N-Q 1 main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811- 649

Fidelity Puritan Trust
 (Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices) (Zip code)

Eric D. Roiter, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

July 31

Date of reporting period:

October 31, 2004

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Low-Priced Stock Fund

October 31, 2004

LPS-QTLY-1204

1.809099.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 87.0%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 22.1%

Auto Components - 1.8%

American Axle & Manufacturing Holdings, Inc.

2,525,000

$ 72,468

ArvinMeritor, Inc. (d)

6,777,400

126,466

Drew Industries, Inc. (a)(d)

1,027,800

32,222

Dura Automotive Systems, Inc. Class A (sub. vtg.) (a)(d)

1,844,074

15,490

Exide Technologies (a)

50,000

742

FCC Co. Ltd.

250,000

7,606

FCC Co. Ltd. New

125,000

3,803

Federal Screw Works (d)

156,250

5,234

Finnveden Invest AB Series B (a)(d)

1,673,750

12,953

Fuji Oozx, Inc.

200,000

794

Goodyear Tire & Rubber Co. (a)

1,000,000

10,080

Intermet Corp. (d)

2,559,810

563

Inzi Controls Co. Ltd.

200,000

570

Johnson Controls, Inc.

2,450,000

140,508

Murakami Corp. (d)

850,000

5,622

Musashi Seimitsu Industry Co. Ltd.

125,000

2,716

Musashi Seimitsu Industry Co. Ltd. New (a)

125,000

2,716

Nissin Kogyo Co. Ltd.

10,000

295

Nokian Tyres Ltd.

5,000

543

Owari Precise Products Co. Ltd.

350,000

827

Piolax, Inc. (d)

1,050,000

19,753

Samsung Climate Control Co. Ltd.

175,050

802

Stoneridge, Inc. (a)(d)

1,986,200

26,714

Strattec Security Corp. (a)(d)

519,745

32,697

Tachi-S Co. Ltd.

1,055,300

13,331

Tanaka Seimitsu Kogyo Co. Ltd.

50,000

1,257

Tesma International, Inc. Class A (sub. vtg.)

216,300

6,811

Tochigi Fuji Sangyo KK

600,000

1,911

Tower Automotive, Inc. (a)(d)

5,578,400

8,312

Toyota Auto Body Co. Ltd.

170,000

3,044

Yutaka Giken Co. Ltd.

350,000

8,731

565,581

Automobiles - 0.8%

Ford Motor Co.

19,000,000

247,570

Glendale International Corp.

1,900

10

National R.V. Holdings, Inc. (a)(d)

931,700

8,991

256,571

Distributors - 0.3%

Advanced Marketing Services, Inc. (d)

1,927,800

20,242

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Distributors - continued

Compania de Distribucion Integral Logista SA

520,000

$ 23,623

Goodfellow, Inc. (d)

419,500

8,095

HIP Interactive Corp. (a)

474,600

472

Medion AG

375,000

6,526

Nagahori Corp.

200,000

624

San-A Co. Ltd.

50,000

1,039

Strongco, Inc.

152,500

799

Uni-Select, Inc.

869,500

19,812

81,232

Hotels, Restaurants & Leisure - 3.8%

Applebee's International, Inc. (d)

8,250,000

188,678

ARK Restaurants Corp. (a)

126,891

3,811

Benihana, Inc. (a)(d)

373,300

5,387

Benihana, Inc. Class A (a)(d)

470,225

6,729

Brinker International, Inc. (a)(d)

5,702,100

184,178

CEC Entertainment, Inc. (a)(d)

3,750,000

142,575

Domino's Pizza, Inc.

1,500,000

24,600

Elscint Ltd. (a)(d)

1,430,800

6,009

Elxsi Corp. (a)

181,600

617

Enterprise Inns PLC

625,000

7,109

Flanigan's Enterprises, Inc. (d)

195,000

1,258

Inventive Leisure PLC (d)

1,198,165

1,354

Jack in the Box, Inc. (a)(d)

3,337,500

111,372

Jurys Doyle Hotel Group PLC (Ireland)

375,000

5,010

Krispy Kreme Doughnuts, Inc. (a)

1,000,000

10,600

Kyoritsu Maintenance Co. Ltd.

25,000

528

Luminar PLC

1,850,000

15,468

Mefos Ltd.

25,000

302

Monarch Casino & Resort, Inc. (a)

119,487

3,337

MTR Gaming Group, Inc. (a)(d)

1,902,415

17,122

Outback Steakhouse, Inc.

3,270,000

129,459

Papa John's International, Inc. (a)(d)

2,250,000

72,630

Pierre & Vacances

20,000

1,762

Pizzaexpress PLC (a)

1,750,000

14,118

Ruby Tuesday, Inc.

902,200

22,284

Ryan's Restaurant Group, Inc. (a)(d)

3,922,900

54,881

Sonic Corp. (a)(d)

6,150,000

167,465

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Sportscene Restaurants, Inc. Class A (d)

406,500

$ 2,270

Ultimate Leisure Group PLC

150,000

1,027

1,201,940

Household Durables - 5.6%

Abbey PLC (d)

3,407,000

34,880

Airsprung Furniture Group PLC

950,000

777

Barratt Developments PLC (d)

23,957,099

222,765

Beazer Homes USA, Inc.

450,000

49,401

Bellway PLC (d)

9,950,000

123,787

Blyth, Inc. (d)

3,510,000

105,546

Boston Acoustics, Inc. (d)

274,488

3,684

Bush Industries, Inc. Class A (a)

1,024,400

87

Chitaly Holdings Ltd.

600,000

424

Chromcraft Revington, Inc. (a)(d)

957,300

11,516

Cobra Electronics Corp. (a)(d)

383,893

3,033

D.R. Horton, Inc. (d)

19,700,000

590,992

Decorator Industries, Inc. (d)

279,715

2,562

Department 56, Inc. (a)(d)

1,322,800

19,961

Dominion Homes, Inc. (a)(d)

495,820

10,323

Ekornes AS

150,000

3,426

Enesco Group, Inc. (a)(d)

1,304,500

8,466

Helen of Troy Ltd. (a)(d)

2,980,900

79,143

Henry Boot PLC (d)

2,604,000

18,782

HTL International Holdings Ltd.

13,312,500

9,446

Japan General Estate Co. Ltd.

25,000

260

Joint Corp.

335,000

7,533

Kaufman & Broad SA

150,000

6,814

KB Home

950,000

78,138

Libbey, Inc. (d)

745,300

13,527

M/I Homes, Inc. (d)

1,750,000

75,250

Meritage Homes Corp. (a)(d)

697,200

61,842

Merloni Elettrodomestici Spa

100,000

1,526

Mohawk Industries, Inc. (a)

300,000

25,524

Nagawa Co. Ltd. (d)

1,000,000

7,219

Ngai Lik Industrial Holdings Ltd. (d)

51,320,000

16,483

P&F Industries, Inc. Class A (a)(d)

359,300

3,467

Persimmon PLC

2,900,393

32,939

Portmeirion Group PLC

250,000

770

Redrow PLC

1,350,000

8,168

Salton, Inc. (a)(d)

952,200

6,142

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Southern Energy Homes, Inc. (a)(d)

1,400,100

$ 6,440

Stanley Furniture Co., Inc. (d)

600,000

26,694

Techtronic Industries Co. Ltd.

18,000,000

35,844

Toso Co. Ltd.

400,000

986

Tsann Kuen Enterprise Co. Ltd.

8,526,000

9,407

Wilson Bowden PLC

20,000

359

Yankee Candle Co., Inc. (a)

1,825,700

50,572

1,774,905

Internet & Catalog Retail - 0.1%

Belluna Co. Ltd.

275,050

8,940

Insight Enterprises, Inc. (a)

1,210,078

22,453

N Brown Group PLC

6,100,000

14,404

45,797

Leisure Equipment & Products - 0.6%

Action Performance Companies, Inc. (d)

1,831,600

16,942

Anthony & Sylvan Pools Corp. (a)

226,936

1,191

Aruze Corp.

25,000

496

Asia Optical Co., Inc.

1,100,342

5,231

Beneteau SA

65,000

4,891

Coastcast Corp. (a)(d)

763,200

1,717

JAKKS Pacific, Inc. (a)(d)

2,371,250

37,371

Johnson Health Tech Co. Ltd.

62,500

109

Jumbo SA

115,000

695

Marine Products Corp. (d)

2,579,560

47,077

Polaris Industries, Inc.

540,900

32,102

Premier Image Technology Corp.

6,825,000

4,979

RC2 Corp. (a)

86,350

2,406

SCP Pool Corp.

900,000

26,271

Trigano SA

60,000

3,490

Vitec Group PLC

25,000

145

Zapf Creation AG

400,000

7,586

192,699

Media - 0.9%

Astral Media, Inc. Class A (non-vtg.)

270,000

6,252

Austereo Group Ltd.

2,000,000

2,366

Championship Auto Racing Teams, Inc. (a)(d)

1,471,600

140

Chime Communications PLC (a)(d)

15,385,714

7,705

Chubu-Nippon Broadcasting Co. Ltd.

147,600

1,715

Cossette Communication Group, Inc. (sub. vtg.) (a)

154,400

1,840

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Daily Mail & General Trust PLC Class A

10,000

$ 133

DreamWorks Animation SKG, Inc. Class A

67,500

2,636

Grupo Radio Centro SA de CV sponsored ADR (a)

800,000

5,240

Highbury House Communications PLC

4,425,000

813

Johnston Press PLC

13,200,000

133,535

Lakes Entertainment, Inc. (a)(d)

1,458,126

17,089

Opinion Research Corp. (a)(d)

367,711

2,298

P4 Radio Hele Norge ASA (a)

450,000

1,203

PubliGroupe SA (Reg.)

8,000

2,342

Sondagsavisen AS (Reg.) (a)

375,000

1,388

Southern Cross Broadcasting Australia Ltd.

1,127,348

11,843

Trinity Mirror PLC

1,400,000

16,594

TV Azteca SA de CV sponsored ADR

2,200,000

22,044

TVA Group, Inc. Class B (non. vtg.)

2,132,700

34,148

Village Roadshow Ltd. (a)

2,900,000

4,777

276,101

Multiline Retail - 1.6%

99 Cents Only Stores (a)

129,200

1,991

Conn's, Inc.

512,178

7,847

Daiwa Co. Ltd.

300,000

607

Don Quijote Co. Ltd.

35,000

2,103

Gifi

70,000

3,852

Harvey Norman Holdings Ltd.

5,000,000

11,381

Merchant Retail Group PLC (d)

5,850,000

16,018

Next PLC (d)

14,200,000

435,780

ShopKo Stores, Inc. (a)(d)

1,825,200

31,466

Thanks Japan Corp.

140,000

865

511,910

Specialty Retail - 3.8%

Abercrombie & Fitch Co. Class A

2,000,000

78,360

AutoZone, Inc. (a)

955,400

78,161

Beter Bed Holding NV

45,000

801

BMTC Group, Inc. Class A (sub. vtg.)

3,200,000

27,327

Bricorama SA

30,000

1,695

Brookstone Co., Inc. (a)

586,659

11,240

Camaieu SA

10,000

967

Charlotte Russe Holding, Inc. (a)(d)

1,503,087

19,856

Clas Ohlson AB (B Shares)

40,000

636

Clinton Cards PLC

7,300,000

11,604

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Electronics Boutique Holding Corp. (a)

253,000

$ 8,637

Finlay Enterprises, Inc. (a)(d)

990,722

19,914

Footstar, Inc. (a)(d)

2,016,000

5,242

French Connection Group PLC (d)

5,775,000

33,854

Friedmans, Inc. Class A (d)

2,007,700

3,413

Genesco, Inc. (a)(d)

2,164,300

55,406

Group 1 Automotive, Inc. (a)(d)

2,014,800

56,999

Homestyle Group PLC (a)

250,000

498

Hot Topic, Inc. (a)(d)

3,050,100

62,710

JB Hi-Fi Ltd.

100,000

268

JJB Sports PLC

5,918,052

22,403

Jo-Ann Stores, Inc. (a)

238,000

5,869

John David Group PLC

1,385,093

4,862

Keiiyu Co. Ltd.

100,000

1,188

Komplett ASA (a)(d)

989,850

5,993

La Senza Corp. (sub. vtg.)

161,800

1,588

Le Chateau, Inc. Class A (sub. vtg.)

230,200

3,735

Lithia Motors, Inc. Class A (sub. vtg.)

1,279,600

28,983

Matalan PLC

8,000,000

33,739

Monro Muffler Brake, Inc. (a)(d)

809,013

19,687

Monsoon PLC

2,800,000

10,471

Mothers Work, Inc. (a)

103,061

1,335

Mr. Bricolage SA

347,261

8,315

OrotonGroup Ltd.

100,000

195

Osim International Ltd.

5,000,600

2,827

Ottakar's PLC

130,000

862

Pacific Sunwear of California, Inc. (a)

565,000

13,244

Payless ShoeSource, Inc. (a)

1,237,900

11,772

Peacock Group PLC

1,969,605

9,356

Pier 1 Imports, Inc.

3,000,000

53,850

Pomeroy IT Solutions, Inc. (a)(d)

1,290,645

16,817

Reg Vardy PLC

850,000

7,154

Regis Corp.

236,900

10,139

Rex Stores Corp. (a)(d)

1,400,000

21,630

RONA, Inc. (a)

50,000

1,396

Ross Stores, Inc. (d)

7,600,000

199,652

ScS Upholstery PLC (d)

2,049,000

12,407

Shoe Carnival, Inc. (a)

206,600

2,473

Sonic Automotive, Inc. Class A (sub. vtg.)

2,928,000

59,233

Steiner Leisure Ltd. (a)(d)

1,725,000

42,073

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

TBC Corp. (a)

530,924

$ 11,802

The Cato Corp. Class A (sub. vtg.) (d)

1,945,844

44,677

The Children's Place Retail Stores, Inc. (a)(d)

1,500,000

46,305

Topps Tiles PLC

2,150,000

7,398

Wilsons Leather Experts, Inc. (a)(d)

2,051,412

11,898

1,212,916

Textiles Apparel & Luxury Goods - 2.8%

Adolfo Dominguez SA

40,000

775

Bijou Brigitte Modische Accessoires AG

30,000

3,536

Billabong International Ltd.

1,400,000

11,007

Cherokee, Inc. (d)

725,800

20,649

Dan River, Inc. Class A (a)

294,000

3

Danier Leather, Inc. (sub. vtg.)

415,200

4,108

Delta Apparel, Inc. (d)

404,000

9,110

Fab Industries, Inc. (d)

521,100

2,288

Folli Follie SA

115,000

3,532

Fossil, Inc. (a)(d)

6,750,000

200,880

Gildan Activewear, Inc. Class A (sub. vtg.) (a)(d)

2,595,400

74,462

Hampshire Group Ltd. (a)(d)

472,300

14,424

Handsome Co. Ltd.

1,046,230

8,962

JLM Couture, Inc. (a)(d)

197,100

627

Jones Apparel Group, Inc.

2,800,000

98,840

Kenneth Cole Productions, Inc. Class A (sub. vtg.)

1,204,100

31,909

Liz Claiborne, Inc.

2,599,200

106,255

Marimekko Oyj

165,000

2,673

Movado Group, Inc. (d)

914,300

15,772

New Wave Group AB (B Shares)

54,000

832

Novel Denim Holdings Ltd. (a)(d)

943,800

688

Perry Ellis International, Inc. (a)

369,536

7,945

Polo Ralph Lauren Corp. Class A

1,300,000

48,009

Quiksilver, Inc. (a)(d)

4,000,000

109,000

Steven Madden Ltd. (a)(d)

1,310,600

20,983

Tandy Brands Accessories, Inc. (d)

544,900

7,629

Ted Baker PLC

225,000

2,040

Tommy Hilfiger Corp. (a)(d)

9,044,150

86,824

Van de Velde

30,000

4,281

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles Apparel & Luxury Goods - continued

Velcro Industries NV

268,400

$ 3,130

Workman Co. Ltd.

5,000

104

901,277

TOTAL CONSUMER DISCRETIONARY

7,020,929

CONSUMER STAPLES - 6.7%

Beverages - 1.0%

Baron de Ley SA (a)

215,000

9,253

Belhaven Group PLC

1,400,279

10,717

C&C Group PLC

3,750,000

12,285

Constellation Brands, Inc. Class A (sub. vtg.) (a)

6,980,000

273,825

Hansen Natural Corp. (a)(d)

852,675

22,596

National Beverage Corp.

446,700

3,618

Shikoku Coca-Cola Bottling Co. Ltd.

43,600

497

332,791

Food & Staples Retailing - 3.5%

BJ's Wholesale Club, Inc. (a)(d)

7,006,000

203,384

CVS Corp.

7,000,000

304,220

Fresh Brands, Inc. (a)(d)

510,700

3,978

Jean Coutu Group, Inc. Class A (sub. vtg.)

2,000,000

26,522

Metro, Inc. Class A (sub. vtg.) (d)

9,687,700

153,606

Ministop Co. Ltd.

200,000

3,337

Ozeki Co. Ltd.

200,000

4,535

President Chain Store Corp.

4,370,600

6,534

Safeway, Inc. (a)

19,854,000

362,137

Shoei Foods Corp.

300,000

1,709

Sligro Food Group NV

675,000

28,678

Sundrug Co. Ltd.

200,000

5,395

Sundrug Co. Ltd. New (a)

200,000

5,395

Village Super Market, Inc. Class A

55,678

2,037

Yaoko Co. Ltd.

30,000

573

1,112,040

Food Products - 1.5%

American Italian Pasta Co. Class A (d)

1,114,300

22,620

Barry Callebaut AG

8,000

1,541

Cagle's, Inc. Class A (a)(d)

457,000

4,913

Cranswick PLC

1,000,000

7,029

Dean Foods Co. (a)

1,750,000

52,238

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Food Products - continued

Fresh Del Monte Produce, Inc. (d)

5,294,400

$ 139,084

Gaban Co. Ltd.

27,000

221

Greggs PLC

182,000

12,542

IAWS Group PLC (Ireland)

3,883,000

51,728

Industrias Bachoco SA de CV sponsored ADR

2,515,000

29,300

Interstate Bakeries Corp. (a)(d)

2,848,716

11,708

Kadoya Sesame Mills, Inc.

10,000

128

Kerry Group PLC Class A

1,800,000

40,541

Kleeneze PLC

2,000,000

4,594

Monterey Pasta Co. (a)(d)

1,408,700

5,057

People's Food Holdings Ltd.

11,000,000

7,673

Richmond Foods PLC

25,000

245

Robert Wiseman Dairies PLC

250,000

1,034

Samyang Genex Co. Ltd.

45,000

1,359

Saputo, Inc.

2,569,600

70,578

Singapore Food Industries Ltd.

1,200,000

606

Sunjin Co. Ltd. (d)

195,000

3,902

United Food Holdings Ltd.

22,400,000

4,984

Want Want Holdings Ltd.

15,250,000

14,945

Yonkyu Co. Ltd.

10,000

129

488,699

Personal Products - 0.2%

DSG International Ltd. (a)(d)

474,900

1,306

Inter Parfums, Inc.

286,500

3,849

Nature's Sunshine Products, Inc. (d)

1,297,710

19,634

NBTY, Inc. (a)

790,000

21,757

Sarantis SA (Reg.)

35,000

191

46,737

Tobacco - 0.5%

DIMON, Inc. (d)

2,631,400

15,315

Loews Corp. - Carolina Group

4,173,300

112,929

Standard Commercial Corp. (d)

1,355,000

21,585

149,829

TOTAL CONSUMER STAPLES

2,130,096

ENERGY - 5.1%

Energy Equipment & Services - 1.5%

AKITA Drilling Ltd. Class A (non-vtg.)

863,500

17,797

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Energy Equipment & Services - continued

Bolt Technology Corp. (a)(d)

474,200

$ 2,053

Calfrac Well Services Ltd. (a)

110,000

3,080

CCS Income Trust (d)

1,000,000

31,194

CHC Helicopter Corp. Class A (sub. vtg.)

200,500

7,525

Collicutt Energy Services Ltd. (a)

259,200

415

Enerflex Systems Ltd.

513,000

9,099

Ensign Resource Service Group, Inc.

1,500,000

27,898

Expro International Group PLC

500,000

3,331

Farstad Shipping ASA (a)(d)

2,500,000

25,849

Fugro NV (Certificaten Van Aandelen)

710,000

55,333

Gulf Island Fabrication, Inc. (d)

934,245

19,115

IHC Caland NV

150,000

8,617

Lufkin Industries, Inc. (d)

629,312

22,284

Matrix Service Co. (a)

50,000

257

Maverick Tube Corp. (a)

150,000

3,956

NQL Drilling Tools, Inc. Class A (a)(d)

3,103,440

2,803

Offshore Logistics, Inc. (a)(d)

1,950,000

70,512

Oil States International, Inc. (a)(d)

2,760,000

50,674

Pason Systems, Inc. (d)

1,240,800

31,095

Petroleum Helicopters, Inc. (a)(d)

283,400

6,479

Petroleum Helicopters, Inc. (non-vtg.) (a)

279,185

5,807

ProSafe ASA (d)

1,808,000

44,212

Saipem Spa

150,000

1,734

Solstad Offshore ASA (a)

1,310,300

11,539

Total Energy Services Ltd. (a)(d)

2,729,000

13,355

Wenzel Downhole Tools Ltd. (a)

896,400

490

476,503

Oil & Gas - 3.6%

Adams Resources & Energy, Inc. (d)

421,800

5,863

AO Tatneft sponsored ADR

750,000

25,538

Atlas America, Inc.

444,800

11,425

Castle Energy Corp. (d)

1,167,000

13,747

Chaparral Resources, Inc. (a)

65,100

94

Chesapeake Energy Corp.

660,000

10,613

CNPC (Hong Kong) Ltd.

6,000,000

917

Compton Petroleum Corp. (a)

1,300,000

11,475

Det Norske Oljeselskap ASA (DNO) (a)

374,000

1,429

Encore Acquisition Co. (a)

450,200

14,699

ENI Spa

310,000

7,095

Frontline Ltd.

205,000

10,123

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil & Gas - continued

General Maritime Corp. (a)

683,000

$ 25,954

Giant Industries, Inc. (a)

219,100

5,033

Hankook Shell Oil Co. Ltd. (d)

77,730

2,743

Holly Corp.

739,200

18,147

Hunting PLC

1,175,000

4,059

Husky Energy, Inc.

400,000

10,510

KCS Energy, Inc. (a)(d)

2,825,000

38,448

Michang Oil Industrial Co. Ltd.

13,000

124

National Energy Group, Inc. (a)

438,400

1,228

Nissin Shoji Co. Ltd.

250,000

1,488

Nordic American Tanker Shipping Ltd.

175,000

6,589

Oil Search Ltd.

30,000,463

39,085

Panhandle Royalty Co. Class A

35,200

719

Pe Ben Oilfield Services Ltd. (a)(d)

336,150

1,794

PetroKazakhstan, Inc. (e)

745,900

27,561

PetroKazakhstan, Inc. Class A

575,000

21,246

Petroleo Brasileiro SA Petrobras sponsored ADR

10,100,000

358,651

Petroleum Development Corp. (a)(d)

1,112,700

39,189

Repsol YPF SA sponsored ADR

1,100,000

23,837

Sasol Ltd. sponsored ADR

135,000

2,718

Ship Finance International Ltd.

71,750

1,442

Stelmar Shipping Ltd. (d)

1,042,500

40,241

Swift Energy Co. (a)(d)

1,718,700

41,678

Tap Oil Nl (a)

1,000,000

1,265

Teekay Shipping Corp. (d)

4,200,000

194,040

Thunder Energy, Inc. (a)

175,000

1,056

Top Tankers, Inc.

315,000

5,387

Tsakos Energy Navigation Ltd.

375,300

14,036

US Shipping Partners LP

25,000

581

Vintage Petroleum, Inc.

2,512,900

52,771

World Fuel Services Corp. (d)

1,216,106

41,494

YUKOS Corp. sponsored ADR

700,000

11,655

1,147,787

TOTAL ENERGY

1,624,290

FINANCIALS - 14.9%

Capital Markets - 0.2%

Binck NV (a)

250,000

573

Investment Technology Group, Inc. (a)

1,621,400

24,970

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Kas-Bank NV (Certificaten Van Aandelen)

195,000

$ 3,741

MFC Bancorp Ltd. (a)(d)

763,800

12,977

Norvestia Oyj (B Shares)

225,000

4,480

Van der Moolen Holding NV sponsored ADR (a)

1,428,500

8,400

55,141

Commercial Banks - 3.6%

Anglo Irish Bank Corp. PLC

7,250,360

138,246

Bank of the Ozarks, Inc. (d)

1,500,000

48,428

BOK Financial Corp. (a)

1,302,462

59,275

Cascade Bancorp

412,178

8,347

Cathay General Bancorp

2,400,000

94,560

Century Bancorp, Inc. Class A (non-vtg.)

76,326

2,395

City National Corp.

900,300

62,031

First Bancorp, Puerto Rico (d)

3,950,000

215,394

Great Southern Bancorp, Inc.

367,719

12,271

Hanmi Financial Corp.

822,776

24,996

International Bancshares Corp.

1,429,512

52,892

Jyske Bank AS (Reg.) (a)

1,655,650

53,597

Laurentian Bank of Canada

450,000

9,404

London Scottish Bank PLC

3,100,000

7,292

Northern Empire Bancshares

48,615

1,045

Northrim Bancorp, Inc.

43,190

983

OKO Bank (A Shares)

2,000,000

25,799

Oriental Financial Group, Inc.

512,833

14,529

OTP Bank Rt.

60,000

1,522

OTP Bank Rt. unit

200,000

10,076

Popular, Inc.

4,400,000

113,168

Prosperity Bancshares, Inc.

351,180

9,570

Ringerikes Sparebank (d)

49,950

1,178

Ringkjoebing Bank (Reg.)

80,000

6,075

S.Y. Bancorp, Inc. (d)

791,100

17,958

Smithtown Bancorp, Inc.

6,800

202

Southwest Bancorp, Inc., Oklahoma (d)

991,029

23,269

Sparebanken More (primary capital certificate)

120,000

5,039

Sparebanken Rana (a)(d)

50,750

878

Sparebanken Rogaland (primary capital certificate) (a)

120,000

6,407

Sterling Bancorp, New York (d)

1,515,410

43,735

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Sterling Bancshares, Inc.

796,300

$ 11,284

Sydbank AS

300,000

50,728

1,132,573

Consumer Finance - 2.4%

ACE Cash Express, Inc. (a)(d)

1,025,600

26,676

Aeon Credit Service (Asia) Co. Ltd.

15,500,000

9,857

Cattles PLC (d)

22,000,000

143,925

JCG Holdings Ltd.

26,500,000

20,257

MBNA Corp.

22,400,000

574,112

774,827

Diversified Financial Services - 0.0%

California First National Bancorp

176,366

2,275

Daiko Clearing Services Co. Ltd. (a)

100,000

595

Send Group PLC (a)(d)

2,500

3

2,873

Insurance - 4.8%

Aegon NV ADR

950,000

10,488

American Medical Securities Group, Inc. (a)

274,900

8,728

April Group

40,000

868

Assurant, Inc.

4,938,300

133,235

Axis Capital Holdings Ltd.

6,732,200

168,709

Cotton States Life Insurance Co.

220,835

3,975

Endurance Specialty Holdings Ltd.

693,700

22,996

Fidelity National Financial, Inc.

1,260,000

47,552

Financial Industries Corp. (a)(d)

1,302,480

10,680

Genworth Financial, Inc. Class A

6,750,000

161,055

Hilb Rogal & Hobbs Co.

200,000

6,340

IPC Holdings Ltd. (d)

3,531,000

142,864

Montpelier Re Holdings Ltd.

600,000

22,362

National Western Life Insurance Co. Class A (a)(d)

241,927

36,325

Nationwide Financial Services, Inc. Class A (sub. vtg.)

4,054,100

140,272

Philadelphia Consolidated Holding Corp. (a)(d)

1,253,900

72,701

Protective Life Corp.

2,146,600

84,361

PXRE Group Ltd. (d)

1,352,000

33,178

RenaissanceRe Holdings Ltd.

3,362,957

157,454

Standard Management Corp. (a)

358,500

1,104

UICI

1,409,100

41,681

Universal American Financial Corp. (a)

15,000

182

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

UnumProvident Corp.

14,050,000

$ 191,923

UnumProvident Corp. unit

720,000

17,905

1,516,938

Real Estate - 0.2%

Apartment Investment & Management Co. Class A

1,000,000

36,690

Sjaelso Gruppen AS

25,000

2,303

Tejon Ranch Co. (a)(d)

980,300

35,183

VastNed Offices/Industrial NV

75,000

2,092

76,268

Thrifts & Mortgage Finance - 3.7%

Coastal Financial Corp.

290,886

4,309

Commercial Capital Bancorp, Inc.

1,350,603

30,294

Doral Financial Corp. (d)

6,600,000

277,068

Farmer Mac Class C (non-vtg.) (a)

230,000

4,524

First Mutual Bancshares, Inc. (d)

526,287

12,841

Fremont General Corp.

2,911,800

62,604

Harbor Florida Bancshares, Inc.

703,173

22,530

HMN Financial, Inc.

42,200

1,255

Home Capital Group, Inc.

1,600,000

35,144

Hudson River Bancorp, Inc.

22,000

431

Kensington Group PLC

550,000

3,891

New York Community Bancorp, Inc.

1,000,000

18,360

North Central Bancshares, Inc. (d)

154,600

5,798

Northern Rock PLC

8,000,000

109,009

Paragon Group of Companies PLC

2,062,000

13,187

R&G Financial Corp. Class B

500,000

18,810

Radian Group, Inc.

2,450,000

117,429

Severn Bancorp, Inc.

66,806

2,211

The PMI Group, Inc. (d)

8,925,000

346,469

W Holding Co., Inc.

5,060,023

101,150

1,187,314

TOTAL FINANCIALS

4,745,934

HEALTH CARE - 9.4%

Biotechnology - 0.1%

Albany Molecular Research, Inc. (a)(d)

2,278,100

19,637

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Biotechnology - continued

Embrex, Inc. (a)(d)

631,500

$ 8,260

Vital BioTech Holdings Ltd.

5,000,000

328

28,225

Health Care Equipment & Supplies - 2.0%

Cantel Medical Corp. (a)(d)

502,100

11,071

Closure Medical Corp. (a)

125,400

2,139

Cochlear Ltd.

600,000

11,141

Compex Technologies, Inc. (a)

40,000

222

Cooper Companies, Inc. (d)

1,750,000

123,113

Denka Seiken Co. Ltd.

5,500

192

Edwards Lifesciences Corp. (a)

220,800

7,547

Escalon Medical Corp. (a)

240,600

2,358

Exactech, Inc. (a)(d)

900,000

15,498

Foxhollow Technologies, Inc.

24,400

502

Golden Meditech Co. Ltd.

11,000,000

2,657

Huntleigh Technology PLC

39,627

281

ICU Medical, Inc. (a)(d)

1,124,426

25,243

Invacare Corp. (d)

1,857,100

85,761

Japan Medical Dynamic Marketing, Inc.

100,000

1,030

Kensey Nash Corp. (a)

505,300

14,452

Medical Action Industries, Inc. (a)(d)

1,025,500

17,054

Mentor Corp.

932,400

32,448

Merit Medical Systems, Inc. (a)(d)

1,496,700

15,491

Mesa Laboratories, Inc. (d)

251,500

3,018

Moulin International Holdings Ltd.

5,500,167

3,003

Nakanishi, Inc.

250,000

16,582

National Dentex Corp. (a)(d)

348,000

9,918

Ocular Sciences, Inc. (a)(d)

2,000,031

97,702

Orthofix International NV (a)(d)

1,413,200

50,169

Osteotech, Inc. (a)

764,300

3,462

Pihsiang Machinery Manufacturing Co.

51,500

99

PolyMedica Corp. (d)

1,469,800

51,443

Theragenics Corp. (a)(d)

2,966,000

10,915

Utah Medical Products, Inc. (d)

473,300

8,505

Young Innovations, Inc. (d)

684,071

21,993

645,009

Health Care Providers & Services - 7.1%

Accredo Health, Inc. (a)

95,000

2,188

Air Methods Corp. (a)

29,600

226

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

American HomePatient, Inc. (a)(d)

1,099,400

$ 825

AMERIGROUP Corp. (a)

1,065,800

63,948

AmSurg Corp. (a)

356,700

8,343

Bio-Reference Laboratories, Inc. (a)

97,500

1,372

CML Healthcare Income Fund

3,234,400

31,923

Community Health Systems, Inc. (a)

1,500,000

40,230

Corvel Corp. (a)(d)

1,094,000

28,603

D & K Healthcare Resources, Inc. (d)

1,054,090

7,737

DaVita, Inc. (a)

572,500

16,957

First Health Group Corp. (a)(d)

8,923,700

142,065

Grupo Casa Saba SA de CV sponsored ADR

167,900

2,111

Health Management Associates, Inc. Class A (d)

24,305,900

502,160

Health Net, Inc. (a)

900,000

21,834

Healthscope Ltd.

20,000

55

HealthTronics Surgical Services, Inc. (a)

285,988

1,962

Hokuyaku, Inc.

350,000

2,001

Horizon Health Corp. (a)(d)

674,400

15,174

ICON PLC sponsored ADR (a)

866,700

28,610

IMPATH, Inc. (a)(d)

1,660,000

7,055

LifePoint Hospitals, Inc. (a)

1,142,540

37,041

Lincare Holdings, Inc. (a)(d)

9,431,423

346,699

Medco Health Solutions, Inc. (a)

3,600,000

122,076

Molina Healthcare, Inc. (a)

903,400

33,263

National Healthcare Corp. (d)

976,500

29,080

Odyssey Healthcare, Inc. (a)

1,522,100

11,751

Omnicare, Inc.

1,575,000

43,454

OPG Groep NV (A Shares)

63,000

3,394

Option Care, Inc.

1,060,900

13,940

PacifiCare Health Systems, Inc. (a)(d)

7,100,000

252,902

Per-Se Technologies, Inc. (a)

215,900

3,150

Prime Medical Services, Inc. (a)

730,751

5,049

Priority Healthcare Corp. Class B (a)

660,800

11,934

Radiologix, Inc. (a)

543,300

1,793

Ramsay Health Care Ltd.

800,000

3,732

RehabCare Group, Inc. (a)(d)

980,000

22,501

Renal Care Group, Inc. (a)(d)

7,350,000

231,966

ResCare, Inc. (a)

1,066,024

12,942

Rhoen-Klinikum AG

140,000

7,847

U.S. Physical Therapy, Inc. (a)

306,400

4,627

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

United Drug PLC:

(Ireland)

2,664,895

$ 10,640

(United Kingdom)

887,431

3,531

Universal Health Services, Inc. Class B

2,400,000

99,744

2,238,435

Pharmaceuticals - 0.2%

Alpharma, Inc. Class A

1,726,900

29,271

Boiron SA

20,000

525

Cipher Pharmaceuticals, Inc. (a)

95,300

113

Dong-A Pharmaceutical Co. Ltd. (d)

591,503

10,990

Far East Pharmaceutical Technology Co. Ltd.

13,000,000

114

Fornix Biosciences NV

20,000

322

Il Dong Pharmaceutical Co. Ltd.

178,810

2,028

KV Pharmaceutical Co. Class A (a)

537,000

10,697

Nichi-iko Pharmaceutical Co. Ltd.

333,000

2,923

Takeda Pharamaceutical Co. Ltd.

200,000

9,675

Tong Ren Tang Technologies Co. Ltd. (H Shares)

400,000

879

Torii Pharmaceutical Co. Ltd.

107,600

2,115

Whanin Pharmaceutical Co. Ltd.

40,000

183

69,835

TOTAL HEALTH CARE

2,981,504

INDUSTRIALS - 9.7%

Aerospace & Defense - 0.9%

AAR Corp. (a)(d)

2,580,600

30,322

Astronics Corp. (a)(d)

604,800

3,042

Astronics Corp. Class B (a)(d)

203,193

935

CAE, Inc. (d)

16,150,100

66,173

CAE, Inc. (d)(e)

1,650,000

6,761

Cobham PLC

1,250,000

31,768

Ducommun, Inc. (a)(d)

973,400

22,943

Magellan Aerospace Corp. (a)

2,000,000

4,762

Moog, Inc. Class A (a)

1,020,050

38,282

Pemco Aviation Group, Inc. (a)(d)

245,280

6,493

Radstone Technology PLC

225,000

1,466

The Allied Defense Group, Inc. (a)(d)

503,788

9,889

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Aerospace & Defense - continued

Triumph Group, Inc. (a)(d)

1,043,500

$ 35,855

United Defense Industries, Inc. (a)

800,000

32,112

290,803

Air Freight & Logistics - 0.1%

AirNet Systems, Inc. (a)(d)

684,200

2,839

Baltrans Holdings Ltd.

6,000,000

1,811

Chuo Warehouse Co. Ltd.

239,000

2,642

Frans Maas Groep NV (Certificaten Van Aandelen) (d)

340,000

13,488

20,780

Airlines - 0.2%

America West Holding Corp. Class B (a)(d)

2,744,000

12,568

ExpressJet Holdings, Inc. Class A (a)

525,000

5,838

MAIR Holdings, Inc. (a)(d)

2,032,311

18,311

Midwest Air Group, Inc. (a)(d)

1,551,700

4,655

Ryanair Holdings PLC sponsored ADR (a)

525,000

15,110

56,482

Building Products - 1.0%

Aaon, Inc. (a)

474,057

6,969

American Woodmark Corp.

305,600

11,362

Ameron International Corp.

210,200

7,111

Beltecno Corp.

125,000

744

Dynasty Ceramic PCL

500,000

170

Insteel Industries, Inc. (a)(d)

838,565

10,641

Kingspan Group PLC:

(Ireland)

1,400,000

11,018

(United Kingdom)

3,400,000

27,023

Kondotec, Inc.

275,000

1,842

Maezawa Kasei Industries Co. Ltd.

350,000

5,883

NCI Building Systems, Inc. (a)(d)

1,850,000

59,478

Patrick Industries, Inc. (a)(d)

273,280

2,692

Permasteelisa Spa

395,000

6,463

Quixote Corp. (d)

539,035

9,689

Royal Group Technologies Ltd. (sub. vtg.) (a)

5,420,700

39,080

Toami Corp. (d)

350,000

3,539

Universal Forest Products, Inc.

140,004

5,135

USG Corp. (a)(d)

4,302,800

96,340

305,179

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Commercial Services & Supplies - 1.1%

Caldwell Partners International, Inc. Class A (non-vtg.) (a)

187,700

$ 277

Career Education Corp. (a)

3,150,600

98,834

Compudyne Corp. (a)(d)

719,027

5,112

Corinthian Colleges, Inc. (a)(d)

5,552,693

79,737

GFK AG

60,000

1,977

Hoan Kogyo Co. Ltd.

500,000

1,243

Interior Services Group PLC

200,000

717

Johnan Academic Preparatory Institute, Inc.

85,000

422

Kyoshin Co. Ltd.

25,000

222

Mitie Group PLC

4,616,000

11,791

New Horizons Worldwide, Inc. (a)

490,600

1,477

Nippon Filing Co. Ltd.

100,000

378

On Assignment, Inc. (a)(d)

2,529,006

12,696

Penna Consulting PLC

700,000

1,589

RCM Technologies, Inc. (a)(d)

1,056,858

5,189

Refac (a)

75,900

323

Reliance Security Group Ltd.

302,500

2,613

RemedyTemp, Inc. Class A (a)(d)

854,600

8,204

Roto Smeets de Boer NV (d)

300,000

12,669

Samas Groep NV (Certificaten Van Aandelen) (a)

234,514

1,347

Shingakukai Co. Ltd.

200,000

1,593

Shuei Yobiko Co. Ltd.

50,000

1,169

Solvus SA (a)

100,400

1,651

SOURCECORP, Inc. (a)(d)

1,547,743

25,971

Spherion Corp. (a)(d)

5,854,800

42,096

Tanabe Management Consulting Co.

200,000

1,155

Transcontinental, Inc. Class A

546,900

10,805

Trio-Tech International (a)(d)

292,700

966

United Rentals, Inc. (a)

684,100

10,569

United Services Group NV

125,261

2,584

Up, Inc. (d)

550,000

3,492

Wao Corp. (d)

450,000

1,382

Wesco, Inc.

200,000

699

Wyndeham Press Group PLC (d)

4,000,000

9,482

360,431

Construction & Engineering - 2.2%

Abengoa SA

25,000

233

Actividades de Construccion y Servicios SA (ACS)

2,800,000

54,428

AM NV

511,113

4,108

Aoki Marine Co. Ltd.

126,000

263

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Construction & Engineering - continued

Arcadis NV

415,000

$ 6,113

Chicago Bridge & Iron Co. NV (NY Shares)

328,300

10,161

Chodai Co. Ltd.

200,000

667

Daimei Telecom Engineering Corp.

25,000

175

Dycom Industries, Inc. (a)

374,400

12,224

EMCOR Group, Inc. (a)(d)

1,499,072

59,318

Heijmans NV (d)

2,093,510

54,653

Hibiya Engineering Ltd.

1,500,000

9,949

Imtech NV

800,000

21,581

Jacobs Engineering Group, Inc. (a)

2,653,100

108,061

Japan Engineering Consultants Co. Ltd.

300,000

694

Japan Steel Tower Co. Ltd.

490,000

1,685

Kaneshita Construction Co. Ltd. (a)

815,000

5,583

Kawasaki Setsubi Kogyo Co. Ltd.

200,000

482

Keller Group PLC

25,000

118

Kier Group PLC

500,000

6,524

Komai Tekko, Inc.

100,000

293

Koninklijke BAM Groep NV (d)

1,425,000

51,334

Matsui Construction Co. Ltd.

400,000

1,474

Matsuo Bridge Co. Ltd. (a)

500,000

1,134

Sanshin Corp. (a)

250,000

359

Sanyo Engineering & Construction, Inc.

1,000,000

4,120

Shaw Group, Inc. (a)(d)

5,879,200

71,667

Shinsegae Engineering & Construction Co. Ltd.

112,310

1,575

ShoLodge, Inc. (a)(d)

428,300

1,949

Stantec, Inc. (a)(d)

1,794,200

32,412

Taihei Dengyo Kaisha Ltd.

100,000

450

Takada Kiko Co. Ltd.

700,000

4,610

Takigami Steel Construction Co. Ltd.

350,000

2,814

Technical Olympic SA (Reg.)

5,945,850

28,609

URS Corp. (a)(d)

4,348,900

120,030

Yokogawa Bridge Corp.

1,000,000

6,709

Yokogawa Construction Co. Ltd.

300,000

1,140

Yurtec Corp.

1,150,000

5,042

692,741

Electrical Equipment - 1.1%

Acbel Polytech, Inc.

500,000

401

Acuity Brands, Inc.

2,507,000

66,511

Aichi Electric Co. Ltd.

900,000

1,318

AZZ, Inc. (a)(d)

534,300

7,160

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Electrical Equipment - continued

BTU International, Inc. (a)(d)

578,900

$ 1,876

BYD Co. Ltd. (H Shares)

1,200,000

3,376

C&D Technologies, Inc. (d)

1,968,600

35,238

Channell Commercial Corp. (a)(d)

912,524

4,280

Chase Corp. (d)

404,700

6,313

Deswell Industries, Inc. (d)

877,150

17,587

Draka Holding NV (d)

3,232,396

39,297

General Cable Corp. (a)(d)

3,817,000

46,949

Genlyte Group, Inc. (a)(d)

1,339,800

98,556

Koito Industries Ltd.

892,000

3,902

Korea Electric Terminal Co. Ltd. (d)

540,000

9,310

Kyosan Electric Manufacturing Co. Ltd.

200,000

607

Nexans SA

425,000

14,913

TB Wood's Corp. (d)

417,200

2,461

Volex Group PLC (a)

500,000

1,424

361,479

Industrial Conglomerates - 0.7%

Aalberts Industries NV

143,414

5,357

DCC PLC (Ireland) (d)

8,362,200

170,148

Teleflex, Inc.

1,118,700

48,988

224,493

Machinery - 1.2%

AddTech AB (B Shares)

275,000

1,932

Ampco-Pittsburgh Corp.

376,700

5,018

Cascade Corp. (d)

1,210,500

35,952

China Fire Safety Enterprise Group Holdings Ltd.

1,000,000

73

Collins Industries, Inc.

231,400

1,182

Columbus McKinnon Corp. (NY Shares) (a)(d)

1,412,677

11,457

Denyo Co. Ltd.

250,000

1,590

Domnick Hunter Group PLC

370,000

2,608

FKI PLC

3,500,000

7,686

Foremost Industries Income Fund (d)

543,500

11,425

Gardner Denver, Inc. (a)

581,625

17,437

Gehl Co. (a)(d)

635,000

12,700

Graham Corp.

32,500

405

Hardinge, Inc. (d)

459,681

5,153

Hurco Companies, Inc. (a)

87,720

1,259

Interpump Group Spa

150,000

777

JLG Industries, Inc.

1,063,800

17,744

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Machinery - continued

Krones AG

10,000

$ 1,011

Met-Pro Corp.

281,066

3,752

NACCO Industries, Inc. Class A

300,000

28,038

Pfeiffer Vacuum Technology AG sponsored ADR

173,500

6,857

Quipp, Inc. (a)(d)

141,500

1,896

Robbins & Myers, Inc.

558,100

11,636

Sansei Yusoki Co. Ltd.

841,500

9,223

Seksun Corp. Ltd. (d)

23,540,000

5,308

Supreme Industries, Inc. Class A

468,750

2,859

The Oilgear Co. (a)

78,725

360

The Weir Group PLC

150,000

801

Trifast PLC (d)

7,142,858

9,516

Trinity Industries, Inc. (d)

4,500,100

140,223

Twin Disc, Inc. (d)

285,900

6,933

Velan, Inc. (sub. vtg.)

421,900

4,680

Wolverine Tube, Inc. (a)(d)

1,491,172

14,691

382,182

Marine - 0.1%

Chuan Hup Holdings Ltd.

2,000,000

800

Compagnie Maritime Belge SA (CMB)

90,000

19,050

Det Forenede Dampskibs-Selskab (DFDS) AS

25,000

1,046

Ocean Wilsons Holdings Ltd.

450,000

1,596

Tokyo Kisen Co. Ltd. (d)

600,000

2,835

25,327

Road & Rail - 0.7%

Arkansas Best Corp.

503,051

19,664

Daiwa Logistics Co. Ltd.

400,000

3,398

DSV de Sammensluttede Vognmaend AS

25,000

1,427

Hutech Norin Co. Ltd.

25,000

376

Japan Logistic Systems Corp.

300,000

788

Marten Transport Ltd. (a)(d)

1,001,434

18,336

Overnite Corp.

1,392,565

45,063

P.A.M. Transportation Services, Inc. (a)(d)

1,104,887

20,783

Sakai Moving Service Co. Ltd.

160,000

3,568

SCS Transportation, Inc. (a)

779,567

14,087

Trancom Co. Ltd.

300,000

6,094

US 1 Industries, Inc. (a)

50,000

31

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Road & Rail - continued

USF Corp. (d)

2,578,866

$ 92,427

Vitran Corp., Inc. (a)

351,780

5,662

231,704

Trading Companies & Distributors - 0.4%

Bergman & Beving AB (B Shares)

275,000

2,293

Brammer PLC

2,027,660

5,589

Eriks Group NV (Certificaten Van Aandelen)

25,000

1,136

Grafton Group PLC unit

1,450,000

13,267

Heiton Group PLC (d)

4,840,240

41,005

Inaba Denki Sangyo Co. Ltd.

810,900

16,933

Mitani Sangyo Co. Ltd.

100,000

136

Nishio Rent All Co. Ltd.

400,000

3,927

Richelieu Hardware Ltd.

845,200

14,574

SIG PLC

1,350,000

12,361

Uehara Sei Shoji Co. Ltd. (d)

1,250,000

6,650

Univar NV

150,000

3,609

Wakita & Co. Ltd.

763,000

6,849

128,329

Transportation Infrastructure - 0.0%

Isewan Terminal Service Co. Ltd.

1,000,000

3,836

Meiko Transportation Co. Ltd.

500,000

3,024

Sea Containers Ltd. Class A

420,900

6,461

Vopak NV

210,000

3,832

17,153

TOTAL INDUSTRIALS

3,097,083

INFORMATION TECHNOLOGY - 11.5%

Communications Equipment - 1.8%

Aastra Technologies Ltd. (a)(d)

1,706,260

21,996

Applied Innovation, Inc. (a)(d)

990,385

3,942

Bel Fuse, Inc.:

Class A

386,500

11,185

Class B

47,300

1,587

Belden CDT, Inc.

2,250,000

50,018

Black Box Corp. (d)

2,025,025

79,543

Blonder Tongue Laboratories, Inc. (a)(d)

499,600

1,574

Brooktrout, Inc. (a)

418,250

3,860

Champion Technology Holdings Ltd.

750,000

126

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

ClearOne Communications, Inc. (a)(d)

812,165

$ 3,574

Comba Telecom Systems Holdings Ltd.

2,050,000

935

Communications Systems, Inc. (d)

818,281

7,446

Comverse Technology, Inc. (a)

3,000,077

61,922

ECI Telecom Ltd. (a)(d)

5,500,000

38,005

ECtel Ltd. (a)(d)

2,030,414

4,609

Gemtek Technology Corp.

297,649

699

Intracom SA (Reg.)

6,000,000

24,570

Nera Telecommunications Ltd.

8,000,000

2,141

NETGEAR, Inc. (a)

170,000

2,317

Optical Cable Corp. (a)(d)

561,000

2,575

Optical Communication Products, Inc. (a)

219,400

467

Sunrise Telecom, Inc.

603,100

1,544

Tellabs, Inc. (a)

10,000,000

80,000

Tollgrade Communications, Inc. (a)

612,100

5,821

Twentsche Kabel Holding NV (d)

806,000

28,602

UTStarcom, Inc. (a)(d)

7,171,050

122,768

Wavecom SA sponsored ADR (a)

646,100

2,959

564,785

Computers & Peripherals - 0.8%

ActivCard Corp. (a)

186,300

1,489

Adaptec, Inc. (a)

1,080,600

8,429

ASUSTeK Computer, Inc.

1,210,000

2,677

Chicony Electronics Co. Ltd.

1,400,000

1,465

Creative Technology Ltd.:

(Nasdaq)

500,000

5,715

(Singapore)

350,000

3,957

Datapulse Technology Ltd.

3,550,000

576

Dataram Corp. (a)(d)

853,800

5,763

Electronics for Imaging, Inc. (a)(d)

4,429,585

79,910

High Tech Computer Corp.

90,000

374

InFocus Corp. (a)(d)

2,723,600

17,540

Logitech International SA sponsored ADR (a)

1,400,000

72,892

Neoware Systems, Inc. (a)

296,200

2,379

Overland Storage, Inc. (a)

121,500

1,751

Qualstar Corp. (a)(d)

1,188,503

6,240

SBS Technologies, Inc. (a)(d)

1,344,200

17,918

Seagate Technology

1,000,000

12,640

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

TPV Technology Ltd.

17,500,000

$ 10,511

Unisteel Technology Ltd.

5,550,000

4,439

256,665

Electronic Equipment & Instruments - 3.2%

Agilysys, Inc.

450,830

7,705

CTS Corp. (d)

3,415,000

45,112

Daidensha Co. Ltd.

100,000

474

Delta Electronics, Inc.

12,000,000

18,119

Delta Electronics PCL (For. Reg.)

27,076,800

11,079

Elec & Eltek International Co. Ltd.

249,664

709

Elec & Eltek International Holdings Ltd.

14,000,000

3,291

Electro Scientific Industries, Inc. (a)

132,500

2,247

Global Imaging Systems, Inc. (a)(d)

2,041,013

71,844

GTSI Corp. (a)

37,935

399

Hon Hai Precision Industries Co. Ltd.

41,000,956

150,788

Huan Hsin Holdings Ltd.

2,500,000

1,240

Kingboard Chemical Holdings Ltd.

31,800,000

66,593

Kingboard Chemical Holdings Ltd. warrants 12/31/06 (a)

3,180,000

1,471

Lagercrantz Group AB (B Shares)

300,000

738

Linx Printing Technologies PLC (d)

1,499,961

14,926

M-Flex Electronix, Inc.

75,000

926

MOCON, Inc. (d)

331,401

2,734

Muramoto Electronic Thailand PCL (For. Reg.)

904,500

6,565

NU Horizons Electronics Corp. (a)

514,250

3,718

Orbotech Ltd. (d)

3,212,085

54,316

PC Connection, Inc. (a)

1,239,204

9,158

Perceptron, Inc. (a)(d)

857,723

5,721

Perlos Oyj

750,000

11,364

Planar Systems, Inc. (a)

329,115

3,199

Rotork PLC

350,000

2,824

Roxboro Group PLC

232,275

1,626

Samsung SDI Co. Ltd.

50,000

4,511

ScanSource, Inc. (a)(d)

1,100,007

68,123

Scientific Technologies, Inc. (a)

157,600

788

Scribona AB (B Shares) (a)

219,502

406

SED International Holdings, Inc. (a)(d)

480,000

600

Sigmatron International, Inc. (a)(d)

331,000

3,717

Sinotronics Holdings Ltd.

10,000,000

1,169

Solectron Corp. (a)

20,000,000

104,400

Somera Communications, Inc. (a)(d)

4,558,716

5,607

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - continued

Spectrum Control, Inc. (a)(d)

1,050,772

$ 7,355

SYNNEX Corp.

994,100

19,614

Taitron Components, Inc. Class A (sub. vtg.) (a)

465,200

977

Tech Data Corp. (a)(d)

5,667,600

228,914

Tomen Electronics Corp.

10,000

447

TT electronics PLC (d)

11,000,000

34,970

Varitronix International Ltd.

11,049,044

10,575

Winland Electronics, Inc. (a)(d)

240,600

770

Wireless Telecom Group, Inc. (d)

1,019,900

3,213

Zomax, Inc. (a)(d)

3,254,509

11,293

1,006,335

Internet Software & Services - 0.0%

AsiaInfo Holdings, Inc. (a)

1,200,000

5,640

Bankrate, Inc. (a)

146,400

1,498

Freenet.de AG (a)

5,000

101

Imergent, Inc. (a)

336,500

3,328

Internet Gold Golden Lines Ltd. (a)

877,100

3,684

YP Corp.

125,000

205

14,456

IT Services - 3.3%

Affiliated Computer Services, Inc. Class A (a)

2,000,000

109,100

Calian Technology Ltd.

7,100

54

CGI Group, Inc. Class A (sub. vtg.) (a)

300,000

1,971

Computer Sciences Corp. (a)

7,350,300

365,089

Convergys Corp. (a)

1,764,000

22,950

CSE Global Ltd.

5,000,000

1,639

CSG Systems International, Inc. (a)

2,450,048

41,185

Daitec Co. Ltd. (d)

1,110,400

8,603

Delta Singular SA (a)

300,000

848

Econocom Group SA

150,000

1,152

Emblaze Ltd. (a)

1,000,000

2,573

First Data Corp.

3,000,000

123,840

Fiserv, Inc. (a)

1,105,300

39,282

Indra Sistemas SA

1,650,000

24,536

infoUSA, Inc. (a)

1,672,095

17,515

Lightbridge, Inc. (a)

332,130

1,681

Ordina NV

1,250,000

14,685

PinkRoccade NV (d)

1,578,000

20,699

Sabre Holdings Corp. Class A

4,086,100

87,892

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

IT Services - continued

Speedware Corp., Inc. (a)

223,300

$ 568

SunGard Data Systems, Inc. (a)

1,000,000

26,490

Technology Solutions Co. (a)(d)

2,540,897

2,007

The BISYS Group, Inc. (a)(d)

10,000,000

146,000

1,060,359

Semiconductors & Semiconductor Equipment - 1.0%

BE Semiconductor Industries NV (NY Shares) (a)

3,096,700

15,056

Catalyst Semiconductor, Inc. (a)(d)

1,519,485

9,102

Cohu, Inc.

637,500

9,996

DSP Group, Inc. (a)

585,000

11,601

DuPont Photomasks, Inc. (a)(d)

1,458,900

38,252

ESS Technology, Inc. (a)(d)

2,997,200

19,602

Intest Corp. (a)(d)

868,000

3,594

KEC Corp. (d)

550,000

9,826

Lattice Semiconductor Corp. (a)(d)

10,782,000

53,587

MediaTek, Inc.

4,487,684

30,057

Melexis NV (d)

2,682,100

32,092

Pericom Semiconductor Corp. (a)

1,292,899

11,630

Realtek Semiconductor Corp.

14,877,667

14,813

Reliability, Inc. (a)(d)

666,700

413

Siliconix, Inc. (a)

1,442,194

59,721

Taiwan Mask Corp.

4,000,000

1,782

Ultra Clean Holdings, Inc.

66,900

351

321,475

Software - 1.4%

Ansys, Inc. (a)(d)

2,869,972

79,211

Aveva Group PLC

115,384

1,230

Blackbaud, Inc.

20,000

249

Citect Corp. Ltd. (d)

4,225,000

2,689

Compuware Corp. (a)(d)

30,000,000

173,700

Dynamics Research Corp. (a)

60,000

1,033

EPIQ Systems, Inc. (a)

411,810

6,169

Exact Holdings NV (d)

2,000,000

53,082

Fair, Isaac & Co., Inc.

500,000

15,100

Geac Computer Corp. Ltd. (a)

2,350,000

16,247

ICT Automatisering NV (d)

638,301

8,332

Infomedia Ltd.

600,000

314

MetaSolv, Inc. (a)(d)

3,480,014

8,596

Nassda Corp. (a)

75,000

290

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Software - continued

Netsmart Technologies, Inc.

172,475

$ 1,385

Opnet Technologies, Inc. (a)

54,000

413

ORC Software AB

200,000

1,611

Pegasystems, Inc. (a)

490,381

3,636

Pervasive Software, Inc. (a)(d)

1,841,400

7,226

Phoenix Technologies Ltd. (a)

552,488

3,369

Planit Holdings PLC

3,400,000

1,656

Reynolds & Reynolds Co. Class A

1,524,600

37,520

Springsoft, Inc.

4,949,806

9,028

TTI Team Telecom International Ltd. (a)(d)

1,172,000

2,424

Unit 4 Agresso NV (a)

750,000

11,037

Verisity Ltd. (a)

197,000

1,379

Visma ASA

100,000

975

447,901

TOTAL INFORMATION TECHNOLOGY

3,671,976

MATERIALS - 6.4%

Chemicals - 1.5%

Aronkasei Co. Ltd.

850,000

3,670

Bairnco Corp. (d)

756,873

8,432

Bunge Brasil SA

1,493,800

3,365

CPAC, Inc. (d)

577,200

2,898

Cytec Industries, Inc.

402,500

18,720

Elementis PLC

700,000

421

Ferro Corp.

724,200

15,259

FMC Corp. (a)(d)

3,000,000

131,550

Hercules, Inc. (a)

4,526,000

64,631

Kemira GrowHow Oyj

447,200

3,205

Kendrion NV (a)

199,923

322

Kronos Worldwide, Inc.

1

0

Nihon Kagaku Sangyo Co. Ltd.

200,000

945

NL Industries, Inc.

92,500

1,845

Octel Corp. (d)

1,381,800

26,669

OM Group, Inc. (a)(d)

2,750,000

90,723

Sensient Technologies Corp.

288,500

6,266

Solutia, Inc. (a)(d)

10,452,080

3,554

Spartech Corp.

1,000,000

25,200

Summa Industries, Inc. (a)(d)

437,926

4,016

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Chemicals - continued

Tokyo Printing Ink Manufacturing Co. Ltd.

400,000

$ 1,126

Yara International ASA

6,250,000

67,081

479,898

Construction Materials - 1.7%

Asahi Concrete Works Co. Ltd. (d)

1,150,000

5,009

Brampton Brick Ltd. Class A (sub. vtg.) (a)

827,000

9,480

Buzzi Unicem Spa

40,000

548

Cemex SA de CV sponsored ADR

2,000,472

57,974

Continental Materials Corp. (a)

21,900

610

Devcon International Corp. (a)

246,945

3,332

Eagle Materials, Inc. (d)

896,900

61,985

HeidelbergCement AG

30,000

1,481

Lafarge North America, Inc. (d)

7,062,600

346,067

Monarch Cement Co.

10,300

218

Texas Industries, Inc. (d)

1,330,700

67,773

Titan Cement Co. SA (Reg.)

100,000

2,639

557,116

Containers & Packaging - 0.3%

Airspray NV

220,000

5,374

British Polythene Industries PLC (d)

1,350,000

7,058

Caraustar Industries, Inc. (a)(d)

1,545,702

22,985

Crown Holdings, Inc. (a)

519,800

5,900

MOD-PAC Corp. (a)

127,473

1,586

MOD-PAC Corp. Class B (a)

99,596

1,239

Nippon Steel Drum Co. Ltd.

100,000

371

Peak International Ltd. (a)(d)

1,375,700

5,296

RPC Group PLC

850,000

3,046

Silgan Holdings, Inc.

916,630

43,499

96,354

Metals & Mining - 2.4%

A.M. Castle & Co. (a)

178,600

2,011

AK Steel Holding Corp. (a)

3,300,068

31,450

Algoma Steel, Inc. (a)

190,000

3,198

Allegheny Technologies, Inc.

1,320,000

22,189

Centerra Gold, Inc.

110,000

1,942

Compania de Minas Buenaventura SA sponsored ADR

2,653,900

65,923

Croesus Mining NL

700,000

314

Elkem AS

50,000

1,769

Friedman Industries

280,000

1,652

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Metals & Mining - continued

Gerdau SA sponsored ADR

1,869,100

$ 27,588

Gibraltar Industries, Inc.

508,983

17,819

Grupo Imsa SA de CV sponsored ADR

788,200

17,104

Harmony Gold Mining Co. Ltd. sponsored ADR

30,000

354

Harris Steel Group, Inc.

1,780,400

22,587

IMCO Recycling, Inc. (a)(d)

963,000

11,286

Industrias Penoles SA de CV

3,650,000

16,673

Ispat International NV (a)

1,750,000

58,905

Jubilee Mines NL

600,000

2,044

Major Drilling Group International, Inc. (a)(d)

1,350,000

10,176

Metalrax Group PLC

2,950,000

4,256

Metals USA, Inc. (a)

1,942,500

33,139

Northwest Pipe Co. (a)(d)

655,800

11,142

Novicourt, Inc.

1,122,500

1,751

Olympic Steel, Inc. (a)

250,000

4,440

POSCO sponsored ADR

4,650,000

173,864

Resolute Mining Ltd. (a)

700,000

781

Richmont Mines, Inc. (a)

480,200

1,932

Roanoke Electric Steel Corp. (d)

1,086,816

15,922

Ryerson Tull, Inc. (d)

1,640,100

26,766

Samuel Manu-Tech, Inc.

45,000

401

Sherritt International Corp. (a)

4,809,500

31,475

Stillwater Mining Co. (a)

1,268,400

15,677

Tohoku Steel Co. Ltd.

240,000

1,560

UK Coal PLC (d)

10,900,000

30,747

USEC, Inc. (d)

7,880,000

76,121

Usinas Siderurgicas de Minas Gerais SA (Usiminas) (PN-A)

600,000

9,076

Wheeling Pittsburgh Corp. (a)(d)

228,304

7,226

761,260

Paper & Forest Products - 0.5%

Buckeye Technologies, Inc. (a)(d)

3,706,100

39,099

Crown Van Gelder (CVG) (non-vtg.)

200,000

3,788

Gunns Ltd.

350,000

1,082

Gunns Ltd.

1,050,000

3,247

M-real Oyj (B Shares)

9,258,330

57,462

Noda Corp.

100,000

699

Norbord, Inc.

30,000

271

Sino-Forest Corp. (a)(d)

9,028,900

20,833

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Paper & Forest Products - continued

Sino-Forest Corp. (a)(d)(e)

4,500,000

$ 10,383

Votorantim Celulose e Papel SA sponsored ADR

500,000

17,275

154,139

TOTAL MATERIALS

2,048,767

TELECOMMUNICATION SERVICES - 0.6%

Diversified Telecommunication Services - 0.1%

Atlantic Tele-Network, Inc. (d)

493,220

14,797

City Telecom (HK) Ltd. (CTI)

6,000,000

1,149

PT Telkomunikasi Indonesia Tbk sponsored ADR

750,000

14,303

XETA Technologies, Inc. (a)(d)

969,869

3,425

33,674

Wireless Telecommunication Services - 0.5%

China Mobile (Hong Kong) Ltd. sponsored ADR

700,000

10,185

Cosmote Mobile Telecommunications SA

2,000,000

36,241

Debitel AG

20,000

313

Metro One Telecommunications, Inc. (a)(d)

2,469,785

3,779

MobileOne Ltd.

2,000,000

1,996

Mobistar SA (a)

25,000

1,881

SK Telecom Co. Ltd. sponsored ADR

2,800,000

55,244

Taiwan Cellular Co. Ltd.

8,000,000

7,989

TIM Participacoes SA sponsored ADR

1,451,038

20,590

Total Access Communication PCL (a)

3,500,000

11,340

Turkcell Iletisim Hizmet AS sponsored ADR

1,000,111

15,302

164,860

TOTAL TELECOMMUNICATION SERVICES

198,534

UTILITIES - 0.6%

Electric Utilities - 0.4%

Allegheny Energy, Inc. (a)

3,000,000

54,930

Korea Electric Power Corp. sponsored ADR

6,500,000

74,620

Maine & Maritimes Corp. (d)

99,100

2,844

132,394

Gas Utilities - 0.1%

Hokuriku Gas Co.

1,700,000

5,044

Keiyo Gas Co. Ltd.

150,000

588

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Gas Utilities - continued

Otaki Gas Co. Ltd.

625,000

$ 2,085

Shinnihon Gas Corp.

60,000

298

8,015

Multi-Utilities & Unregulated Power - 0.1%

CMS Energy Corp. (a)

1,822,700

17,060

Sierra Pacific Resources (a)

1,650,000

15,840

32,900

TOTAL UTILITIES

173,309

TOTAL COMMON STOCKS

(Cost $19,755,853)

27,692,422

Nonconvertible Preferred Stocks - 0.0%

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Instruments - 0.0%

SAES Getters Spa (Risp)

1,200,000

15,664

MATERIALS - 0.0%

Construction Materials - 0.0%

Buzzi Unicem Spa (Risp)

300,000

2,737

TOTAL NONCONVERTIBLE PREFERRED STOCKS

(Cost $9,872)

18,401

Investment Companies - 0.4%

iShares Russell 2000 Index Fund
(Cost $127,962)

1,098,400

127,623

Convertible Bonds - 0.1%

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Instruments - 0.0%

Trans-Lux Corp. 8.25% 3/1/12

$ 500

$ 465

MATERIALS - 0.1%

Paper & Forest Products - 0.1%

Mercer International, Inc. 8.5% 10/15/10 (e)

15,500

19,029

TOTAL CONVERTIBLE BONDS

(Cost $16,078)

19,494

U.S. Treasury Obligations - 0.1%

U.S. Treasury Bills, yield at date of purchase 1.44% to 1.65% 11/18/04 to 12/9/04 (f)
(Cost $23,965)

24,000

23,964

Money Market Funds - 13.5%

Shares

Fidelity Cash Central Fund, 1.79% (b)

3,879,462,876

3,879,463

Fidelity Securities Lending Cash Central Fund, 1.77% (b)(c)

414,372,650

414,373

TOTAL MONEY MARKET FUNDS

(Cost $4,293,836)

4,293,836

TOTAL INVESTMENT PORTFOLIO - 101.1%

(Cost $24,227,566)

32,175,740

NET OTHER ASSETS - (1.1)%

(362,842)

NET ASSETS - 100%

$ 31,812,898

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

5,275 Russell 1000 Mini Index Contracts

Dec. 2004

$ 308,324

$ 6,957

567 Russell 2000 Index Contracts

Dec. 2004

165,706

3,375

TOTAL EQUITY INDEX CONTRACTS

$ 474,030

$ 10,332

The face value of futures purchased as a percentage of net assets - 1.5%

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request.

(c) Includes investment made with cash collateral received from securities on loan.

(d) Affiliated company

(e) Security 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. At the period end, the value of these securities amounted to $63,734,000 or 0.2% of net assets.

(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $23,964,000.

Other Information

An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Companies which are affiliates of the fund at period-end are noted in the fund's Schedule of Investments. Transactions during the period with companies which are or were affiliates are as follows:

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

AAR Corp.

$ 26,796

$ 43

$ -

$ -

$ 30,322

Aastra Technologies Ltd.

23,747

-

-

-

21,996

Abbey PLC

34,410

-

-

-

34,880

ACE Cash Express, Inc.

23,712

-

-

-

26,676

Action Performance Companies, Inc.

19,781

-

-

92

16,942

Adams Resources & Energy, Inc.

6,441

-

-

-

5,863

Advanced Marketing Services, Inc.

21,842

-

-

-

20,242

Agilysys, Inc.

29,456

-

24,748

23

-

AirNet Systems, Inc.

2,887

-

-

-

2,839

Albany Molecular Research, Inc.

18,378

6,966

-

-

19,637

Alpharma, Inc. Class A

52,868

-

23,436

104

-

America West Holding Corp. Class B

16,684

-

-

-

12,568

American HomePatient, Inc.

1,022

-

-

-

825

American Italian Pasta Co.
Class A

14,184

16,949

-

-

22,620

American Physicians Capital, Inc.

20,349

-

22,375

-

-

Ansys, Inc.

68,076

-

-

-

79,211

Applebee's International, Inc.

219,780

-

-

-

188,678

Applied Innovation, Inc.

2,314

653

-

-

3,942

ArvinMeritor, Inc.

134,667

-

-

678

126,466

Asahi Concrete Works Co. Ltd.

3,878

-

-

-

5,009

Astronics Corp.

2,951

-

-

-

3,042

Astronics Corp. Class B

945

-

-

-

935

Atlantic Tele-Network, Inc.

15,167

-

-

134

14,797

AZZ, Inc.

8,426

-

-

-

7,160

Bairnco Corp.

7,216

-

1,580

45

8,432

Bank of the Ozarks, Inc.

38,325

-

-

120

48,428

Barratt Developments PLC

246,213

62

-

6,345

222,765

Belden CDT, Inc.

46,275

-

2,751

119

-

Bellway PLC

115,702

14,214

-

-

123,787

Benihana, Inc.

5,704

-

-

-

5,387

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

Benihana, Inc. Class A

$ 7,232

$ -

$ -

$ -

$ 6,729

BJ's Wholesale Club, Inc.

163,310

-

-

-

203,384

Black Box Corp.

76,951

-

-

122

79,543

Blonder Tongue Laboratories, Inc.

1,499

-

-

-

1,574

Blyth, Inc.

122,333

809

1,039

667

105,546

Bolt Technology Corp.

1,834

43

-

-

2,053

Boston Acoustics, Inc.

2,896

-

54

23

3,684

Boyd Brothers Transportation, Inc.

1,318

-

1,333

-

-

Brinker International, Inc.

62,668

123,665

-

-

184,178

British Polythene Industries PLC

6,920

-

-

173

7,058

BTU International, Inc.

2,431

-

-

-

1,876

Buckeye Technologies, Inc.

39,804

-

-

-

39,099

C&D Technologies, Inc.

36,115

-

6,076

32

35,238

CAE, Inc.

72,661

4,137

-

301

66,173

CAE, Inc. (144A)

7,882

-

-

-

6,761

Cagle's, Inc. Class A

6,717

-

46

-

4,913

Cantel Medical Corp.

13,061

46

190

-

11,071

Caraustar Industries, Inc.

21,563

-

-

-

22,985

Cascade Corp.

35,431

-

-

133

35,952

Castle Energy Corp.

14,086

-

-

58

13,747

Catalyst Semiconductor, Inc.

8,874

-

-

-

9,102

Cattles PLC

118,471

6,720

5,962

1,852

143,925

CCS Income Trust

22,532

-

-

352

31,194

CEC Entertainment, Inc.

136,313

-

-

-

142,575

Championship Auto Racing Teams, Inc.

29

-

-

-

140

Channell Commercial Corp.

3,295

-

-

-

4,280

Charlotte Russe Holding, Inc.

17,399

10,737

4,826

-

19,856

Chase Corp.

5,933

-

-

142

6,313

Cherokee, Inc.

18,220

-

566

313

20,649

Chime Communications PLC

8,896

-

-

-

7,705

Chromcraft Revington, Inc.

12,541

-

-

-

11,516

Citect Corp. Ltd.

3,262

-

-

73

2,689

ClearOne Communications, Inc.

4,865

-

480

-

3,574

Coastcast Corp.

1,641

-

-

-

1,717

Cobra Electronics Corp.

3,776

-

949

-

3,033

Columbus McKinnon Corp.
(NY Shares)

6,212

4,565

-

-

11,457

Communications Systems, Inc.

6,260

-

-

41

7,446

Compudyne Corp.

6,130

550

-

-

5,112

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

Compuware Corp.

$ 148,200

$ -

$ -

$ -

$ 173,700

Cooper Companies, Inc.

104,038

-

-

-

123,113

Corinthian Colleges, Inc.

14,976

54,102

-

-

79,737

Corvel Corp.

28,028

-

-

-

28,603

CPAC, Inc.

3,180

-

-

40

2,898

CTS Corp.

39,170

-

-

102

45,112

D & K Healthcare Resources, Inc.

11,965

-

1,397

18

7,737

D.R. Horton, Inc.

527,140

19,723

2,567

3,074

590,992

Daitec Co. Ltd.

9,587

-

-

163

8,603

Dataram Corp.

6,462

-

-

-

5,763

DCC PLC (Ireland)

145,285

-

-

-

170,148

Decorator Industries, Inc.

2,512

-

-

8

2,562

Delta Apparel, Inc.

8,876

-

-

28

9,110

Department 56, Inc.

20,351

47

-

-

19,961

Deswell Industries, Inc.

17,893

-

-

211

17,587

Devcon International Corp.

3,858

-

1,076

-

-

DIMON, Inc.

15,497

-

1,373

215

15,315

Dominion Homes, Inc.

10,720

-

-

-

10,323

Dong-A Pharmaceutical Co. Ltd.

7,657

-

-

-

10,990

Doral Financial Corp.

259,050

-

-

891

277,068

Draka Holding NV

41,784

1,381

-

-

39,297

Drew Industries, Inc.

36,452

2,470

-

-

32,222

DSG International Ltd.

1,429

-

-

-

1,306

Ducommun, Inc.

18,981

-

-

-

22,943

DuPont Photomasks, Inc.

29,288

-

6,861

-

38,252

Dura Automotive Systems, Inc. Class A (sub. vtg.)

16,873

-

-

-

15,490

Eagle Materials, Inc.

59,177

-

-

269

61,985

ECI Telecom Ltd.

34,474

-

303

-

38,005

ECtel Ltd.

5,259

-

-

-

4,609

Electronics for Imaging, Inc.

57,415

27,410

-

-

79,910

Elscint Ltd.

6,582

-

-

-

6,009

Embrex, Inc.

8,708

-

-

-

8,260

EMCOR Group, Inc.

64,865

-

-

-

59,318

Enesco Group, Inc.

8,803

1,885

-

-

8,466

ESS Technology, Inc.

343

19,823

-

-

19,602

Exact Holdings NV

51,220

-

-

-

53,082

Exactech, Inc.

17,658

-

-

-

15,498

Fab Industries, Inc.

446

1,712

-

-

2,288

Farstad Shipping ASA

21,040

373

-

-

25,849

Federal Screw Works

5,719

-

-

16

5,234

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

Financial Industries Corp.

$ 11,071

$ -

$ -

$ -

$ 10,680

Finlay Enterprises, Inc.

21,669

-

793

-

19,914

Finnveden Invest AB Series B

9,678

4,661

-

-

12,953

First Bancorp, Puerto Rico

167,678

-

-

427

215,394

First Health Group Corp.

125,110

-

-

-

142,065

First Mutual Bancshares, Inc.

13,373

-

-

47

12,841

Flanigan's Enterprises, Inc.

1,258

-

-

-

1,258

FMC Corp.

131,850

-

-

-

131,550

Footstar, Inc.

9,979

-

-

-

5,242

Foremost Industries Income Fund

6,971

-

-

135

11,425

Fossil, Inc.

163,283

-

-

-

200,880

Frans Maas Groep NV (Certificaten Van Aandelen)

13,286

-

-

-

13,488

French Connection Group PLC

38,120

776

-

125

33,854

Fresh Brands, Inc.

3,922

-

-

-

3,978

Fresh Del Monte Produce, Inc.

140,566

-

-

1,059

139,084

Friedmans, Inc. Class A

7,428

-

-

-

3,413

Gehl Co.

12,586

-

-

-

12,700

General Cable Corp.

36,338

-

-

-

46,949

Genesco, Inc.

46,446

-

-

-

55,406

Genlyte Group, Inc.

83,681

-

255

-

98,556

Gildan Activewear, Inc. Class A (sub. vtg.)

68,570

-

-

-

74,462

Global Imaging Systems, Inc.

61,904

-

-

-

71,844

Goodfellow, Inc.

5,917

-

-

-

8,095

Group 1 Automotive, Inc.

58,734

1,153

-

-

56,999

Gulf Island Fabrication, Inc.

8,322

10,862

-

22

19,115

Hampshire Group Ltd.

13,276

-

-

-

14,424

Hankook Shell Oil Co. Ltd.

1,763

563

-

-

2,743

Hansen Natural Corp.

17,480

-

-

-

22,596

Hardinge, Inc.

4,213

1,368

-

4

5,153

Health Management Associates, Inc. Class A

487,576

-

-

486

502,160

Heijmans NV

47,574

-

-

-

54,653

Heiton Group PLC

36,448

-

76

-

41,005

Helen of Troy Ltd.

75,192

15,970

-

-

79,143

Henry Boot PLC

17,593

-

-

208

18,782

Horizon Health Corp.

16,416

-

-

-

15,174

Hot Topic, Inc.

48,558

-

-

-

62,710

ICT Automatisering NV

7,406

-

-

-

8,332

ICU Medical, Inc.

34,039

-

2,188

-

25,243

IMCO Recycling, Inc.

11,941

-

-

-

11,286

IMPATH, Inc.

8,549

-

-

-

7,055

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

InFocus Corp.

$ 26,346

$ -

$ 2,205

$ -

$ 17,540

Insteel Industries, Inc.

4,176

4,496

-

-

10,641

Intermet Corp.

9,497

-

-

-

563

Interstate Bakeries Corp.

22,487

5,109

-

-

11,708

Intest Corp.

8,072

-

-

-

3,594

Invacare Corp.

75,610

-

340

23

85,761

Inventive Leisure PLC

1,318

128

-

-

1,354

Investment Technology Group, Inc.

28,774

-

8,361

-

-

IPC Holdings Ltd.

132,413

-

-

847

142,864

Jack in the Box, Inc.

106,466

-

-

-

111,372

JAKKS Pacific, Inc.

49,143

1,959

5,192

-

37,371

JLM Couture, Inc.

690

-

-

-

627

KCS Energy, Inc.

43,601

-

1,675

-

38,448

KEC Corp.

6,069

2,871

-

-

9,826

Komplett ASA

6,201

741

-

-

5,993

Koninklijke BAM Groep NV

42,108

2,133

902

-

51,334

Korea Electric Terminal Co. Ltd.

8,564

-

-

-

9,310

Lafarge North America, Inc.

305,797

-

11,468

1,606

346,067

Lakes Entertainment, Inc.

15,503

-

107

-

17,089

Lattice Semiconductor Corp.

52,832

-

-

-

53,587

Libbey, Inc.

13,430

2,762

-

60

13,527

Lincare Holdings, Inc.

298,957

2,193

-

-

346,699

Linx Printing Technologies PLC

7,949

-

-

179

14,926

Lufkin Industries, Inc.

20,673

-

-

113

22,284

M/I Homes, Inc.

66,483

-

-

44

75,250

Maine & Maritimes Corp.

3,112

-

-

38

2,844

MAIR Holdings, Inc.

18,860

-

-

-

18,311

Major Drilling Group International, Inc.

7,414

-

-

-

10,176

Marine Products Corp.

42,434

-

-

103

47,077

Marten Transport Ltd.

20,822

-

1,020

-

18,336

Medical Action Industries, Inc.

16,682

269

-

-

17,054

Melexis NV

27,072

1,051

-

-

32,092

Merchant Retail Group PLC

12,497

2,818

-

-

16,018

Merit Medical Systems, Inc.

9,748

12,123

-

-

15,491

Meritage Homes Corp.

43,157

-

-

-

61,842

Mesa Laboratories, Inc.

2,659

-

198

13

3,018

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

MetaSolv, Inc.

$ 10,958

$ -

$ 498

$ -

$ 8,596

Metro One Telecommunications, Inc.

3,705

-

-

-

3,779

Metro, Inc. Class A (sub. vtg.)

128,999

-

-

528

153,606

MFC Bancorp Ltd.

12,985

-

-

-

12,977

Midwest Air Group, Inc.

5,710

-

-

-

4,655

MOCON, Inc.

2,747

-

-

22

2,734

Monro Muffler Brake, Inc.

17,887

-

-

-

19,687

Monterey Pasta Co.

4,564

-

-

-

5,057

Movado Group, Inc.

20,370

-

6,342

39

15,772

MTR Gaming Group, Inc.

19,444

-

938

-

17,122

Murakami Corp.

5,351

-

-

29

5,622

Nagawa Co. Ltd.

6,835

-

-

-

7,219

National Dentex Corp.

9,998

-

-

-

9,918

National Healthcare Corp.

26,356

-

-

122

29,080

National R.V. Holdings, Inc.

15,468

-

273

-

8,991

National Western Life Insurance Co. Class A

38,679

-

-

-

36,325

Nature's Sunshine Products, Inc.

20,776

-

1,452

70

19,634

NCI Building Systems, Inc.

57,707

310

1,098

-

59,478

New Horizons Worldwide, Inc.

5,040

-

2,077

-

-

Next PLC

389,834

-

2,968

-

435,780

Ngai Lik Industrial Holdings Ltd.

19,476

394

-

548

16,483

North Central Bancshares, Inc.

5,643

-

-

39

5,798

Northwest Pipe Co.

11,640

-

-

-

11,142

Novel Denim Holdings Ltd.

991

-

-

-

688

NQL Drilling Tools, Inc. Class A

3,035

-

-

-

2,803

Octel Corp.

35,678

-

-

83

26,669

Ocular Sciences, Inc.

92,674

-

4,378

-

97,702

Offshore Logistics, Inc.

57,900

-

1,446

-

70,512

Oil States International, Inc.

44,743

1,092

309

-

50,674

OM Group, Inc.

88,695

-

705

-

90,723

On Assignment, Inc.

12,670

-

-

-

12,696

Opinion Research Corp.

2,482

-

-

-

2,298

Optical Cable Corp.

2,310

71

-

-

2,575

Orbotech Ltd.

54,666

-

-

-

54,316

Orthofix International NV

36,501

6,423

-

-

50,169

P&F Industries, Inc. Class A

2,900

-

-

-

3,467

P.A.M. Transportation Services, Inc.

20,760

-

418

-

20,783

PacifiCare Health Systems, Inc.

217,047

-

-

-

252,902

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

Papa John's International, Inc.

$ 68,333

$ -

$ -

$ -

$ 72,630

Pason Systems, Inc.

31,430

265

-

-

31,095

Patrick Industries, Inc.

2,774

-

-

-

2,692

Pe Ben Oilfield Services Ltd.

1,606

-

-

-

1,794

Peak International Ltd.

6,191

-

-

-

5,296

Pemco Aviation Group, Inc.

5,909

1,231

-

-

6,493

Perceptron, Inc.

5,918

-

-

-

5,721

Persona, Inc.

9,829

-

10,138

-

-

Pervasive Software, Inc.

10,375

570

-

-

7,226

Petroleum Development Corp.

29,609

-

-

-

39,189

Petroleum Helicopters, Inc.

6,246

-

-

-

6,479

Philadelphia Consolidated Holding Corp.

68,551

-

-

-

72,701

PinkRoccade NV

16,731

202

-

-

20,699

Piolax, Inc.

18,036

-

-

110

19,753

PolyMedica Corp.

8,072

36,309

-

44

51,443

Pomeroy IT Solutions, Inc.

14,817

-

-

-

16,817

ProSafe ASA

36,914

3,608

-

-

44,212

PXRE Group Ltd.

31,096

-

-

81

33,178

Quaker City Bancorp, Inc.

26,152

-

26,243

-

-

Qualstar Corp.

6,817

-

44

-

6,240

Quiksilver, Inc.

85,162

1,613

751

-

109,000

Quipp, Inc.

1,968

-

-

-

1,896

Quixote Corp.

11,370

-

1,003

-

9,689

RCM Technologies, Inc.

6,225

-

-

-

5,189

RehabCare Group, Inc.

25,394

-

1,856

-

22,501

Reliability, Inc.

547

-

-

-

413

RemedyTemp, Inc. Class A

7,264

-

-

-

8,204

Renal Care Group, Inc.

234,171

-

-

-

231,966

ResCare, Inc.

16,153

-

4,282

-

-

Rex Stores Corp.

18,186

-

-

-

21,630

Ringerikes Sparebank

1,032

-

-

-

1,178

Riviana Foods, Inc.

20,385

-

20,432

-

-

Roanoke Electric Steel Corp.

15,644

188

-

109

15,922

Ross Stores, Inc.

189,830

-

14,003

349

199,652

Roto Smeets de Boer NV

12,084

-

-

-

12,669

Ryan's Restaurant Group, Inc.

56,843

-

-

-

54,881

Ryerson Tull, Inc.

7,277

18,454

-

60

26,766

S.Y. Bancorp, Inc.

16,464

861

-

79

17,958

Salton, Inc.

5,075

-

-

-

6,142

SBS Technologies, Inc.

17,273

-

-

-

17,918

ScanSource, Inc.

67,654

-

3,836

-

68,123

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

ScS Upholstery PLC

$ 9,366

$ -

$ -

$ -

$ 12,407

SED International Holdings, Inc.

768

-

-

-

600

Seksun Corp. Ltd.

5,137

-

-

88

5,308

Send Group PLC

1,029

-

-

-

3

Shaw Group, Inc.

58,322

-

-

-

71,667

ShoLodge, Inc.

2,189

-

-

-

1,949

ShopKo Stores, Inc.

41,665

-

14,334

-

31,466

Sigmatron International, Inc.

3,115

-

-

-

3,717

Sino-Forest Corp.

19,019

-

-

-

20,833

Sino-Forest Corp. (144A)

9,479

-

-

-

10,383

Skechers U.S.A., Inc. Class A

19,302

-

18,850

-

-

Solutia, Inc.

3,240

-

-

-

3,554

Somera Communications, Inc.

6,747

-

-

-

5,607

Sonic Corp.

141,450

-

-

-

167,465

SOURCECORP, Inc.

36,387

-

-

-

25,971

Southern Energy Homes, Inc.

5,628

-

-

-

6,440

Southwest Bancorp, Inc., Oklahoma

17,043

1,679

-

64

23,269

Sparebanken Rana

760

-

-

-

878

Spectrum Control, Inc.

8,338

-

57

-

7,355

Spherion Corp.

50,644

-

-

-

42,096

Sportscene Restaurants, Inc.
Class A

2,431

-

-

-

2,270

Standard Commercial Corp.

21,138

-

-

119

21,585

Stanley Furniture Co., Inc.

25,140

-

-

60

26,694

Stantec, Inc.

35,189

-

727

-

32,412

Steiner Leisure Ltd.

41,635

-

363

-

42,073

Stelmar Shipping Ltd.

34,872

-

-

125

40,241

Sterling Bancorp, New York

39,351

1,497

-

287

43,735

Steven Madden Ltd.

24,639

-

-

-

20,983

Stoneridge, Inc.

30,479

-

1,262

-

26,714

Strattec Security Corp.

33,264

-

-

-

32,697

Summa Industries, Inc.

4,568

-

-

-

4,016

Sunjin Co. Ltd.

3,134

-

-

-

3,902

Swift Energy Co.

43,535

-

4,478

-

41,678

Tandy Brands Accessories, Inc.

7,422

-

-

15

7,629

TB Wood's Corp.

3,075

-

-

-

2,461

Tech Data Corp.

212,308

-

-

-

228,914

Technology Solutions Co.

2,515

-

-

-

2,007

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

Teekay Shipping Corp.

$ 167,076

$ -

$ -

$ 578

$ 194,040

Tejon Ranch Co.

32,644

-

-

-

35,183

Texas Industries, Inc.

61,675

-

5,331

-

67,773

The Allied Defense Group, Inc.

9,421

-

-

-

9,889

The BISYS Group, Inc.

139,549

338

3,486

-

146,000

The Cato Corp. Class A
(sub. vtg.)

40,610

-

-

341

44,677

The Children's Place Retail Stores, Inc.

43,450

2,841

18,432

-

46,305

The PMI Group, Inc.

371,070

-

3,119

402

346,469

Theragenics Corp.

12,339

-

-

-

10,915

Toami Corp.

3,025

-

-

-

3,539

Tokyo Kisen Co. Ltd.

2,666

-

-

-

2,835

Tommy Hilfiger Corp.

126,618

-

-

-

86,824

Total Energy Services Ltd.

10,771

2,282

-

-

13,355

Tower Automotive, Inc.

17,572

-

-

-

8,312

Trifast PLC

7,029

3,112

-

-

9,516

Trinity Industries, Inc.

139,368

-

4,112

274

140,223

Trio-Tech International

1,039

-

-

-

966

Triumph Group, Inc.

32,073

2,305

-

-

35,855

TT electronics PLC

32,651

-

-

732

34,970

TTI Team Telecom International Ltd.

2,766

-

-

-

2,424

Twentsche Kabel Holding NV

22,047

-

-

-

28,602

Twin Disc, Inc.

5,388

1,768

-

37

6,933

Uehara Sei Shoji Co. Ltd.

6,183

-

-

39

6,650

UK Coal PLC

27,690

-

-

983

30,747

Uni-Select, Inc.

21,330

-

4,769

43

-

Up, Inc.

3,759

-

-

-

3,492

URS Corp.

103,722

1,406

-

-

120,030

USEC, Inc.

67,920

-

1,123

220

76,121

USF Corp.

92,623

-

1,108

244

92,427

USG Corp.

74,180

-

-

-

96,340

Utah Medical Products, Inc.

12,637

-

-

71

8,505

UTStarcom, Inc.

93,912

32,330

-

-

122,768

Wao Corp.

1,457

-

-

19

1,382

Wilsons Leather Experts, Inc.

10,113

-

-

-

11,898

Winland Electronics, Inc.

565

-

-

-

770

Wireless Telecom Group, Inc.

2,723

-

-

31

3,213

Wolverine Tube, Inc.

18,312

-

-

-

14,691

World Fuel Services Corp.

46,212

-

-

91

41,494

Wyndeham Press Group PLC

8,741

-

-

-

9,482

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

XETA Technologies, Inc.

$ 3,879

$ -

$ -

$ -

$ 3,425

Young Innovations, Inc.

17,621

1,176

-

27

21,993

Zomax, Inc.

9,666

-

-

-

11,293

Total

$ 13,456,944

$ 515,416

$ 331,809

$ 29,718

$ 14,273,933

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $24,232,570,000. Net unrealized appreciation aggregated $7,943,170,000, of which $9,263,386,000 related to appreciated investment securities and $1,320,216,000 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp.

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Puritan® Fund

October 31, 2004

PUR-QTLY-1204

1.809105.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 62.7%

Shares

Value
(000s)

CONSUMER DISCRETIONARY - 6.4%

Auto Components - 0.1%

Exide Technologies warrants 3/18/06 (a)

6,789

$ 0

TRW Automotive Holdings Corp.

834,780

15,327

Automobiles - 0.2%

Toyota Motor Corp. ADR

698,300

54,181

Hotels, Restaurants & Leisure - 0.8%

Caesars Entertainment, Inc. (a)

3,430,400

61,404

McDonald's Corp.

3,535,300

103,054

MOA Hospitality, Inc.

3,000

0

Six Flags, Inc. (a)

865,401

4,362

Wendy's International, Inc.

144,100

4,809

173,629

Household Durables - 0.7%

Koninklijke Philips Electronics NV (NY Shares)

806,900

19,220

LG Electronics, Inc.

323,470

18,261

Maytag Corp.

1,829,460

31,833

Newell Rubbermaid, Inc.

2,594,600

55,940

Sony Corp. sponsored ADR

793,700

27,660

The Stanley Works

231,800

10,320

163,234

Media - 3.8%

Clear Channel Communications, Inc.

3,665,800

122,438

Comcast Corp. Class A (a)

4,160,316

122,729

Fox Entertainment Group, Inc. Class A (a)

610,200

18,099

Liberty Media Corp. Class A (a)

5,509,706

49,147

Liberty Media International, Inc. Class A (a)

827,681

29,838

NTL, Inc. (a)

166,959

11,104

The Reader's Digest Association, Inc. (non-vtg.)

1,622,200

22,841

Time Warner, Inc. (a)

10,122,560

168,439

Viacom, Inc. Class B (non-vtg.)

5,212,351

190,199

Vivendi Universal SA sponsored ADR (a)

1,221,100

33,495

Walt Disney Co.

3,763,090

94,905

863,234

Multiline Retail - 0.2%

Barneys, Inc. warrants 4/1/08 (a)

3,470

208

Big Lots, Inc. (a)

2,459,600

30,474

Dollar Tree Stores, Inc. (a)

86,400

2,497

Common Stocks - continued

Shares

Value
(000s)

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

Family Dollar Stores, Inc.

86,400

$ 2,553

Sears, Roebuck & Co.

614,600

21,511

57,243

Specialty Retail - 0.5%

Abercrombie & Fitch Co. Class A

870,600

34,110

Gap, Inc.

1,708,900

34,144

Office Depot, Inc. (a)

246,800

3,996

Toys 'R' Us, Inc. (a)

1,764,900

31,786

104,036

Textiles Apparel & Luxury Goods - 0.1%

Liz Claiborne, Inc.

856,560

35,016

TOTAL CONSUMER DISCRETIONARY

1,465,900

CONSUMER STAPLES - 3.7%

Beverages - 0.3%

Anheuser-Busch Companies, Inc.

1,239,400

61,908

Food & Staples Retailing - 0.7%

Albertsons, Inc.

973,000

22,194

CVS Corp.

1,778,400

77,289

Wal-Mart Stores, Inc.

1,225,600

66,084

165,567

Food Products - 0.6%

Campbell Soup Co.

291,800

7,832

General Mills, Inc.

290,000

12,833

H.J. Heinz Co.

380,900

13,846

Kellogg Co.

264,800

11,386

Kraft Foods, Inc. Class A

1,384,500

46,118

Unilever PLC sponsored ADR

1,550,800

52,867

144,882

Household Products - 1.2%

Colgate-Palmolive Co.

2,520,200

112,451

Kimberly-Clark Corp.

1,587,400

94,720

Procter & Gamble Co.

1,042,720

53,366

260,537

Personal Products - 0.4%

Gillette Co.

2,391,600

99,204

Common Stocks - continued

Shares

Value
(000s)

CONSUMER STAPLES - continued

Tobacco - 0.5%

Altria Group, Inc.

2,129,140

$ 103,178

TOTAL CONSUMER STAPLES

835,276

ENERGY - 7.5%

Energy Equipment & Services - 1.5%

Baker Hughes, Inc.

1,856,300

79,505

BJ Services Co.

725,100

36,980

Halliburton Co.

963,300

35,681

Noble Corp. (a)

1,095,350

50,036

Schlumberger Ltd. (NY Shares)

2,371,800

149,281

Tokheim Corp. (a)

47,760

0

351,483

Oil & Gas - 6.0%

Apache Corp.

948,610

48,095

BP PLC sponsored ADR

3,521,426

205,123

ChevronTexaco Corp.

3,614,000

191,759

Exxon Mobil Corp.

10,106,224

497,428

Royal Dutch Petroleum Co. (NY Shares)

899,800

48,805

Total SA:

Series B

518,100

108,055

sponsored ADR

2,399,600

250,230

1,349,495

TOTAL ENERGY

1,700,978

FINANCIALS - 19.0%

Capital Markets - 3.1%

Bank of New York Co., Inc.

4,526,500

146,930

Charles Schwab Corp.

7,904,000

72,322

Credit Suisse Group sponsored ADR

1,086,400

37,231

Janus Capital Group, Inc.

3,173,300

48,393

LaBranche & Co., Inc. (a)

714,600

5,067

Mellon Financial Corp.

2,281,600

65,938

Merrill Lynch & Co., Inc.

2,345,800

126,532

Morgan Stanley

2,900,240

148,173

Nomura Holdings, Inc.

2,384,000

29,013

State Street Corp.

523,000

23,561

703,160

Common Stocks - continued

Shares

Value
(000s)

FINANCIALS - continued

Commercial Banks - 4.7%

Bank of America Corp.

10,613,524

$ 475,380

Comerica, Inc.

991,400

60,981

Lloyds TSB Group PLC

3,077,099

24,371

Royal Bank of Scotland Group PLC

849,444

25,054

State Bank of India

636,977

6,663

Sumitomo Mitsui Financial Group, Inc.

5,263

34,263

U.S. Bancorp, Delaware

3,292,350

94,194

Wachovia Corp.

4,050,041

199,303

Wells Fargo & Co.

2,475,000

147,807

1,068,016

Consumer Finance - 0.9%

American Express Co.

2,287,201

121,382

MBNA Corp.

2,134,500

54,707

MoneyGram International, Inc.

1,560,300

29,022

205,111

Diversified Financial Services - 3.6%

CIT Group, Inc.

1,486,200

60,042

Citigroup, Inc.

8,993,392

399,037

J.P. Morgan Chase & Co.

9,436,753

364,259

823,338

Insurance - 4.7%

ACE Ltd.

3,153,077

120,006

Allianz AG sponsored ADR

1,510,000

16,082

Allstate Corp.

2,865,900

137,821

American International Group, Inc.

5,755,937

349,443

Assurant, Inc.

371,000

10,010

Conseco, Inc. (a)

1,022,500

17,137

Fondiaria-Sai Spa

735,536

16,971

Genworth Financial, Inc. Class A

1,465,700

34,972

Hartford Financial Services Group, Inc.

1,495,000

87,428

Marsh & McLennan Companies, Inc.

835,900

23,121

Muenchener Rueckversicherungs-Gesellschaft AG (Reg.)

182,114

17,870

Old Republic International Corp.

777,504

18,155

St. Paul Travelers Companies, Inc.

3,428,237

116,423

The Chubb Corp.

760,300

54,840

XL Capital Ltd. Class A

491,500

35,634

1,055,913

Common Stocks - continued

Shares

Value
(000s)

FINANCIALS - continued

Real Estate - 0.1%

CarrAmerica Realty Corp.

269,460

$ 8,685

Reckson Associates Realty Corp.

261,700

7,943

16,628

Thrifts & Mortgage Finance - 1.9%

Fannie Mae

4,163,050

292,038

Freddie Mac

992,500

66,101

Housing Development Finance Corp. Ltd.

1,659,200

23,438

MGIC Investment Corp.

266,800

17,158

Sovereign Bancorp, Inc.

1,694,950

36,696

435,431

TOTAL FINANCIALS

4,307,597

HEALTH CARE - 4.9%

Health Care Equipment & Supplies - 0.9%

Baxter International, Inc.

4,473,000

137,589

PerkinElmer, Inc.

741,800

15,237

Thermo Electron Corp. (a)

1,484,400

43,048

195,874

Health Care Providers & Services - 0.7%

Cardinal Health, Inc.

853,600

39,906

HCA, Inc.

451,300

16,576

Mariner Health Care, Inc. (a)

7,778

226

McKesson Corp.

1,646,800

43,904

Tenet Healthcare Corp. (a)

3,203,200

34,338

UnitedHealth Group, Inc.

451,400

32,681

167,631

Pharmaceuticals - 3.3%

Abbott Laboratories

1,242,600

52,972

Bristol-Myers Squibb Co.

3,395,900

79,566

GlaxoSmithKline PLC sponsored ADR

586,500

24,868

Johnson & Johnson

2,796,100

163,236

Merck & Co., Inc.

3,418,800

107,043

Pfizer, Inc.

4,844,800

140,257

Common Stocks - continued

Shares

Value
(000s)

HEALTH CARE - continued

Pharmaceuticals - continued

Schering-Plough Corp.

5,143,100

$ 93,142

Wyeth

2,162,500

85,743

746,827

TOTAL HEALTH CARE

1,110,332

INDUSTRIALS - 7.8%

Aerospace & Defense - 2.4%

Bombardier, Inc. Class B (sub. vtg.)

6,082,300

13,984

EADS NV

2,091,016

59,806

Honeywell International, Inc.

4,005,600

134,909

Lockheed Martin Corp.

1,960,300

107,993

Northrop Grumman Corp.

1,325,060

68,572

Raytheon Co.

974,040

35,533

The Boeing Co.

1,230,300

61,392

United Technologies Corp.

555,200

51,534

533,723

Air Freight & Logistics - 0.1%

Ryder System, Inc.

402,700

20,175

Airlines - 0.2%

Continental Airlines, Inc. Class B (a)

1,143

11

Southwest Airlines Co.

2,153,900

33,967

33,978

Commercial Services & Supplies - 0.2%

Waste Management, Inc.

1,884,500

53,671

Construction & Engineering - 0.1%

Fluor Corp.

539,500

25,054

Electrical Equipment - 0.2%

Emerson Electric Co.

804,200

51,509

Industrial Conglomerates - 2.4%

3M Co.

455,800

35,356

General Electric Co.

5,808,500

198,186

Hutchison Whampoa Ltd.

3,796,000

29,139

Siemens AG sponsored ADR

336,900

25,180

Textron, Inc.

1,155,900

78,775

Tyco International Ltd.

5,814,824

181,132

547,768

Common Stocks - continued

Shares

Value
(000s)

INDUSTRIALS - continued

Machinery - 1.6%

Caterpillar, Inc.

688,000

$ 55,412

Deere & Co.

262,850

15,713

Dover Corp.

1,146,800

45,035

Eaton Corp.

319,200

20,413

Illinois Tool Works, Inc.

238,700

22,027

Ingersoll-Rand Co. Ltd. Class A

1,454,100

99,519

Navistar International Corp. (a)

692,405

23,923

SPX Corp.

2,078,500

79,710

361,752

Road & Rail - 0.6%

Burlington Northern Santa Fe Corp.

1,789,500

74,819

Union Pacific Corp.

1,083,600

68,234

143,053

TOTAL INDUSTRIALS

1,770,683

INFORMATION TECHNOLOGY - 3.9%

Communications Equipment - 0.5%

Lucent Technologies, Inc. (a)

6,559,400

23,286

Motorola, Inc.

3,569,900

61,616

Nokia Corp. sponsored ADR

1,605,900

24,763

109,665

Computers & Peripherals - 1.1%

Hewlett-Packard Co.

5,161,002

96,304

International Business Machines Corp.

1,182,700

106,147

Storage Technology Corp. (a)

961,190

25,971

Sun Microsystems, Inc. (a)

5,462,925

24,747

253,169

Electronic Equipment & Instruments - 0.5%

Agilent Technologies, Inc. (a)

579,400

14,520

Arrow Electronics, Inc. (a)

1,053,000

25,230

Avnet, Inc. (a)

2,134,470

36,201

Solectron Corp. (a)

7,482,900

39,061

115,012

IT Services - 0.1%

Ceridian Corp. (a)

1,065,000

18,371

Office Electronics - 0.2%

Xerox Corp. (a)

2,764,500

40,832

Common Stocks - continued

Shares

Value
(000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - 0.9%

Analog Devices, Inc.

1,071,800

$ 43,151

Applied Materials, Inc. (a)

289,100

4,655

Intel Corp.

2,835,100

63,109

Micron Technology, Inc. (a)

2,711,100

33,021

Rohm Co. Ltd.

216,300

22,236

Samsung Electronics Co. Ltd.

81,940

32,168

Teradyne, Inc. (a)

144,800

2,398

200,738

Software - 0.6%

Microsoft Corp.

5,217,200

146,029

TOTAL INFORMATION TECHNOLOGY

883,816

MATERIALS - 4.1%

Chemicals - 1.6%

Arch Chemicals, Inc.

689,700

19,553

Dow Chemical Co.

2,986,700

134,222

Eastman Chemical Co.

647,000

30,713

Ferro Corp.

487,600

10,274

Great Lakes Chemical Corp.

879,300

22,528

Lubrizol Corp.

292,100

10,145

Lyondell Chemical Co.

2,040,700

46,895

Millennium Chemicals, Inc. (a)

1,306,920

28,073

Olin Corp.

1,209,400

22,616

PolyOne Corp. (a)

1,696,800

12,845

Praxair, Inc.

893,800

37,718

375,582

Containers & Packaging - 0.3%

Smurfit-Stone Container Corp. (a)

3,485,607

60,510

Metals & Mining - 1.3%

Alcan, Inc.

1,278,500

59,156

Alcoa, Inc.

3,997,400

129,916

Freeport-McMoRan Copper & Gold, Inc. Class B

1,111,066

40,243

Phelps Dodge Corp.

770,000

67,406

296,721

Paper & Forest Products - 0.9%

Bowater, Inc.

574,900

21,179

Georgia-Pacific Corp.

1,823,800

63,085

Common Stocks - continued

Shares

Value
(000s)

MATERIALS - continued

Paper & Forest Products - continued

International Paper Co.

1,340,000

$ 51,603

Weyerhaeuser Co.

1,004,000

62,891

198,758

TOTAL MATERIALS

931,571

TELECOMMUNICATION SERVICES - 3.5%

Diversified Telecommunication Services - 3.3%

BellSouth Corp.

7,295,070

194,560

Level 3 Communications, Inc. (a)

874,300

2,938

Qwest Communications International, Inc. (a)

4,195,000

14,347

SBC Communications, Inc.

9,760,687

246,555

Sprint Corp.

1,573,800

32,971

Telewest Global, Inc. (a)

1,391,195

17,112

Verizon Communications, Inc.

6,318,100

247,038

755,521

Wireless Telecommunication Services - 0.2%

Crown Castle International Corp. (a)

734,800

11,250

DigitalGlobe, Inc. (f)

15,842

16

KDDI Corp.

4,127

19,887

31,153

TOTAL TELECOMMUNICATION SERVICES

786,674

UTILITIES - 1.9%

Electric Utilities - 1.1%

Entergy Corp.

1,173,800

76,720

FirstEnergy Corp.

755,200

31,212

PG&E Corp. (a)

592,000

18,968

TXU Corp.

939,719

57,530

Wisconsin Energy Corp.

1,914,700

62,496

246,926

Multi-Utilities & Unregulated Power - 0.8%

Dominion Resources, Inc.

1,767,000

113,653

Common Stocks - continued

Shares

Value
(000s)

UTILITIES - continued

Multi-Utilities & Unregulated Power - continued

Public Service Enterprise Group, Inc.

1,440,800

$ 61,364

SCANA Corp.

194,800

7,227

182,244

TOTAL UTILITIES

429,170

TOTAL COMMON STOCKS

(Cost $11,866,291)

14,221,997

Preferred Stocks - 0.9%

Convertible Preferred Stocks - 0.8%

CONSUMER DISCRETIONARY - 0.2%

Automobiles - 0.1%

General Motors Corp.:

Series B, 5.25%

501,100

11,626

Series C, 6.25%

369,100

9,814

21,440

Hotels, Restaurants & Leisure - 0.1%

Six Flags, Inc. 7.25% PIERS

485,200

9,995

TOTAL CONSUMER DISCRETIONARY

31,435

FINANCIALS - 0.3%

Capital Markets - 0.0%

State Street Corp. 6.75% (a)

36,750

7,652

Consumer Finance - 0.1%

Ford Motor Co. Capital Trust II 6.50%

561,900

28,086

Insurance - 0.2%

Conseco, Inc. Series B, 5.50%

194,000

4,509

The Chubb Corp.:

7.00%

227,700

6,384

Series B, 7.00%

173,900

4,913

Travelers Property Casualty Corp. 4.50% (a)

289,800

6,382

XL Capital Ltd. 6.50%

546,200

13,077

35,265

TOTAL FINANCIALS

71,003

Preferred Stocks - continued

Shares

Value
(000s)

Convertible Preferred Stocks - continued

HEALTH CARE - 0.1%

Health Care Equipment & Supplies - 0.0%

Baxter International, Inc. 7.00%

215,800

$ 11,090

Pharmaceuticals - 0.1%

Schering-Plough Corp. 6.00%

255,700

13,098

TOTAL HEALTH CARE

24,188

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.1%

Motorola, Inc. 7.00%

532,300

26,295

Office Electronics - 0.1%

Xerox Corp. Series C, 6.25%

198,572

26,190

TOTAL INFORMATION TECHNOLOGY

52,485

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Cincinnati Bell, Inc. Series B, 6.75%

96,900

4,017

UTILITIES - 0.0%

Multi-Utilities & Unregulated Power - 0.0%

Aquila, Inc. 6.75%

120,000

3,666

TOTAL CONVERTIBLE PREFERRED STOCKS

186,794

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Spanish Broadcasting System, Inc. Class B, 10.75% (a)

1,383

1,514

Specialty Retail - 0.0%

GNC Corp. Series A, 12.00%

2,000

2,100

TOTAL CONSUMER DISCRETIONARY

3,614

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

Fresenius Medical Care Capital Trust II 7.875% (a)

3,790

4,106

Preferred Stocks - continued

Shares

Value
(000s)

Nonconvertible Preferred Stocks - continued

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

PTV, Inc. Series A, 10.00%

192

$ 1

UTILITIES - 0.0%

Electric Utilities - 0.0%

Entergy Gulf States, Inc. Series A, adj. rate

20,721

2,062

TOTAL NONCONVERTIBLE PREFERRED STOCKS

9,783

TOTAL PREFERRED STOCKS

(Cost $193,430)

196,577

Corporate Bonds - 12.0%

Principal Amount (000s)

Convertible Bonds - 0.4%

CONSUMER DISCRETIONARY - 0.3%

Hotels, Restaurants & Leisure - 0.0%

Royal Caribbean Cruises Ltd. liquid yield option note 0% 2/2/21

$ 15,280

8,500

Media - 0.2%

Liberty Media Corp.:

4% 11/15/29 (f)

17,982

12,791

3.5% 1/15/31 (f)

14,140

12,903

News America, Inc. liquid yield option note 0% 2/28/21 (f)

28,330

16,361

42,055

Specialty Retail - 0.1%

Gap, Inc. 5.75% 3/15/09

11,570

14,766

TOTAL CONSUMER DISCRETIONARY

65,321

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

Navistar Financial Corp. 4.75% 4/1/09 (f)

3,320

3,221

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Convertible Bonds - continued

FINANCIALS - continued

Insurance - 0.0%

Loews Corp. 3.125% 9/15/07

$ 6,940

$ 6,810

TOTAL FINANCIALS

10,031

INDUSTRIALS - 0.1%

Industrial Conglomerates - 0.1%

Tyco International Group SA yankee 3.125% 1/15/23

7,030

10,586

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

Atmel Corp. 0% 5/23/21

9,100

4,130

TOTAL CONVERTIBLE BONDS

90,068

Nonconvertible Bonds - 11.6%

CONSUMER DISCRETIONARY - 1.9%

Auto Components - 0.2%

Arvin Industries, Inc. 6.75% 3/15/08

1,660

1,718

ArvinMeritor, Inc. 8.75% 3/1/12

2,470

2,754

DaimlerChrysler NA Holding Corp.:

4.05% 6/4/08

1,910

1,923

4.75% 1/15/08

14,390

14,825

Dana Corp. 10.125% 3/15/10

4,340

4,904

Delco Remy International, Inc. 9.375% 4/15/12

1,600

1,584

Keystone Automotive Operations, Inc. 9.75% 11/1/13

810

869

TRW Automotive Acquisition Corp.:

9.375% 2/15/13

2,399

2,771

11% 2/15/13

3,365

4,004

United Components, Inc. 9.375% 6/15/13

910

992

Visteon Corp. 8.25% 8/1/10

3,000

3,120

39,464

Automobiles - 0.0%

General Motors Corp. 7.2% 1/15/11

8,300

8,743

Hotels, Restaurants & Leisure - 0.4%

Aztar Corp. 7.875% 6/15/14

3,000

3,255

Bally Total Fitness Holding Corp.:

9.875% 10/15/07

1,445

1,221

10.5% 7/15/11

2,680

2,613

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Gaylord Entertainment Co. 8% 11/15/13

$ 1,450

$ 1,573

Hilton Hotels Corp. 8.25% 2/15/11

3,270

3,883

MGM MIRAGE:

6% 10/1/09

420

434

6.75% 9/1/12 (f)

2,000

2,113

8.5% 9/15/10

6,840

7,866

Mohegan Tribal Gaming Authority 7.125% 8/15/14 (f)

3,000

3,195

Morton's Restaurant Group, Inc. 7.5% 7/1/10

3,315

3,182

NCL Corp. Ltd. 10.625% 7/15/14 (f)

1,135

1,180

Penn National Gaming, Inc. 8.875% 3/15/10

5,115

5,646

Premier Entertainment Biloxi LLC 10.75% 2/1/12

1,000

1,075

Royal Caribbean Cruises Ltd. 6.875% 12/1/13

5,000

5,475

Six Flags, Inc.:

8.875% 2/1/10

3,000

2,858

9.75% 4/15/13

5,725

5,496

Starwood Hotels & Resorts Worldwide, Inc.:

7.375% 5/1/07

4,705

5,064

7.875% 5/1/12

2,675

3,116

Station Casinos, Inc. 6.5% 2/1/14

3,320

3,503

Sun International Hotels Ltd./Sun International North America, Inc. 8.875% 8/15/11

11,980

13,148

Town Sports International Holdings, Inc. 0% 2/1/14 (e)

10,580

5,555

Town Sports International, Inc. 9.625% 4/15/11

1,770

1,859

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (f)

1,063

1,137

Wheeling Island Gaming, Inc. 10.125% 12/15/09

2,155

2,295

Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp. 12% 11/1/10

3,411

4,213

90,955

Household Durables - 0.1%

Beazer Homes USA, Inc. 8.625% 5/15/11

3,140

3,438

D.R. Horton, Inc. 7.875% 8/15/11

4,250

4,818

KB Home 5.75% 2/1/14

3,000

2,955

Ryland Group, Inc. 9.125% 6/15/11

3,580

4,010

Sealy Mattress Co. 8.25% 6/15/14

3,000

3,188

Simmons Co. 7.875% 1/15/14

930

986

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Standard Pacific Corp. 9.25% 4/15/12

$ 1,815

$ 2,087

Tempur-Pedic, Inc./Tempur Production USA, Inc. 10.25% 8/15/10

2,279

2,632

24,114

Internet & Catalog Retail - 0.0%

FTD, Inc. 7.75% 2/15/14

1,500

1,515

Leisure Equipment & Products - 0.0%

K2, Inc. 7.375% 7/1/14 (f)

1,090

1,183

Media - 1.1%

Advanstar Communications, Inc. 10.75% 8/15/10

1,770

1,974

Advertising Directory Solutions Holdings, Inc. 9.25% 11/15/12 (f)

1,700

1,774

AMC Entertainment, Inc.:

8% 3/1/14 (f)

3,760

3,628

8.625% 8/15/12 (f)

1,930

2,104

9.5% 2/1/11

1,667

1,717

9.875% 2/1/12

2,800

2,982

American Media Operations, Inc. 10.25% 5/1/09

5,430

5,702

AOL Time Warner, Inc.:

6.875% 5/1/12

9,230

10,499

7.625% 4/15/31

3,835

4,544

7.7% 5/1/32

7,845

9,395

British Sky Broadcasting Group PLC (BSkyB) yankee 8.2% 7/15/09

21,300

24,957

Cablevision Systems Corp. 8% 4/15/12 (f)

11,950

12,757

Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8.375% 4/30/14 (f)

5,000

5,044

Cinemark, Inc. 0% 3/15/14 (e)

5,510

3,885

Corus Entertainment, Inc. 8.75% 3/1/12

5,560

6,186

Cox Communications, Inc. 7.125% 10/1/12

5,000

5,624

CSC Holdings, Inc.:

7.625% 4/1/11

3,440

3,707

7.875% 2/15/18

535

578

Dex Media, Inc.:

0% 11/15/13 (e)

7,140

5,373

8% 11/15/13

1,750

1,873

EchoStar DBS Corp. 6.625% 10/1/14 (f)

3,500

3,570

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Entravision Communications Corp. 8.125% 3/15/09

$ 4,530

$ 4,836

Granite Broadcasting Corp. 9.75% 12/1/10

1,990

1,836

Houghton Mifflin Co.:

0% 10/15/13 (e)

4,375

2,833

8.25% 2/1/11

8,155

8,644

9.875% 2/1/13

7,910

8,543

Innova S. de R.L. 9.375% 9/19/13

2,990

3,323

Lamar Media Corp. 7.25% 1/1/13

1,290

1,387

LBI Media Holdings, Inc. 0% 10/15/13 (e)

4,450

3,226

LBI Media, Inc. 10.125% 7/15/12

4,060

4,527

Liberty Media Corp. 8.25% 2/1/30

7,755

8,859

Loews Cineplex Entertainment Corp. 9% 8/1/14 (f)

3,000

3,143

Nextmedia Operating, Inc. 10.75% 7/1/11

3,345

3,763

PanAmSat Corp.:

6.375% 1/15/08

2,720

2,802

9% 8/15/14 (f)

6,560

6,921

PanAmSat Holding Corp. 0% 11/1/14 (e)(f)

10,100

5,984

PEI Holdings, Inc. 11% 3/15/10

2,253

2,613

Radio One, Inc. 8.875% 7/1/11

9,005

9,951

Rainbow National LLC & RNS Co. Corp.:

8.75% 9/1/12 (f)

4,000

4,280

10.375% 9/1/14 (f)

12,000

13,080

The Reader's Digest Association, Inc. 6.5% 3/1/11

10

10

Time Warner, Inc.:

6.625% 5/15/29

4,095

4,358

8.18% 8/15/07

5,425

6,105

Vertis, Inc. 9.75% 4/1/09

3,180

3,458

Videotron LTEE 6.875% 1/15/14

1,190

1,255

Yell Finance BV 10.75% 8/1/11

3,954

4,547

238,157

Multiline Retail - 0.0%

Barneys, Inc. 9% 4/1/08

3,470

3,609

The May Department Stores Co. 3.95% 7/15/07 (f)

3,330

3,364

6,973

Specialty Retail - 0.0%

Boise Cascade Corp. 7.5% 2/1/08

3,700

4,129

Nebraska Book Co., Inc. 8.625% 3/15/12

4,380

4,511

8,640

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Textiles Apparel & Luxury Goods - 0.1%

American Achievement Corp. 8.25% 4/1/12

$ 5,000

$ 5,275

Levi Strauss & Co. 12.25% 12/15/12

4,780

4,923

10,198

TOTAL CONSUMER DISCRETIONARY

429,942

CONSUMER STAPLES - 0.4%

Food & Staples Retailing - 0.1%

Ahold Finance USA, Inc. 8.25% 7/15/10

7,780

8,869

Reddy Ice Holdings, Inc. 0% 11/1/12 (e)(f)

4,330

2,923

Rite Aid Corp.:

6.125% 12/15/08 (f)

2,080

1,945

8.125% 5/1/10

2,000

2,125

9.5% 2/15/11

5,000

5,519

11.25% 7/1/08

2,920

3,197

Safeway, Inc. 6.5% 3/1/11

5,850

6,463

31,041

Food Products - 0.1%

B&G Foods, Inc. 8% 10/1/11

1,540

1,617

Del Monte Corp. 8.625% 12/15/12

1,960

2,210

Doane Pet Care Co.:

9.75% 5/15/07

3,550

3,532

10.75% 3/1/10

2,580

2,774

Kraft Foods, Inc. 6.25% 6/1/12

5,025

5,531

Pierre Foods, Inc. 9.875% 7/15/12 (f)

1,120

1,137

Reddy Ice Group, Inc. 8.875% 8/1/11

430

465

17,266

Personal Products - 0.0%

Revlon Consumer Products Corp. 8.625% 2/1/08

2,400

2,016

Tobacco - 0.2%

Altria Group, Inc. 7% 11/4/13

36,105

38,023

TOTAL CONSUMER STAPLES

88,346

ENERGY - 1.0%

Energy Equipment & Services - 0.2%

Cooper Cameron Corp. 2.65% 4/15/07

6,550

6,437

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

ENERGY - continued

Energy Equipment & Services - continued

Grant Prideco, Inc.:

9% 12/15/09

$ 660

$ 743

9.625% 12/1/07

2,440

2,751

Hanover Compressor Co. 9% 6/1/14

1,890

2,107

Key Energy Services, Inc. 8.375% 3/1/08

1,390

1,466

Petronas Capital Ltd. 7% 5/22/12 (f)

28,745

33,145

Pride International, Inc. 7.375% 7/15/14 (f)

3,000

3,379

SESI LLC 8.875% 5/15/11

290

317

50,345

Oil & Gas - 0.8%

Amerada Hess Corp.:

6.65% 8/15/11

1,400

1,564

7.125% 3/15/33

3,630

4,018

7.375% 10/1/09

3,195

3,635

Belden & Blake Corp. 8.75% 7/15/12 (f)

2,010

2,151

Canadian Oil Sands Ltd. 4.8% 8/10/09 (f)

8,945

9,139

Chesapeake Energy Corp. 8.125% 4/1/11

5,030

5,533

El Paso Corp. 7.875% 6/15/12

3,410

3,542

El Paso Energy Corp.:

6.95% 12/15/07

3,730

3,842

7.375% 12/15/12

2,640

2,650

7.8% 8/1/31

1,020

933

8.05% 10/15/30

655

612

EnCana Corp. 6.5% 8/15/34

3,120

3,397

EnCana Holdings Finance Corp. 5.8% 5/1/14

4,785

5,151

Encore Acquisition Co. 8.375% 6/15/12

3,510

3,896

Enterprise Products Operating LP:

4.625% 10/15/09 (f)

2,385

2,410

5.6% 10/15/14 (f)

3,405

3,470

EXCO Resources, Inc. 7.25% 1/15/11

1,120

1,196

General Maritime Corp. 10% 3/15/13

4,705

5,411

Markwest Energy Partners LP/ Markwest Energy Finance Corp. 6.875% 11/1/14 (f)

700

716

Pemex Project Funding Master Trust:

6.125% 8/15/08

10,750

11,395

7.375% 12/15/14

8,620

9,551

Plains All American Pipeline LP 7.75% 10/15/12

1,840

2,171

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil & Gas - continued

Plains Exploration & Production Co.:

Series B, 8.75% 7/1/12

$ 5,490

$ 6,211

7.125% 6/15/14

725

808

Range Resources Corp. 7.375% 7/15/13

1,330

1,410

Ship Finance International Ltd. 8.5% 12/15/13

12,230

12,413

Teekay Shipping Corp. 8.875% 7/15/11

10,030

11,535

The Coastal Corp.:

6.375% 2/1/09

1,285

1,267

6.5% 5/15/06

3,325

3,404

6.5% 6/1/08

3,245

3,245

6.95% 6/1/28

180

152

7.75% 6/15/10

6,680

6,914

Vintage Petroleum, Inc. 8.25% 5/1/12

2,200

2,387

Williams Companies, Inc.:

7.125% 9/1/11

15,505

17,366

7.5% 1/15/31

2,171

2,225

7.625% 7/15/19

2,750

3,094

8.125% 3/15/12

10,630

12,437

171,251

TOTAL ENERGY

221,596

FINANCIALS - 3.2%

Capital Markets - 0.4%

Amvescap PLC yankee 6.6% 5/15/05

5,890

6,007

Bank of New York Co., Inc.:

3.4% 3/15/13 (h)

5,300

5,205

4.25% 9/4/12 (h)

6,980

7,069

BCP Caylux Holdings Luxembourg SCA 9.625% 6/15/14 (f)

10,000

11,125

Credit Suisse First Boston (USA), Inc. 4.7% 6/1/09

8,810

9,115

Equinox Holdings Ltd. 9% 12/15/09

490

510

Goldman Sachs Group, Inc.:

5.7% 9/1/12

9,110

9,703

6.6% 1/15/12

22,725

25,531

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley:

4.75% 4/1/14

$ 13,860

$ 13,578

6.6% 4/1/12

10,695

12,054

99,897

Commercial Banks - 0.3%

Export-Import Bank of Korea:

4.125% 2/10/09 (f)

2,670

2,696

5.25% 2/10/14 (f)

10,120

10,488

Korea Development Bank:

3.875% 3/2/09

15,285

15,287

4.75% 7/20/09

6,050

6,251

5.75% 9/10/13

15,865

17,168

Popular North America, Inc. 6.125% 10/15/06

9,620

10,157

Wachovia Corp. 4.875% 2/15/14

10,100

10,171

Wells Fargo & Co. 4% 9/10/12 (h)

4,870

4,935

77,153

Consumer Finance - 0.8%

American General Finance Corp.:

2.75% 6/15/08

870

842

4% 3/15/11

12,620

12,324

4.625% 5/15/09

7,900

8,117

Capital One Bank:

4.875% 5/15/08

8,185

8,500

6.5% 6/13/13

8,925

9,801

Ford Motor Credit Co.:

6.5% 1/25/07

19,920

20,929

7.375% 10/28/09

25,015

27,206

General Electric Capital Corp.:

6% 6/15/12

7,100

7,795

6.125% 2/22/11

16,000

17,688

General Motors Acceptance Corp.:

5.625% 5/15/09

530

535

6.125% 2/1/07

525

547

6.875% 9/15/11

15,175

15,797

Household Finance Corp.:

6.375% 10/15/11

16,305

18,186

6.75% 5/15/11

11,395

12,889

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

Household Finance Corp.: - continued

7% 5/15/12

$ 2,595

$ 2,998

MBNA Corp. 7.5% 3/15/12

11,845

13,842

177,996

Diversified Financial Services - 0.6%

BRL Universal Equipment 2001 A LP/BRL Universal Equipment Corp. 8.875% 2/15/08

2,700

2,865

CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13

4,000

3,987

Charter Communications Holding II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10

5,554

5,762

Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp. 10.75% 10/1/09

1,935

1,635

Chukchansi Economic Development Authority 14.5% 6/15/09 (f)

2,070

2,608

Crystal US Holding 3LLC/Crystal US Sub 3Corp.
Series A, 0% 10/1/14 (e)(f)

10,190

6,445

Dex Media West LLC/Dex Media West Finance Co.:

8.5% 8/15/10

1,630

1,854

9.875% 8/15/13

1,865

2,205

Duke Capital LLC 4.331% 11/16/06

2,905

2,958

Entercom Radio LLC/Entercom Capital, Inc. 7.625% 3/1/14

2,515

2,716

Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11

3,340

3,858

Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12

1,040

1,128

Graham Packaging Co. LP/ GPC Capital Corp.:

8.5% 10/15/12 (f)

2,640

2,785

9.875% 10/15/14 (f)

3,920

4,155

Huntsman Advanced Materials LLC:

11% 7/15/10 (f)

1,840

2,130

11.86% 7/15/08 (f)(h)

2,320

2,430

Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (f)

3,235

3,443

Hutchison Whampoa International 03/33 Ltd.:

6.25% 1/24/14 (f)

14,640

15,200

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Hutchison Whampoa International 03/33 Ltd.: - continued

7.45% 11/24/33 (f)

$ 4,750

$ 4,968

Ispat Inland ULC 9.75% 4/1/14

5,200

6,318

J.P. Morgan Chase & Co. 4.875% 3/15/14

8,985

8,994

Jostens IH Corp. 7.625% 10/1/12 (f)

1,430

1,480

Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (f)

15,915

16,560

MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10

2,540

2,680

Refco Finance Holdings LLC/Refco Finance, Inc. 9% 8/1/12 (f)

4,460

4,817

UGS Corp. 10% 6/1/12 (f)

5,000

5,506

Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10

6,660

7,759

Westfield Capital Corp. Ltd./Wt Finance 4.375% 11/15/10 (f)

8,965

8,955

WH Holdings Ltd./WH Capital Corp. 9.5% 4/1/11

1,040

1,144

Williams Companies, Inc. Credit Linked Certificate Trust 6.75% 4/15/09 (f)

3,270

3,499

140,844

Insurance - 0.2%

Aegon NV 4.75% 6/1/13

12,500

12,482

Assurant, Inc. 5.625% 2/15/14

3,895

4,016

Marsh & McLennan Companies, Inc.:

4.85% 2/15/13

700

664

5.375% 7/15/14

12,115

11,841

Travelers Property Casualty Corp.:

5% 3/15/13

3,375

3,356

6.375% 3/15/33

4,345

4,469

36,828

Real Estate - 0.6%

American Real Estate Partners/American Real Estate Finance Corp. 8.125% 6/1/12 (f)

6,000

6,330

Boston Properties, Inc. 6.25% 1/15/13

18,600

20,236

Camden Property Trust 5.875% 11/30/12

7,910

8,390

CarrAmerica Realty Corp. 5.25% 11/30/07

6,175

6,444

Crescent Real Estate Equities LP/Crescent Finance Co. 9.25% 4/15/09

4,930

5,374

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate - continued

EOP Operating LP:

4.65% 10/1/10

$ 25,645

$ 26,046

4.75% 3/15/14

11,100

10,792

7.75% 11/15/07

9,155

10,236

Gables Realty LP:

5.75% 7/15/07

11,440

11,992

6.8% 3/15/05

1,595

1,616

Healthcare Realty Trust, Inc. 5.125% 4/1/14

8,265

8,068

ProLogis 7.05% 7/15/06

10,000

10,651

Senior Housing Properties Trust 8.625% 1/15/12

5,910

6,664

Ventas Realty LP/Ventas Capital Corp. 6.625% 10/15/14 (f)

3,440

3,509

136,348

Thrifts & Mortgage Finance - 0.3%

Countrywide Home Loans, Inc.:

3.25% 5/21/08

2,946

2,894

4% 3/22/11

13,895

13,539

5.625% 5/15/07

12,000

12,646

Independence Community Bank Corp. 3.75% 4/1/14 (h)

5,365

5,231

Washington Mutual Bank 6.875% 6/15/11

8,300

9,436

Washington Mutual, Inc.:

4.375% 1/15/08

7,605

7,804

4.625% 4/1/14

12,800

12,331

63,881

TOTAL FINANCIALS

732,947

HEALTH CARE - 0.3%

Health Care Equipment & Supplies - 0.0%

Fisher Scientific International, Inc. 8.125% 5/1/12

2,758

3,075

Health Care Providers & Services - 0.3%

AmeriPath, Inc. 10.5% 4/1/13

3,960

3,881

Beverly Enterprises, Inc. 7.875% 6/15/14 (f)

1,500

1,605

Concentra Operating Corp. 9.125% 6/1/12 (f)

4,060

4,486

HCA, Inc. 8.75% 9/1/10

3,405

3,903

HealthSouth Corp.:

7.375% 10/1/06

3,000

3,038

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

HealthSouth Corp.: - continued

7.625% 6/1/12

$ 8,225

$ 7,978

IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 (f)

5,000

5,338

National Nephrology Associates, Inc. 9% 11/1/11 (f)

1,060

1,224

PacifiCare Health Systems, Inc. 10.75% 6/1/09

2,652

3,050

Tenet Healthcare Corp. 6.375% 12/1/11

8,250

7,508

U.S. Oncology, Inc.:

9% 8/15/12 (f)

3,000

3,240

10.75% 8/15/14 (f)

8,000

8,720

Vanguard Health Holding Co. I 0% 10/1/15 (e)(f)

4,300

2,499

Vanguard Health Holding Co. II LLC 9% 10/1/14 (f)

5,500

5,720

62,190

TOTAL HEALTH CARE

65,265

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.1%

Alliant Techsystems, Inc. 8.5% 5/15/11

2,735

2,981

Bombardier, Inc.:

6.3% 5/1/14 (f)

10,420

9,347

7.45% 5/1/34 (f)

2,340

2,051

Raytheon Co. 5.5% 11/15/12

4,225

4,476

Transdigm, Inc. 8.375% 7/15/11

1,340

1,441

20,296

Airlines - 0.1%

American Airlines, Inc. pass thru trust certificates 7.8% 4/1/08

1,130

949

AMR Corp.:

9% 8/1/12

1,260

743

10.2% 3/15/20

3,445

2,033

Continental Airlines, Inc. pass thru trust certificates:

6.541% 9/15/09

241

190

6.748% 9/15/18

244

185

6.795% 2/2/20

1,760

1,391

6.8% 7/2/07

147

115

6.9% 7/2/18

2,297

1,723

8.312% 10/2/12

1,147

803

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Continental Airlines, Inc. pass thru trust certificates: - continued

8.321% 11/1/06

$ 155

$ 144

8.388% 5/1/22

127

92

Delta Air Lines, Inc.:

equipment trust certificates 8.54% 1/2/07

369

210

7.9% 12/15/09

465

214

Delta Air Lines, Inc. pass thru trust certificates:

7.57% 11/18/10

4,945

4,685

7.711% 9/18/11

6,695

4,419

7.779% 11/18/05

2,410

1,687

7.92% 5/18/12

10,245

6,762

Northwest Airlines Corp. 10% 2/1/09

5,360

3,645

Northwest Airlines, Inc. pass thru trust certificates:

6.81% 2/1/20

1,165

1,045

7.248% 7/2/14

1,744

1,186

7.575% 3/1/19

828

832

7.691% 4/1/17

143

109

7.95% 9/1/16

142

110

8.304% 9/1/10

1,245

934

NWA Trust 10.23% 6/21/14

970

834

35,040

Building Products - 0.0%

Jacuzzi Brands, Inc. 9.625% 7/1/10

2,530

2,846

Nortek, Inc. 8.5% 9/1/14 (f)

3,860

4,092

6,938

Commercial Services & Supplies - 0.1%

Allied Security Escrow Corp. 11.375% 7/15/11 (f)

1,820

1,911

Allied Waste North America, Inc. 8.5% 12/1/08

4,340

4,535

American Color Graphics, Inc. 10% 6/15/10

3,630

2,704

Boise Cascade Office Products Corp. 7.05% 5/15/05

3,075

3,149

Browning-Ferris Industries, Inc. 9.25% 5/1/21

1,350

1,397

R.H. Donnelley Finance Corp. I:

8.875% 12/15/10 (f)

1,390

1,574

10.875% 12/15/12 (f)

2,170

2,637

17,907

Construction & Engineering - 0.0%

Blount, Inc. 8.875% 8/1/12

1,710

1,847

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Industrial Conglomerates - 0.1%

Tyco International Group SA yankee 6.75% 2/15/11

$ 17,845

$ 20,183

Machinery - 0.1%

AGCO Corp. 9.5% 5/1/08

810

873

Cummins, Inc. 9.5% 12/1/10 (h)

1,230

1,415

Dresser-Rand Group, Inc. 7.375% 11/1/14 (f)

1,790

1,875

Invensys PLC 9.875% 3/15/11 (f)

4,880

5,100

Navistar International Corp. 7.5% 6/15/11

970

1,045

Standard Aero Holdings, Inc. 8.25% 9/1/14 (f)

2,440

2,574

12,882

Marine - 0.0%

Horizon Lines LLC/Holdings Corp. 9% 11/1/12 (f)

1,110

1,210

Road & Rail - 0.1%

Kansas City Southern Railway Co.:

7.5% 6/15/09

8,005

8,245

9.5% 10/1/08

460

524

TFM SA de CV yankee:

10.25% 6/15/07

5,990

6,260

11.75% 6/15/09

6,985

7,072

22,101

TOTAL INDUSTRIALS

138,404

INFORMATION TECHNOLOGY - 0.3%

Communications Equipment - 0.1%

Motorola, Inc. 8% 11/1/11

13,905

16,771

Nortel Networks Corp. 6.125% 2/15/06

4,900

5,004

21,775

Computers & Peripherals - 0.0%

Seagate Technology HDD Holdings 8% 5/15/09

2,930

3,175

Electronic Equipment & Instruments - 0.0%

Itron, Inc. 7.75% 5/15/12 (f)

860

871

IT Services - 0.0%

Iron Mountain, Inc.:

8.25% 7/1/11

815

855

8.625% 4/1/13

370

403

1,258

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Office Electronics - 0.1%

Xerox Corp.:

6.875% 8/15/11

$ 6,000

$ 6,285

7.125% 6/15/10

4,270

4,622

7.625% 6/15/13

7,130

7,798

18,705

Semiconductors & Semiconductor Equipment - 0.1%

AMI Semiconductor, Inc. 10.75% 2/1/13

2,402

2,816

Freescale Semiconductor, Inc.:

6.875% 7/15/11 (f)

7,620

8,020

7.125% 7/15/14 (f)

2,210

2,332

Micron Technology, Inc. 6.5% 9/30/05 (i)

9,000

8,978

ON Semiconductor Corp./Semiconductor Components Industries LLC 12% 3/15/10

1,596

1,867

Semiconductor Note Participation Trust 0% 8/4/11 (f)

990

1,366

Viasystems, Inc. 10.5% 1/15/11

3,145

3,114

28,493

TOTAL INFORMATION TECHNOLOGY

74,277

MATERIALS - 0.6%

Chemicals - 0.2%

Borden US Finance Corp./Nova Scotia Finance ULC 9% 7/15/14 (f)

2,600

2,802

Compass Minerals Group, Inc. 10% 8/15/11

3,770

4,185

Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11

4,160

4,768

Huntsman ICI Chemicals LLC 10.125% 7/1/09

2,080

2,184

Huntsman LLC:

11.5% 7/15/12 (f)

2,080

2,319

11.625% 10/15/10

2,560

2,995

Innophos, Inc. 8.875% 8/15/14 (f)

730

785

Koppers, Inc. 9.875% 10/15/13

1,060

1,198

Lubrizol Corp.:

5.5% 10/1/14

2,030

2,047

6.5% 10/1/34

3,690

3,719

Lyondell Chemical Co. 9.5% 12/15/08

2,040

2,213

Nalco Co.:

7.75% 11/15/11

2,060

2,235

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Nalco Co.: - continued

8.875% 11/15/13

$ 2,100

$ 2,289

NOVA Chemicals Corp. 6.5% 1/15/12

1,520

1,602

OM Group, Inc. 9.25% 12/15/11

4,120

4,347

Pliant Corp. 0% 6/15/09 (e)

3,340

2,956

42,644

Containers & Packaging - 0.2%

BWAY Corp. 10% 10/15/10

840

888

Crown Cork & Seal, Inc.:

7.375% 12/15/26

2,590

2,396

8% 4/15/23

3,805

3,691

Crown European Holdings SA 9.5% 3/1/11

2,500

2,831

Jefferson Smurfit Corp. U.S. 8.25% 10/1/12

2,750

3,046

Owens-Brockway Glass Container, Inc.:

7.75% 5/15/11

1,760

1,901

8.75% 11/15/12

2,530

2,840

8.875% 2/15/09

9,730

10,606

Owens-Illinois, Inc.:

7.5% 5/15/10

770

801

7.8% 5/15/18

350

347

8.1% 5/15/07

1,630

1,728

Sealed Air Corp.:

5.625% 7/15/13 (f)

1,975

2,033

6.875% 7/15/33 (f)

4,130

4,420

37,528

Metals & Mining - 0.1%

Arch Western Finance LLC 6.75% 7/1/13

4,960

5,270

Century Aluminum Co. 7.5% 8/15/14 (f)

1,070

1,132

Compass Minerals International, Inc. 0% 12/15/12 (e)

4,550

3,822

Foundation Pennsylvania Coal Co. 7.25% 8/1/14 (f)

1,810

1,941

Freeport-McMoRan Copper & Gold, Inc. 10.125% 2/1/10

8,480

9,561

IMCO Recycling Escrow, Inc. 9% 11/15/14 (f)

570

584

Luscar Coal Ltd. 9.75% 10/15/11

2,930

3,340

Phelps Dodge Corp.:

8.75% 6/1/11

260

320

9.5% 6/1/31

2,280

3,297

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

Steel Dynamics, Inc.:

9.5% 3/15/09

$ 275

$ 303

9.5% 3/15/09

240

265

29,835

Paper & Forest Products - 0.1%

Boise Cascade LLC/Boise Cascade Finance Corp. 7.125% 10/15/14 (f)

980

1,024

Buckeye Technologies, Inc. 8.5% 10/1/13

1,980

2,188

International Paper Co.:

4.25% 1/15/09

1,960

1,978

5.5% 1/15/14

4,925

5,082

Norske Skog Canada Ltd.:

7.375% 3/1/14

1,580

1,635

8.625% 6/15/11

510

552

Stone Container Corp.:

8.375% 7/1/12

2,710

2,995

9.75% 2/1/11

2,320

2,587

Weyerhaeuser Co.:

5.25% 12/15/09

5,304

5,592

7.375% 3/15/32

4,940

5,762

29,395

TOTAL MATERIALS

139,402

TELECOMMUNICATION SERVICES - 2.1%

Diversified Telecommunication Services - 1.5%

Bellsouth Capital Funding Corp. 7.875% 2/15/30

2,970

3,660

BellSouth Corp. 6.55% 6/15/34

29,800

31,860

British Telecommunications PLC:

8.375% 12/15/10

11,325

13,742

8.875% 12/15/30

3,080

4,116

Deutsche Telekom International Finance BV:

5.25% 7/22/13

6,255

6,467

8.25% 6/15/05

2,617

2,707

8.5% 6/15/10

3,600

4,337

8.75% 6/15/30

20,210

26,668

France Telecom SA 8.75% 3/1/11

13,570

16,298

Koninklijke KPN NV yankee 8% 10/1/10

10,550

12,626

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

KT Corp. 5.875% 6/24/14 (f)

$ 5,495

$ 5,894

Level 3 Financing, Inc. 10.75% 10/15/11 (f)

4,300

3,698

Mobifon Holdings BV 12.5% 7/31/10

6,225

7,346

New Skies Satellites NV 9.125% 11/1/12 (f)(g)

780

800

NTL Cable PLC:

7.07% 10/15/12 (f)(h)

5,000

5,150

8.75% 4/15/14 (f)

2,230

2,453

Qwest Corp. 9.125% 3/15/12 (f)

16,520

18,626

Qwest Services Corp.:

14% 12/15/10 (f)(h)

18,730

22,195

14.5% 12/15/14 (f)(h)

8,425

10,363

SBC Communications, Inc.:

5.1% 9/15/14

11,000

11,077

5.875% 8/15/12

4,000

4,320

6.45% 6/15/34

6,000

6,307

Sprint Capital Corp. 7.625% 1/30/11

7,500

8,772

Telecom Italia Capital:

4% 11/15/08

11,700

11,778

4.95% 9/30/14 (f)

7,930

7,869

Telefonica Europe BV 7.75% 9/15/10

11,200

13,276

TELUS Corp. yankee 7.5% 6/1/07

27,430

30,139

Triton PCS, Inc.:

8.5% 6/1/13

5,460

5,010

8.75% 11/15/11

2,518

1,781

U.S. West Communications:

7.2% 11/10/26

845

752

7.25% 9/15/25

840

785

Verizon Global Funding Corp.:

7.25% 12/1/10

12,990

15,152

7.375% 9/1/12

13,860

16,464

332,488

Wireless Telecommunication Services - 0.6%

America Movil SA de CV 5.5% 3/1/14

22,790

22,397

American Tower Corp. 9.375% 2/1/09

8,592

9,140

American Towers, Inc. 7.25% 12/1/11

3,500

3,736

AT&T Wireless Services, Inc.:

7.875% 3/1/11

4,420

5,266

8.75% 3/1/31

3,280

4,403

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13

$ 1,500

$ 1,635

Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 (f)

8,260

8,343

Cingular Wireless LLC 7.125% 12/15/31

8,000

9,080

Crown Castle International Corp.:

Series B, 7.5% 12/1/13

1,310

1,395

7.5% 12/1/13

310

330

9.375% 8/1/11

6,995

7,939

10.75% 8/1/11

2,285

2,525

DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13

10,075

11,473

Inmarsat Finance PLC 7.625% 6/30/12

1,090

1,101

Kyivstar GSM 10.375% 8/17/09 (f)

2,035

2,246

Millicom International Cellular SA 10% 12/1/13 (f)

2,960

2,982

Nextel Communications, Inc.:

9.375% 11/15/09

2,815

2,946

9.5% 2/1/11

9,665

10,946

Rogers Wireless, Inc.:

6.375% 3/1/14

5,160

4,876

9.625% 5/1/11

4,765

5,420

SBA Communication Corp./SBA Telcommunications, Inc. 0% 12/15/11 (e)

1,770

1,496

UbiquiTel Operating Co. 9.875% 3/1/11 (f)

3,310

3,567

Western Wireless Corp. 9.25% 7/15/13

9,775

10,288

133,530

TOTAL TELECOMMUNICATION SERVICES

466,018

UTILITIES - 1.2%

Electric Utilities - 0.5%

Cleveland Electric Illuminating Co. 5.65% 12/15/13

7,670

8,009

DTE Energy Co. 7.05% 6/1/11

4,995

5,677

Duke Capital LLC 6.75% 2/15/32

2,874

3,095

Electricidad de Caracas Finance BV 10.25% 10/15/14 (f)

4,000

4,130

FirstEnergy Corp.:

5.5% 11/15/06

7,528

7,833

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

FirstEnergy Corp.: - continued

6.45% 11/15/11

$ 1,220

$ 1,337

Illinois Power Co.:

7.5% 6/15/09

9,760

11,191

11.5% 12/15/10

5,260

6,233

MidAmerican Energy Holdings, Inc.:

4.625% 10/1/07

5,160

5,287

5.875% 10/1/12

3,450

3,692

Mirant Americas Generation LLC 8.3% 5/1/11 (d)

5,700

5,515

Nevada Power Co. 10.875% 10/15/09

810

952

Niagara Mohawk Power Corp. 8.875% 5/15/07

5,060

5,714

Oncor Electric Delivery Co. 6.375% 5/1/12

7,980

8,854

Pacific Gas & Electric Co.:

4.2% 3/1/11

1,950

1,940

4.8% 3/1/14

2,595

2,599

6.05% 3/1/34

9,375

9,656

PG&E Corp. 6.875% 7/15/08

2,340

2,562

Progress Energy, Inc. 7.1% 3/1/11

14,007

15,886

Sierra Pacific Power Co. 8% 6/1/08

4,015

4,437

Southern California Edison Co.:

4.65% 4/1/15

685

676

5% 1/15/14

590

604

115,879

Gas Utilities - 0.2%

ANR Pipeline, Inc. 8.875% 3/15/10

1,360

1,530

Consolidated Natural Gas Co. 6.85% 4/15/11

4,530

5,126

Dynegy Holdings, Inc. 9.875% 7/15/10 (f)

5,000

5,675

El Paso Energy Corp. 6.75% 5/15/09

5,725

5,804

NiSource Finance Corp. 7.875% 11/15/10

9,300

11,039

Northwest Pipeline Corp. 8.125% 3/1/10

1,290

1,445

Southern Natural Gas Co.:

8% 3/1/32

120

127

8.875% 3/15/10

1,610

1,813

Tennessee Gas Pipeline Co.:

7.5% 4/1/17

255

272

8.375% 6/15/32

765

826

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - continued

Texas Eastern Transmission Corp. 7.3% 12/1/10

$ 12,250

$ 14,129

Transcontinental Gas Pipe Line Corp. 6.125% 1/15/05

1,755

1,764

49,550

Multi-Utilities & Unregulated Power - 0.5%

AES Corp.:

7.75% 3/1/14

5,000

5,450

8.75% 6/15/08

397

437

8.75% 5/15/13 (f)

5,050

5,814

8.875% 2/15/11

2,627

3,024

9% 5/15/15 (f)

3,790

4,406

9.375% 9/15/10

5,451

6,357

9.5% 6/1/09

1,357

1,559

Calpine Corp. 8.5% 7/15/10 (f)

6,000

4,440

CMS Energy Corp.:

7.5% 1/15/09

1,420

1,523

7.625% 11/15/04

2,435

2,435

8.9% 7/15/08

4,085

4,550

9.875% 10/15/07

8,190

9,193

Constellation Energy Group, Inc.:

6.35% 4/1/07

10,595

11,338

7% 4/1/12

6,940

7,939

Dominion Resources, Inc.:

6.25% 6/30/12

5,085

5,577

8.125% 6/15/10

18,230

21,700

Reliant Energy, Inc. 9.25% 7/15/10

3,000

3,300

Southern Energy, Inc. New York 7.4% 7/15/49 (d)(f)

2,505

1,653

100,695

TOTAL UTILITIES

266,124

TOTAL NONCONVERTIBLE BONDS

2,622,321

TOTAL CORPORATE BONDS

(Cost $2,533,039)

2,712,389

U.S. Government and Government Agency Obligations - 6.2%

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - 1.3%

Fannie Mae:

4.375% 7/17/13

$ 20,070

$ 19,614

4.625% 10/15/13

30,000

30,507

6% 5/15/11

23,350

25,987

6.125% 3/15/12

1,502

1,688

6.25% 2/1/11

17,675

19,625

Freddie Mac:

1.5% 8/15/05

31,720

31,512

4.5% 1/15/14

23,400

23,529

5.25% 11/5/12

5,610

5,748

5.75% 1/15/12

60,000

66,016

5.875% 3/21/11

37,620

41,113

Government Loan Trusts (assets of Trust guaranteed by U.S. Government through Agency for International Development) Series 1-B, 8.5% 4/1/06

2,521

2,667

Overseas Private Investment Corp. U.S. Government guaranteed participation certificates Series 1996-A1, 6.726% 9/15/10

15,652

17,416

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

285,422

U.S. Treasury Inflation Protected Obligations - 0.3%

U.S. Treasury Inflation-Indexed Bonds 2.375% 1/15/25

30,159

31,548

U.S. Treasury Inflation-Indexed Notes 2% 1/15/14

30,767

31,892

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

63,440

U.S. Treasury Obligations - 4.6%

U.S. Treasury Bonds:

6.375% 8/15/27

15,640

18,910

8% 11/15/21

42,000

58,283

8.875% 8/15/17

53,265

76,539

9.125% 5/15/18

50,000

73,691

9.875% 11/15/15

24,960

37,442

11.25% 2/15/15

25,890

41,385

U.S. Treasury Notes:

2.5% 5/31/06

95,500

95,616

2.75% 7/31/06

234,875

235,967

3.125% 5/15/07

83,000

83,843

3.375% 12/15/08

152,200

153,722

3.625% 7/15/09

12,000

12,192

4% 11/15/12

49,010

49,554

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

4.75% 5/15/14

$ 8,300

$ 8,776

5% 8/15/11

91,530

98,849

TOTAL U.S. TREASURY OBLIGATIONS

1,044,769

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,354,538)

1,393,631

U.S. Government Agency - Mortgage Securities - 8.8%

Fannie Mae - 8.1%

4.5% 11/1/19 (g)

128,000

128,240

4.5% 8/1/33

116,928

113,714

5% 6/1/09 to 9/1/18

148,230

151,479

5% 11/1/34 (g)

766,000

762,864

5.5% 10/1/08 to 10/1/34

132,592

136,210

6% 10/1/08 to 6/1/32

21,552

22,610

6% 11/1/34 (g)

61,824

64,065

6.5% 4/1/08 to 1/1/33

173,584

183,436

6.5% 11/1/19 to 11/1/34 (g)

65,316

68,826

7% 8/1/19 to 8/1/34

185,843

197,612

7.5% 5/1/25 to 11/1/31

8,909

9,579

8.5% 1/1/09 to 6/1/21

23

25

10% 8/1/17

4

4

TOTAL FANNIE MAE

1,838,664

Freddie Mac - 0.0%

8% 10/1/16 to 4/1/20

243

264

Government National Mortgage Association - 0.7%

5.5% 10/15/32 to 5/15/34

10,147

10,401

6% 9/15/08 to 12/15/10

3,954

4,144

6.5% 6/15/23 to 2/15/32

20,053

21,313

7% 10/15/17 to 6/15/33

66,310

70,809

7% 11/1/34 (g)

13,861

14,788

7.5% 8/15/21 to 11/15/28

17,173

18,583

8% 4/15/06 to 5/15/32

7,721

8,411

8.5% 11/15/05 to 1/15/31

1,132

1,244

9% 3/15/10 to 9/15/20

75

85

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Government National Mortgage Association - continued

9.5% 3/15/23

$ 13

$ 15

11% 7/20/13 to 7/20/20

347

390

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

150,183

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,960,939)

1,989,111

Asset-Backed Securities - 1.4%

ACE Securities Corp.:

Series 2003-FM1 Class M2, 3.7825% 11/25/32 (h)

3,660

3,721

Series 2004-HE1:

Class M1, 2.4325% 2/25/34 (h)

2,225

2,225

Class M2, 3.0325% 2/25/34 (h)

2,525

2,526

American Express Credit Account Master Trust:

Series 2001-6 Class B, 2.22% 12/15/08 (h)

13,200

13,240

Series 2004-C Class C, 2.37% 2/15/12 (f)(h)

29,600

29,598

Ameriquest Mortgage Securities, Inc. Series 2004-R2:

Class M1, 2.3625% 4/25/34 (h)

1,245

1,245

Class M2, 2.4125% 4/25/34 (h)

950

950

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2 Class A2, 2.25% 4/15/33 (h)

5,090

5,097

Series 2003-HE7 Class A3, 2.23% 12/15/33 (h)

7,853

7,859

Bank One Issuance Trust:

Series 2002-C1 Class C1, 2.83% 12/15/09 (h)

8,448

8,550

Series 2004-B2 Class B2, 4.37% 4/15/12

13,000

13,285

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 2.4088% 2/28/44 (h)

8,082

8,088

Capital One Multi-Asset Execution Trust:

Series 2003-B1 Class B1, 3.04% 2/17/09 (h)

13,530

13,711

Series 2003-B2 Class B2, 3.5% 2/17/09

7,120

7,169

Series 2003-B4 Class B4, 2.67% 7/15/11 (h)

6,640

6,754

Series 2004-6 Class B, 4.15% 7/16/12

11,450

11,450

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.8325% 10/25/33 (h)

3,130

3,221

Chase Credit Card Owner Trust Series 2004-1 Class B, 2.07% 5/15/09 (h)

4,025

4,025

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 2.72% 10/15/07 (h)

14,900

14,936

Series 2003-C1 Class C1, 3.14% 4/7/10 (h)

6,100

6,236

Asset-Backed Securities - continued

Principal Amount (000s)

Value
(000s)

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 2.4325% 5/25/34 (h)

$ 5,275

$ 5,275

Series 2004-3 Class M1, 2.4325% 6/25/34 (h)

1,500

1,501

Fieldstone Mortgage Investment Corp. Series 2003-1:

Class M1, 2.6125% 11/25/33 (h)

1,400

1,410

Class M2, 3.6825% 11/25/33 (h)

700

716

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 2.4825% 3/25/34 (h)

415

415

Class M4, 2.8325% 3/25/34 (h)

325

325

Class M6, 3.1825% 3/25/34 (h)

400

399

GSAMP Trust Series 2004-FM2:

Class M1, 2.4325% 1/25/34 (h)

3,500

3,500

Class M2, 3.0325% 1/25/34 (h)

1,500

1,500

Class M3, 3.2325% 1/25/34 (h)

1,500

1,500

Home Equity Asset Trust:

Series 2003-2:

Class A2, 2.3125% 8/25/33 (h)

1,131

1,132

Class M1, 2.8125% 8/25/33 (h)

3,115

3,149

Series 2003-4:

Class M1, 2.7325% 10/25/33 (h)

4,080

4,114

Class M2, 3.8325% 10/25/33 (h)

4,825

4,908

Home Equity Asset Trust NIMS Trust:

Series 2002-4N Class A, 8% 5/27/33 (f)

172

172

Series 2003-2N Class A, 8% 9/27/33 (f)

598

601

Series 2003-5N Class A, 7.5% 1/27/34 (f)

266

267

Household Home Equity Loan Trust Series 2002-2
Class A, 2.21% 4/20/32 (h)

5,406

5,409

Long Beach Mortgage Loan Trust Series 2003-3
Class M2, 3.7825% 7/25/33 (h)

4,765

4,889

MBNA Credit Card Master Note Trust:

Series 2003-B2 Class B2, 2.26% 10/15/10 (h)

1,610

1,619

Series 2003-B3 Class B3, 2.245% 1/18/11 (h)

6,730

6,748

Series 2003-B5 Class B5, 2.24% 2/15/11 (h)

10,255

10,328

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 2.4325% 7/25/34 (h)

2,125

2,125

Class M2, 2.4825% 7/25/34 (h)

375

375

Class M3, 2.8825% 7/25/34 (h)

800

800

Class M4, 3.0325% 7/25/34 (h)

525

525

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 3.0325% 12/27/32 (h)

1,820

1,848

Series 2003-HE1 Class M2, 3.8325% 5/25/33 (h)

5,640

5,724

Series 2003-NC8 Class M1, 2.6325% 9/25/33 (h)

2,610

2,619

Asset-Backed Securities - continued

Principal Amount (000s)

Value
(000s)

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 2.9325% 1/25/32 (h)

$ 5,470

$ 5,542

Series 2002-NC1 Class M1, 2.7325% 2/25/32 (f)(h)

3,460

3,488

Series 2002-NC3 Class M1, 2.6525% 8/25/32 (h)

1,480

1,492

Series 2003-NC2 Class M2, 3.9325% 2/25/33 (h)

2,865

2,929

New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.3625% 1/25/33 (h)

4,023

4,030

Nissan Auto Lease Trust Series 2003-A Class A3B, 2.57% 6/15/09

2,700

2,697

NovaStar Home Equity Loan Series 2004-1:

Class M1, 2.3825% 6/25/34 (h)

1,425

1,426

Class M4, 2.9075% 6/25/34 (h)

2,395

2,378

Sears Credit Account Master Trust II:

Series 2000-2 Class A, 6.75% 9/16/09

22,525

23,312

Series 2002-4 Class A, 2% 8/18/09 (h)

10,400

10,409

Superior Wholesale Inventory Financing Trust VII
Series 2003-A8 Class CTFS, 2.32% 3/15/11 (f)(h)

9,350

9,359

TOTAL ASSET-BACKED SECURITIES

(Cost $302,379)

304,841

Collateralized Mortgage Obligations - 1.2%

Private Sponsor - 1.2%

Bank of America Mortgage Securities, Inc.:

Series 2003-K:

Class 1A1, 3.3946% 12/25/33 (h)

2,569

2,576

Class 2A1, 4.2114% 12/25/33 (h)

7,184

7,156

Series 2003-L Class 2A1, 4.0319% 1/25/34 (h)

13,472

13,397

Series 2004-1 Class 2A2, 4.7497% 10/25/34 (h)

13,261

13,393

Series 2004-B:

Class 1A1, 3.4413% 3/25/34 (h)

5,377

5,375

Class 2A2, 4.1529% 3/25/34 (h)

4,622

4,620

Series 2004-C Class 1A1, 3.4176% 4/25/34 (h)

9,411

9,401

Series 2004-D:

Class 1A1, 3.597% 5/25/34 (h)

11,531

11,545

Class 2A2, 4.2257% 5/25/34 (h)

13,282

13,266

Series 2004-G Class 2A7, 4.661% 8/25/34 (h)

12,077

12,175

Series 2004-H Class 2A1, 4.5448% 9/25/34 (h)

13,388

13,452

Series 2004-J:

Class 1A2, 4.3462% 11/25/34 (h)

4,985

5,047

Class 2A1, 4.8243% 11/25/34 (h)

20,205

20,451

Class 3A1, 5.113% 11/25/34 (h)

10,000

10,115

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

Private Sponsor - continued

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR3 Class 6A2, 2.3025% 4/25/34 (h)

$ 4,278

$ 4,286

Series 2004-AR6 Class 9A2, 2.3025% 10/25/34 (h)

6,866

6,873

Holmes Financing No. 8 PLC floater Series 1 Class C, 2.69% 7/15/40 (h)

13,940

13,949

Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34

1,791

1,875

Master Asset Securitization Trust Series 2004-9
Class 7A1, 6.327% 5/25/17 (h)

11,051

11,487

Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2587% 8/25/17 (h)

9,620

10,011

Residential Asset Mortgage Products, Inc. sequential pay:

Series 2003-SL1 Class A31, 7.125% 4/25/31

5,185

5,397

Series 2004-SL2 Class A1, 6.5% 10/25/16

2,241

2,316

Residential Finance LP/Residential Finance Development Corp. floater:

Series 2003-B:

Class B3, 3.4081% 7/10/35 (f)(h)

9,198

9,359

Class B4, 3.6081% 7/10/35 (f)(h)

7,071

7,195

Class B5, 4.2081% 7/10/35 (f)(h)

6,558

6,652

Class B6, 4.7081% 7/10/35 (f)(h)

2,838

2,885

Series 2003-CB1:

Class B3, 3.3081% 6/10/35 (f)(h)

3,188

3,246

Class B4, 3.5081% 6/10/35 (f)(h)

2,851

2,902

Class B5, 4.1081% 6/10/35 (f)(h)

1,946

1,987

Class B6, 4.6081% 6/10/35 (f)(h)

1,154

1,178

Series 2004-B:

Class B4, 2.9581% 2/10/36 (f)(h)

1,615

1,615

Class B5, 3.4081% 2/10/36 (f)(h)

1,094

1,094

Class B6, 3.8581% 2/10/36 (f)(h)

398

398

Series 2004-C:

Class B4, 2.79% 9/10/36 (h)

1,998

1,998

Class B5, 3.19% 9/10/36 (h)

2,198

2,198

Class B6, 3.6081% 9/10/36 (h)

300

300

Residential Funding Securities Corp. Series 2003-RP2 Class A1, 2.3825% 6/25/33 (f)(h)

6,420

6,440

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

Private Sponsor - continued

Washington Mutual Mortgage Securities Corp. sequential pay:

Series 2003-MS9 Class 2A1, 7.5% 12/25/33

$ 1,703

$ 1,760

Series 2004-RA2 Class 2A, 7% 7/25/33

3,846

3,992

Wells Fargo Mortgage Backed Securities Trust
Series 2004-T Class A1, 3.457% 9/25/34 (h)

12,987

12,965

TOTAL PRIVATE SPONSOR

266,327

U.S. Government Agency - 0.0%

Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2001-53 Class OH, 6.5% 6/25/30

200

200

Freddie Mac planned amortization class Series 2355 Class CD, 6.5% 6/15/30

311

312

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class Series 2435 Class GD, 6.5% 2/15/30

2,536

2,547

Series 2749 Class MZ, 5% 2/15/24

223

222

Series 2764 Class ZB, 5% 3/15/33

161

161

Series 2885 Class PC, 4.5% 4/15/14 (g)

9,142

9,282

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8703% 10/16/23 (h)

1,495

1,611

TOTAL U.S. GOVERNMENT AGENCY

14,335

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $280,318)

280,662

Commercial Mortgage Securities - 1.2%

Bayview Commercial Asset Trust floater:

Series 2004-1:

Class A, 2.2925% 4/25/34 (f)(h)

7,436

7,412

Class B, 3.8325% 4/25/34 (f)(h)

858

856

Class M1, 2.4925% 4/25/34 (f)(h)

667

666

Class M2, 3.1325% 4/25/34 (f)(h)

667

667

Series 2004-2 Class A, 2.3625% 8/25/34 (f)(h)

7,472

7,479

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Bear Stearns Commercial Mortgage Securities, Inc.:

floater Series 2004-ESA Class A2, 2.2075% 5/14/16 (f)(h)

$ 6,875

$ 6,878

sequential pay Series 2004-ESA Class A3, 4.741% 5/14/16 (f)

3,530

3,645

Series 2004-ESA:

Class B, 4.888% 5/14/16 (f)

5,430

5,608

Class C, 4.937% 5/14/16 (f)

3,020

3,122

Class D, 4.986% 5/14/16 (f)

1,460

1,508

Class E, 5.064% 5/14/16 (f)

4,540

4,685

Class F, 5.182% 5/14/16 (f)

1,090

1,125

Berkeley Federal Bank & Trust FSB Series 1994-1
Class B, 1.5111% 8/1/24 (f)(h)

1,148

1,033

CBM Funding Corp. sequential pay Series 1996-1
Class C, 7.86% 2/1/08

12,500

13,723

COMM floater Series 2002-FL7 Class A2, 2.22% 11/15/14 (f)(h)

4,839

4,840

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class B, 2.2581% 9/15/14 (f)(h)

1,965

1,966

Class D, 2.4981% 9/15/14 (f)(h)

605

605

Class E, 2.5581% 9/15/14 (f)(h)

820

821

Class F, 2.6581% 9/15/14 (f)(h)

650

650

Class G, 2.8381% 9/15/14 (f)(h)

1,475

1,476

Class H, 2.9381% 9/15/14 (f)(h)

1,570

1,571

Class J, 3.4581% 9/15/14 (f)(h)

540

540

Class K, 3.8581% 9/15/14 (f)(h)

845

846

Class L, 4.0581% 9/15/14 (f)(h)

680

680

CS First Boston Mortgage Securities Corp.:

sequential pay:

Series 1997-C2 Class A2, 6.52% 1/17/35

2,445

2,482

Series 2000-C1 Class A2, 7.545% 4/15/62

10,600

12,272

Series 1997-C2 Class D, 7.27% 1/17/35

10,735

12,017

Equitable Life Assurance Society of the United States Series 174 Class C1, 7.52% 5/15/06 (f)

6,000

6,373

Fannie Mae sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38

14,966

16,111

First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 7.8558% 4/29/39 (f)(h)

2,900

2,986

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Ginnie Mae guaranteed REMIC pass thru securities sequential pay:

Series 2003-22 Class B, 3.963% 5/16/32

$ 8,218

$ 8,141

Series 2003-36 Class C, 4.254% 2/16/31

6,535

6,546

Series 2003-47 Class C, 4.227% 10/16/27

11,610

11,602

Series 2003-59 Class D, 3.654% 10/16/27

12,000

11,512

GS Mortgage Securities Corp. II:

sequential pay:

Series 2001-LIBA Class A2, 6.615% 2/14/16 (f)

5,963

6,645

Series 2003-C1 Class A2A, 3.59% 1/10/40

5,995

6,017

Series 2004-C1 Class A1, 3.659% 10/10/28

29,846

29,765

Series 1998-GLII Class E, 7.1905% 4/13/31 (h)

4,895

5,207

LB Multi-family Mortgage Trust Series 1991-4 Class A1, 6.9938% 4/25/21 (f)(h)

255

227

Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class C, 4.13% 11/20/37 (f)

13,900

12,851

Mortgage Capital Funding, Inc. sequential pay
Series 1998-MC2 Class A2, 6.423% 6/18/30

7,280

7,858

Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (f)

32,000

34,458

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $256,931)

265,472

Foreign Government and Government Agency Obligations - 0.4%

Chilean Republic 7.125% 1/11/12

18,215

21,016

Hong Kong Government Special Administrative Region 5.125% 8/1/14 (f)

22,350

23,299

State of Israel 4.625% 6/15/13

1,870

1,813

United Mexican States:

4.625% 10/8/08

25,205

25,633

5.875% 1/15/14

9,000

9,212

7.5% 1/14/12

12,100

13,746

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $88,577)

94,719

Supranational Obligations - 0.0%

Principal Amount (000s)

Value
(000s)

Corporacion Andina de Fomento 6.875% 3/15/12
(Cost $6,510)

$ 6,580

$ 7,380

Floating Rate Loans - 0.2%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

AM General LLC Tranche C2, term loan 11.21% 5/2/12 (h)

6,000

6,105

Hotels, Restaurants & Leisure - 0.0%

Hilton Head Communications LP Tranche B term loan 6% 3/31/08 (h)

4,500

4,404

TOTAL CONSUMER DISCRETIONARY

10,509

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

Olympus Cable Holdings LLC Tranche B term loan 6.75% 9/30/10 (h)

6,220

6,127

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.1%

HealthSouth Corp. term loan 10.375% 1/16/11 (h)

16,000

16,720

Skilled Healthcare Group, Inc. term loan 8.74% 1/31/11 (h)

150

153

16,873

MATERIALS - 0.0%

Chemicals - 0.0%

Headwaters, Inc. Tranche 2, term loan 9.25% 9/8/12 (h)

2,450

2,502

Containers & Packaging - 0.0%

White Birch Paper Ltd. Tranche B1 term loan 7.5% 2/26/10 (h)

4,423

4,512

TOTAL MATERIALS

7,014

UTILITIES - 0.0%

Electric Utilities - 0.0%

Astoria Energy LLC term loan 10.725% 4/15/12 (h)

2,440

2,513

Mission Energy Holding Co. term loan 7% 12/11/06 (h)

1,525

1,527

4,040

TOTAL FLOATING RATE LOANS

(Cost $42,512)

44,563

Money Market Funds - 9.1%

Shares

Value
(000s)

Fidelity Cash Central Fund, 1.79% (b)

2,066,150,319

$ 2,066,150

Fidelity Securities Lending Cash Central Fund, 1.77% (b)(c)

6,512,050

6,512

TOTAL MONEY MARKET FUNDS

(Cost $2,072,662)

2,072,662

Cash Equivalents - 0.0%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.79%, dated 10/29/04 due 11/1/04)
(Cost $4,220)

$ 4,221

4,220

TOTAL INVESTMENT PORTFOLIO - 104.1%

(Cost $20,962,346)

23,588,224

NET OTHER ASSETS - (4.1)%

(920,109)

NET ASSETS - 100%

$ 22,668,115

Swap Agreements

Expiration Date

Notional Amount (000s)

Credit Default Swap

Receive quarterly notional amount multiplied by .75% and pay Bank of America upon default event of News America, Inc., par value of the notional amount of News America, Inc. 4.75% 3/15/10

April 2010

$ 5,000

33

TOTAL CREDIT DEFAULT SWAP

5,000

33

Interest Rate Swap

Receive quarterly a fixed rate equal to 2.8043% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Sept. 2006

60,000

275

Receive quarterly a fixed rate equal to 2.9119% and pay quarterly a floating rate based on 3-Month LIBOR with Bank of America

Oct. 2006

80,000

137

Receive quarterly a fixed rate equal to 4.898% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

July 2014

58,025

2,161

TOTAL INTEREST RATE SWAP

198,025

2,573

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value
(000s)

Total Return Swap

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc.

April 2005

$ 10,200

$ 103

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 55 basis points with Deutsche Bank

Dec. 2004

9,500

71

Receive monthly a return equal to Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 32 basis points with Bank of America

Nov. 2004

11,100

70

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 72 basis points with Bank of America

Jan. 2005

10,200

(4)

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America

Dec. 2004

10,200

146

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America

Nov. 2004

20,400

912

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value
(000s)

Total Return Swap - continued

Receive quarterly a return equal to that of Banc of America Securities LLC AAA 10Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 30 basis points with Bank of America

May 2005

$ 20,400

$ 0

Receive quarterly a return equal to that of Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 8 basis points with Bank of America

April 2005

11,100

0

TOTAL TOTAL RETURN SWAP

103,100

1,298

$ 306,125

$ 3,904

Security Type Abbreviation

PIERS - Preferred Income Equity
Redeemable Securities

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request.

(c) Includes investment made with cash collateral received from securities on loan.

(d) Non-income producing - issuer filed for bankruptcy or is in default of interest payments.

(e) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

(f) Security 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. At the period end, the value of these securities amounted to $748,369,000 or 3.3% of net assets.

(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(h) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

(i) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $8,978,000 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Micron Technology, Inc. 6.5% 9/30/05

3/3/99

$ 6,965

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $20,961,440,000. Net unrealized appreciation aggregated $2,626,784,000, of which $3,573,691,000 related to appreciated investment securities and $946,907,000 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp.

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity Value Discovery Fund

October 31, 2004

FVD-QTLY-1204

1.809083.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 97.9%

Shares

Value

CONSUMER DISCRETIONARY - 10.1%

Hotels, Restaurants & Leisure - 2.6%

CBRL Group, Inc.

9,100

$ 329,966

McDonald's Corp.

20,500

597,575

Outback Steakhouse, Inc.

4,500

178,155

Wendy's International, Inc.

16,400

547,268

1,652,964

Household Durables - 0.7%

Champion Enterprises, Inc. (a)

43,200

470,448

Media - 4.0%

E.W. Scripps Co. Class A

5,600

267,232

Fox Entertainment Group, Inc. Class A (a)

8,800

261,008

Lamar Advertising Co. Class A (a)

12,000

497,040

News Corp. Ltd. ADR

8,000

258,080

Time Warner, Inc. (a)

11,780

196,019

Viacom, Inc. Class B (non-vtg.)

20,900

762,641

Walt Disney Co.

13,400

337,948

2,579,968

Multiline Retail - 0.5%

Nordstrom, Inc.

8,000

345,440

Specialty Retail - 0.9%

Hot Topic, Inc. (a)

10,490

215,674

Toys 'R' Us, Inc. (a)

20,400

367,404

583,078

Textiles Apparel & Luxury Goods - 1.4%

Liz Claiborne, Inc.

8,140

332,763

Oxford Industries, Inc.

4,200

155,778

Polo Ralph Lauren Corp. Class A

5,100

188,343

Warnaco Group, Inc. (a)

9,100

185,640

862,524

TOTAL CONSUMER DISCRETIONARY

6,494,422

CONSUMER STAPLES - 2.6%

Food & Staples Retailing - 0.4%

Safeway, Inc. (a)

13,300

242,592

Food Products - 2.0%

Bunge Ltd.

7,900

377,067

Corn Products International, Inc.

6,500

319,800

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food Products - continued

Smithfield Foods, Inc. (a)

11,800

$ 285,914

The J.M. Smucker Co.

6,500

289,250

1,272,031

Personal Products - 0.2%

Estee Lauder Companies, Inc. Class A

3,800

163,210

TOTAL CONSUMER STAPLES

1,677,833

ENERGY - 11.2%

Energy Equipment & Services - 8.2%

BJ Services Co.

12,291

626,841

Cooper Cameron Corp. (a)

11,762

568,693

Grant Prideco, Inc. (a)

20,885

429,396

Nabors Industries Ltd. (a)

6,830

335,490

National-Oilwell, Inc. (a)

14,974

504,774

Noble Corp. (a)

8,223

375,627

Pride International, Inc. (a)

17,434

322,180

Smith International, Inc. (a)

10,444

606,588

Varco International, Inc. (a)

25,038

693,052

Weatherford International Ltd. (a)

12,379

646,927

Willbros Group, Inc. (a)

12,900

190,533

5,300,101

Oil & Gas - 3.0%

Exxon Mobil Corp.

13,700

674,314

Premcor, Inc. (a)

8,000

312,320

Range Resources Corp.

18,000

282,600

Valero Energy Corp.

15,400

661,738

1,930,972

TOTAL ENERGY

7,231,073

FINANCIALS - 21.5%

Capital Markets - 5.6%

Calamos Asset Management, Inc. Class A

300

5,850

E*TRADE Financial Corp. (a)

24,500

316,050

Lehman Brothers Holdings, Inc.

19,690

1,617,530

Merrill Lynch & Co., Inc.

14,410

777,275

Morgan Stanley

14,610

746,425

National Financial Partners Corp.

5,600

172,144

3,635,274

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - 4.0%

Bank of America Corp.

28,800

$ 1,289,952

Wachovia Corp.

27,000

1,328,670

2,618,622

Consumer Finance - 0.5%

MBNA Corp.

12,200

312,686

Diversified Financial Services - 2.2%

J.P. Morgan Chase & Co.

37,525

1,448,465

Insurance - 5.4%

AFLAC, Inc.

7,300

261,924

AMBAC Financial Group, Inc.

2,500

195,150

American International Group, Inc.

24,600

1,493,466

Hartford Financial Services Group, Inc.

5,300

309,944

MetLife, Inc.

8,400

322,140

Montpelier Re Holdings Ltd.

6,700

249,709

St. Paul Travelers Companies, Inc.

18,800

638,448

3,470,781

Real Estate - 3.8%

Apartment Investment & Management Co. Class A

9,900

363,231

General Growth Properties, Inc.

5,900

194,641

General Growth Properties, Inc. warrants 11/9/04 (a)

590

448

Kimco Realty Corp.

6,100

332,755

Manufactured Home Communities, Inc.

44,474

1,533,908

2,424,983

TOTAL FINANCIALS

13,910,811

HEALTH CARE - 7.0%

Health Care Equipment & Supplies - 2.9%

Baxter International, Inc.

19,200

590,592

Dade Behring Holdings, Inc. (a)

16,600

934,414

Fisher Scientific International, Inc. (a)

5,900

338,424

1,863,430

Health Care Providers & Services - 2.3%

Henry Schein, Inc. (a)

5,300

335,119

Lincare Holdings, Inc. (a)

7,000

257,320

McKesson Corp.

7,600

202,616

Omnicare, Inc.

6,400

176,576

ProxyMed, Inc. (a)

14,900

139,688

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

UnitedHealth Group, Inc.

2,700

$ 195,480

WebMD Corp. (a)

25,800

195,048

1,501,847

Pharmaceuticals - 1.8%

Merck & Co., Inc.

9,600

300,576

Schering-Plough Corp.

29,000

525,190

Wyeth

8,200

325,130

1,150,896

TOTAL HEALTH CARE

4,516,173

INDUSTRIALS - 7.1%

Aerospace & Defense - 3.3%

EADS NV

9,700

277,433

EDO Corp.

7,300

204,254

Goodrich Corp.

9,600

295,968

Honeywell International, Inc.

9,800

330,064

Lockheed Martin Corp.

6,400

352,576

Precision Castparts Corp.

5,500

330,000

United Defense Industries, Inc. (a)

8,700

349,218

2,139,513

Air Freight & Logistics - 1.2%

Dynamex, Inc. (a)

27,300

565,110

Ryder System, Inc.

3,900

195,390

760,500

Airlines - 1.1%

AirTran Holdings, Inc. (a)

17,200

199,864

AMR Corp. (a)

43,800

338,136

JetBlue Airways Corp. (a)

7,471

164,736

702,736

Construction & Engineering - 0.0%

Fluor Corp.

282

13,096

Machinery - 1.2%

AGCO Corp. (a)

9,200

178,664

Bucyrus International, Inc. Class A

400

12,000

ITT Industries, Inc.

3,700

300,218

SPX Corp.

8,500

325,975

816,857

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Trading Companies & Distributors - 0.3%

Hughes Supply, Inc.

6,100

$ 173,301

TOTAL INDUSTRIALS

4,606,003

INFORMATION TECHNOLOGY - 17.0%

Communications Equipment - 2.9%

Alcatel SA sponsored ADR (a)

24,600

359,406

Andrew Corp. (a)

26,720

373,546

Avaya, Inc. (a)

21,410

308,304

Juniper Networks, Inc. (a)

5,600

149,016

Powerwave Technologies, Inc. (a)

50,700

378,729

Telefonaktiebolaget LM Ericsson ADR (a)

11,100

320,901

1,889,902

Computers & Peripherals - 2.2%

Dell, Inc. (a)

8,200

287,492

Diebold, Inc.

4,300

205,755

EMC Corp. (a)

29,700

382,239

Storage Technology Corp. (a)

12,010

324,510

Western Digital Corp. (a)

25,870

215,497

1,415,493

Electronic Equipment & Instruments - 4.4%

Amphenol Corp. Class A (a)

9,700

333,001

Arrow Electronics, Inc. (a)

400

9,584

Avnet, Inc. (a)

17,060

289,338

Celestica, Inc. (sub. vtg.) (a)

47,400

688,513

Flextronics International Ltd. (a)

50,400

607,320

Mettler-Toledo International, Inc. (a)

6,900

330,510

Symbol Technologies, Inc.

19,356

284,340

Tech Data Corp. (a)

7,840

316,658

2,859,264

IT Services - 1.9%

Affiliated Computer Services, Inc. Class A (a)

5,600

305,480

BearingPoint, Inc. (a)

21,900

190,530

Ceridian Corp. (a)

31,700

546,825

DST Systems, Inc. (a)

3,900

174,915

1,217,750

Semiconductors & Semiconductor Equipment - 2.9%

Analog Devices, Inc.

8,000

322,080

DSP Group, Inc. (a)

24,800

491,784

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Fairchild Semiconductor International, Inc. (a)

13,900

$ 199,743

Lam Research Corp. (a)

8,100

210,843

National Semiconductor Corp. (a)

24,730

412,991

Teradyne, Inc. (a)

12,990

215,114

1,852,555

Software - 2.7%

Amdocs Ltd. (a)

8,500

213,775

BEA Systems, Inc. (a)

26,000

211,120

DATATRAK International, Inc. (a)

12,300

135,300

McAfee, Inc. (a)

9,400

227,480

Microsoft Corp.

10,080

282,139

RADWARE Ltd. (a)

9,400

232,180

VERITAS Software Corp. (a)

20,200

441,976

1,743,970

TOTAL INFORMATION TECHNOLOGY

10,978,934

MATERIALS - 10.3%

Chemicals - 3.5%

Albemarle Corp.

9,000

322,650

Dow Chemical Co.

8,180

367,609

Great Lakes Chemical Corp.

11,400

292,068

Lyondell Chemical Co.

14,300

328,614

Millennium Chemicals, Inc. (a)

15,200

326,496

NOVA Chemicals Corp.

5,600

218,648

Olin Corp.

23,080

431,596

2,287,681

Containers & Packaging - 1.4%

Packaging Corp. of America

19,000

416,670

Smurfit-Stone Container Corp. (a)

27,500

477,400

894,070

Metals & Mining - 4.2%

Agnico-Eagle Mines Ltd.

7,200

111,206

Alcan, Inc.

10,800

499,717

Alcoa, Inc.

14,200

461,500

Falconbridge Ltd.

12,300

309,558

Gerdau AmeriSteel Corp. (a)

64,300

310,980

Nucor Corp.

7,200

304,056

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Peabody Energy Corp.

6,100

$ 389,058

Phelps Dodge Corp.

3,400

297,636

2,683,711

Paper & Forest Products - 1.2%

Georgia-Pacific Corp.

8,600

297,474

International Paper Co.

7,500

288,825

Votorantim Celulose e Papel SA sponsored ADR

5,400

186,570

772,869

TOTAL MATERIALS

6,638,331

TELECOMMUNICATION SERVICES - 7.3%

Diversified Telecommunication Services - 4.1%

BellSouth Corp.

18,240

486,461

Citizens Communications Co.

21,000

281,400

SBC Communications, Inc.

49,920

1,260,979

Verizon Communications, Inc.

15,400

602,140

2,630,980

Wireless Telecommunication Services - 3.2%

American Tower Corp. Class A (a)

42,252

726,312

Crown Castle International Corp. (a)

29,310

448,736

SpectraSite, Inc. (a)

17,250

884,925

2,059,973

TOTAL TELECOMMUNICATION SERVICES

4,690,953

UTILITIES - 3.8%

Electric Utilities - 2.7%

PG&E Corp. (a)

17,400

557,496

PPL Corp.

2,700

140,400

TXU Corp.

16,790

1,027,884

1,725,780

Common Stocks - continued

Shares

Value

UTILITIES - continued

Multi-Utilities & Unregulated Power - 1.1%

AES Corp. (a)

38,300

$ 417,470

Sierra Pacific Resources (a)

33,100

317,760

735,230

TOTAL UTILITIES

2,461,010

TOTAL COMMON STOCKS

(Cost $55,184,298)

63,205,543

Money Market Funds - 2.7%

Fidelity Cash Central Fund, 1.79% (b)

1,445,835

1,445,835

Fidelity Securities Lending Cash Central Fund, 1.77% (b)(c)

308,600

308,600

TOTAL MONEY MARKET FUNDS

(Cost $1,754,435)

1,754,435

TOTAL INVESTMENT PORTFOLIO - 100.6%

(Cost $56,938,733)

64,959,978

NET OTHER ASSETS - (0.6)%

(377,337)

NET ASSETS - 100%

$ 64,582,641

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request.

(c) Includes investment made with cash collateral received from securities on loan.

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $57,694,879. Net unrealized appreciation aggregated $7,265,099, of which $8,708,020 related to appreciated investment securities and $1,442,921 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp.

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Balanced Fund

October 31, 2004

BAL-QTLY-1204

1.809104.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 68.0%

Shares

Value
(000s)

CONSUMER DISCRETIONARY - 7.8%

Auto Components - 0.2%

Dana Corp.

198,300

$ 2,957

Gentex Corp.

198,300

6,546

TRW Automotive Holdings Corp.

769,200

14,123

23,626

Automobiles - 0.1%

Harley-Davidson, Inc.

109,100

6,281

Hotels, Restaurants & Leisure - 1.1%

Brinker International, Inc. (a)

272,700

8,808

Buffalo Wild Wings, Inc.

99,181

2,856

Carnival Corp. unit

159,900

8,085

Kerzner International Ltd. (a)

380,000

19,274

McDonald's Corp.

1,399,000

40,781

Multimedia Games, Inc. (a)

414,900

5,477

Outback Steakhouse, Inc.

238,000

9,422

Royal Caribbean Cruises Ltd.

410,000

19,106

Wendy's International, Inc.

269,700

9,000

Wyndham International, Inc. Class A (a)

4,616,800

3,278

126,087

Household Durables - 1.2%

Champion Enterprises, Inc. (a)

683,900

7,448

D.R. Horton, Inc.

493,895

14,817

Interface, Inc. Class A (a)

1,886,282

16,392

KB Home

193,300

15,899

LG Electronics, Inc.

245,760

13,874

Pulte Homes, Inc.

49,600

2,722

Ryland Group, Inc.

198,300

18,916

Standard Pacific Corp.

196,700

11,045

Techtronic Industries Co. Ltd.

10,003,500

19,920

Toll Brothers, Inc. (a)

499,100

23,133

144,166

Internet & Catalog Retail - 0.1%

Amazon.com, Inc. (a)

211,700

7,225

Leisure Equipment & Products - 0.0%

JAKKS Pacific, Inc. (a)

49,600

782

Media - 3.7%

Antena 3 Television SA (a)

157,200

10,129

Citadel Broadcasting Corp. (a)

426,400

6,204

Clear Channel Communications, Inc.

1,690,100

56,449

Emmis Communications Corp. Class A (a)

553,000

10,341

Common Stocks - continued

Shares

Value
(000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Fox Entertainment Group, Inc. Class A (a)

479,200

$ 14,213

Journal Communications, Inc. Class A

100,200

1,615

Lamar Advertising Co. Class A (a)

924,300

38,285

Liberty Media Corp. Class A (a)

2,449,368

21,848

Liberty Media International, Inc. Class A (a)

286,421

10,325

McGraw-Hill Companies, Inc.

49,600

4,278

News Corp. Ltd. sponsored ADR

320,000

10,061

NRJ Group

326,500

6,785

NTL, Inc. (a)

783,530

52,113

Radio One, Inc. Class D (non-vtg.) (a)

490,104

7,200

Salem Communications Corp. Class A (a)

254,849

6,371

SBS Broadcasting SA (a)

154,900

5,335

The DIRECTV Group, Inc. (a)

918,500

15,403

Time Warner, Inc. (a)

2,231,042

37,125

Tribune Co.

238,000

10,282

UnitedGlobalCom, Inc. Class A (a)

1,188,800

8,892

Valassis Communications, Inc. (a)

148,700

5,112

Viacom, Inc. Class B (non-vtg.)

1,388,456

50,665

Walt Disney Co.

1,490,900

37,600

426,631

Multiline Retail - 0.3%

Barneys, Inc. warrants 4/1/08 (a)

430

26

Dollar Tree Stores, Inc. (a)

173,000

5,000

Fred's, Inc. Class A

347,000

6,083

JCPenney Co., Inc.

310,000

10,723

Saks, Inc.

471,400

5,761

ShopKo Stores, Inc. (a)

386,300

6,660

34,253

Specialty Retail - 1.1%

Advance Auto Parts, Inc. (a)

473,700

18,531

Blockbuster, Inc. Class B

360,092

2,333

Boise Cascade Corp.

355,400

10,491

Chico's FAS, Inc. (a)

148,700

5,952

Christopher & Banks Corp.

321,901

5,231

Foot Locker, Inc.

714,100

17,424

Home Depot, Inc.

580,000

23,826

Ross Stores, Inc.

485,900

12,765

Sonic Automotive, Inc. Class A (sub. vtg.)

46,400

939

The Pep Boys - Manny, Moe & Jack

279,100

3,969

Common Stocks - continued

Shares

Value
(000s)

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Toys 'R' Us, Inc. (a)

993,300

$ 17,889

Weight Watchers International, Inc. (a)

200,000

7,184

126,534

Textiles Apparel & Luxury Goods - 0.0%

Warnaco Group, Inc. (a)

99,200

2,024

TOTAL CONSUMER DISCRETIONARY

897,609

CONSUMER STAPLES - 3.0%

Beverages - 0.3%

The Coca-Cola Co.

751,500

30,556

Food & Staples Retailing - 0.4%

Albertsons, Inc.

423,700

9,665

CVS Corp.

380,000

16,515

Safeway, Inc. (a)

500,000

9,120

Wal-Mart Stores, Inc.

299,300

16,138

51,438

Food Products - 0.9%

Bunge Ltd.

519,000

24,772

Corn Products International, Inc.

128,900

6,342

Dean Foods Co. (a)

734,400

21,922

Del Monte Foods Co. (a)

915,400

9,776

McCormick & Co., Inc. (non-vtg.)

169,900

6,020

Smithfield Foods, Inc. (a)

510,700

12,374

The J.M. Smucker Co.

381,260

16,966

98,172

Household Products - 0.6%

Clorox Co.

100,000

5,460

Colgate-Palmolive Co.

384,100

17,139

Procter & Gamble Co.

874,700

44,767

67,366

Personal Products - 0.1%

Avon Products, Inc.

208,300

8,238

Estee Lauder Companies, Inc. Class A

168,600

7,241

15,479

Common Stocks - continued

Shares

Value
(000s)

CONSUMER STAPLES - continued

Tobacco - 0.7%

Altria Group, Inc.

1,661,100

$ 80,497

TOTAL CONSUMER STAPLES

343,508

ENERGY - 7.1%

Energy Equipment & Services - 5.3%

BJ Services Co.

972,377

49,591

Grant Prideco, Inc. (a)

3,337,100

68,611

Grey Wolf, Inc. (a)

3,943,300

20,426

Halliburton Co.

1,260,600

46,693

Nabors Industries Ltd. (a)

270,200

13,272

National-Oilwell, Inc. (a)

2,606,278

87,858

Oil States International, Inc. (a)

208,900

3,835

Pride International, Inc. (a)

4,719,643

87,219

Smith International, Inc. (a)

1,113,600

64,678

Varco International, Inc. (a)

1,013,750

28,061

Weatherford International Ltd. (a)

2,497,700

130,530

Willbros Group, Inc. (a)

677,500

10,007

610,781

Oil & Gas - 1.8%

Amerada Hess Corp.

104,100

8,402

Chesapeake Energy Corp.

1,209,200

19,444

EnCana Corp.

425,000

21,078

Encore Acquisition Co. (a)

479,200

15,646

Holly Corp.

633,866

15,561

KFX, Inc. (a)

173,500

1,620

Marathon Oil Corp.

399,500

15,225

McMoRan Exploration Co. (a)

247,900

3,436

Patina Oil & Gas Corp.

124,000

3,546

Plains Exploration & Production Co. (a)

327,200

8,180

Premcor, Inc. (a)

525,400

20,512

Quicksilver Resources, Inc. (a)

588,400

18,611

Range Resources Corp.

706,600

11,094

Sasol Ltd. sponsored ADR

99,200

1,997

Valero Energy Corp.

1,153,400

49,562

213,914

TOTAL ENERGY

824,695

Common Stocks - continued

Shares

Value
(000s)

FINANCIALS - 14.0%

Capital Markets - 1.8%

Bear Stearns Companies, Inc.

145,000

$ 13,739

E*TRADE Financial Corp. (a)

828,900

10,693

Goldman Sachs Group, Inc.

302,600

29,770

Lehman Brothers Holdings, Inc.

368,500

30,272

Merrill Lynch & Co., Inc.

920,000

49,625

Morgan Stanley

1,241,300

63,418

State Street Corp.

219,500

9,888

207,405

Commercial Banks - 3.2%

Bank of America Corp.

3,779,302

169,275

Comerica, Inc.

218,100

13,415

M&T Bank Corp.

79,600

8,199

North Fork Bancorp, Inc., New York

692,730

30,549

Silicon Valley Bancshares (a)

354,500

14,184

SouthTrust Corp.

322,200

14,038

UCBH Holdings, Inc.

276,500

11,914

UnionBanCal Corp.

158,700

9,641

Wachovia Corp.

1,239,056

60,974

Wells Fargo & Co.

259,500

15,497

Wilshire Bancorp, Inc. (a)

248,362

6,912

Wintrust Financial Corp.

235,000

13,395

367,993

Consumer Finance - 0.4%

American Express Co.

242,000

12,843

Capital One Financial Corp.

154,900

11,425

MBNA Corp.

644,000

16,506

40,774

Diversified Financial Services - 2.8%

Citigroup, Inc.

4,559,704

202,304

J.P. Morgan Chase & Co.

3,261,500

125,894

328,198

Insurance - 3.2%

ACE Ltd.

597,000

22,722

AFLAC, Inc.

837,600

30,053

AMBAC Financial Group, Inc.

169,800

13,255

American International Group, Inc.

2,089,531

126,855

Arch Capital Group Ltd. (a)

314,000

11,797

Assurant, Inc.

197,300

5,323

Axis Capital Holdings Ltd.

160,200

4,015

Common Stocks - continued

Shares

Value
(000s)

FINANCIALS - continued

Insurance - continued

Conseco, Inc. (a)

930,100

$ 15,588

Endurance Specialty Holdings Ltd.

354,100

11,738

Fidelity National Financial, Inc.

129,250

4,878

Hartford Financial Services Group, Inc.

425,500

24,883

Hilb Rogal & Hobbs Co.

208,200

6,600

MBIA, Inc.

350,000

20,251

MetLife, Inc.

195,200

7,486

PartnerRe Ltd.

36,900

2,146

Scottish Re Group Ltd.

675,000

15,188

St. Paul Travelers Companies, Inc.

635,600

21,585

Torchmark Corp.

114,900

6,207

W.R. Berkley Corp.

90,200

3,855

Willis Group Holdings Ltd.

339,100

12,191

366,616

Real Estate - 0.6%

Acadia Realty Trust (SBI)

99,100

1,526

Alexandria Real Estate Equities, Inc.

45,000

2,972

Apartment Investment & Management Co. Class A

444,000

16,290

CBL & Associates Properties, Inc.

64,900

4,254

CenterPoint Properties Trust (SBI)

230,000

10,649

General Growth Properties, Inc.

238,000

7,852

General Growth Properties, Inc. warrants 11/9/04 (a)

23,800

18

Manufactured Home Communities, Inc.

153,200

5,284

Reckson Associates Realty Corp.

219,100

6,650

U-Store-It Trust

297,400

4,970

Vornado Realty Trust

109,100

7,332

67,797

Thrifts & Mortgage Finance - 2.0%

Bank Mutual Corp.

425,000

5,219

Countrywide Financial Corp.

589,357

18,818

Fannie Mae

118,900

8,341

Fidelity Bankshares, Inc.

174,513

6,785

First Niagara Financial Group, Inc.

175,000

2,440

Freddie Mac

1,036,800

69,051

Golden West Financial Corp., Delaware

145,000

16,953

KNBT Bancorp, Inc.

240,400

4,135

MGIC Investment Corp.

99,500

6,399

NetBank, Inc.

801,900

7,442

New York Community Bancorp, Inc.

1,299,266

23,855

Common Stocks - continued

Shares

Value
(000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

NewAlliance Bancshares, Inc.

694,976

$ 9,646

Sovereign Bancorp, Inc.

1,570,000

33,991

W Holding Co., Inc.

964,100

19,272

232,347

TOTAL FINANCIALS

1,611,130

HEALTH CARE - 8.2%

Biotechnology - 1.1%

Alkermes, Inc. (a)

724,600

8,963

Angiotech Pharmaceuticals, Inc. (a)

403,900

7,399

Biogen Idec, Inc. (a)

138,700

8,067

CSL Ltd.

1,115,353

24,051

Dendreon Corp. (a)

610,100

6,308

DOV Pharmaceutical, Inc. warrants 6/2/09 (a)

34

0

Enzon Pharmaceuticals, Inc. (a)

266,100

4,303

Genentech, Inc. (a)

207,486

9,447

Medarex, Inc. (a)

822,300

6,258

Millennium Pharmaceuticals, Inc. (a)

973,939

12,642

ONYX Pharmaceuticals, Inc. (a)

179,636

5,041

Oscient Pharmaceuticals Corp. (a)

718,900

2,437

OSI Pharmaceuticals, Inc. (a)

181,600

11,800

Pharmion Corp.

367,200

16,873

Tanox, Inc. (a)

436,000

6,845

130,434

Health Care Equipment & Supplies - 2.7%

Bausch & Lomb, Inc.

240,200

14,643

Baxter International, Inc.

1,157,100

35,592

Becton, Dickinson & Co.

165,000

8,663

Boston Scientific Corp. (a)

215,400

7,604

Cytyc Corp. (a)

332,200

8,667

Dade Behring Holdings, Inc. (a)

716,300

40,321

DENTSPLY International, Inc.

145,000

7,541

Edwards Lifesciences Corp. (a)

466,200

15,935

Epix Pharmaceuticals, Inc. (a)

174,300

2,724

Fisher Scientific International, Inc. (a)

357,768

20,522

Guidant Corp.

143,800

9,580

Immucor, Inc. (a)

550,500

16,983

Medtronic, Inc.

428,100

21,880

ResMed, Inc. (a)

257,900

12,121

Common Stocks - continued

Shares

Value
(000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Smith & Nephew PLC

991,540

$ 8,575

St. Jude Medical, Inc. (a)

338,700

25,934

Synthes, Inc.

157,503

16,835

Thermo Electron Corp. (a)

472,700

13,708

Waters Corp. (a)

596,400

24,625

312,453

Health Care Providers & Services - 2.2%

Accredo Health, Inc. (a)

238,000

5,481

Cardinal Health, Inc.

76,800

3,590

Caremark Rx, Inc. (a)

360,200

10,795

Cerner Corp. (a)

190,000

8,579

DaVita, Inc. (a)

302,500

8,960

Fresenius Medical Care AG sponsored ADR

290,500

7,480

Hanger Orthopedic Group, Inc. (a)(f)

1,287,100

8,302

Health Net, Inc. (a)

346,800

8,413

HealthSouth Corp. (a)

254,600

1,393

Henry Schein, Inc. (a)

114,000

7,208

Humana, Inc. (a)

409,100

7,834

Lincare Holdings, Inc. (a)

469,500

17,259

McKesson Corp.

352,500

9,398

Molina Healthcare, Inc. (a)

258,400

9,514

Omnicare, Inc.

148,700

4,103

PacifiCare Health Systems, Inc. (a)

765,000

27,249

Pediatrix Medical Group, Inc. (a)

138,800

7,808

Pharmaceutical Product Development, Inc. (a)

225,400

9,519

Priority Healthcare Corp. Class B (a)

666,700

12,041

UnitedHealth Group, Inc.

911,700

66,007

WebMD Corp. (a)

1,200,000

9,072

250,005

Pharmaceuticals - 2.2%

AstraZeneca PLC sponsored ADR

158,500

6,530

Atherogenics, Inc. (a)

520,600

15,587

Barr Pharmaceuticals, Inc. (a)

345,900

13,023

Cipla Ltd.

439,830

2,710

Connetics Corp. (a)

347,100

9,330

Endo Pharmaceuticals Holdings, Inc. (a)

461,100

10,052

Guilford Pharmaceuticals, Inc. (a)

1,802,400

8,147

IVAX Corp. (a)

439,975

7,964

Johnson & Johnson

244,900

14,297

Common Stocks - continued

Shares

Value
(000s)

HEALTH CARE - continued

Pharmaceuticals - continued

Pfizer, Inc.

2,560,500

$ 74,126

Schering-Plough Corp.

1,991,700

36,070

Sepracor, Inc. (a)

260,000

11,942

Wyeth

1,013,100

40,169

249,947

TOTAL HEALTH CARE

942,839

INDUSTRIALS - 7.7%

Aerospace & Defense - 1.8%

BE Aerospace, Inc. (a)

495,700

4,253

EADS NV

687,400

19,661

Embraer - Empresa Brasileira de Aeronautica SA sponsored ADR

245,000

6,502

Goodrich Corp.

843,500

26,005

Honeywell International, Inc.

1,002,800

33,774

Lockheed Martin Corp.

339,500

18,703

Northrop Grumman Corp.

331,600

17,160

Precision Castparts Corp.

294,100

17,646

Rockwell Collins, Inc.

247,900

8,793

The Boeing Co.

275,100

13,727

United Technologies Corp.

436,300

40,497

206,721

Air Freight & Logistics - 0.3%

EGL, Inc. (a)

520,600

16,649

Forward Air Corp. (a)

39,700

1,634

UTI Worldwide, Inc.

145,209

9,439

Yamato Transport Co. Ltd.

499,000

6,738

34,460

Airlines - 0.6%

AirTran Holdings, Inc. (a)

1,911,400

22,210

Delta Air Lines, Inc. (a)

2,231,200

12,160

Frontier Airlines, Inc. (a)(f)

3,552,708

29,701

Northwest Airlines Corp. (a)

643,785

5,697

69,768

Building Products - 0.2%

American Standard Companies, Inc. (a)

150,400

5,500

Common Stocks - continued

Shares

Value
(000s)

INDUSTRIALS - continued

Building Products - continued

Masco Corp.

404,200

$ 13,848

Trex Co., Inc. (a)

170,700

6,848

26,196

Commercial Services & Supplies - 0.8%

Career Education Corp. (a)

455,700

14,295

Cendant Corp.

1,070,000

22,031

Central Parking Corp.

88,800

1,203

Cintas Corp.

115,000

4,961

G&K Services, Inc. Class A

231,000

9,076

Herman Miller, Inc.

322,300

7,445

HNI Corp.

235,300

9,506

Robert Half International, Inc.

516,800

13,711

Steelcase, Inc. Class A

99,200

1,300

United Rentals, Inc. (a)

734,000

11,340

94,868

Construction & Engineering - 1.0%

Dycom Industries, Inc. (a)

706,200

23,057

Fluor Corp.

927,200

43,059

Granite Construction, Inc.

902,300

21,908

Larsen & Toubro Ltd.

223,117

4,086

MasTec, Inc. (a)

1,267,990

8,762

URS Corp. (a)

360,000

9,936

110,808

Industrial Conglomerates - 1.7%

General Electric Co.

3,764,200

128,435

Siemens AG sponsored ADR

138,800

10,374

Tyco International Ltd.

1,720,800

53,603

192,412

Machinery - 1.0%

AGCO Corp. (a)

1,264,700

24,560

Astec Industries, Inc. (a)

579,019

8,390

Briggs & Stratton Corp.

124,000

8,904

Navistar International Corp. (a)

350,100

12,096

SPX Corp.

428,300

16,425

Terex Corp. (a)

251,900

9,572

The Weir Group PLC

1,169,555

6,249

Common Stocks - continued

Shares

Value
(000s)

INDUSTRIALS - continued

Machinery - continued

Timken Co.

962,100

$ 23,090

Wabash National Corp. (a)

440,000

10,815

120,101

Road & Rail - 0.3%

Burlington Northern Santa Fe Corp.

371,900

15,549

Norfolk Southern Corp.

558,800

18,971

Swift Transportation Co., Inc. (a)

77,200

1,459

35,979

TOTAL INDUSTRIALS

891,313

INFORMATION TECHNOLOGY - 9.6%

Communications Equipment - 1.4%

ADC Telecommunications, Inc. (a)

1,106,570

2,446

Adtran, Inc.

124,500

2,689

Alcatel SA sponsored ADR (a)

1,337,600

19,542

Andrew Corp. (a)

223,100

3,119

Avaya, Inc. (a)

554,400

7,983

Cisco Systems, Inc. (a)

276,600

5,313

Comverse Technology, Inc. (a)

835,000

17,234

Corning, Inc. (a)

297,500

3,406

Enterasys Networks, Inc. (a)

2,826,200

3,957

Extreme Networks, Inc. (a)

700,000

4,095

Finisar Corp. (a)

1,008,800

1,483

Juniper Networks, Inc. (a)

200,500

5,335

Marconi Corp. PLC (a)

625,000

6,087

Motorola, Inc.

1,671,200

28,845

QUALCOMM, Inc.

183,400

7,668

Scientific-Atlanta, Inc.

322,500

8,833

Sycamore Networks, Inc. (a)

8,475,000

31,103

159,138

Computers & Peripherals - 0.8%

Diebold, Inc.

239,400

11,455

Hutchinson Technology, Inc. (a)

420,000

14,116

Lexmark International, Inc. Class A (a)

74,900

6,225

Maxtor Corp. (a)

4,330,000

12,817

QLogic Corp. (a)

305,500

9,929

Common Stocks - continued

Shares

Value
(000s)

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Seagate Technology

1,671,100

$ 21,123

Western Digital Corp. (a)

1,694,000

14,111

89,776

Electronic Equipment & Instruments - 2.5%

Amphenol Corp. Class A (a)

940,200

32,277

Avnet, Inc. (a)

495,200

8,399

Bell Microproducts, Inc. (a)

1,022,438

8,977

Celestica, Inc. (sub. vtg.) (a)

2,804,700

40,740

DDi Corp. (a)

258,000

1,017

Flextronics International Ltd. (a)

3,126,300

37,672

Hon Hai Precision Industries Co. Ltd. unit

1,604,248

12,192

Ingram Micro, Inc. Class A (a)

1,745,300

30,106

Jabil Circuit, Inc. (a)

148,700

3,615

Mettler-Toledo International, Inc. (a)

423,400

20,281

Molex, Inc.

254,400

7,523

National Instruments Corp.

99,200

2,731

Sanmina-SCI Corp. (a)

2,270,000

18,160

Solectron Corp. (a)

3,129,800

16,338

Symbol Technologies, Inc.

2,416,100

35,493

Tech Data Corp. (a)

169,600

6,850

Vishay Intertechnology, Inc. (a)

320,400

4,143

286,514

IT Services - 0.5%

BearingPoint, Inc. (a)

745,300

6,484

Ceridian Corp. (a)

1,271,900

21,940

First Data Corp.

488,575

20,168

ManTech International Corp. Class A (a)

282,590

6,110

The BISYS Group, Inc. (a)

106,000

1,548

Titan Corp. (a)

446,200

6,622

62,872

Office Electronics - 0.3%

Xerox Corp. (a)

2,231,500

32,959

Semiconductors & Semiconductor Equipment - 3.4%

Agere Systems, Inc.:

Class A (a)

21,841,200

26,428

Class B (a)

17,292,316

19,886

Amkor Technology, Inc. (a)

451,000

2,246

Analog Devices, Inc.

123,900

4,988

Asat Holdings Ltd. sponsored ADR (a)

1,345,400

1,601

Common Stocks - continued

Shares

Value
(000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

ASML Holding NV (NY Shares) (a)

1,431,800

$ 20,403

ATMI, Inc. (a)(f)

1,807,559

42,207

Axcelis Technologies, Inc. (a)

1,519,300

13,066

Conexant Systems, Inc. (a)

1,793,000

3,102

Credence Systems Corp. (a)

1,633,820

12,335

Cymer, Inc. (a)

512,600

14,619

Cypress Semiconductor Corp. (a)

545,900

5,748

DSP Group, Inc. (a)

182,500

3,619

Fairchild Semiconductor International, Inc. (a)

2,341,400

33,646

FormFactor, Inc. (a)

359,200

8,423

Freescale Semiconductor, Inc. Class A

1,090,400

16,945

Integrated Circuit Systems, Inc. (a)

825,000

18,604

Integrated Device Technology, Inc. (a)

247,900

2,930

Intel Corp.

777,700

17,312

Intersil Corp. Class A

1,822,200

29,738

LTX Corp. (a)(f)

3,353,813

21,800

National Semiconductor Corp. (a)

1,794,600

29,970

ON Semiconductor Corp. (a)

991,600

3,570

PMC-Sierra, Inc. (a)

829,600

8,512

Samsung Electronics Co. Ltd.

49,530

19,445

Teradyne, Inc. (a)

432,700

7,166

Vitesse Semiconductor Corp. (a)

743,600

2,023

390,332

Software - 0.7%

BEA Systems, Inc. (a)

1,780,486

14,458

Cadence Design Systems, Inc. (a)

1,018,800

12,674

Cognos, Inc. (a)

168,600

6,694

FileNET Corp. (a)

299,900

8,346

Microsoft Corp.

956,100

26,761

Red Hat, Inc. (a)

99,200

1,274

Siebel Systems, Inc. (a)

941,700

8,946

Vastera, Inc. (a)

1,153,200

1,960

VERITAS Software Corp. (a)

347,000

7,592

88,705

TOTAL INFORMATION TECHNOLOGY

1,110,296

Common Stocks - continued

Shares

Value
(000s)

MATERIALS - 5.4%

Chemicals - 1.7%

Albemarle Corp.

229,000

$ 8,210

Dow Chemical Co.

1,020,900

45,879

Georgia Gulf Corp.

206,700

9,357

Great Lakes Chemical Corp.

421,400

10,796

Lyondell Chemical Co.

567,600

13,043

Millennium Chemicals, Inc. (a)

1,763,900

37,889

NOVA Chemicals Corp.

847,300

33,082

Olin Corp.

1,649,000

30,836

Praxair, Inc.

250,000

10,550

199,642

Construction Materials - 0.2%

Eagle Materials, Inc.

140,200

9,689

Martin Marietta Materials, Inc.

9,900

451

Texas Industries, Inc.

200,200

10,196

Vulcan Materials Co.

84,300

4,196

24,532

Containers & Packaging - 0.6%

Owens-Illinois, Inc. (a)

1,697,900

31,462

Packaging Corp. of America

183,400

4,022

Pactiv Corp. (a)

386,600

9,159

Smurfit-Stone Container Corp. (a)

1,136,700

19,733

64,376

Metals & Mining - 2.7%

Agnico-Eagle Mines Ltd.

2,156,216

33,303

Alcan, Inc.

910,200

42,115

Alcoa, Inc.

849,800

27,619

Falconbridge Ltd.

1,085,000

27,307

Fording Canadian Coal Trust

138,800

8,131

Freeport-McMoRan Copper & Gold, Inc. Class B

1,363,900

49,400

Gerdau AmeriSteel Corp. (a)

2,008,000

9,711

Inmet Mining Corp. (a)

200,000

3,096

Lionore Mining International Ltd. (a)

991,900

5,172

Massey Energy Co.

397,600

10,707

Meridian Gold, Inc. (a)

2,031,800

34,418

Nucor Corp.

167,600

7,078

Phelps Dodge Corp.

407,200

35,646

Rio Tinto PLC sponsored ADR

85,000

9,036

Common Stocks - continued

Shares

Value
(000s)

MATERIALS - continued

Metals & Mining - continued

Stillwater Mining Co. (a)

225,500

$ 2,787

Wheaton River Minerals Ltd. (a)

1,914,500

6,272

311,798

Paper & Forest Products - 0.2%

Buckeye Technologies, Inc. (a)

372,235

3,927

Tembec, Inc. (a)

1,092,200

7,121

Votorantim Celulose e Papel SA sponsored ADR

271,400

9,377

20,425

TOTAL MATERIALS

620,773

TELECOMMUNICATION SERVICES - 3.4%

Diversified Telecommunication Services - 2.2%

BellSouth Corp.

1,049,900

28,001

Citizens Communications Co.

404,000

5,414

Covad Communications Group, Inc. (a)(f)

13,984,200

20,976

Deutsche Telekom AG (Reg.) (a)

272,700

5,255

Philippine Long Distance Telephone Co. sponsored ADR (a)

299,100

7,507

PT Indosat Tbk sponsored ADR

158,600

4,143

PT Telkomunikasi Indonesia Tbk sponsored ADR

228,000

4,348

SBC Communications, Inc.

3,372,100

85,179

Telewest Global, Inc. (a)

467,272

5,747

Verizon Communications, Inc.

2,103,600

82,251

248,821

Wireless Telecommunication Services - 1.2%

American Tower Corp. Class A (a)

3,493,000

60,045

Crown Castle International Corp. (a)

757,000

11,590

KDDI Corp.

2,171

10,462

Nextel Communications, Inc. Class A (a)

805,000

21,324

Nextel Partners, Inc. Class A (a)

585,400

9,858

NII Holdings, Inc. (a)

173,500

7,681

SpectraSite, Inc. (a)

363,132

18,629

Western Wireless Corp. Class A (a)

74,400

2,168

141,757

TOTAL TELECOMMUNICATION SERVICES

390,578

Common Stocks - continued

Shares

Value
(000s)

UTILITIES - 1.8%

Electric Utilities - 1.1%

Entergy Corp.

218,800

$ 14,301

Exelon Corp.

628,900

24,917

FirstEnergy Corp.

168,500

6,964

National Thermal Power Corp.

495,100

677

PG&E Corp. (a)

585,000

18,743

PPL Corp.

189,900

9,875

TXU Corp.

919,000

56,261

131,738

Multi-Utilities & Unregulated Power - 0.7%

AES Corp. (a)

5,326,917

58,063

Dominion Resources, Inc.

298,600

19,206

77,269

TOTAL UTILITIES

209,007

TOTAL COMMON STOCKS

(Cost $6,670,083)

7,841,748

Preferred Stocks - 0.1%

Convertible Preferred Stocks - 0.1%

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

Sovereign Capital Trust IV 4.375%

40,000

1,913

HEALTH CARE - 0.1%

Pharmaceuticals - 0.1%

Schering-Plough Corp. 6.00%

99,100

5,076

TOTAL CONVERTIBLE PREFERRED STOCKS

6,989

Nonconvertible Preferred Stocks - 0.0%

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

PRIMEDIA, Inc. Series D, 10.00%

18,507

1,749

TOTAL PREFERRED STOCKS

(Cost $8,762)

8,738

Corporate Bonds - 9.1%

Principal Amount (000s)

Value
(000s)

Convertible Bonds - 0.6%

CONSUMER DISCRETIONARY - 0.0%

Auto Components - 0.0%

Tower Automotive, Inc. 5.75% 5/15/24 (g)

$ 1,000

$ 500

Internet & Catalog Retail - 0.0%

Priceline.com, Inc. 2.25% 1/15/25 (g)

1,000

908

TOTAL CONSUMER DISCRETIONARY

1,408

ENERGY - 0.1%

Energy Equipment & Services - 0.0%

Willbros Group, Inc. 2.75% 3/15/24 (g)

1,900

1,825

Oil & Gas - 0.1%

McMoRan Exploration Co.:

5.25% 10/6/11 (g)

1,980

2,229

6% 7/2/08 (g)

2,000

2,493

Quicksilver Resources, Inc. 1.875% 11/1/24 (g)

4,960

4,899

9,621

TOTAL ENERGY

11,446

HEALTH CARE - 0.3%

Biotechnology - 0.2%

Amylin Pharmaceuticals, Inc. 2.5% 4/15/11 (g)

1,000

973

BioMarin Pharmaceutical, Inc. 3.5% 6/15/08 (g)

1,000

840

Celgene Corp. 1.75% 6/1/08 (g)

3,700

5,115

Cephalon, Inc. 0% 6/15/33 (g)

5,000

4,928

CuraGen Corp. 4% 2/15/11 (g)

1,000

810

deCODE genetics, Inc. 3.5% 4/15/11 (g)

1,000

860

Medarex, Inc. 2.25% 5/15/11 (g)

2,000

1,769

Oscient Pharmaceuticals Corp. 3.5% 4/15/11 (g)

2,000

1,697

Regeneron Pharmaceuticals, Inc. 5.5% 10/17/08

2,000

1,790

18,782

Health Care Providers & Services - 0.0%

PSS World Medical, Inc. 2.25% 3/15/24 (g)

1,000

998

Pharmaceuticals - 0.1%

IVAX Corp. 1.5% 3/1/24 (g)

10,000

10,247

TOTAL HEALTH CARE

30,027

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Convertible Bonds - continued

INDUSTRIALS - 0.1%

Airlines - 0.1%

AMR Corp. 4.5% 2/15/24

$ 4,900

$ 3,020

Atlantic Coast Airlines Holdings, Inc. 6% 2/15/34 (g)

1,000

271

Delta Air Lines, Inc. 2.875% 2/18/24 (g)

5,000

2,413

Mesa Air Group, Inc. 2.115% 2/10/24 (e)(g)

1,700

673

6,377

INFORMATION TECHNOLOGY - 0.1%

Communications Equipment - 0.1%

Finisar Corp. 5.25% 10/15/08

6,703

5,832

Software - 0.0%

Intellisync Corp. 3% 3/1/09 (g)

1,000

769

Novell, Inc. 0.5% 7/15/24 (g)

3,000

2,909

3,678

TOTAL INFORMATION TECHNOLOGY

9,510

MATERIALS - 0.0%

Metals & Mining - 0.0%

Apex Silver Mines Ltd.:

2.875% 3/15/24 (g)

2,000

1,783

4% 9/15/24 (g)

990

976

Coeur d'Alene Mines Corp. 1.25% 1/15/24

500

461

3,220

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Covad Communications Group, Inc. 3% 3/15/24 (g)

5,000

3,745

TOTAL CONVERTIBLE BONDS

65,733

Nonconvertible Bonds - 8.5%

CONSUMER DISCRETIONARY - 0.9%

Auto Components - 0.1%

DaimlerChrysler NA Holding Corp.:

3.4% 12/15/04

5,500

5,504

4.05% 6/4/08

765

770

4.75% 1/15/08

5,235

5,393

Dana Corp. 6.5% 3/1/09

1,340

1,407

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Auto Components - continued

Delco Remy International, Inc. 9.375% 4/15/12

$ 885

$ 876

Stoneridge, Inc. 11.5% 5/1/12

165

187

Visteon Corp. 8.25% 8/1/10

690

718

14,855

Automobiles - 0.1%

General Motors Corp. 7.2% 1/15/11

11,000

11,588

Hotels, Restaurants & Leisure - 0.1%

Friendly Ice Cream Corp. 8.375% 6/15/12

235

223

Gaylord Entertainment Co. 8% 11/15/13

460

499

Host Marriott LP 7.125% 11/1/13

1,000

1,078

Mandalay Resort Group 6.5% 7/31/09

1,440

1,512

MGM MIRAGE:

5.875% 2/27/14

1,430

1,407

9.75% 6/1/07

115

130

Morton's Restaurant Group, Inc. 7.5% 7/1/10

280

269

NCL Corp. Ltd. 10.625% 7/15/14 (g)

605

629

Park Place Entertainment Corp. 7.875% 12/15/05

1,360

1,447

Penn National Gaming, Inc. 6.875% 12/1/11

1,400

1,449

Six Flags, Inc.:

8.875% 2/1/10

465

443

9.625% 6/1/14

1,345

1,278

Station Casinos, Inc. 6% 4/1/12

900

938

Venetian Casino Resort LLC/Las Vegas Sands, Inc. 11% 6/15/10

1,000

1,155

12,457

Household Durables - 0.0%

Levitz Home Furnishings, Inc. 12% 11/1/11 (g)(h)

610

610

WCI Communities, Inc. 7.875% 10/1/13

550

583

1,193

Leisure Equipment & Products - 0.0%

K2, Inc. 7.375% 7/1/14 (g)

340

369

True Temper Sports, Inc. 8.375% 9/15/11

350

319

688

Media - 0.5%

Advanstar Communications, Inc. 10.75% 8/15/10

560

624

AOL Time Warner, Inc.:

6.875% 5/1/12

3,840

4,368

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

AOL Time Warner, Inc.: - continued

7.625% 4/15/31

$ 6,975

$ 8,264

British Sky Broadcasting Group PLC (BSkyB) yankee 8.2% 7/15/09

7,750

9,081

Cablevision Systems Corp.:

6.6688% 4/1/09 (g)(i)

1,420

1,491

8% 4/15/12 (g)

1,195

1,276

Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8% 4/30/12 (g)

1,160

1,173

Cox Communications, Inc. 7.75% 11/1/10

4,900

5,623

CSC Holdings, Inc.:

7.625% 4/1/11

2,155

2,322

7.625% 7/15/18

235

246

Dex Media, Inc. 8% 11/15/13

1,000

1,070

Houghton Mifflin Co. 9.875% 2/1/13

1,150

1,242

Kabel Deutschland GmbH 10.625% 7/1/14 (g)

490

549

LBI Media Holdings, Inc. 0% 10/15/13 (d)

1,390

1,008

LBI Media, Inc. 10.125% 7/15/12

655

730

Liberty Media Corp. 8.25% 2/1/30

7,000

7,997

Loews Cineplex Entertainment Corp. 9% 8/1/14 (g)

970

1,016

Nexstar Broadcasting, Inc. 7% 1/15/14

1,110

1,088

PanAmSat Corp. 9% 8/15/14 (g)

480

506

PEI Holdings, Inc. 11% 3/15/10

406

471

PRIMEDIA, Inc. 7.625% 4/1/08

2,180

2,191

Walt Disney Co. 6.375% 3/1/12

2,900

3,231

55,567

Multiline Retail - 0.0%

Barneys, Inc. 9% 4/1/08

430

447

Dillard's, Inc. 6.69% 8/1/07

1,730

1,791

2,238

Specialty Retail - 0.1%

Asbury Automotive Group, Inc.:

8% 3/15/14

1,045

1,024

9% 6/15/12

1,000

1,055

Boise Cascade Corp. 7.5% 2/1/08

1,515

1,691

CSK Automotive, Inc. 7% 1/15/14

270

263

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

J. Crew Intermediate LLC 0% 5/15/08 (d)

$ 1,354

$ 1,273

Sonic Automotive, Inc. 8.625% 8/15/13

1,705

1,803

7,109

Textiles Apparel & Luxury Goods - 0.0%

GFSI, Inc. 9.625% 3/1/07

430

421

TOTAL CONSUMER DISCRETIONARY

106,116

CONSUMER STAPLES - 0.4%

Food & Staples Retailing - 0.2%

Ahold Finance USA, Inc.:

6.875% 5/1/29

530

522

8.25% 7/15/10

1,350

1,539

Jean Coutu Group, Inc.:

7.625% 8/1/12 (g)

300

317

8.5% 8/1/14 (g)

770

785

NeighborCare, Inc. 6.875% 11/15/13

1,105

1,149

Rite Aid Corp.:

6% 12/15/05 (g)

855

861

8.125% 5/1/10

850

903

Safeway, Inc. 6.5% 3/1/11

6,315

6,976

Stater Brothers Holdings, Inc. 5.38% 6/15/10 (i)

730

743

Wal-Mart Stores, Inc. 4.125% 2/15/11

9,510

9,594

23,389

Food Products - 0.1%

Cadbury Schweppes U.S. Finance LLC:

3.875% 10/1/08 (g)

3,080

3,102

5.125% 10/1/13 (g)

1,945

1,986

Corn Products International, Inc. 8.25% 7/15/07

920

1,012

Dole Food Co., Inc. 7.25% 6/15/10

730

759

Hines Nurseries, Inc. 10.25% 10/1/11

260

280

Kraft Foods, Inc. 5.25% 6/1/07

1,720

1,802

Pierre Foods, Inc. 9.875% 7/15/12 (g)

340

345

United Agriculture Products, Inc. 8.25% 12/15/11 (g)

390

411

9,697

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Tobacco - 0.1%

Altria Group, Inc. 7% 11/4/13

$ 9,585

$ 10,094

TOTAL CONSUMER STAPLES

43,180

ENERGY - 0.7%

Energy Equipment & Services - 0.1%

Grant Prideco, Inc.:

9% 12/15/09

210

236

9.625% 12/1/07

540

609

Hanover Compressor Co. 9% 6/1/14

570

636

Petronas Capital Ltd. 7% 5/22/12 (g)

11,260

12,984

Pride International, Inc. 7.375% 7/15/14 (g)

480

541

Seabulk International, Inc. 9.5% 8/15/13

700

730

15,736

Oil & Gas - 0.6%

Amerada Hess Corp.:

6.65% 8/15/11

770

860

7.125% 3/15/33

1,990

2,203

7.375% 10/1/09

1,755

1,997

Belden & Blake Corp. 8.75% 7/15/12 (g)

600

642

Canadian Oil Sands Ltd. 4.8% 8/10/09 (g)

4,715

4,817

Chesapeake Energy Corp. 7.5% 6/15/14

430

473

El Paso Corp.:

7% 5/15/11

870

871

7.875% 6/15/12

2,085

2,166

El Paso Energy Corp.:

6.95% 12/15/07

450

464

7.375% 12/15/12

630

632

El Paso Production Holding Co. 7.75% 6/1/13

2,440

2,538

EnCana Corp. 6.5% 8/15/34

4,900

5,335

EnCana Holdings Finance Corp. 5.8% 5/1/14

2,570

2,766

Enterprise Products Operating LP:

4.625% 10/15/09 (g)

1,305

1,318

5.6% 10/15/14 (g)

920

938

General Maritime Corp. 10% 3/15/13

1,585

1,823

KCS Energy, Inc. 7.125% 4/1/12

590

611

Markwest Energy Partners LP/ Markwest Energy Finance Corp. 6.875% 11/1/14 (g)

145

148

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil & Gas - continued

Pemex Project Funding Master Trust:

6.125% 8/15/08

$ 4,000

$ 4,240

7.375% 12/15/14

5,550

6,149

Plains Exploration & Production Co.:

Series B, 8.75% 7/1/12

960

1,086

7.125% 6/15/14

450

502

Range Resources Corp. 7.375% 7/15/13

810

859

Ship Finance International Ltd. 8.5% 12/15/13

4,875

4,948

Teekay Shipping Corp. 8.875% 7/15/11

1,110

1,277

The Coastal Corp.:

6.5% 5/15/06

1,700

1,740

7.5% 8/15/06

1,935

2,020

7.625% 9/1/08

325

336

7.75% 6/15/10

325

336

Williams Companies, Inc.:

7.125% 9/1/11

7,315

8,193

7.5% 1/15/31

2,010

2,060

7.625% 7/15/19

1,360

1,530

65,878

TOTAL ENERGY

81,614

FINANCIALS - 2.6%

Capital Markets - 0.2%

Amvescap PLC yankee 6.6% 5/15/05

2,275

2,320

Bank of New York Co., Inc.:

3.4% 3/15/13 (i)

2,000

1,964

4.25% 9/4/12 (i)

2,490

2,522

BCP Caylux Holdings Luxembourg SCA 9.625% 6/15/14 (g)

2,180

2,425

Bear Stearns Companies, Inc. 4% 1/31/08

1,645

1,672

Goldman Sachs Group, Inc. 5.25% 10/15/13

10,000

10,237

Merrill Lynch & Co., Inc. 4% 11/15/07

2,375

2,421

23,561

Commercial Banks - 0.4%

Bank One Corp. 5.25% 1/30/13

7,610

7,884

BB&T Corp. 4.75% 10/1/12

2,000

2,023

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Korea Development Bank:

3.875% 3/2/09

$ 8,325

$ 8,326

5.75% 9/10/13

6,910

7,477

Union Planters Corp. 7.75% 3/1/11

7,500

8,915

US Bank NA, Minneapolis 6.3% 2/4/14

3,065

3,446

Wachovia Corp. 4.875% 2/15/14

3,065

3,086

41,157

Consumer Finance - 0.8%

American General Finance Corp.:

2.75% 6/15/08

335

324

4.625% 5/15/09

12,515

12,859

Capital One Bank 6.5% 6/13/13

3,670

4,030

Ford Motor Credit Co.:

7.25% 10/25/11

5,000

5,389

7.375% 10/28/09

15,475

16,831

General Electric Capital Corp.:

6% 6/15/12

9,000

9,882

6.125% 2/22/11

11,600

12,824

General Motors Acceptance Corp.:

5.625% 5/15/09

185

187

6.125% 2/1/07

185

193

6.875% 9/15/11

6,210

6,465

Household Finance Corp.:

5.875% 2/1/09

3,500

3,785

6.375% 10/15/11

7,765

8,661

6.75% 5/15/11

4,065

4,598

7% 5/15/12

1,235

1,427

MBNA Corp. 7.5% 3/15/12

4,930

5,761

93,216

Diversified Financial Services - 0.4%

BRL Universal Equipment 2001 A LP/BRL Universal Equipment Corp. 8.875% 2/15/08

1,095

1,162

Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (g)

745

779

Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.:

0% 5/15/11 (d)

1,610

1,030

9.625% 11/15/09

1,490

1,196

Citigroup, Inc. 5.625% 8/27/12

3,065

3,305

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

CMS Energy X-TRAS pass thru trust certificates 7% 1/15/05

$ 475

$ 477

Couche Tard U.S. LP /Couche Tard Financing Corp. 7.5% 12/15/13

920

991

Dex Media West LLC/Dex Media West Finance Co. 9.875% 8/15/13

577

682

Duke Capital LLC 4.331% 11/16/06

1,215

1,237

Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11

1,585

1,831

Huntsman Advanced Materials LLC 11% 7/15/10 (g)

440

509

Hutchison Whampoa International 03/33 Ltd. 6.25% 1/24/14 (g)

4,500

4,672

Ispat Inland ULC 9.75% 4/1/14

1,020

1,239

J.P. Morgan & Co., Inc. 6.25% 1/15/09

2,850

3,114

J.P. Morgan Chase & Co. 5.625% 8/15/06

9,000

9,420

Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (g)

4,350

4,526

National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11

1,660

1,702

Qwest Capital Funding, Inc. 7.75% 8/15/06

3,525

3,622

Refco Finance Holdings LLC/Refco Finance, Inc. 9% 8/1/12 (g)

1,000

1,080

UGS Corp. 10% 6/1/12 (g)

570

628

Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10

1,025

1,194

Westfield Capital Corp. Ltd./Wt Finance 4.375% 11/15/10 (g)

4,940

4,935

WH Holdings Ltd./WH Capital Corp. 9.5% 4/1/11

330

363

49,694

Insurance - 0.2%

Aegon NV 4.75% 6/1/13

5,200

5,193

Assurant, Inc. 5.625% 2/15/14

2,195

2,263

Hartford Financial Services Group, Inc.:

2.375% 6/1/06

1,120

1,103

4.625% 7/15/13

1,155

1,128

MetLife, Inc. 6.125% 12/1/11

9,360

10,204

Metropolitan Life Global Funding I 4.25% 7/30/09 (g)

3,100

3,134

Provident Companies, Inc.:

7% 7/15/18

80

74

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

Provident Companies, Inc.: - continued

7.25% 3/15/28

$ 105

$ 98

Prudential Financial, Inc. 3.75% 5/1/08

2,365

2,367

Travelers Property Casualty Corp.:

5% 3/15/13

1,225

1,218

6.375% 3/15/33

1,580

1,625

UnumProvident Corp.:

6.75% 12/15/28

140

122

7.625% 3/1/11

150

155

28,684

Real Estate - 0.4%

Boston Properties, Inc. 6.25% 1/15/13

4,400

4,787

CarrAmerica Realty Corp. 5.25% 11/30/07

2,205

2,301

Developers Diversified Realty Corp. 5.25% 4/15/11

6,165

6,335

EOP Operating LP:

4.65% 10/1/10

4,805

4,880

7% 7/15/11

14,903

16,891

Gables Realty LP:

5.75% 7/15/07

4,795

5,026

6.8% 3/15/05

670

679

Senior Housing Properties Trust:

7.875% 4/15/15

460

508

8.625% 1/15/12

580

654

42,061

Thrifts & Mortgage Finance - 0.2%

Countrywide Home Loans, Inc.:

3.25% 5/21/08

1,165

1,144

4.125% 9/15/09

7,000

6,998

5.625% 5/15/07

4,700

4,953

Independence Community Bank Corp. 3.75% 4/1/14 (i)

2,945

2,871

Washington Mutual Bank 6.875% 6/15/11

3,300

3,752

Washington Mutual, Inc. 4.625% 4/1/14

5,000

4,817

24,535

TOTAL FINANCIALS

302,908

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

HEALTH CARE - 0.1%

Health Care Equipment & Supplies - 0.0%

Medical Device Manufacturing, Inc. 10% 7/15/12 (g)

$ 480

$ 514

Health Care Providers & Services - 0.1%

AmeriPath, Inc. 10.5% 4/1/13

1,255

1,230

Concentra Operating Corp. 9.125% 6/1/12 (g)

210

232

HealthSouth Corp.:

7.625% 6/1/12

1,085

1,052

10.75% 10/1/08

1,185

1,237

IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 (g)

1,585

1,692

Mariner Health Care, Inc. 8.25% 12/15/13 (g)

580

658

National Nephrology Associates, Inc. 9% 11/1/11 (g)

340

393

Psychiatric Solutions, Inc. 10.625% 6/15/13

555

635

Tenet Healthcare Corp.:

6.375% 12/1/11

1,395

1,269

7.375% 2/1/13

1,885

1,762

9.875% 7/1/14 (g)

580

606

U.S. Oncology, Inc.:

9% 8/15/12 (g)

1,870

2,020

10.75% 8/15/14 (g)

650

709

13,495

TOTAL HEALTH CARE

14,009

INDUSTRIALS - 0.5%

Aerospace & Defense - 0.2%

BE Aerospace, Inc.:

8% 3/1/08

1,130

1,130

8.875% 5/1/11

605

638

9.5% 11/1/08

2,350

2,432

Bombardier, Inc.:

6.3% 5/1/14 (g)

2,615

2,346

7.45% 5/1/34 (g)

3,000

2,629

Northrop Grumman Corp. 4.079% 11/16/06

6,000

6,106

Raytheon Co. 5.5% 11/15/12

1,435

1,520

16,801

Airlines - 0.2%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

1,050

940

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

American Airlines, Inc. pass thru trust certificates: - continued

7.377% 5/23/19

$ 1,425

$ 769

7.379% 5/23/16

866

468

7.8% 4/1/08

55

46

8.608% 10/1/12

1,155

976

10.18% 1/2/13

675

378

10.32% 7/30/14 (g)

625

438

AMR Corp.:

9% 9/15/16

930

535

9.17% 1/30/12

140

78

10.13% 6/15/11

140

78

10.45% 11/15/11

405

225

Continental Airlines, Inc. pass thru trust certificates:

6.748% 9/15/18

74

56

6.795% 2/2/20

1,537

1,214

6.9% 7/2/18

1,338

1,004

7.373% 12/15/15

1,256

954

7.568% 12/1/06

1,255

891

7.73% 9/15/12

435

296

8.307% 10/2/19

812

617

8.312% 10/2/12

469

328

8.321% 11/1/06

50

47

8.388% 5/1/22

636

461

8.499% 11/1/12

508

376

Delta Air Lines, Inc.:

equipment trust certificates 8.54% 1/2/07

105

60

10.14% 8/14/12

120

44

Delta Air Lines, Inc. pass thru trust certificates:

7.299% 9/18/06

265

172

7.57% 11/18/10

1,555

1,473

7.779% 11/18/05

964

675

7.779% 1/2/12

5,460

2,675

7.92% 5/18/12

345

228

9.875% 4/30/08

2,477

1,399

Northwest Airlines, Inc. pass thru trust certificates:

7.068% 7/2/17

288

230

7.626% 4/1/10

1,367

1,025

7.67% 1/2/15

289

231

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Northwest Airlines, Inc. pass thru trust certificates: - continued

7.691% 4/1/17

$ 890

$ 676

8.07% 1/2/15

570

371

20,434

Building Products - 0.0%

Building Materials Corp. of America 7.75% 8/1/14 (g)

960

960

Mueller Group, Inc. 6.4438% 11/1/11 (i)

1,160

1,195

Nortek, Inc. 8.5% 9/1/14 (g)

610

647

2,802

Commercial Services & Supplies - 0.1%

Allied Security Escrow Corp. 11.375% 7/15/11 (g)

540

567

Allied Waste North America, Inc.:

5.75% 2/15/11

595

547

6.375% 4/15/11

610

576

7.625% 1/1/06

1,780

1,842

American Color Graphics, Inc. 10% 6/15/10

330

246

Boise Cascade Office Products Corp. 7.05% 5/15/05

1,300

1,331

5,109

Construction & Engineering - 0.0%

Great Lakes Dredge & Dock Corp. 7.75% 12/15/13

435

389

Machinery - 0.0%

Case New Holland, Inc. 9.25% 8/1/11 (g)

810

919

Cummins, Inc. 9.5% 12/1/10 (i)

475

546

Dresser, Inc. 9.375% 4/15/11

220

245

Dresser-Rand Group, Inc. 7.375% 11/1/14 (g)

380

398

Invensys PLC 9.875% 3/15/11 (g)

2,165

2,262

4,370

Marine - 0.0%

Horizon Lines LLC/Holdings Corp. 9% 11/1/12 (g)

330

360

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Road & Rail - 0.0%

TFM SA de CV yankee:

10.25% 6/15/07

$ 285

$ 298

11.75% 6/15/09

720

729

1,027

TOTAL INDUSTRIALS

51,292

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.1%

L-3 Communications Corp. 6.125% 1/15/14

450

464

Lucent Technologies, Inc.:

6.45% 3/15/29

550

468

6.5% 1/15/28

135

115

Motorola, Inc. 8% 11/1/11

8,145

9,824

10,871

Electronic Equipment & Instruments - 0.0%

Celestica, Inc. 7.875% 7/1/11

2,440

2,586

Sanmina-SCI Corp. 10.375% 1/15/10

930

1,090

3,676

Office Electronics - 0.0%

Xerox Corp.:

7.125% 6/15/10

1,280

1,386

7.625% 6/15/13

990

1,083

2,469

Semiconductors & Semiconductor Equipment - 0.1%

Freescale Semiconductor, Inc.:

4.82% 7/15/09 (g)(i)

910

942

6.875% 7/15/11 (g)

1,060

1,116

7.125% 7/15/14 (g)

230

243

Semiconductor Note Participation Trust 0% 8/4/11 (g)

1,505

2,077

Viasystems, Inc. 10.5% 1/15/11

1,310

1,297

5,675

TOTAL INFORMATION TECHNOLOGY

22,691

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

MATERIALS - 0.4%

Chemicals - 0.1%

America Rock Salt Co. LLC 9.5% 3/15/14

$ 560

$ 580

Berry Plastics Corp. 10.75% 7/15/12

1,285

1,452

E.I. du Pont de Nemours & Co. 4.125% 4/30/10

3,535

3,571

Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11

1,500

1,719

Huntsman ICI Holdings LLC 0% 12/31/09

695

375

Huntsman International LLC 9.875% 3/1/09

1,020

1,114

Innophos, Inc. 8.875% 8/15/14 (g)

210

226

JohnsonDiversey Holdings, Inc. 0% 5/15/13 (d)

645

547

Lubrizol Corp.:

5.5% 10/1/14

1,110

1,119

6.5% 10/1/34

2,020

2,036

Lyondell Chemical Co. 9.5% 12/15/08

330

358

Millennium America, Inc. 9.25% 6/15/08

1,000

1,113

PolyOne Corp.:

8.875% 5/1/12

410

438

10.625% 5/15/10

790

883

15,531

Construction Materials - 0.0%

RMCC Acquisition Co. 9.5% 11/1/12 (g)(h)

1,530

1,549

Texas Industries, Inc. 10.25% 6/15/11

1,930

2,220

3,769

Containers & Packaging - 0.1%

BWAY Corp. 10% 10/15/10

820

867

Crown European Holdings SA 10.875% 3/1/13

1,150

1,360

Owens-Brockway Glass Container, Inc. 8.875% 2/15/09

1,280

1,395

Owens-Illinois, Inc.:

7.15% 5/15/05

735

750

7.35% 5/15/08

1,560

1,611

7.8% 5/15/18

1,040

1,030

8.1% 5/15/07

615

652

Sealed Air Corp.:

5.625% 7/15/13 (g)

810

834

6.875% 7/15/33 (g)

1,695

1,814

10,313

Metals & Mining - 0.1%

Allegheny Technologies, Inc. 8.375% 12/15/11

470

498

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

California Steel Industries, Inc. 6.125% 3/15/14

$ 745

$ 728

Compass Minerals International, Inc. 0% 12/15/12 (d)

1,140

958

CSN Islands VIII Corp. 9.75% 12/16/13 (g)

1,210

1,233

Foundation Pennsylvania Coal Co. 7.25% 8/1/14 (g)

530

568

IMCO Recycling Escrow, Inc. 9% 11/15/14 (g)

120

123

International Steel Group, Inc. 6.5% 4/15/14

805

859

Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (g)

940

931

5,898

Paper & Forest Products - 0.1%

Boise Cascade LLC/Boise Cascade Finance Corp. 7.125% 10/15/14 (g)

210

219

Georgia-Pacific Corp.:

7.5% 5/15/06

1,205

1,277

8% 1/15/24

1,170

1,357

8.125% 5/15/11

1,000

1,165

9.5% 12/1/11

580

719

International Paper Co.:

4.25% 1/15/09

995

1,004

5.5% 1/15/14

2,500

2,580

Norske Skog Canada Ltd. 8.625% 6/15/11

1,290

1,396

Stone Container Corp. 9.75% 2/1/11

1,345

1,500

Weyerhaeuser Co. 5.25% 12/15/09

2,180

2,298

13,515

TOTAL MATERIALS

49,026

TELECOMMUNICATION SERVICES - 1.7%

Diversified Telecommunication Services - 1.3%

AT&T Broadband Corp. 8.375% 3/15/13

7,500

9,202

BellSouth Corp.:

4.2% 9/15/09

4,575

4,619

6.55% 6/15/34

5,000

5,346

British Telecommunications PLC:

8.375% 12/15/10

3,930

4,769

8.875% 12/15/30

4,565

6,101

Deutsche Telekom International Finance BV:

5.25% 7/22/13

2,585

2,673

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Deutsche Telekom International Finance BV: - continued

8.25% 6/15/05

$ 2,350

$ 2,431

8.5% 6/15/10

5,535

6,668

8.75% 6/15/30

3,460

4,566

France Telecom SA 8.75% 3/1/11

7,635

9,170

Koninklijke KPN NV yankee 8% 10/1/10

7,800

9,335

KT Corp. 5.875% 6/24/14 (g)

2,925

3,137

Level 3 Financing, Inc. 10.75% 10/15/11 (g)

800

688

New Skies Satellites NV 7.4375% 11/1/11 (g)(h)(i)

1,750

1,785

NTL Cable PLC 8.75% 4/15/14 (g)

665

732

Primus Telecommunications Group, Inc. 8% 1/15/14

795

576

Qwest Capital Funding, Inc. 7% 8/3/09

1,340

1,273

Qwest Communications International, Inc. 7.5% 2/15/14 (g)

1,660

1,581

Qwest Corp. 9.125% 3/15/12 (g)

905

1,020

SBC Communications, Inc.:

5.1% 9/15/14

6,750

6,797

5.875% 8/15/12

4,000

4,320

Sprint Capital Corp.:

7.625% 1/30/11

8,000

9,356

8.375% 3/15/12

3,000

3,682

Telecom Italia Capital:

4% 11/15/08

500

503

4.95% 9/30/14 (g)

5,000

4,962

5.25% 11/15/13

2,000

2,048

6% 9/30/34 (g)

5,100

5,013

Telefonica Europe BV 7.75% 9/15/10

6,000

7,112

TELUS Corp. yankee 7.5% 6/1/07

11,770

12,933

Triton PCS, Inc. 8.75% 11/15/11

420

297

Verizon Global Funding Corp.:

7.25% 12/1/10

12,865

15,006

7.375% 9/1/12

5,395

6,409

154,110

Wireless Telecommunication Services - 0.4%

America Movil SA de CV 5.5% 3/1/14

10,810

10,624

American Tower Corp. 9.375% 2/1/09

588

625

AT&T Wireless Services, Inc.:

7.875% 3/1/11

10,380

12,366

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

AT&T Wireless Services, Inc.: - continued

8.75% 3/1/31

$ 5,000

$ 6,713

Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 (g)

1,130

1,141

Crown Castle International Corp.:

Series B, 7.5% 12/1/13

670

714

10.75% 8/1/11

460

508

DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13

585

666

Intelsat Ltd.:

6.5% 11/1/13

325

277

7.625% 4/15/12

145

137

Millicom International Cellular SA 10% 12/1/13 (g)

1,170

1,179

Nextel Communications, Inc.:

7.375% 8/1/15

2,000

2,225

9.5% 2/1/11

590

668

Nextel Partners, Inc. 8.125% 7/1/11

495

542

Rogers Wireless, Inc. 6.375% 3/1/14

1,500

1,418

Western Wireless Corp. 9.25% 7/15/13

920

968

40,771

TOTAL TELECOMMUNICATION SERVICES

194,881

UTILITIES - 1.0%

Electric Utilities - 0.5%

Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (g)

1,255

1,421

Cleveland Electric Illuminating Co. 5.65% 12/15/13

3,080

3,216

Detroit Edison Co. 5.2% 10/15/12

4,000

4,191

Duke Capital LLC:

6.25% 2/15/13

5,000

5,425

6.75% 2/15/32

3,530

3,802

Exelon Corp. 6.75% 5/1/11

2,040

2,299

FirstEnergy Corp.:

5.5% 11/15/06

2,830

2,945

6.45% 11/15/11

460

504

FPL Group Capital, Inc. 3.25% 4/11/06

1,250

1,258

Illinois Power Co.:

7.5% 6/15/09

3,375

3,870

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

Illinois Power Co.: - continued

11.5% 12/15/10

$ 940

$ 1,114

Nevada Power Co. 10.875% 10/15/09

570

670

Niagara Mohawk Power Corp. 8.875% 5/15/07

1,660

1,874

Oncor Electric Delivery Co. 6.375% 5/1/12

2,195

2,435

Pacific Gas & Electric Co.:

4.2% 3/1/11

1,095

1,090

4.8% 3/1/14

1,450

1,452

Progress Energy, Inc. 7.1% 3/1/11

8,065

9,147

Public Service Co. of Colorado 5.5% 4/1/14

4,035

4,291

Sierra Pacific Power Co. 6.25% 4/15/12

360

371

Southern California Edison Co.:

4.65% 4/1/15

2,000

1,974

5% 1/15/14

2,515

2,577

TECO Energy, Inc.:

6.125% 5/1/07

915

952

10.5% 12/1/07

1,425

1,660

58,538

Gas Utilities - 0.1%

Consolidated Natural Gas Co. 6.85% 4/15/11

1,550

1,754

NiSource Finance Corp. 7.875% 11/15/10

4,389

5,210

Sonat, Inc.:

6.625% 2/1/08

1,385

1,392

6.75% 10/1/07

825

845

7.625% 7/15/11

235

240

Texas Eastern Transmission Corp. 7.3% 12/1/10

4,320

4,983

Transcontinental Gas Pipe Line Corp. 6.125% 1/15/05

475

477

14,901

Multi-Utilities & Unregulated Power - 0.4%

AES Corp.:

8.5% 11/1/07

375

383

8.75% 6/15/08

347

382

8.75% 5/15/13 (g)

1,135

1,307

8.875% 2/15/11

558

642

9% 5/15/15 (g)

500

581

9.375% 9/15/10

1,143

1,333

9.5% 6/1/09

2,802

3,219

Calpine Corp. 7.82% 7/15/07 (g)(i)

1,768

1,472

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities & Unregulated Power - continued

Calpine Generating Co. LLC 7.7556% 4/1/10 (g)(i)

$ 285

$ 271

CMS Energy Corp.:

7.625% 11/15/04

1,875

1,875

7.75% 8/1/10

1,075

1,178

8.5% 4/15/11

610

693

8.9% 7/15/08

3,640

4,054

9.875% 10/15/07

1,605

1,802

Constellation Energy Group, Inc.:

6.35% 4/1/07

4,410

4,719

7% 4/1/12

2,855

3,266

Dominion Resources, Inc.:

6.25% 6/30/12

5,765

6,322

8.125% 6/15/10

7,876

9,375

NRG Energy, Inc. 8% 12/15/13 (g)

1,700

1,866

Reliant Energy, Inc. 9.25% 7/15/10

735

809

45,549

TOTAL UTILITIES

118,988

TOTAL NONCONVERTIBLE BONDS

984,705

TOTAL CORPORATE BONDS

(Cost $1,020,744)

1,050,438

U.S. Government and Government Agency Obligations - 10.2%

U.S. Government Agency Obligations - 1.6%

Fannie Mae:

4.625% 10/15/13

20,000

20,338

5.125% 1/2/14

8,800

9,042

5.25% 8/1/12

1,925

2,013

6% 5/15/11

6,920

7,702

6.125% 3/15/12

11,499

12,920

6.25% 2/1/11

6,465

7,178

Freddie Mac:

2.375% 2/15/07

4,000

3,956

2.75% 8/15/06

12,000

12,005

3.625% 9/15/08

25,000

25,271

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - continued

Freddie Mac: - continued

4.5% 1/15/14

$ 30,900

$ 31,071

5.25% 11/5/12

2,810

2,879

5.75% 1/15/12

25,000

27,507

5.875% 3/21/11

23,295

25,458

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

187,340

U.S. Treasury Inflation Protected Obligations - 1.5%

U.S. Treasury Inflation-Indexed Notes 2% 1/15/14

159,987

165,837

U.S. Treasury Obligations - 7.1%

U.S. Treasury Bonds:

6.125% 8/15/29

74,890

88,429

9.125% 5/15/18

16,500

24,318

11.25% 2/15/15

7,800

12,468

U.S. Treasury Notes:

1.625% 4/30/05

10,000

9,977

2% 8/31/05

45,000

44,930

2.375% 8/31/06

15,377

15,340

2.5% 5/31/06

143,503

143,677

2.75% 7/31/06

192,600

193,495

3.25% 1/15/09

125,250

125,793

3.375% 12/15/08

25,000

25,250

3.625% 7/15/09

73,585

74,761

3.875% 5/15/09

11,000

11,309

4% 11/15/12

32,820

33,184

4.75% 5/15/14

15,975

16,891

TOTAL U.S. TREASURY OBLIGATIONS

819,822

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,156,923)

1,172,999

U.S. Government Agency - Mortgage Securities - 9.2%

Fannie Mae - 8.8%

4% 4/1/19 to 10/1/19 (h)

55,996

55,039

4% 11/1/19 (h)

65,000

63,781

4.5% 11/1/19 (h)

26,000

26,049

4.5% 6/1/33 to 3/1/34

139,925

136,082

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

5% 10/1/17 to 12/1/33

$ 187,241

$ 189,618

5% 11/1/34 (h)

175,000

174,289

5.5% 11/1/08 to 10/1/34

143,150

148,040

5.5% 11/1/34 (h)

33,298

33,891

6% 8/1/12 to 1/1/29

27,656

28,998

6% 11/1/34 (h)

10,890

11,285

6.5% 4/1/06 to 3/1/33

75,151

79,393

6.5% 11/1/19 (h)

19,432

20,610

6.5% 11/1/34 (h)

18,936

19,906

7% 11/1/22 to 6/1/33

27,251

28,985

7.5% 12/1/22 to 3/1/29

3,747

4,027

8% 9/1/17

16

17

TOTAL FANNIE MAE

1,020,010

Government National Mortgage Association - 0.4%

5.5% 1/15/32 to 5/15/34

7,632

7,824

6.5% 3/15/26 to 2/15/34

11,089

11,766

7% 11/15/22 to 12/15/32

18,541

19,821

7.5% 1/15/26 to 9/15/28

2,309

2,492

8% 1/15/17 to 10/15/29

191

209

9% 11/15/14 to 1/15/23

111

124

9.5% 12/15/20 to 3/15/23

39

44

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

42,280

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,049,299)

1,062,290

Asset-Backed Securities - 1.0%

ACE Securities Corp. Series 2003-FM1 Class M2, 3.7825% 11/25/32 (i)

1,490

1,515

American Express Credit Account Master Trust:

Series 2001-6 Class B, 2.22% 12/15/08 (i)

5,200

5,216

Series 2004-C Class C, 2.37% 2/15/12 (g)(i)

6,000

6,000

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2 Class A2, 2.25% 4/15/33 (i)

1,848

1,850

Series 2003-HE7 Class A3, 2.23% 12/15/33 (i)

3,720

3,722

Bank One Issuance Trust Series 2004-B2 Class B2, 4.37% 4/15/12

6,000

6,131

Asset-Backed Securities - continued

Principal Amount (000s)

Value
(000s)

Capital One Multi-Asset Execution Trust:

Series 2003-B1 Class B1, 3.04% 2/17/09 (i)

$ 5,090

$ 5,158

Series 2003-B2 Class B2, 3.5% 2/17/09

2,675

2,694

Series 2003-B4 Class B4, 2.67% 7/15/11 (i)

3,035

3,087

Series 2004-6 Class B, 4.15% 7/16/12

6,215

6,215

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.8325% 10/25/33 (i)

1,265

1,302

Chase Credit Card Owner Trust Series 2004-1 Class B, 2.07% 5/15/09 (i)

2,425

2,425

Citibank Credit Card Issuance Trust Series 2000-C2 Class C2, 2.72% 10/15/07 (i)

7,500

7,518

Fieldstone Mortgage Investment Corp. Series 2003-1:

Class M1, 2.6125% 11/25/33 (i)

700

705

Class M2, 3.6825% 11/25/33 (i)

300

307

Home Equity Asset Trust:

Series 2003-2:

Class A2, 2.3125% 8/25/33 (i)

410

411

Class M1, 2.8125% 8/25/33 (i)

1,130

1,142

Series 2003-4:

Class M1, 2.7325% 10/25/33 (i)

1,670

1,684

Class M2, 3.8325% 10/25/33 (i)

1,980

2,014

Home Equity Asset Trust NIMS Trust:

Series 2002-4N Class A, 8% 5/27/33 (g)

65

65

Series 2003-2N Class A, 8% 9/27/33 (g)

245

246

Series 2003-5N Class A, 7.5% 1/27/34 (g)

129

130

Household Home Equity Loan Trust Series 2002-2 Class A, 2.21% 4/20/32 (i)

2,248

2,249

Long Beach Mortgage Loan Trust Series 2003-3:

Class M1, 2.6825% 7/25/33 (i)

3,770

3,798

Class M2, 3.7825% 7/25/33 (i)

1,925

1,975

MBNA Credit Card Master Note Trust:

Series 2003-B3 Class B3, 2.245% 1/18/11 (i)

3,342

3,351

Series 2003-B5 Class B5, 2.24% 2/15/11 (i)

4,855

4,889

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 3.0325% 12/27/32 (i)

940

954

Series 2003-HE1 Class M2, 3.8325% 5/25/33 (i)

2,310

2,344

Series 2003-NC8 Class M1, 2.6325% 9/25/33 (i)

1,120

1,124

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 2.9325% 1/25/32 (i)

1,990

2,016

Series 2002-NC1 Class M1, 2.7325% 2/25/32 (g)(i)

1,760

1,774

Series 2002-NC3 Class M1, 2.6525% 8/25/32 (i)

765

771

Series 2003-NC2 Class M2, 3.9325% 2/25/33 (i)

1,320

1,350

Asset-Backed Securities - continued

Principal Amount (000s)

Value
(000s)

New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.3625% 1/25/33 (i)

$ 1,461

$ 1,463

Nissan Auto Lease Trust Series 2003-A Class A3B, 2.57% 6/15/09

4,700

4,694

Sears Credit Account Master Trust II:

Series 2000-2 Class A, 6.75% 9/16/09

7,895

8,171

Series 2002-4 Class A, 2% 8/18/09 (i)

4,200

4,204

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 2.32% 3/15/11 (g)(i)

4,320

4,324

TOTAL ASSET-BACKED SECURITIES

(Cost $107,999)

108,988

Collateralized Mortgage Obligations - 0.6%

Private Sponsor - 0.4%

Bank of America Mortgage Securities, Inc.:

Series 2003-K:

Class 1A1, 3.3946% 12/25/33 (i)

1,258

1,262

Class 2A1, 4.2114% 12/25/33 (i)

3,519

3,505

Series 2003-L Class 2A1, 4.0319% 1/25/34 (i)

6,698

6,661

Series 2004-B:

Class 1A1, 3.4413% 3/25/34 (i)

5,729

5,727

Class 2A2, 4.1529% 3/25/34 (i)

2,630

2,629

Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34

1,056

1,106

Residential Asset Mortgage Products, Inc. sequential pay:

Series 2003-SL1 Class A31, 7.125% 4/25/31

2,476

2,577

Series 2004-SL2 Class A1, 6.5% 10/25/16

1,172

1,211

Residential Finance LP/Residential Finance Development Corp. floater:

Series 2003-B:

Class B3, 3.4081% 7/10/35 (g)(i)

3,720

3,785

Class B4, 3.6081% 7/10/35 (g)(i)

2,839

2,888

Class B5, 4.2081% 7/10/35 (g)(i)

2,643

2,681

Class B6, 4.7081% 7/10/35 (g)(i)

1,175

1,194

Series 2003-CB1:

Class B3, 3.3081% 6/10/35 (g)(i)

1,310

1,334

Class B4, 3.5081% 6/10/35 (g)(i)

1,169

1,190

Class B5, 4.1081% 6/10/35 (g)(i)

797

814

Class B6, 4.6081% 6/10/35 (g)(i)

474

484

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

Private Sponsor - continued

Residential Funding Securities Corp. Series 2003-RP2 Class A1, 2.3825% 6/25/33 (g)(i)

$ 2,916

$ 2,925

Washington Mutual Mortgage Securities Corp. sequential pay Series 2003-MS9 Class 2A1, 7.5% 12/25/33

858

887

TOTAL PRIVATE SPONSOR

42,860

U.S. Government Agency - 0.2%

Fannie Mae planned amortization class Series 1996-28 Class PK, 6.5% 7/25/25

2,590

2,780

Fannie Mae guaranteed REMIC pass thru certificates:

planned amortization class Series 2001-53 Class OH, 6.5% 6/25/30

84

84

Series 2004-21 Class ZJ, 5.5% 6/25/32

247

247

Freddie Mac planned amortization class Series 2355 Class CD, 6.5% 6/15/30

130

131

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2770 Class UD, 4.5% 5/15/17

12,058

12,030

Series 2831 Class PB, 5% 7/15/19

3,735

3,784

Series 2885 Class PC, 4.5% 4/15/14 (h)

5,030

5,107

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8703% 10/16/23 (i)

685

738

TOTAL U.S. GOVERNMENT AGENCY

24,901

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $67,493)

67,761

Commercial Mortgage Securities - 0.8%

Banc of America Commercial Mortgage, Inc. sequential pay Series 2004-2 Class A3, 4.05% 11/10/38

7,000

6,965

Bear Stearns Commercial Mortgage Securities, Inc. Series 2004-ESA:

Class B, 4.888% 5/14/16 (g)

1,030

1,064

Class C, 4.937% 5/14/16 (g)

2,140

2,212

Class D, 4.986% 5/14/16 (g)

780

806

Class E, 5.064% 5/14/16 (g)

2,420

2,497

Class F, 5.182% 5/14/16 (g)

580

598

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 0.6887% 5/15/35 (g)(i)(j)

$ 58,003

$ 3,362

COMM floater Series 2002-FL7 Class A2, 2.22% 11/15/14 (g)(i)

1,756

1,757

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class D, 2.4981% 9/15/14 (g)(i)

330

330

Class E, 2.5581% 9/15/14 (g)(i)

450

450

Class F, 2.6581% 9/15/14 (g)(i)

355

355

Class G, 2.8381% 9/15/14 (g)(i)

810

811

Class H, 2.9381% 9/15/14 (g)(i)

860

861

Class J, 3.4581% 9/15/14 (g)(i)

295

295

Class K, 3.8581% 9/15/14 (g)(i)

460

460

Class L, 4.0581% 9/15/14 (g)(i)

375

375

CS First Boston Mortgage Securities Corp.:

sequential pay:

Series 1997-C2 Class A2, 6.52% 1/17/35

1,319

1,338

Series 2000-C1 Class A2, 7.545% 4/15/62

5,000

5,789

Series 1997-C2 Class D, 7.27% 1/17/35

2,800

3,134

Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31

1,335

1,485

Equitable Life Assurance Society of the United States Series 174:

Class B1, 7.33% 5/15/06 (g)

5,000

5,303

Class C1, 7.52% 5/15/06 (g)

4,000

4,249

Ginnie Mae guaranteed REMIC pass thru securities sequential pay:

Series 2003-22 Class B, 3.963% 5/16/32

2,985

2,957

Series 2003-36 Class C, 4.254% 2/16/31

2,370

2,374

Series 2003-47 Class C, 4.227% 10/16/27

4,370

4,367

Series 2003-59 Class D, 3.654% 10/16/27

4,890

4,691

GS Mortgage Securities Corp. II:

sequential pay Series 2003-C1 Class A2A, 3.59% 1/10/40

2,445

2,454

Series 1998-GLII Class E, 7.1905% 4/13/31 (i)

1,220

1,298

LB-UBS Commercial Mortgage Trust sequential pay Series 2000-C3 Class A2, 7.95% 1/15/10

5,000

5,889

Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class C, 4.13% 11/20/37 (g)

5,000

4,623

Mortgage Capital Funding, Inc. sequential pay Series 1998-MC2 Class A2, 6.423% 6/18/30

4,037

4,358

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (g)

$ 9,000

$ 9,691

Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C8 Class A3, 4.445% 11/15/35

8,060

8,181

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $92,722)

95,379

Foreign Government and Government Agency Obligations - 0.3%

Chilean Republic 7.125% 1/11/12

6,700

7,730

State of Israel 4.625% 6/15/13

770

746

United Mexican States:

4.625% 10/8/08

9,635

9,799

5.875% 1/15/14

7,625

7,804

7.5% 1/14/12

6,200

7,043

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $31,288)

33,122

Supranational Obligations - 0.0%

Corporacion Andina de Fomento 6.875% 3/15/12
(Cost $2,795)

2,825

3,168

Floating Rate Loans - 0.0%

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Qwest Corp. Tranche A term loan 6.5% 6/30/07 (i)

1,020

1,060

UTILITIES - 0.0%

Multi-Utilities & Unregulated Power - 0.0%

AES Corp. term loan 5.875% 8/10/11 (i)

474

482

TOTAL FLOATING RATE LOANS

(Cost $1,494)

1,542

Money Market Funds - 3.3%

Shares

Value
(000s)

Fidelity Cash Central Fund, 1.79% (b)

321,579,587

$ 321,580

Fidelity Securities Lending Cash Central Fund, 1.77% (b)(c)

54,228,006

54,228

TOTAL MONEY MARKET FUNDS

(Cost $375,808)

375,808

Cash Equivalents - 0.0%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.79%, dated 10/29/04 due 11/1/04)
(Cost $2,433)

$ 2,433

2,433

TOTAL INVESTMENT PORTFOLIO - 102.6%

(Cost $10,587,843)

11,824,414

NET OTHER ASSETS - (2.6)%

(298,647)

NET ASSETS - 100%

$ 11,525,767

Swap Agreements

Expiration Date

Notional Amount (000s)

Value
(000s)

Credit Default Swap

Receive from Morgan Stanley, Inc., upon default event of Motorola, Inc., par value of the notional amount of Motorola, Inc. 7.625% 11/15/10, and pay quarterly notional amount multiplied by .69%

Sept. 2009

$ 7,000

$ (69)

Receive quarterly notional amount multiplied by .59% and pay Merrill Lynch, Inc. upon default event of Raytheon Co., par value of the notional amount of Raytheon Co. 6.55% 3/15/10

March 2009

3,634

35

Receive quarterly notional amount multiplied by .8% and pay Morgan Stanley, Inc. upon default event of News America, Inc., par value of the notional amount of News America, Inc. 4.75% 3/15/10

April 2010

15,000

212

TOTAL CREDIT DEFAULT SWAP

25,634

178

Total Return Swap

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc.

April 2005

5,400

55

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 55 basis points with Deutsche Bank

Dec. 2004

5,000

37

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 72 basis points with Bank of America

Jan. 2005

5,400

(2)

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America

Dec. 2004

5,400

77

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value
(000s)

Total Return Swap - continued

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America

Nov. 2004

$ 10,800

$ 483

Receive quarterly a return equal to that of Banc of America Securities LLC AAA 10Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 30 basis points with Bank of America

May 2005

10,800

0

TOTAL TOTAL RETURN SWAP

42,800

650

$ 68,434

$ 828

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request.

(c) Includes investment made with cash collateral received from securities on loan.

(d) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

(e) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(f) Affiliated company

(g) Security 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. At the period end, the value of these securities amounted to $242,446,000 or 2.1% of net assets.

(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(i) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

(j) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool.

Other Information

An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Companies which are affiliates of the fund at period-end are noted in the fund's Schedule of Investments. Transactions during the period with companies which are or were affiliates are as follows:

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

ATMI, Inc.

$ 32,079

$ 4,173

$ -

$ -

$ 42,207

Covad Communications Group, Inc.

24,693

1,235

-

-

20,976

Frontier Airlines, Inc.

27,960

-

-

-

29,701

Hanger Orthopedic Group, Inc.

732

6,427

-

-

8,302

LTX Corp.

26,657

410

-

-

21,800

Vastera, Inc.

4,719

-

1,799

-

-

Total

$ 116,840

$ 12,245

$ 1,799

$ -

$ 122,986

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $10,620,793,000. Net unrealized appreciation aggregated $1,203,621,000, of which $1,583,698,000 related to appreciated investment securities and $380,077,000 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp.

or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Puritan Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Puritan Trust

By:

/s/John Hebble

John Hebble

President and Treasurer

Date:

December 20, 2004

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/John Hebble

John Hebble

President and Treasurer

Date:

December 20, 2004

By:

/s/Timothy F. Hayes

Timothy F. Hayes

Chief Financial Officer

Date:

December 20, 2004