    320,904,275    333,975,196    Dec-00   (13,070,921)                                                 
S & P/TSE 60 Index (short)  8,053,560      8,447,855    Dec-00       394,295                                                  
Topix (long)               48,578,173     49,292,307    Dec-00      (714,134)                                                 
Topix (short)              21,499,583     21,667,119    Dec-00       167,536                                                  
US Agency 10yr (long)       2,930,953      2,911,710    Dec-00        19,243                                                  
US Treasury Note 10yr                                                                                                         
(long)                     57,224,906     57,209,489    Dec-00        15,417                                                  
US Treasury Note 10yr                                                                                                         
(short)                   287,327,157    287,019,130    Dec-00      (308,027)                                                 
US Treasury Note 5yr                                                                                                          
(long)                     64,541,063     64,230,229    Dec-00       310,834                                                  
US Treasury Note 5yr                                                                                                          
(short)                     4,825,500      4,792,602    Dec-00       (32,898)                                                 
----------------------------------------------------------------------------                                                  
                                                               $  (2,049,685)                                                 
----------------------------------------------------------------------------                                                  

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



Swap Contracts Outstanding                                                                                                    
at September 30, 2000                                                                                                         

                                                                       BALANCED                                               
                                                                                 Unrealized                                   
                                                    Notional     Termination    Appreciation/                                 
                                                     Amount         Date       (Depreciation)                                 
--------------------------------------------------------------------------------------------                                  
                                                                                                                              
Agreement with Lehman Brothers, Inc. dated                                                                                    
February 29, 2000 to receive (pay) monthly the                                                                                
notional amount multiplied by the return of the                                                                               
Lehman Brothers U.S. Government Bond Index and                                                                                
pay the notional amount multiplied by one month                                                                               
LIBOR  adjusted by a specified spread.           $144,204,775      Mar-03         $ 220,847                                   

Agreement with J.P. Morgan Securities, Inc. dated                                                                             
March 15, 2000 to receive (pay) monthly the                                                                                   
notional amount multiplied by the return of the                                                                               
Lehman Brothers U. S. Government Bond Index and                                                                               
pay the notional amount multiplied by one month                                                                               
LIBOR adjusted by a specified spread.             121,945,693      Jun-03          (671,495)                                  
--------------------------------------------------------------------------------------------                                  
                                                                                  $(450,648)                                  
--------------------------------------------------------------------------------------------                                  
Forward Currency Contracts to Buy                                                                                             
at September 30, 2000                                                                                                         
(aggregate face value $97,048,429)                                                                                            

                                                     CONSERVATIVE                                                             
                                                                Unrealized                                                    
                                   Aggregate Face   Delivery   Appreciation/                                                  
                    Market Value        Value         Date    (Depreciation)                                                  
----------------------------------------------------------------------------                                                  

Australian Dollars   $17,244,744     $18,349,610    12/20/00     $(1,104,866)                                                 
Canadian Dollars       2,892,534       2,949,628    12/20/00         (57,094)                                                 
Danish Krone               1,185           1,202    12/20/00             (17)                                                 
Euro Dollars          71,837,846      72,285,463    12/20/00        (447,617)                                                 
Greek Drachma            312,360         319,012    12/20/00          (6,652)                                                 
Swedish Krona          3,132,973       3,142,264    12/20/00          (9,291)                                                 
Swiss Franc                1,253           1,250    12/20/00               3                                                  
----------------------------------------------------------------------------                                                  
                                                                 $(1,625,534)                                                 
----------------------------------------------------------------------------                                                  
Forward Currency Contracts to Sell                                                                                            
at September 30, 2000                                                                                                         
(aggregate face value $114,625,703)                                                                                           

                                                     CONSERVATIVE                                                             
                                                                Unrealized                                                    
                         Market     Aggregate Face  Delivery   Appreciation/                                                  
                         Value           Value        Date    (Depreciation)                                                  
----------------------------------------------------------------------------                                                  
Australian Dollars    $2,805,094      $2,983,784    12/20/00        $178,690                                                  
British Pounds         8,661,642       8,502,869    12/20/00        (158,773)                                                 
Canadian Dollars       3,226,287       3,290,069    12/20/00          63,782                                                  
Euro Dollars          82,118,914      82,450,257    12/20/00         331,343                                                  
Greek Drachma            314,129         320,946    12/20/00           6,817                                                  
Hong Kong Dollars      2,144,733       2,144,705    12/20/00            (28)                                                  
Japanese Yen           7,139,021       7,370,735    12/20/00         231,714                                                  
Singapore Dollars        820,147         829,812    12/20/00           9,665                                                  
Swedish Krona          2,168,611       2,231,828    12/20/00          63,217                                                  
Swiss Franc            4,509,344       4,500,698    12/20/00          (8,646)                                                 
----------------------------------------------------------------------------                                                  
                                                                    $717,781                                                  
----------------------------------------------------------------------------                                                  

----------------------------------------------------------------------------                                                  
Futures Contracts Outstanding                                                                                                 
at September 30, 2000                                                                                                         

                                                        CONSERVATIVE                                                          
                                                                 Unrealized                                                   
                                      Aggregate Face Expiration  Appreciation/                                                
                        Total Value        Value        Date    (Depreciation)                                                
-----------------------------------------------------------------------------                                                 
ASX Index (long)        $15,849,995     $15,852,892    Dec-00      $   (2,897)                                                
CAC 40 (short)            2,553,572       2,569,683    Oct-00          16,111                                                 
DAX Index (short)         1,970,879       2,096,278    Dec-00         125,399                                                 
Euro-Bund 10yr (short)    7,989,027       7,976,309    Dec-00         (12,718)                                                
FT-SE 100 (short)         7,798,386       8,144,518    Dec-00         346,132                                                 
Gilt (short)              1,506,718       1,495,355    Dec-00         (11,363)                                                
JGB 10yr (long)           8,945,423       8,850,935    Dec-00          94,488                                                 
MIB 30 Index (short)      1,007,693       1,074,273    Dec-00          66,580                                                 
S & P 500 Index (short)   6,905,075       7,237,257    Dec-00         332,182                                                 
Topix (long)             11,974,452      12,150,750    Dec-00        (176,298)                                                
US Agency 10yr (long)     1,607,297       1,596,744    Dec-00          10,553                                                 
US Long Bond                986,563       1,002,503    Dec-00         (15,940)                                                
US Treasury Note 10yr                                                                                                         
(long)                   30,666,937      30,658,702    Dec-00           8,235                                                 
US Treasury Note 10yr                                                                                                         
(short)                  88,092,281      88,159,187    Dec-00         (66,906)                                                
US Treasury Note 5yr                                                                                                          
(long)                   16,688,188      16,603,456    Dec-00          84,732                                                 
US Treasury Note 5yr                                                                                                          
(short)                   2,513,281       2,496,168    Dec-00         (17,113)                                                
-----------------------------------------------------------------------------                                                 
                                                                    $ 781,177                                                 
-----------------------------------------------------------------------------                                                 



Swap Contracts Outstanding                                                                                                    
at September 30, 2000                                                                                                         

                                                                      CONSERVATIVE                                            
                                                                                Unrealized                                    
                                                    Notional     Termination   Appreciation/                                  
                                                     Amount         Date      (Depreciation)                                  
--------------------------------------------------------------------------------------------                                  
                                                                                                                              
Agreement with Lehman Brothers, Inc. dated                                                                                    
February 29, 2000 to receive (pay) monthly the                                                                                
notional amount multiplied by the return of the                                                                               
Lehman Brothers U.S. Government Bond Index and                                                                                
pay the notional amount multiplied by one month                                                                               
LIBOR adjusted by a specified spread.             $37,111,455       Mar-03       $  56,836                                    

Agreement with J.P. Morgan Securities, Inc. dated                                                                             
March 15, 2000 to receive (pay) monthly the notional                                                                          
amount multiplied by the return of the Lehman                                                                                 
Brothers U.S. Government Bond Index and pay the                                                                               
notional amount multiplied by one month LIBOR                                                                                 
adjusted by a specified spread.                    31,812,455       Jun-03        (175,176)                                   

Agreement with Salomon Brothers dated January 28,                                                                             
2000 to receive (pay) monthly the notional                                                                                    
amount multiplied by the return of the Salomon                                                                                
Brothers Non-U.S. World Government Bond Index                                                                                 
(unhedged) and pay the notional amount multiplied                                                                             
by one month LIBOR adjusted by a specified                                                                                    
spread.                                           102,237,323       Jan-03         230,505                                    
--------------------------------------------------------------------------------------------                                  
                                                                                 $ 112,165                                    
--------------------------------------------------------------------------------------------                                  

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


                                                        [Enlarge/Download Table]


STATEMENT OF ASSETS AND LIABILITIES                                                           
September 30, 2000                                                                            

Putnam Asset Allocation: Growth Portfolio                                                     
                                                                                              
Assets                                                                                        
----------------------------------------------------------------------------------------------
Investments in securities, at value (identified cost $1,935,566,940) (Note 1)   $1,968,684,046
----------------------------------------------------------------------------------------------
Cash                                                                                    35,649
----------------------------------------------------------------------------------------------
Foreign currency (cost $19,059,240)                                                 19,112,928
----------------------------------------------------------------------------------------------
Dividends, interest and other receivables                                            8,041,422
----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold                                               3,544,313
----------------------------------------------------------------------------------------------
Receivable for securities sold                                                      21,222,914
----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts                                       910,309
----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts                                       5,936,217
----------------------------------------------------------------------------------------------
Receivable for closed swap contracts                                                   105,064
----------------------------------------------------------------------------------------------
Receivable for open swap contracts (Note 1)                                            426,637
----------------------------------------------------------------------------------------------
Total assets                                                                     2,028,019,499

Liabilities                                                                                   
----------------------------------------------------------------------------------------------
Payable for variation margin                                                            34,882
----------------------------------------------------------------------------------------------
Payable for securities purchased                                                    29,783,487
----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased                                           3,456,422
----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2)                                         2,976,166
----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2)                           1,248,244
----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2)                                           55,467
----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2)                                             4,275
----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2)                                               1,070,838
----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts                                        2,609,915
----------------------------------------------------------------------------------------------
Payable for open forward currency contracts                                          5,732,481
----------------------------------------------------------------------------------------------
Payable for closed swap contracts                                                    1,870,979
----------------------------------------------------------------------------------------------
Payable  for open swap contracts (Note 1)                                              426,274
----------------------------------------------------------------------------------------------
Other accrued expenses                                                                 178,597
----------------------------------------------------------------------------------------------
Total liabilities                                                                   49,448,027
----------------------------------------------------------------------------------------------
Net assets                                                                      $1,978,571,472

Represented by                                                                                
----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4)                                                 $1,598,745,954
----------------------------------------------------------------------------------------------
Undistributed net investment income (Note 1)                                         8,277,388
----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and foreign currency                             
transactions (Note 1)                                                              336,006,904
----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and assets and liabilities in                      
foreign currencies                                                                  35,541,226
----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to capital shares outstanding       $1,978,571,472

Computation of net asset value and offering price                                             
----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share                                        
($817,886,595 divided by 56,504,869 shares)                                             $14.47
----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $14.47)*                                 $15.35
----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share                                          
($469,645,139 divided by 33,054,569 shares)**                                           $14.21
----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share                                          
($135,438,997 divided by 9,617,109 shares)**                                            $14.08
----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share                                        
($67,225,122 divided by 4,716,651 shares)                                               $14.25
----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $14.25)*                                 $14.77
----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share                        
($488,375,619 divided by 33,495,847 shares)                                             $14.58
----------------------------------------------------------------------------------------------

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

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

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


                                                        [Enlarge/Download Table]


STATEMENT OF OPERATIONS                                                                        
Year ended September 30, 2000                                                                  

Putnam Asset Allocation: Growth Portfolio                                                      
                                                                                               
Investment income:                                                                             
---------------------------------------------------------------------------------------------- 
Interest income                                                                  $  39,171,591 
---------------------------------------------------------------------------------------------- 
Dividends (net of foreign tax of $933,151)                                          19,392,666 
---------------------------------------------------------------------------------------------- 
Total investment income                                                             58,564,257 

Expenses:                                                                                      
---------------------------------------------------------------------------------------------- 
Compensation of Manager (Note 2)                                                    11,504,965 
---------------------------------------------------------------------------------------------- 
Investor servicing and custodian fees (Note 2)                                       5,854,487 
---------------------------------------------------------------------------------------------- 
Compensation of Trustees (Note 2)                                                       38,208 
---------------------------------------------------------------------------------------------- 
Administrative services (Note 2)                                                        17,464 
---------------------------------------------------------------------------------------------- 
Distribution fees -- Class A (Note 2)                                                1,974,696 
---------------------------------------------------------------------------------------------- 
Distribution fees -- Class B (Note 2)                                                5,091,219 
---------------------------------------------------------------------------------------------- 
Distribution fees -- Class C (Note 2)                                                1,263,765 
---------------------------------------------------------------------------------------------- 
Distribution fees -- Class M (Note 2)                                                  506,298 
---------------------------------------------------------------------------------------------- 
Other                                                                                  632,283 
---------------------------------------------------------------------------------------------- 
Total expenses                                                                      26,883,385 
---------------------------------------------------------------------------------------------- 
Expense reduction (Note 2)                                                            (661,336)
---------------------------------------------------------------------------------------------- 
Net expenses                                                                        26,222,049 
---------------------------------------------------------------------------------------------- 
Net investment income                                                               32,342,208 
---------------------------------------------------------------------------------------------- 
Net realized gain on investments (Notes 1 and 3)                                   428,378,785 
---------------------------------------------------------------------------------------------- 
Net realized loss on futures contracts (Note 1)                                    (68,667,006)
---------------------------------------------------------------------------------------------- 
Net realized loss on foreign currency transactions (Note 1)                        (12,774,911)
---------------------------------------------------------------------------------------------- 
Net realized loss on swap contracts (Note 1)                                        (5,954,034)
---------------------------------------------------------------------------------------------- 
Net unrealized appreciation of  assets and liabilities in foreign                              
currencies during the year                                                             219,768 
---------------------------------------------------------------------------------------------- 
Net unrealized depreciation of investments, futures contracts, swap                            
contracts and TBA sale commitments during the year                                (164,486,659)
---------------------------------------------------------------------------------------------- 
Net gain on investments                                                            176,715,943 
---------------------------------------------------------------------------------------------- 
Net increase in net assets resulting from operations                             $ 209,058,151 
---------------------------------------------------------------------------------------------- 

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


                                                        [Enlarge/Download Table]


STATEMENT OF CHANGES IN NET ASSETS                                                                      

Putnam Asset Allocation: Growth Portfolio                                                               
                                                                              Year ended September 30   
                                                                      --------------------------------- 
                                                                                2000               1999 
------------------------------------------------------------------------------------------------------- 
                                                                                                        
Increase in net assets                                                                                  
------------------------------------------------------------------------------------------------------- 
Operations:                                                                                             
------------------------------------------------------------------------------------------------------- 
Net investment income                                                    $32,342,208        $12,413,579 
------------------------------------------------------------------------------------------------------- 
Net realized gain on investments and foreign currency                                                   
transactions                                                             340,982,834        164,789,419 
------------------------------------------------------------------------------------------------------- 
Net unrealized appreciation (depreciation) of investments and                                           
assets and liabilities in foreign currencies                            (164,266,891)       160,553,774 
------------------------------------------------------------------------------------------------------- 
Net increase in net assets resulting from operations                     209,058,151        337,756,772 
------------------------------------------------------------------------------------------------------- 
Distributions to shareholders:                                                                          
------------------------------------------------------------------------------------------------------- 
  From net investment income                                                                            
   Class A                                                                (7,363,351)        (5,108,856)
------------------------------------------------------------------------------------------------------- 
   Class B                                                                (1,873,390)          (302,109)
------------------------------------------------------------------------------------------------------- 
   Class C                                                                  (413,031)           (91,915)
------------------------------------------------------------------------------------------------------- 
   Class M                                                                  (357,845)          (215,219)
------------------------------------------------------------------------------------------------------- 
   Class Y                                                                (5,236,059)        (2,230,591)
------------------------------------------------------------------------------------------------------- 
  From net realized gain on investments                                                                 
   Class A                                                               (72,475,751)       (13,947,178)
------------------------------------------------------------------------------------------------------- 
   Class B                                                               (52,354,553)        (9,163,974)
------------------------------------------------------------------------------------------------------- 
   Class C                                                               (11,542,732)        (2,091,072)
------------------------------------------------------------------------------------------------------- 
   Class M                                                                (6,511,946)        (1,224,056)
------------------------------------------------------------------------------------------------------- 
   Class Y                                                               (41,178,056)        (4,648,483)
------------------------------------------------------------------------------------------------------- 
Increase from capital share transactions (Note 4)                        284,931,390         55,864,763 
------------------------------------------------------------------------------------------------------- 
Total increase in net assets                                             294,682,827        354,598,082 

Net assets                                                                                              
------------------------------------------------------------------------------------------------------- 
Beginning of year                                                      1,683,888,645      1,329,290,563 
------------------------------------------------------------------------------------------------------- 
End of year (including undistributed net investment income of                                           
$8,277,388 and $2,671,195, respectively)                              $1,978,571,472     $1,683,888,645 
------------------------------------------------------------------------------------------------------- 

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO                                                                   
CLASS A                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $14.35         $11.76         $13.64         $11.41         $10.06 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income (c)                   .28            .14            .15            .17            .18 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                 1.56           2.82          (1.06)          2.69           1.63 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                      1.84           2.96           (.91)          2.86           1.81 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.16)          (.10)          (.14)          (.16)          (.19)
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                            (1.56)          (.27)          (.83)          (.47)          (.27)
----------------------------------------------------------------------------------------------------------- 
Total distributions                       (1.72)          (.37)          (.97)          (.63)          (.46)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $14.47         $14.35         $11.76         $13.64         $11.41 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                    12.77          25.55          (7.01)         26.25          18.75 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                         $817,887       $664,640       $602,273       $486,107       $210,531 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  1.18           1.21           1.31           1.39           1.45 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  1.87           1.00           1.13           1.42           1.72 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   155.18         105.11         146.58          99.96         100.93 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO                                                                   
CLASS B                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                           Year ended September 30                     
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $14.12         $11.59         $13.47         $11.29          $9.97 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income (c)                   .16            .03            .05            .08            .10 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                 1.55           2.78          (1.05)          2.67           1.64 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                      1.71           2.81          (1.00)          2.75           1.74 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.06)          (.01)          (.05)          (.10)          (.15)
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                            (1.56)          (.27)          (.83)          (.47)          (.27)
----------------------------------------------------------------------------------------------------------- 
Total distributions                       (1.62)          (.28)          (.88)          (.57)          (.42)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $14.21         $14.12         $11.59         $13.47         $11.29 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                    11.98          24.52          (7.72)         25.23          18.04 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                         $469,645       $470,073       $385,645       $357,501       $199,871 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  1.93           1.96           2.06           2.14           2.21 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  1.07            .25            .40            .68            .95 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   155.18         105.11         146.58          99.96         100.93 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO                                                                   
CLASS C                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                           Year ended September 30                     
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $14.00         $11.50         $13.38         $11.24          $9.93 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income (c)                   .17            .03            .05            .08            .10 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                 1.53           2.75          (1.04)          2.65           1.63 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                      1.70           2.78           (.99)          2.73           1.73 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.06)          (.01)          (.06)          (.12)          (.15)
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                            (1.56)          (.27)          (.83)          (.47)          (.27)
----------------------------------------------------------------------------------------------------------- 
Total distributions                       (1.62)          (.28)          (.89)          (.59)          (.42)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $14.08         $14.00         $11.50         $13.38         $11.24 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                    12.01          24.47          (7.70)         25.31          18.01 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                         $135,439       $103,209        $88,076        $68,749        $27,556 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  1.93           1.96           2.06           2.14           2.23 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  1.13            .25            .41            .67            .94 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   155.18         105.11         146.58          99.96         100.93 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO                                                                   
CLASS M                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $14.15         $11.60         $13.49         $11.32         $10.01 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income (c)                   .20            .07            .08            .11            .12 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                 1.55           2.80          (1.05)          2.67           1.64 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                      1.75           2.87           (.97)          2.78           1.76 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.09)          (.05)          (.09)          (.14)          (.18)
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                            (1.56)          (.27)          (.83)          (.47)          (.27)
----------------------------------------------------------------------------------------------------------- 
Total distributions                       (1.65)          (.32)          (.92)          (.61)          (.45)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $14.25         $14.15         $11.60         $13.49         $11.32 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                    12.25          25.05          (7.52)         25.63          18.21 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                          $67,225        $59,604        $49,702        $34,381        $12,369 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  1.68           1.71           1.81           1.89           1.95 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  1.35            .50            .65            .92           1.16 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   155.18         105.11         146.58          99.96         100.93 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO                                                                   
CLASS Y                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $14.44         $11.84         $13.72         $11.47         $10.09 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income (c)                   .32            .17            .18            .21            .21 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                 1.58           2.83          (1.07)          2.70           1.65 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                      1.90           3.00           (.89)          2.91           1.86 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.20)          (.13)          (.16)          (.19)          (.21)
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                            (1.56)          (.27)          (.83)          (.47)          (.27)
----------------------------------------------------------------------------------------------------------- 
Total distributions                       (1.76)          (.40)          (.99)          (.66)          (.48)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $14.58         $14.44         $11.84         $13.72         $11.47 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                    13.14          25.76          (6.79)         26.54          19.20 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                         $488,376       $386,363       $203,595       $233,292        $58,301 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                   .93            .96           1.06           1.14           1.21 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  2.13           1.24           1.40           1.71           1.97 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   155.18         105.11         146.58          99.96         100.93 
----------------------------------------------------------------------------------------------------------- 

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

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

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


STATEMENT OF ASSETS AND LIABILITIES                                             
Putnam Asset Allocation: Balanced Portfolio                                     

September 30, 2000                                                              

Assets                                                                          
------------------------------------------------------------------------------- 
Investments in securities, at value                                             
(identified cost $2,514,816,587) (Note 1)                        $2,682,528,875 
------------------------------------------------------------------------------- 
Foreign currency (cost $24,339,107)                                  24,412,058 
------------------------------------------------------------------------------- 
Dividends, interest and other receivables                            11,459,075 
------------------------------------------------------------------------------- 
Receivable for shares of the fund sold                               14,473,265 
------------------------------------------------------------------------------- 
Receivable for securities sold                                       29,101,347 
------------------------------------------------------------------------------- 
Receivable for open forward currency contracts                        6,445,358 
------------------------------------------------------------------------------- 
Receivable for closed forward currency contracts                        201,281 
------------------------------------------------------------------------------- 
Receivable for open swap contracts (Note 1)                             220,847 
------------------------------------------------------------------------------- 
Total assets                                                      2,768,842,106 

Liabilities                                                                     
------------------------------------------------------------------------------- 
Payable to subcustodian (Note 2)                                        346,708 
------------------------------------------------------------------------------- 
Payable for variation margin                                          4,075,093 
------------------------------------------------------------------------------- 
Payable for securities purchased                                     31,263,118 
------------------------------------------------------------------------------- 
Payable for shares of the fund repurchased                            5,244,951 
------------------------------------------------------------------------------- 
Payable for compensation of Manager (Note 2)                          3,843,789 
------------------------------------------------------------------------------- 
Payable for investor servicing and custodian fees (Note 2)            1,106,374 
------------------------------------------------------------------------------- 
Payable for compensation of Trustees (Note 2)                            32,781 
------------------------------------------------------------------------------- 
Payable for administrative services (Note 2)                              6,753 
------------------------------------------------------------------------------- 
Payable for distribution fees (Note 2)                                1,468,119 
------------------------------------------------------------------------------- 
Payable for open forward currency contracts                           7,352,710 
------------------------------------------------------------------------------- 
Payable for closed forward currency contracts                         1,943,536 
------------------------------------------------------------------------------- 
Payable for closed swap contracts                                     1,090,835 
------------------------------------------------------------------------------- 
Payable  for open swap contracts (Note 1)                               671,495 
------------------------------------------------------------------------------- 
Other accrued expenses                                                  222,590 
------------------------------------------------------------------------------- 
Total liabilities                                                    58,668,852 
------------------------------------------------------------------------------- 
Net assets                                                       $2,710,173,254 

Represented by                                                                  
------------------------------------------------------------------------------- 
Paid-in capital (Notes 1 and 4)                                  $2,253,708,291 
------------------------------------------------------------------------------- 
Undistributed net investment income (Note 1)                          9,477,809 
------------------------------------------------------------------------------- 
Accumulated net realized gain on investments and                                
foreign currency transactions (Note 1)                              283,209,370 
------------------------------------------------------------------------------- 
Net unrealized appreciation of investments and                                  
assets and liabilities in foreign currencies                        163,777,784 
------------------------------------------------------------------------------- 
Total - Representing net assets applicable to                                   
capital shares outstanding                                       $2,710,173,254 

Computation of net asset value and offering price                               
------------------------------------------------------------------------------- 
Net asset value and redemption price per class A share                          
($1,377,301,593 divided by 106,011,533 shares)                           $12.99 
------------------------------------------------------------------------------- 
Offering price per class A share (100/94.25 of $12.99)*                  $13.78 
------------------------------------------------------------------------------- 
Net asset value and offering price per class B share                            
($535,662,857 divided by 41,451,031 shares)**                            $12.92 
------------------------------------------------------------------------------- 
Net asset value and offering price per class C share                            
($142,760,737 divided by 11,123,832 shares)**                            $12.83 
------------------------------------------------------------------------------- 
Net asset value and redemption price per class M share                          
($70,757,340 divided by 5,457,552 shares)                                $12.97 
------------------------------------------------------------------------------- 
Offering price per class M share (100/96.50 of $12.97)*                  $13.44 
------------------------------------------------------------------------------- 
Net asset value, offering price and redemption price per class Y share          
($583,690,727 divided by 44,905,035 shares)                              $13.00 
------------------------------------------------------------------------------- 

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

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

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

STATEMENT OF OPERATIONS                                                         
Year ended September 30, 2000                                                   

Putnam Asset Allocation: Balanced Portfolio                                     

Investment income:                                                              
------------------------------------------------------------------------------- 
Interest                                                          $ 59,600,803  
------------------------------------------------------------------------------- 
Dividends (net of foreign tax of $642,377)                          23,117,618  
------------------------------------------------------------------------------- 
Total investment income                                             82,718,421  

Expenses:                                                                       
------------------------------------------------------------------------------- 
Compensation of Manager (Note 2)                                    13,932,212  
------------------------------------------------------------------------------- 
Investor servicing and custodian fees (Note 2)                       5,800,126  
------------------------------------------------------------------------------- 
Compensation of Trustees (Note 2)                                       36,862  
------------------------------------------------------------------------------- 
Administrative services (Note 2)                                        22,507  
------------------------------------------------------------------------------- 
Distribution fees - Class A (Note 2)                                 2,849,048  
------------------------------------------------------------------------------- 
Distribution fees - Class B (Note 2)                                 5,726,959  
------------------------------------------------------------------------------- 
Distribution fees - Class C (Note 2)                                 1,360,390  
------------------------------------------------------------------------------- 
Distribution fees - Class M (Note 2)                                   544,360  
------------------------------------------------------------------------------- 
Other                                                                  673,421  
------------------------------------------------------------------------------- 
Total expenses                                                      30,945,885  
------------------------------------------------------------------------------- 
Expense reduction (Note 2)                                            (875,852) 
------------------------------------------------------------------------------- 
Net expenses                                                        30,070,033  
------------------------------------------------------------------------------- 
Net investment income                                               52,648,388  
------------------------------------------------------------------------------- 
Net realized gain on investments (Notes 1 and 3)                   369,522,626  
------------------------------------------------------------------------------- 
Net realized loss on futures contracts (Note 1)                    (68,967,457) 
------------------------------------------------------------------------------- 
Net realized gain on swap contracts (Note 1)                         5,525,726  
------------------------------------------------------------------------------- 
Net realized loss on foreign currency transactions (Note 1)         (8,295,109) 
------------------------------------------------------------------------------- 
Net unrealized depreciation of  assets and                                      
liabilities in foreign currencies during the year                   (1,476,497) 
------------------------------------------------------------------------------- 
Net unrealized depreciation of investments, futures contracts,                  
swap contracts and TBA sale commitments during the year            (21,028,122) 
------------------------------------------------------------------------------- 
Net gain on investments                                            275,281,167  
------------------------------------------------------------------------------- 
Net increase in net assets resulting from operations              $327,929,555  
------------------------------------------------------------------------------- 

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

                                                        [Enlarge/Download Table]


STATEMENT OF CHANGES IN NET ASSETS                                                                              

PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO                                                                     

                                                                                       Year ended September 30  
                                                                               -------------------------------- 
                                                                                         2000              1999 
--------------------------------------------------------------------------------------------------------------- 
                                                                                                                
Increase in net assets                                                                                          
--------------------------------------------------------------------------------------------------------------- 
Operations:                                                                                                     
--------------------------------------------------------------------------------------------------------------- 
Net investment income                                                           $  52,648,388    $   32,876,104 
--------------------------------------------------------------------------------------------------------------- 
Net realized gain on investments and                                                                            
foreign currency transactions                                                     297,785,786       146,907,807 
--------------------------------------------------------------------------------------------------------------- 
Net unrealized appreciation (depreciation) of investments                                                       
and assets and liabilities in foreign currencies                                  (22,504,619)      144,921,393 
--------------------------------------------------------------------------------------------------------------- 
Net increase in net assets resulting from operations                              327,929,555       324,705,304 
--------------------------------------------------------------------------------------------------------------- 
Distributions to shareholders:                                                                                  
--------------------------------------------------------------------------------------------------------------- 
  From net investment income                                                                                    
    Class A                                                                       (22,163,223)      (17,001,979)
--------------------------------------------------------------------------------------------------------------- 
    Class B                                                                        (7,115,666)       (5,733,718)
--------------------------------------------------------------------------------------------------------------- 
    Class C                                                                        (1,713,203)       (1,222,425)
--------------------------------------------------------------------------------------------------------------- 
    Class M                                                                        (1,065,211)         (860,001)
--------------------------------------------------------------------------------------------------------------- 
    Class Y                                                                       (11,498,180)       (6,217,689)
--------------------------------------------------------------------------------------------------------------- 
  From net realized gain on investments                                                                         
    Class A                                                                       (66,297,566)      (14,689,181)
--------------------------------------------------------------------------------------------------------------- 
    Class B                                                                       (41,791,913)       (8,284,024)
--------------------------------------------------------------------------------------------------------------- 
    Class C                                                                        (9,236,973)       (1,662,318)
--------------------------------------------------------------------------------------------------------------- 
    Class M                                                                        (4,918,496)         (985,347)
--------------------------------------------------------------------------------------------------------------- 
    Class Y                                                                        (34,117,109)      (3,641,867)
--------------------------------------------------------------------------------------------------------------- 
Increase from capital share transactions (Note 4)                                  557,354,934       65,633,045 
--------------------------------------------------------------------------------------------------------------- 
Total increase in net assets                                                       685,366,949      330,039,800 

Net assets                                                                                                      
--------------------------------------------------------------------------------------------------------------- 
Beginning of year                                                                2,024,806,305    1,694,766,505 
--------------------------------------------------------------------------------------------------------------- 
End of year (including undistributed net investment                                                             
income of $9,477,809 and $89,862, respectively)                                 $2,710,173,254   $2,024,806,305 
--------------------------------------------------------------------------------------------------------------- 

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO                                                                 
CLASS A                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $12.28         $10.66         $12.28         $10.71          $9.67 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income (c)                   .31            .23            .26            .28            .29 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                 1.59           1.78           (.84)          2.13           1.32 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                      1.90           2.01           (.58)          2.41           1.61 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.26)          (.21)          (.18)          (.31)          (.28)
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                             (.93)          (.18)          (.86)          (.53)          (.29)
----------------------------------------------------------------------------------------------------------- 
Total distributions                       (1.19)          (.39)         (1.04)          (.84)          (.57)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $12.99         $12.28         $10.66         $12.28         $10.71 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                    15.88          19.09          (4.97)         23.82          17.41 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                       $1,377,302       $873,219       $846,574       $680,720       $327,326 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  1.09           1.14           1.22           1.27           1.33 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  2.37           1.89           2.17           2.44           2.83 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   182.86         119.70         158.14         136.75         122.12 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                         
(For a share outstanding throughout the period)                                                              

PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO                                                                  
CLASS B                                                                                                      
-----------------------------------------------------------------------------------------------------------  
Per-share                                                                                                    
operating performance                                          Year ended September 30                       
-----------------------------------------------------------------------------------------------------------  
                                           2000           1999           1998           1997           1996  
-----------------------------------------------------------------------------------------------------------  
                                                                                                             
Net asset value,                                                                                             
beginning of period                      $12.22         $10.61         $12.23         $10.67          $9.64  
-----------------------------------------------------------------------------------------------------------  
Investment operations                                                                                        
-----------------------------------------------------------------------------------------------------------  
Net investment income  (c)                  .20            .14            .17            .19            .21  
-----------------------------------------------------------------------------------------------------------  
Net realized and unrealized                                                                                  
gain (loss) on investments                 1.59           1.78           (.83)          2.13           1.32  
-----------------------------------------------------------------------------------------------------------  
Total from                                                                                                   
investment operations                      1.79           1.92           (.66)          2.32           1.53  
-----------------------------------------------------------------------------------------------------------  
Less distributions:                                                                                          
-----------------------------------------------------------------------------------------------------------  
From net                                                                                                     
investment income                          (.16)          (.13)          (.10)          (.23)          (.21) 
-----------------------------------------------------------------------------------------------------------  
From net realized gain                                                                                       
on investments                             (.93)          (.18)          (.86)          (.53)          (.29) 
-----------------------------------------------------------------------------------------------------------  
Total distributions                       (1.09)          (.31)          (.96)          (.76)          (.50) 
-----------------------------------------------------------------------------------------------------------  
Net asset value,                                                                                             
end of period                            $12.92         $12.22         $10.61         $12.23         $10.67  
-----------------------------------------------------------------------------------------------------------  

Ratios and supplemental data                                                                                 
-----------------------------------------------------------------------------------------------------------  
Total return at                                                                                              
net asset value (%)(a)                    15.01          18.22          (5.70)         22.95          16.54  
-----------------------------------------------------------------------------------------------------------  
Net assets, end of period                                                                                    
(in thousands)                         $535,663       $553,738       $482,029       $442,463       $264,830  
-----------------------------------------------------------------------------------------------------------  
Ratio of expenses to                                                                                         
average net assets (%)(b)                  1.84           1.89           1.97           2.02           2.08  
-----------------------------------------------------------------------------------------------------------  
Ratio of net investment income                                                                               
to average net assets (%)                  1.56           1.13           1.42           1.70           2.08  
-----------------------------------------------------------------------------------------------------------  
Portfolio turnover (%)                   182.86         119.70         158.14         136.75         122.12  
-----------------------------------------------------------------------------------------------------------  

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO                                                                 
CLASS C                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $12.15         $10.56         $12.18         $10.64          $9.62 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income (c)                   .20            .13            .16            .19            .22 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                 1.57           1.77           (.82)          2.11           1.30 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                      1.77           1.90           (.66)          2.30           1.52 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.16)          (.13)          (.10)          (.23)          (.21)
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                             (.93)          (.18)          (.86)          (.53)          (.29)
----------------------------------------------------------------------------------------------------------- 
Total distributions                       (1.09)          (.31)          (.96)          (.76)          (.50)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $12.83         $12.15         $10.56         $12.18         $10.64 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                    14.97          18.14          (5.70)         22.86          16.47 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                         $142,761       $120,660        $94,553        $70,847        $29,724 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  1.84           1.89           1.97           2.02           2.09 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  1.58           1.12           1.41           1.70           2.18 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   182.86         119.70         158.14         136.75         122.12 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO                                                                 
CLASS M                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $12.26         $10.65         $12.27         $10.71          $9.66 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income  (c)                  .24            .17            .20            .22            .24 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                 1.59           1.78           (.83)          2.13           1.34 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                      1.83           1.95           (.63)          2.35           1.58 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.19)          (.16)          (.13)          (.26)          (.24)
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                             (.93)          (.18)          (.86)          (.53)          (.29)
----------------------------------------------------------------------------------------------------------- 
Total distributions                       (1.12)          (.34)          (.99)          (.79)          (.53)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $12.97         $12.26         $10.65         $12.27         $10.71 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                    15.33          18.45          (5.46)         23.19          17.05 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                          $70,757        $66,854        $55,511        $44,121        $14,967 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  1.59           1.64           1.72           1.77           1.84 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  1.84           1.38           1.67           1.93           2.42 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   182.86         119.70         158.14         136.75         122.12 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO                                                                 
CLASS Y                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $12.29         $10.67         $12.29         $10.71          $9.66 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income  (c)                  .33            .26            .29            .31            .31 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                 1.60           1.78           (.84)          2.14           1.34 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                      1.93           2.04           (.55)          2.45           1.65 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.29)          (.24)          (.21)          (.34)          (.31)
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                             (.93)          (.18)          (.86)          (.53)          (.29)
----------------------------------------------------------------------------------------------------------- 
Total distributions                       (1.22)          (.42)         (1.07)          (.87)          (.60)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $13.00         $12.29         $10.67         $12.29         $10.71 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                    16.15          19.37          (4.74)         24.21          17.81 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                         $583,691       $410,335       $216,100       $232,021       $126,482 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                   .84            .89            .97           1.02           1.08 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  2.58           2.10           2.43           2.70           3.03 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   182.86         119.70         158.14         136.75         122.12 
----------------------------------------------------------------------------------------------------------- 

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

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

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


STATEMENT OF ASSETS AND LIABILITIES                                             
September 30, 2000                                                              

Putnam Asset Allocation: Conservative Portfolio                                 

Assets                                                                          
------------------------------------------------------------------------------  
Investments in securities, at value                                             
(identified cost $823,168,817) (Note 1)                           $817,825,069  
------------------------------------------------------------------------------  
Cash                                                                   930,161  
------------------------------------------------------------------------------  
Foreign currency (cost $5,313,860)                                   5,294,641  
------------------------------------------------------------------------------  
Dividends, interest and other receivables                            8,571,078  
------------------------------------------------------------------------------  
Receivable for shares of the fund sold                               1,879,949  
------------------------------------------------------------------------------  
Receivable for securities sold                                      10,236,884  
------------------------------------------------------------------------------  
Receivable for open forward currency contracts                         944,307  
------------------------------------------------------------------------------  
Receivable for closed forward currency contracts                        63,133  
------------------------------------------------------------------------------  
Receivable for closed swap contracts                                   101,658  
------------------------------------------------------------------------------  
Receivable for open swap contracts (Note 1)                            287,341  
------------------------------------------------------------------------------  
Receivable for variation margin                                        211,756  
------------------------------------------------------------------------------  
Total assets                                                       846,345,977  

Liabilities                                                                     
------------------------------------------------------------------------------  
Payable for securities purchased                                     9,819,837  
------------------------------------------------------------------------------  
Payable for shares of the fund repurchased                           1,890,070  
------------------------------------------------------------------------------  
Payable for compensation of Manager (Note 2)                         1,363,159  
------------------------------------------------------------------------------  
Payable for investor servicing and custodian fees (Note 2)             439,146  
------------------------------------------------------------------------------  
Payable for compensation of Trustees (Note 2)                           20,262  
------------------------------------------------------------------------------  
Payable for administrative services (Note 2)                             2,299  
------------------------------------------------------------------------------  
Payable for distribution fees (Note 2)                                 426,011  
------------------------------------------------------------------------------  
Payable for open forward currency contracts                          1,852,060  
------------------------------------------------------------------------------  
Payable for closed forward currency contracts                          593,135  
------------------------------------------------------------------------------  
Payable for closed swap contracts                                      282,476  
------------------------------------------------------------------------------  
Payable for open swap contracts (Note 1)                               175,176  
------------------------------------------------------------------------------  
Other accrued expenses                                                  48,126  
------------------------------------------------------------------------------  
Total liabilities                                                   16,911,757  
------------------------------------------------------------------------------  
Net assets                                                        $829,434,220  

Represented by                                                                  
------------------------------------------------------------------------------  
Paid-in capital (Notes 1 and 4)                                   $768,361,113  
------------------------------------------------------------------------------  
Undistributed net investment income (Note 1)                        18,146,569  
------------------------------------------------------------------------------  
Accumulated net realized gain on investments                                    
and foreign currency transactions  (Note 1)                         48,440,794  
------------------------------------------------------------------------------  
Net unrealized depreciation of investments                                      
and assets and liabilities in foreign currencies                    (5,514,256) 
------------------------------------------------------------------------------  
Total - Representing net assets applicable to                                   
capital shares outstanding                                        $829,434,220  

Computation of net asset value and offering price                               
------------------------------------------------------------------------------  
Net asset value and redemption price per class A share                          
($406,224,451 divided by 38,869,948 shares)                             $10.45  
------------------------------------------------------------------------------  
Offering price per class A share (100/94.25 of $10.45)*                 $11.09  
------------------------------------------------------------------------------  
Net asset value and offering price per class B share                            
($153,985,404  divided by 14,780,696 shares)**                          $10.42  
------------------------------------------------------------------------------  
Net asset value and offering price per class C share                            
($41,845,743 divided by 4,025,880 shares)**                             $10.39  
------------------------------------------------------------------------------  
Net asset value and redemption price per class M share                          
($24,869,093 divided by 2,387,363 shares)                               $10.42  
------------------------------------------------------------------------------  
Offering price per class M share (100/96.50 of $10.42)*                 $10.80  
------------------------------------------------------------------------------  
Net asset value, offering price and redemption price per class Y share          
($202,509,529 divided by 19,336,774 shares)                             $10.47  
------------------------------------------------------------------------------  

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

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

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

STATEMENT OF OPERATIONS                                                         
Year ended September 30, 2000                                                   

PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO                                 

Investment income:                                                              
-------------------------------------------------------------------------       
Interest income                                              $ 40,582,876       
-------------------------------------------------------------------------       
Dividends (net of foreign tax of $93,489)                       3,297,314       
-------------------------------------------------------------------------       
Total investment income                                        43,880,190       

Expenses:                                                                       
-------------------------------------------------------------------------       
Compensation of Manager (Note 2)                                5,203,915       
-------------------------------------------------------------------------       
Investor servicing and custodian fees (Note 2)                  2,412,455       
-------------------------------------------------------------------------       
Compensation of Trustees (Note 2)                                  20,290       
-------------------------------------------------------------------------       
Administrative services (Note 2)                                    9,399       
-------------------------------------------------------------------------       
Distribution fees - Class A (Note 2)                              967,624       
-------------------------------------------------------------------------       
Distribution fees - Class B (Note 2)                            1,802,871       
-------------------------------------------------------------------------       
Distribution fees - Class C (Note 2)                              478,054       
-------------------------------------------------------------------------       
Distribution fees - Class M (Note 2)                              195,976       
-------------------------------------------------------------------------       
Other                                                             210,226       
-------------------------------------------------------------------------       
Total expenses                                                 11,300,810       
-------------------------------------------------------------------------       
Expense reduction (Note 2)                                       (330,347)      
-------------------------------------------------------------------------       
Net expenses                                                   10,970,463       
-------------------------------------------------------------------------       
Net investment income                                          32,909,727       
-------------------------------------------------------------------------       
Net realized gain on investments (Notes 1 and 3)               80,652,371       
-------------------------------------------------------------------------       
Net realized loss on futures contracts (Note 1)               (26,941,270)      
-------------------------------------------------------------------------       
Net realized gain on swap contracts (Note 1)                    2,450,303       
-------------------------------------------------------------------------       
Net realized gain on foreign currency transactions (Note 1)       931,496       
-------------------------------------------------------------------------       
Net unrealized appreciation of  assets and liabilities in                       
foreign currencies during the year                              2,496,812       
-------------------------------------------------------------------------       
Net unrealized depreciation of investments, futures contracts,                  
swap contracts and TBA sale commitments during the year       (32,209,037)      
-------------------------------------------------------------------------       
Net gain on investments                                        27,380,675       
-------------------------------------------------------------------------       
Net increase in net assets resulting from operations         $ 60,290,402       
-------------------------------------------------------------------------       

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

                                                        [Enlarge/Download Table]


STATEMENT OF CHANGES IN NET ASSETS                                                                              

PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO                                                                 

                                                                                       Year ended September 30  
                                                                               -------------------------------- 
                                                                                         2000              1999 
--------------------------------------------------------------------------------------------------------------- 
                                                                                                                
Increase in net assets                                                                                          
--------------------------------------------------------------------------------------------------------------- 
Operations:                                                                                                     
--------------------------------------------------------------------------------------------------------------- 
Net investment income                                                            $ 32,909,727     $  21,901,750 
--------------------------------------------------------------------------------------------------------------- 
Net realized gain on investments and                                                                            
foreign currency transactions                                                      57,092,900        36,606,656 
--------------------------------------------------------------------------------------------------------------- 
Net unrealized appreciation (depreciation) of investments                                                       
and assets and liabilities in foreign currencies                                  (29,712,225)       11,216,752 
--------------------------------------------------------------------------------------------------------------- 
Net increase in net assets resulting from operations                               60,290,402        69,725,158 
--------------------------------------------------------------------------------------------------------------- 
Distributions to shareholders:                                                                                  
--------------------------------------------------------------------------------------------------------------- 
  From net investment income                                                                                    
    Class A                                                                       (14,757,033)      (13,105,936)
--------------------------------------------------------------------------------------------------------------- 
    Class B                                                                        (5,637,499)       (4,776,576)
--------------------------------------------------------------------------------------------------------------- 
    Class C                                                                        (1,576,843)       (1,480,210)
--------------------------------------------------------------------------------------------------------------- 
    Class M                                                                          (866,030)         (677,682)
--------------------------------------------------------------------------------------------------------------- 
    Class Y                                                                        (5,258,551)       (1,861,346)
--------------------------------------------------------------------------------------------------------------- 
  In excess of net investment income                                                                            
    Class A                                                                                --        (2,288,170)
--------------------------------------------------------------------------------------------------------------- 
    Class B                                                                                --          (833,945)
--------------------------------------------------------------------------------------------------------------- 
    Class C                                                                                --          (258,431)
--------------------------------------------------------------------------------------------------------------- 
    Class M                                                                                --          (118,317)
--------------------------------------------------------------------------------------------------------------- 
    Class Y                                                                                --          (324,973)
--------------------------------------------------------------------------------------------------------------- 
  From net realized gain on investments                                                                         
    Class A                                                                       (13,824,003)       (3,163,448)
--------------------------------------------------------------------------------------------------------------- 
    Class B                                                                        (6,780,121)       (1,383,942)
--------------------------------------------------------------------------------------------------------------- 
    Class C                                                                        (2,046,426)         (418,800)
--------------------------------------------------------------------------------------------------------------- 
    Class M                                                                          (970,249)         (175,747)
--------------------------------------------------------------------------------------------------------------- 
    Class Y                                                                        (3,934,173)         (228,480)
--------------------------------------------------------------------------------------------------------------- 
Increase from capital share transactions (Note 4)                                  65,333,749        99,357,554 
--------------------------------------------------------------------------------------------------------------- 
Total increase in net assets                                                       69,973,223       137,986,709 

Net assets                                                                                                      
--------------------------------------------------------------------------------------------------------------- 
Beginning of year                                                                 759,460,997       621,474,288 
--------------------------------------------------------------------------------------------------------------- 
End of year (including undistributed net investment                                                             
income of $18,146,569 and $9,085,866, respectively)                              $829,434,220      $759,460,997 
--------------------------------------------------------------------------------------------------------------- 

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO                                                             
CLASS A                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $10.40          $9.81         $10.61          $9.69          $9.19 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income                       .46(c)         .34(c)         .38(c)         .38(c)         .36 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                  .37            .73           (.45)          1.22            .68 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                       .83           1.07           (.07)          1.60           1.04 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.40)          (.34)          (.20)          (.35)          (.36)
----------------------------------------------------------------------------------------------------------- 
In excess of net investment income           --           (.06)            --             --             -- 
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                             (.38)          (.08)          (.43)          (.33)          (.18)
----------------------------------------------------------------------------------------------------------- 
In excess of net realized                                                                                   
gain on investments                          --             --           (.10)            --             -- 
----------------------------------------------------------------------------------------------------------- 
Total distributions                        (.78)          (.48)          (.73)          (.68)          (.54)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $10.45         $10.40          $9.81         $10.61          $9.69 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                     8.18          11.05           (.69)         17.26          11.73 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                         $406,224       $373,313       $367,806       $295,239       $106,933 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  1.25           1.31           1.39           1.38           1.47 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  4.37           3.25           3.67           3.74           4.08 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   276.48         165.48         203.19         219.44         183.67 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO                                                             
CLASS B                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $10.37          $9.78         $10.57          $9.66          $9.16 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income                       .37(c)         .26(c)         .30(c)         .30(c)         .29 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                  .38            .73           (.43)          1.22            .68 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                       .75            .99           (.13)          1.52            .97 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.32)          (.26)          (.13)          (.28)          (.29)
----------------------------------------------------------------------------------------------------------- 
In excess of net investment income           --           (.06)            --             --             -- 
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                             (.38)          (.08)          (.43)          (.33)          (.18)
----------------------------------------------------------------------------------------------------------- 
In excess of net realized                                                                                   
gain on investments                          --             --           (.10)            --             -- 
----------------------------------------------------------------------------------------------------------- 
Total distributions                        (.70)          (.40)          (.66)          (.61)          (.47)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $10.42         $10.37          $9.78         $10.57          $9.66 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                     7.40          10.29          (1.32)         16.36          10.96 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                         $153,985       $187,112       $162,807       $138,457        $94,954 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  2.00           2.06           2.14           2.13           2.22 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  3.57           2.50           2.92           2.97           3.33 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   276.48         165.48         203.19         219.44         183.67 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO                                                             
CLASS C                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $10.34          $9.75         $10.56          $9.64          $9.15 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income                       .36(c)         .26(c)         .30(c)         .29(c)         .30 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                  .39            .74           (.45)          1.24            .66 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                       .75           1.00           (.15)          1.53            .96 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.32)          (.26)          (.13)          (.28)          (.29)
----------------------------------------------------------------------------------------------------------- 
In excess of net investment income           --           (.07)            --             --             -- 
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                             (.38)          (.08)          (.43)          (.33)          (.18)
----------------------------------------------------------------------------------------------------------- 
In excess of net realized                                                                                   
gain on investments                          --             --           (.10)            --             -- 
----------------------------------------------------------------------------------------------------------- 
Total distributions                        (.70)          (.41)          (.66)          (.61)          (.47)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $10.39         $10.34          $9.75         $10.56          $9.64 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                     7.39          10.34          (1.51)         16.52          10.86 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                          $41,846        $58,831        $45,740        $29,032        $16,326 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  2.00           2.06           2.14           2.13           2.22 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  3.51           2.50           2.93           2.96           3.30 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   276.48         165.48         203.19         219.44         183.67 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO                                                             
CLASS M                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $10.37          $9.78         $10.59          $9.67          $9.18 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income                       .40(c)         .29(c)         .33(c)         .32(c)         .33 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                  .38            .73           (.46)          1.24            .66 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                       .78           1.02           (.13)          1.56            .99 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.35)          (.29)          (.15)          (.31)          (.32)
----------------------------------------------------------------------------------------------------------- 
In excess of net investment income           --           (.06)            --             --             -- 
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                             (.38)          (.08)          (.43)          (.33)          (.18)
----------------------------------------------------------------------------------------------------------- 
In excess of net realized                                                                                   
gain on investments                          --             --           (.10)            --             -- 
----------------------------------------------------------------------------------------------------------- 
Total distributions                        (.73)          (.43)          (.68)          (.64)          (.50)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $10.42         $10.37          $9.78         $10.59          $9.67 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                     7.66          10.56          (1.27)         16.80          11.17 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                          $24,869        $29,373        $18,868        $12,689         $4,622 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  1.75           1.81           1.89           1.88           1.96 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  3.82           2.77           3.17           3.19           3.60 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   276.48         165.48         203.19         219.44         183.67 
----------------------------------------------------------------------------------------------------------- 

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

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

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


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                        
(For a share outstanding throughout the period)                                                             

PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO                                                             
CLASS Y                                                                                                     
----------------------------------------------------------------------------------------------------------- 
Per-share                                                                                                   
operating performance                                          Year ended September 30                      
----------------------------------------------------------------------------------------------------------- 
                                           2000           1999           1998           1997           1996 
----------------------------------------------------------------------------------------------------------- 
                                                                                                            
Net asset value,                                                                                            
beginning of period                      $10.42          $9.82         $10.62          $9.69          $9.19 
----------------------------------------------------------------------------------------------------------- 
Investment operations                                                                                       
----------------------------------------------------------------------------------------------------------- 
Net investment income                       .51(c)         .36(c)         .41(c)         .40(c)         .38 
----------------------------------------------------------------------------------------------------------- 
Net realized and unrealized                                                                                 
gain (loss) on investments                  .35            .75           (.45)          1.23            .68 
----------------------------------------------------------------------------------------------------------- 
Total from                                                                                                  
investment operations                       .86           1.11           (.04)          1.63           1.06 
----------------------------------------------------------------------------------------------------------- 
Less distributions:                                                                                         
----------------------------------------------------------------------------------------------------------- 
From net                                                                                                    
investment income                          (.43)          (.36)          (.23)          (.37)          (.38)
----------------------------------------------------------------------------------------------------------- 
In excess of net investment income           --           (.07)            --             --             -- 
----------------------------------------------------------------------------------------------------------- 
From net realized gain                                                                                      
on investments                             (.38)          (.08)          (.43)          (.33)          (.18)
----------------------------------------------------------------------------------------------------------- 
In excess of net realized                                                                                   
gain on investments                          --             --           (.10)            --             -- 
----------------------------------------------------------------------------------------------------------- 
Total distributions                        (.81)          (.51)          (.76)          (.70)          (.56)
----------------------------------------------------------------------------------------------------------- 
Net asset value,                                                                                            
end of period                            $10.47         $10.42          $9.82         $10.62          $9.69 
----------------------------------------------------------------------------------------------------------- 

Ratios and supplemental data                                                                                
----------------------------------------------------------------------------------------------------------- 
Total return at                                                                                             
net asset value (%)(a)                     8.43          11.42           (.44)         17.62          11.99 
----------------------------------------------------------------------------------------------------------- 
Net assets, end of period                                                                                   
(in thousands)                         $202,510       $110,831        $26,253        $18,760         $6,025 
----------------------------------------------------------------------------------------------------------- 
Ratio of expenses to                                                                                        
average net assets (%)(b)                  1.00           1.06           1.14           1.13           1.22 
----------------------------------------------------------------------------------------------------------- 
Ratio of net investment income                                                                              
to average net assets (%)                  4.84           3.50           3.93           3.96           4.45 
----------------------------------------------------------------------------------------------------------- 
Portfolio turnover (%)                   276.48         165.48         203.19         219.44         183.67 
----------------------------------------------------------------------------------------------------------- 

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

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

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


NOTES TO FINANCIAL STATEMENTS                                                   
September 30, 2000                                                              

Note 1                                                                          
Significant Accounting Policies                                                 

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

The funds each offer class A, class B, class C, class M and class Y             
shares. Class A shares are sold with a maximum front-end sales charge of        
5.75%. Class B shares, which convert to class A shares after                    
approximately eight years, do not pay a front-end sales charge but pay a        
higher ongoing distribution fee than class A shares, and are subject to         
a contingent deferred sales charge, if those shares are redeemed within         
six years of purchase. Class C shares are subject to the same fees and          
expenses as class B shares, except that class C shares have a one-year          
1.00% contingent deferred sales charge and do not convert to class A            
shares. Class M shares are sold with a maximum front end sales charge of        
3.50% and pay an ongoing distribution fee that is higher than class A           
shares but lower than class B and class C shares. Class Y shares, which         
are sold at net asset value, are generally subject to the same expenses         
as class A, class B, class C and class M shares, but do not bear a              
distribution fee. Class Y shares are sold to defined contribution plans         
that invest at least $150 million in a combination of Putnam funds and          
other accounts managed by affiliates of Putnam Investment Management,           
Inc. ("Putnam Management"), the fund's manager, a wholly-owned                  
subsidiary of Putnam Investments, Inc.                                          

Expenses of a fund are borne pro-rata by the holders of each class of           
shares, except that each class bears expenses unique to that class              
(including the distribution fees applicable to such class). Each class          
votes as a class only with respect to its own distribution plan or other        
matters on which a class vote is required by law or determined by the           
Trustees. Shares of each class would receive their pro-rata share of the        
net assets of the fund, if that fund were liquidated. In addition, the          
Trustees declare separate dividends on each class of shares.                    

The following is a summary of significant accounting policies                   
consistently followed by the funds in the preparation of its financial          
statements. The preparation of financial statements is in conformity            
with generally accepted accounting principles and requires management to        
make estimates and assumptions that affect the reported amounts of              
assets and liabilities of the financial statements and the reported             
amounts of increases and decreases in net assets from operations during         
the reporting period. Actual results could differ from those estimates.         

A) Security valuation Investments for which market quotations are               
readily available are stated at market value, which is determined using         
the last reported sales price on its principal exchange, or if no sales         
are reported -- as in the case of some securities traded                        
over-the-counter -- the last reported bid price. Securities quoted in           
foreign currencies are translated into U.S. dollars at the current              
exchange rate. Short-term investments having remaining maturities of 60         
days or less are stated at amortized cost, which approximates market            
value. Other investments, including restricted securities, are stated at        
fair value following procedures approved by the Trustees. Market                
quotations are not considered to be readily available for certain debt          
obligations; such investments are stated at fair value on the basis of          
valuations furnished by a pricing service or dealers, approved by the           
Trustees, which determine valuations for normal institutional-size              
trading units of such securities using methods based on market                  
transactions for comparable securities and variable relationships               
between securities that are generally recognized by institutional               
traders. See Sections F, G, H, I, J and K of Note 1 with respect to             
valuation of forward currency contracts, futures and options contracts,         
swap contracts, TBA purchase commitments and TBA sale commitments.              

B) Joint trading account Pursuant to an exemptive order issued by the           
Securities and Exchange Commission, the fund may transfer uninvested            
cash balances into a joint trading account along with the cash of other         
registered investment companies and certain other accounts managed by           
Putnam Management. These balances may be invested in one or more                
repurchase agreements and/or short-term money market instruments.               

C) Repurchase agreements The funds, or any joint trading account,               
through its custodian, receives delivery of the underlying securities,          
the market value of which at the time of purchase is required to be in          
an amount at least equal to the resale price, including accrued                 
interest. Collateral for certain tri-party repurchase agreements is held        
at the counterparty's custodian in a segregated account for the benefit         
of the fund and the counterparty. Putnam Management is responsible for          
determining that the value of these underlying securities is at all             
times at least equal to the resale price, including accrued interest.           

D) Security transactions and related investment income Security                 
transactions are accounted for on the trade date (date the order to buy         
or sell is executed). Gains or losses on securities sold are determined         
on the identified cost basis.                                                   

Interest income is recorded on the accrual basis. Dividend income is            
recorded on the ex-dividend date except that certain dividends from             
foreign securities are recorded as soon as the fund is informed of the          
ex-dividend date. Non-cash dividends, if any, are recorded at the fair          
market value of the securities received. Discounts on zero coupon bonds,        
original issue discount bonds, stepped-coupon bonds and payment in kind         
bonds are accreted according to the yield-to-maturity basis. Any premium        
resulting from the purchase of stepped-coupon securities in excess of           
maturity value is amortized on a yield-to-maturity basis.                       

E) Foreign currency translation The accounting records of the funds are         
maintained in U.S. dollars. The market value of foreign securities,             
currency holdings, and other assets and liabilities are recorded in the         
books and records of the funds after translation to U.S. dollars based          
on the exchange rates on that day. The cost of each security is                 
determined using historical exchange rates. Income and withholding taxes        
are translated at prevailing exchange rates when accrued or incurred.           
The funds do not isolate that portion of realized or unrealized gains or        
losses resulting from changes in the foreign exchange rate on                   
investments from fluctuations arising from changes in the market prices         
of the securities. Such gains and losses are included with the net              
realized and unrealized gain or loss on investments. Net realized gains         
and losses on foreign currency transactions represent net realized              
exchange gains or losses on closed forward currency contracts,                  
disposition of foreign currencies and the difference between the amount         
of investment income and foreign withholding taxes recorded on the              
fund's books and the U.S. dollar equivalent amounts actually received or        
paid. Net unrealized appreciation and depreciation of assets and                
liabilities in foreign currencies arise from changes in the value of            
open forward currency contracts and assets and liabilities other than           
investments at the period end, resulting from changes in the exchange           
rate. Investments in foreign securities involve certain risks, including        
those related to economic instability, unfavorable political                    
developments, and currency fluctuations, not present with domestic              
investments.                                                                    

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

G) Futures and options contracts The funds may use futures and options          
contracts to hedge against changes in the values of securities the fund         
owns or expects to purchase. The fund may also write options on                 
securities it owns or in which it may invest to increase its current            
returns.                                                                        

The potential risk to the funds is that the change in value of futures          
and options contracts may not correspond to the change in value of the          
hedged instruments. In addition, losses may arise from changes in the           
value of the underlying instruments, if there is an illiquid secondary          
market for the contracts, or if the counterparty to the contract is             
unable to perform. When the contract is closed, the funds record a              
realized gain or loss equal to the difference between the value of the          
contract at the time it was opened and the value at the time it was             
closed. Realized gains and losses on purchased options are included in          
realized gains and losses on investment securities.                             

Futures contracts are valued at the quoted daily settlement prices              
established by the exchange on which they trade. Exchange traded options        
are valued at the last sale price, or if no sales are reported, the last        
bid price for purchased options and the last ask price for written              
options. Options traded over-the-counter are valued using prices                
supplied by dealers.                                                            

H) Interest rate swap contracts The funds may engage in interest rate           
swap agreements, which are agreements between two parties to exchange           
cash flows based on a notional amount. The funds may enter into interest        
rate swap agreements, to change the fund's exposure to interest rates.          
Interest rate swaps are marked to market daily based upon quotations            
from market makers and the change, if any, is recorded as unrealized            
gain or loss. Net payments are included as part of interest income.             
Payments received or made at the end of the measurement period are              
recorded as income. The fund could be exposed to credit or market risk          
due to unfavorable changes in the fluctuation of interest rates or that         
the counterparty may default on its obligation to perform.                      

I) Equity swap contracts The funds may engage in swap agreements, which         
are agreements to exchange the return generated by one instrument for           
the return generated by another instrument. To manage its exposure to           
equity markets the fund may enter into equity swap agreements, which            
involve a commitment by one party to pay interest in exchange for a             
market-linked return based on a notional amount. To the extent that the         
total return of the security or index underlying the transaction exceeds        
or falls short of the offsetting interest rate obligation, the fund will        
receive a payment from or make a payment to the counterparty,                   
respectively. Equity swaps are marked to market daily based upon                
quotations from market makers and the change, if any, is recorded as            
unrealized gain or loss. Payments received or made at the end of the            
measurement period are recorded as realized gains or losses. The funds          
could be exposed to credit or market risk due to unfavorable changes in         
the fluctuation of interest rates or in the price of the underlying             
security or index, the possibility that there is no liquid market for           
these agreements or that the counterparty may default on its obligation         
to perform.                                                                     

J) TBA purchase commitments The funds may enter into "TBA" (to be               
announced) purchase commitments to purchase securities for a fixed unit         
price at a future date beyond customary settlement time. Although the           
unit price has been established, the principal value has not been               
finalized. However, the amount of the commitments will not fluctuate            
more than 0.01% from the principal amount. The fund holds, and maintains        
until settlement date, cash or high-grade debt obligations in an amount         
sufficient to meet the purchase price, or the funds may enter into              
offsetting contracts for the forward sale of other securities it owns.          
Income on the securities will not be earned until settlement date. TBA          
purchase commitments may be considered securities in themselves, and            
involve a risk of loss if the value of the security to be purchased             
declines prior to the settlement date, which risk is in addition to the         
risk of decline in the value of the fund's other assets. Unsettled TBA          
purchase commitments are valued at the current market value of the              
underlying securities, according to the procedures described under              
"Security valuation" above.                                                     

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

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

Unsettled TBA sale commitments are valued at the current market value of        
the underlying securities, generally according to the procedures                
described under "Security valuation" above. The contract is                     
"marked-to-market" daily and the change in market value is recorded by          
the fund as an unrealized gain or loss. If the TBA sale commitment is           
closed through the acquisition of an offsetting purchase commitment, the        
fund realizes a gain or loss. If the funds deliver securities under the         
commitment, the fund realizes a gain or a loss from the sale of the             
securities based upon the unit price established at the date the                
commitment was entered into.                                                    

L) Line of credit The funds have entered into a committed line of credit        
with certain banks. This line of credit agreement includes restrictions         
that the fund maintain an asset coverage ratio of at least 300% and             
borrowings must not exceed prospectus limitations. For the year ended           
September 30, 2000, the fund had no borrowings against the line of              
credit.                                                                         

M) Federal taxes It is the policy of the funds to distribute all of its         
taxable income within the prescribed time and otherwise comply with the         
provisions of the Internal Revenue Code applicable to regulated                 
investment companies. It is also the intention of the fund to distribute        
an amount sufficient to avoid imposition of any excise tax under Section        
4982 of the Internal Revenue Code of 1986, as amended. Therefore, no            
provision has been made for federal taxes on income, capital gains or           
unrealized appreciation on securities held nor for excise tax on income         
and capital gains.                                                              

N) Distributions to shareholders Distributions to shareholders from net         
investment income are recorded by the fund on the ex-dividend date.             
Capital gain distributions, if any, are recorded on the ex-dividend date        
and paid at least annually. The amount and character of income and gains        
to be distributed are determined in accordance with income tax                  
regulations which may differ from generally accepted accounting                 
principles. These differences include temporary and permanent                   
differences of losses on wash sale transactions, foreign currency gains         
and losses, post-October loss deferrals, organization costs, nontaxable         
dividends, defaulted bond interest, paydown gains and losses on                 
mortgage-backed securities, market discount, interest on payment-in-kind        
securities, unrealized and realized gains and losses on passive foreign         
investment companies, book accretion/amortization adjustment, unrealized        
gains and losses on certain futures contracts, and income on swap               
contracts. Reclassifications are made to each fund's capital accounts to        
reflect income and gains available for distribution (or available               
capital loss carryovers) under income tax regulations. Reclassifications        
for the year ended September 30, 2000 were as follows:                          

Undistributed Net Investment Income                                             
---------------------------------------------------------------------------     
Growth Portfolio                                                (11,492,339)    
---------------------------------------------------------------------------     
Balanced Portfolio                                                  295,042     
---------------------------------------------------------------------------     
Conservative Portfolio                                            4,246,932     
---------------------------------------------------------------------------     

Accumulated Net Realized Gain                                                   
---------------------------------------------------------------------------     
Growth Portfolio                                                 11,111,477     
---------------------------------------------------------------------------     
Balanced Portfolio                                               (2,861,265)    
---------------------------------------------------------------------------     
Conservative Portfolio                                           (4,965,971)    
---------------------------------------------------------------------------     

Additional Paid-in Capital                                                      
---------------------------------------------------------------------------     
Growth Portfolio                                                    380,862     
---------------------------------------------------------------------------     
Balanced Portfolio                                                2,566,223     
---------------------------------------------------------------------------     
Conservative Portfolio                                              719,039     
---------------------------------------------------------------------------     

O) Expenses of the trust Expenses directly charged or attributable to           
any fund will be paid from the assets of that fund. Generally, expenses         
of the trust will be allocated among and charged to the assets of each          
fund on a basis that the Trustees deem fair and equitable, which may be         
based on the relative assets of each fund or the nature of the services         
performed and relative applicability to each fund.                              

Note 2                                                                          
Management fee, administrative                                                  
services, and other transactions                                                

Compensation of Putnam Management, for management and investment                
advisory services is paid quarterly based on the average net assets of          
the funds. Such fee is based on the following annual rates: 0.700% of           
the first $500 million of average net assets of each fund, 0.600% of the        
next $500 million, 0.550% of the next $500 million, 0.500% of the next          
$5 billion, 0.475% of the next $5 billion, 0.455% of the next $5                
billion, 0.440% of the next $5 billion and 0.430% thereafter.                   

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

Custodial functions for each fund's assets are provided by Putnam               
Fiduciary Trust Company (PFTC), a subsidiary of Putnam Investments, Inc.        
Investor servicing agent functions are provided by Putnam Investor              
Services, a division of PFTC.                                                   

Under the subcustodian contract between the subcustodian bank and PFTC,         
the subcustodian bank has a lien on the securities of a fund to the             
extent permitted by the fund's investment restrictions to cover any             
advances made by the subcustodian bank for the settlement of securities         
purchased by the fund. At September 30, 2000, the amount payable to the         
subcustodian bank represents the amount due for cash advance for the            
settlement of a security purchased.                                             

For the year ended September 30, 2000, fund expenses were reduced by            
$661,336, $875,852 and $330,347 (for Growth Portfolio, Balanced                 
Portfolio and Conservative Portfolio, respectively) under expense offset        
arrangements with PFTC and brokerage service arrangements. Investor             
servicing and custodian fees reported in the Statement of operations            
exclude these credits. The fund could have invested a portion of the            
assets utilized in connection with the expense offset arrangements in an        
income producing asset if it had not entered into such arrangements.            

Each Trustee of the funds receives an annual Trustee fee, of which              
$1,620, $2,373 and $880 (for Growth Portfolio, Balanced Portfolio and           
Conservative Portfolio, respectively) has been allocated to the fund,           
and an additional fee for each Trustees meeting attended. Trustees              
receive additional fees for attendance at certain committee meetings.           

Each fund has adopted a Trustee Fee Deferral Plan (the "Deferral Plan")         
which allows the Trustees to defer the receipt of all or a portion of           
Trustees Fees payable on or after July 1, 1995. The deferred fees remain        
invested in certain Putnam funds until distribution in accordance with          
the Deferral Plan.                                                              

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

Each of the funds has adopted distribution plans (the "Plans") with             
respect to its class A, class B, class C and class M shares pursuant to         
Rule 12b-1 under the Investment Company Act of 1940. The purpose of the         
Plans is to compensate Putnam Retail Management, Inc., a wholly-owned           
subsidiary of Putnam Investments Inc., for services provided and                
expenses incurred by it in distributing shares of the fund. The Plans           
provide for payments by the fund to Putnam Retail Management, Inc. at an        
annual rate up to 0.35%, 1.00%, 1.00% and 1.00% of the average net              
assets attributable to class A, class B, class C and class M shares,            
respectively. The Trustees have approved payment by the funds at an             
annual rate of 0.25%, 1.00%, 1.00% and 0.75% of the average net assets          
attributable to class A, class B, class C and class M shares                    
respectively.                                                                   

For the year ended September 30, 2000, Putnam Retail Management, Inc.,          
acting as underwriter received net commissions of $630,191 and $44,839          
from the sale of class A and class M shares, respectively, and received         
$1,830,689 and $71,245 in contingent deferred sales charges from                
redemptions of class B and class C shares, respectively. A deferred             
sales charge of up to 1% is assessed on certain redemptions of class A          
shares. For the year ended September 30, 2000, Putnam Retail Management,        
Inc., acting as underwriter received $49,138 on class A redemptions.            

Note 3                                                                          
Purchases and sales of securities                                               

During the year ended September 30, 2000, cost of purchases and proceeds        
from sales of investment securities other than short-term investments           
were as follows:                                                                

                                           U.S. Government Obligations
---------------------------------------------------------------------------     
                                   Purchases               Sales
---------------------------------------------------------------------------     
Growth Portfolio                          $209,140,840        $227,284,354      
---------------------------------------------------------------------------     
Balanced Portfolio                        $391,101,158        $432,019,062      
---------------------------------------------------------------------------     
Conservative Portfolio                    $428,728,191        $360,992,572      
---------------------------------------------------------------------------     

                                                      Other Securities
---------------------------------------------------------------------------     
                                   Purchases               Sales
---------------------------------------------------------------------------     
Growth Portfolio                        $2,784,945,151      $2,801,558,348      
---------------------------------------------------------------------------     
Balanced Portfolio                      $3,517,067,819      $3,454,039,534      
---------------------------------------------------------------------------     
Conservative Portfolio                  $1,352,031,771      $1,543,674,242      
---------------------------------------------------------------------------     

Note 4                                                                          
Capital shares                                                                  

At September 30, 2000, there was an unlimited number of shares of               
beneficial interest authorized. Transactions in capital shares were as          
follows:                                                                        

                                               Year ended September 30
---------------------------------------------------------------------------     
Class A                                                                2000     
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 23,511,972        $348,642,136      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                5,418,462          78,946,976      
---------------------------------------------------------------------------     
Shares repurchased                         (18,746,126)       (278,308,268)     
---------------------------------------------------------------------------     
Net increase                                10,184,308        $149,280,844      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class A                                                                1999     
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 18,752,326        $258,495,329      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                1,462,109          18,875,831      
---------------------------------------------------------------------------     
Shares repurchased                         (25,108,226)       (349,190,266)     
---------------------------------------------------------------------------     
Net decrease                                (4,893,791)       $(71,819,106)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class B                                                                2000     
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  9,185,249        $134,563,252      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                3,565,212          51,303,344      
---------------------------------------------------------------------------     
Shares repurchased                         (12,991,443)       (189,359,843)     
---------------------------------------------------------------------------     
Net decrease                                  (240,982)       $ (3,493,247)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class B                                                                1999     
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  6,079,466         $81,965,810      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  703,237           8,980,332      
---------------------------------------------------------------------------     
Shares repurchased                          (6,754,966)        (91,948,806)     
---------------------------------------------------------------------------     
Net increase (decrease)                         27,737         $(1,002,664)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class C                                                                2000     
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  3,539,220         $51,144,368      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  764,712          10,904,790      
---------------------------------------------------------------------------     
Shares repurchased                          (2,056,451)        (29,960,983)     
---------------------------------------------------------------------------     
Net increase                                 2,247,481         $32,088,175      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class C                                                                1999     
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  1,904,307         $25,665,203      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  155,976           1,979,527      
---------------------------------------------------------------------------     
Shares repurchased                          (2,349,688)        (31,738,963)     
---------------------------------------------------------------------------     
Net decrease                                  (289,405)        $(4,094,233)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class M                                                                2000     
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  1,586,242         $23,158,133      
---------------------------------------------------------------------------     
Shares issued in                                                                
connections with                                                                
reinvestment of                                                                 
distributions                                  471,258           6,786,113      
---------------------------------------------------------------------------     
Shares repurchased                          (1,552,473)        (23,441,390)     
---------------------------------------------------------------------------     
Net increase                                   505,027          $6,502,856      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class M                                                                1999     
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  1,465,010         $19,502,042      
---------------------------------------------------------------------------     
Shares issued in                                                                
connections with                                                                
reinvestment of                                                                 
distributions                                  110,711           1,414,889      
---------------------------------------------------------------------------     
Shares repurchased                          (1,647,545)        (22,770,812)     
---------------------------------------------------------------------------     
Net decrease                                   (71,824)        $(1,853,881)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class Y                                                                2000     
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 13,302,387        $199,863,338      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                3,170,148          46,414,115      
---------------------------------------------------------------------------     
Shares repurchased                          (9,725,995)       (145,724,691)     
---------------------------------------------------------------------------     
Net increase                                 6,746,540        $100,552,762      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class Y                                                                1999     
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 15,271,247        $214,959,955      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  530,451           6,879,074      
---------------------------------------------------------------------------     
Shares repurchased                          (6,244,410)        (87,204,382)     
---------------------------------------------------------------------------     
Net increase                                 9,557,288        $134,634,647      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class A                                                                2000     
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 57,452,184        $739,305,555      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                6,926,557          87,295,477      
---------------------------------------------------------------------------     
Shares repurchased                         (29,463,927)       (378,626,634)     
---------------------------------------------------------------------------     
Net increase                                34,914,814        $447,974,398      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class A                                                                1999     
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 26,789,898        $319,446,022      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                2,657,991          31,312,005      
---------------------------------------------------------------------------     
Shares repurchased                         (37,757,615)       (455,952,183)     
---------------------------------------------------------------------------     
Net decrease                                (8,309,726)      $(105,194,156)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class B                                                                2000     
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  9,951,479        $127,026,445      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                3,669,339          45,855,574      
---------------------------------------------------------------------------     
Shares repurchased                         (17,484,194)       (222,981,859)     
---------------------------------------------------------------------------     
Net decrease                                (3,863,376)       $(50,099,840)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class B                                                                1999     
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  8,301,654         $98,580,466      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of distributions                1,124,391          13,101,703      
---------------------------------------------------------------------------     
Shares repurchased                          (9,541,695)       (113,931,558)     
---------------------------------------------------------------------------     
Net decrease                                  (115,650)        $(2,249,389)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class C                                                                2000     
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  3,703,078         $46,890,743      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  799,922           9,936,053      
---------------------------------------------------------------------------     
Shares repurchased                          (3,307,882)        (41,913,489)     
---------------------------------------------------------------------------     
Net increase                                 1,195,118         $14,913,307      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class C                                                                1999     
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  3,361,616         $40,015,780      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  223,409           2,591,926      
---------------------------------------------------------------------------     
Shares repurchased                          (2,611,861)        (31,143,056)     
---------------------------------------------------------------------------     
Net increase                                   973,164         $11,464,650      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class M                                                                2000     
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  2,210,703         $28,538,940      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  466,033           5,851,602      
---------------------------------------------------------------------------     
Shares repurchased                          (2,669,974)        (34,278,023)     
---------------------------------------------------------------------------     
Net increase                                     6,762            $112,519      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class M                                                                1999     
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  1,910,023         $22,711,244      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  152,511           1,789,141      
---------------------------------------------------------------------------     
Shares repurchased                          (1,823,486)        (22,015,241)     
---------------------------------------------------------------------------     
Net increase                                   239,048          $2,485,144      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class Y                                                                2000     
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 20,458,616        $260,542,598      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                3,619,327          45,615,289      
---------------------------------------------------------------------------     
Shares repurchased                         (12,560,109)       (161,703,337)     
---------------------------------------------------------------------------     
Net increase                                11,517,834        $144,454,550      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class Y                                                                1999     
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 18,714,733        $226,860,733      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  830,901           9,859,556      
---------------------------------------------------------------------------     
Shares repurchased                          (6,417,534)        (77,593,493)     
---------------------------------------------------------------------------     
Net increase                                13,128,100        $159,126,796      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class A                                                                2000     
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 25,168,746        $262,460,869      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                2,701,861          28,125,681      
---------------------------------------------------------------------------     
Shares repurchased                         (24,892,439)       (258,018,559)     
---------------------------------------------------------------------------     
Net increase                                 2,978,168        $ 32,567,991      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class A                                                                1999     
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 15,911,751        $164,942,186      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                1,771,466          18,189,578      
---------------------------------------------------------------------------     
Shares repurchased                         (19,288,553)       (200,954,773)     
---------------------------------------------------------------------------     
Net decrease                                (1,605,336)       $(17,823,009)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class B                                                                2000     
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  3,119,134        $ 32,439,091      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                1,068,376          11,090,655      
---------------------------------------------------------------------------     
Shares repurchased                          (7,455,256)        (77,580,404)     
---------------------------------------------------------------------------     
Net decrease                                (3,267,746)       $(34,050,658)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class B                                                                1999     
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  4,648,804         $48,054,330      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  607,685           6,213,353      
---------------------------------------------------------------------------     
Shares repurchased                          (3,853,643)        (39,855,674)     
---------------------------------------------------------------------------     
Net increase                                 1,402,846         $14,412,009      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class C                                                                2000     
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                    986,097        $ 10,245,806      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  317,930           3,290,989      
---------------------------------------------------------------------------     
Shares repurchased                          (2,966,838)        (30,834,984)     
---------------------------------------------------------------------------     
Net decrease                                (1,662,811)       $(17,298,189)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class C                                                                1999     
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  2,910,586         $30,014,096      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  187,718           1,916,327      
---------------------------------------------------------------------------     
Shares repurchased                          (2,098,944)        (21,792,052)     
---------------------------------------------------------------------------     
Net increase                                   999,360         $10,138,371      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class M                                                                2000     
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                    610,265         $ 6,363,506      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  174,583           1,810,827      
---------------------------------------------------------------------------     
Shares repurchased                          (1,231,179)        (12,969,309)     
---------------------------------------------------------------------------     
Net decrease                                  (446,331)        $(4,794,976)     
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class M                                                                1999     
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  1,447,538         $14,991,909      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                   92,868             950,726      
---------------------------------------------------------------------------     
Shares repurchased                            (635,492)         (6,614,546)     
---------------------------------------------------------------------------     
Net increase                                   904,914         $ 9,328,089      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class Y                                                                2000     
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 14,340,881        $147,912,331      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  878,911           9,192,724      
---------------------------------------------------------------------------     
Shares repurchased                          (6,523,605)        (68,195,474)     
---------------------------------------------------------------------------     
Net increase                                 8,696,187        $ 88,909,581      
---------------------------------------------------------------------------     

                                               Year ended September 30
---------------------------------------------------------------------------     
Class Y                                                                1999     
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 11,982,451        $124,630,096      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  233,490           2,414,799      
---------------------------------------------------------------------------     
Shares repurchased                          (4,250,057)        (43,742,801)     
---------------------------------------------------------------------------     
Net increase                                 7,965,884        $ 83,302,094      
---------------------------------------------------------------------------     

FEDERAL TAX INFORMATION                                                         
(Unaudited)                                                                     

Pursuant to Section 852 of the Internal Revenue Code, as amended, the           
Fund hereby designates $202,135,967, $175,245,568 and $22,383,192 for           
Growth, Balanced, and Conservative, respectively, as capital gain, for          
its taxable year ended September 30, 2000.                                      

The fund has designated 4.27%, 7.05%, and 3.35% for Growth, Balanced,           
and Conservative, respectively, of the distributions from net investment        
income as qualifying for the dividends received deduction for                   
corporations.                                                                   

The Form 1099 you receive in January 2001 will show the tax status of           
all distributions paid to your account in calendar year 2000.                   

FUND INFORMATION                                                                

WEB SITE                                                                        

www.putnaminvestments.com                                                       

INVESTMENT MANAGER                                                              

Putnam Investment Management, Inc.                                              
One Post Office Square                                                          
Boston, MA 02109                                                                

MARKETING SERVICES                                                              

Putnam Retail Management, Inc.                                                  
One Post Office Square                                                          
Boston, MA 02109                                                                

CUSTODIAN                                                                       

Putnam Fiduciary Trust Company                                                  

LEGAL COUNSEL                                                                   

Ropes & Gray                                                                    

INDEPENDENT ACCOUNTANTS                                                         

PricewaterhouseCoopers LLP                                                      

TRUSTEES                                                                        

John A. Hill, Chairman                                                          
Jameson Adkins Baxter                                                           
Hans H. Estin                                                                   
Ronald J. Jackson                                                               
Paul L. Joskow                                                                  
Elizabeth T. Kennan                                                             
Lawrence J. Lasser                                                              
John H. Mullin III                                                              
Robert E. Patterson                                                             
George Putnam, III                                                              
A.J.C. Smith                                                                    
W. Thomas Stephens                                                              
W. Nicholas Thorndike                                                           

OFFICERS                                                                        

George Putnam, III                                                              
President                                                                       

Charles E. Porter                                                               
Executive Vice President                                                        

Patricia C. Flaherty                                                            
Senior Vice President                                                           

John D. Hughes                                                                  
Senior Vice President and Treasurer                                             

Lawrence J. Lasser                                                              
Vice President                                                                  

Gordon H. Silver                                                                
Vice President                                                                  

Ian C. Ferguson                                                                 
Vice President                                                                  

Brett C. Browchuk                                                               
Vice President                                                                  

Stephen Oristaglio                                                              
Vice President                                                                  

William J. Landes                                                               
Vice President and Fund Manager                                                 

Richard G. Leibovitch                                                           
Vice President                                                                  

Richard A. Monaghan                                                             
Vice President                                                                  

John R. Verani                                                                  
Vice President                                                                  

This report is for the information of shareholders of Putnam Asset              
Allocation Funds. It may also be used as sales literature when preceded         
or accompanied by the current prospectus, which gives details of sales          
charges, investment objectives, and operating policies of the fund, and         
the most recent copy of Putnam's Quarterly Performance Summary and              
Putnam's Quarterly Ranking Summary. For more information or to request a        
prospectus, call toll free: 1-800-225-1581.                                     

You can also learn more at Putnam Investments'  Web site:                       
www.putnaminvestments.com.                                                      

Not FDIC Insured, May Lose Value, No Bank Guarantee                             

[LOGO OMITTED]                                                                  

PUTNAM INVESTMENTS                                                              

The Putnam Funds                                                                
One Post Office Square                                                          
Boston, Massachusetts 02109                                                     

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

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

AN060-65461  250/259/264  11/00                                                 

PUTNAM INVESTMENTS                                      [SCALE LOGO OMITTED]    
----------------------------------------------------------------------------    
Putnam  Asset Allocation Funds, Growth Portfolio                                
Supplement to Annual Report dated September 30, 2000                            

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

ANNUAL RESULTS AT A GLANCE                                                      
----------------------------------------------------------------------------    
Total return                                     NAV                            

Twelve months ended 9/30/00                                                     
9/30/99-9/30/00                                13.14%                           

5 years (Cumulative)                          100.03%                           
5 years (Annualized)                           14.87%                           

Life (annualized)                                                               
2/8/94-9/30/00                                 14.09%                           
----------------------------------------------------------------------------    
Share value                                      NAV                            

2/8/94 (Inception date)                         $8.50                           
9/30/99                                        $14.44                           
9/30/00                                        $14.58                           
----------------------------------------------------------------------------    
Distributions           No.      Income         Capital gains        Total      
                             Short      Long
9/30/99 to 9/30/00       1       $0.199       $0.318     $1.247     $1.764      
----------------------------------------------------------------------------    
Please note that past performance does not indicate future results.             
Investment return and principal value will fluctuate so your shares, when       
redeemed, may be worth more or less than their original cost. See full          
Semiannual Report for information on comparative benchmarks. If you have        
questions, please consult your fund prospectus or call Putnam toll free at      
1-800-752-9894.                                                                 

PUTNAM INVESTMENTS                                      [SCALE LOGO OMITTED]    
----------------------------------------------------------------------------    
Putnam  Asset Allocation Funds, Balanced  Portfolio                             
Supplement to Annual Report dated September 30, 2000                            

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

ANNUAL RESULTS AT A GLANCE                                                      
----------------------------------------------------------------------------    
Total return                                     NAV                            

Twelve months ended 9/30/00                                                     
9/30/99-9/30/00                                16.15%                           

5 years (Cumulative)                           93.28%                           
5 years (Annualized)                           14.09%                           

Life (annualized)                                                               
2/7/94-9/30/00                                 13.11%                           
----------------------------------------------------------------------------    
Share value                                      NAV                            

2/7/94 (Inception date)                         $8.50                           
9/30/99                                        $12.29                           
9/30/00                                        $13.00                           
----------------------------------------------------------------------------    
Distributions           No.      Income         Capital gains        Total      
                             Short      Long
9/30/99 to 9/30/00       4       $0.289       $0.126     $0.805     $1.220      
----------------------------------------------------------------------------    
Please note that past performance does not indicate future results.             
Investment return and principal value will fluctuate so your shares, when       
redeemed, may be worth more or less than their original cost. See full          
Semiannual Report for information on comparative benchmarks. If you have        
questions, please consult your fund prospectus or call Putnam toll free at      
1-800-752-9894.                                                                 

PUTNAM INVESTMENTS                                      [SCALE LOGO OMITTED]    
----------------------------------------------------------------------------    
Putnam  Asset Allocation Funds, Conservative Portfolio                          
Supplement to Annual Report dated September 30, 2000                            

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

ANNUAL RESULTS AT A GLANCE                                                      
----------------------------------------------------------------------------    
Total return                                     NAV                            

Twelve months ended 9/30/00                                                     
9/30/99-9/30/00                                 8.43%                           

5 years (Cumulative)                           58.45%                           
5 years (Annualized)                            9.64%                           

Life (annualized)                                                               
2/7/94-9/30/00                                  9.13%                           
----------------------------------------------------------------------------    
Share value                                      NAV                            

2/7/94 (Inception date)                         $8.50                           
9/30/99                                        $10.42                           
9/30/00                                        $10.47                           
----------------------------------------------------------------------------    
Distributions           No.      Income         Capital gains        Total      
                             Short      Long
9/30/99 to 9/30/00       9       $0.428       $0.088     $0.295      $0.811     
----------------------------------------------------------------------------    
Please note that past performance does not indicate future results.             
Investment return and principal value will fluctuate so your shares, when       
redeemed, may be worth more or less than their original cost. See full          
Semiannual Report for information on comparative benchmarks. If you have        
questions, please consult your fund prospectus or call Putnam toll free at      
1-800-752-9894.                                                                 

Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘N-30D’ Filing		Date		Other Filings
		3/1/30
		8/1/29
		4/1/29
		3/1/29
		7/1/28
		3/15/28
		8/15/25
		1/15/24
		10/1/22
		4/15/22
		1/15/22
		12/15/17
		1/1/15
		10/1/13
		6/15/13
		12/1/11
		8/1/10
		12/15/09
		12/21/00		24F-2NT
		12/15/00
Filed on:		11/27/00
		11/22/00
		11/16/00
		11/15/00
		11/14/00
		11/8/00
		11/7/00
		11/3/00
		11/1/00
		10/17/00
		10/13/00
		10/11/00
		10/10/00
		10/6/00
		10/5/00
		10/4/00
		10/2/00
For Period End:		9/30/00		24F-2NT,  NSAR-B
		9/29/00
		9/21/00
		9/5/00
		5/15/00
		3/15/00
		2/29/00
		1/28/00		485BPOS
		7/1/95
				List all Filings