N-CSR 1 main.htm

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

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:

July 31, 2003

Item 1. Reports to Stockholders

Fidelity®

Low-Priced Stock

Fund

Annual Report

July 31, 2003

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets,
as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

Auditors' Opinion

<Click Here>

The auditors' opinion.

Trustees and Officers

<Click Here>

Distributions

<Click Here>

For a free copy of the fund's proxy voting guidelines visit www.fidelity.com/goto/proxyguidelines, call 1-800-544-8544, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.

(Recycle graphic)   This report is printed on recycled paper using soy-based inks.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

Mutual fund shares are not deposits or obligations of, or guaranteed by, any depository institution. Shares are not insured by the FDIC, Federal Reserve Board or any other agency, and are subject to investment risks, including possible loss of principal amount invested.

Neither the fund nor Fidelity Distributors Corporation is a bank.

For more information on any Fidelity fund, including charges and expenses, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

This shareholder update and report on the performance of your fund is among the first to be produced under the new Sarbanes-Oxley Public Company Accounting and Investor Protection Act of 2002. This act requires that public companies certify, under penalty of law, the financial information they report to shareholders. It was adopted by Congress in reaction to several incidents of corporate malfeasance that brought the integrity of management of some publicly traded companies into question.

After the act was signed into law, the Securities and Exchange Commission interpreted it as applying to mutual funds as well as public companies. Thus, every mutual fund now is required to certify that the financial information provided in annual and semiannual reports to shareholders fully and fairly presents its financial position.

There is little doubt that the intent of Congress and regulators in this matter is a noble one - to improve the accuracy and accountability of financial reporting to investors by corporate America. We in no way condone any of the activities that brought about these requirements, and we welcome any and every reasonable proposal to strengthen investor protection and information disclosure.

That said, we are proud that mutual funds have always provided full and fair disclosure. Governed by the Investment Company Act of 1940 - and monitored and regulated by federal and state agencies, industry oversight associations, and independent directors - mutual funds are among the most transparent of all financial products. For example, the prices of mutual fund shares are established and published every business day, and the majority of members of the Board of Trustees that oversees our funds are not affiliated with the business of Fidelity. The disclosure standards of mutual funds actually have become models for governance and transparency across corporate America.

We are, of course, complying in full with the letter of this new requirement and hope that any future efforts by Congress to reassure investors about the honesty of corporate America will focus on practical and substantive solutions of genuine value to shareholders.

This sort of careful consideration was evident as Congress deliberated President Bush's tax cut package this spring, then enacted legislation that contains a variety of benefits for American families, investors and businesses. Although the final bill did not completely eliminate the tax that individual investors pay when they receive dividends from companies, it still will benefit American investors, and we applaud it in the spirit of compromise that marked the debate in Congress.

At Fidelity, we are committed to acting at all times in accordance with the highest standards of integrity and in the best interests of our fund shareholders. We are proud of the amount of information we provide to those who invest in our funds and pleased to continue that level of communication with you in these reports.

Best regards,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended July 31, 2003

Past 1
year

Past 5
years

Past 10
years

Fidelity® Low-Priced Stock Fund

15.14%

11.61%

15.40%

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity ® Low-Priced Stock Fund on July 31, 1993. The chart shows how the value of your investment would have grown, and also shows how the Russell 2000® Index did over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Joel Tillinghast, Portfolio Manager of Fidelity® Low-Priced Stock Fund

Shaking off corporate governance scandals, weak corporate profits, and fears of war and terrorism, U.S. equities climbed sharply higher in the back half of the one-year period ending July 31, 2003, as positive signals emerged that many hoped would mark the end of the stock market's three-year decline. Among the bright spots, the Federal Reserve Board cut the fed funds target rate twice in the period, dropping it to a 45-year low of 1.00%. The 2003 first-quarter earnings season was solid, as was the second-quarter increase in gross domestic product. But the rapid conclusion of major military operations in Iraq seemed to provide the biggest boost. Overall, the mid-March through July rally lifted most equity benchmarks into positive territory for the period, and many enjoyed double-digit returns. The technology-rich NASDAQ Composite® Index advanced 31.22%, the large-cap-oriented Standard & Poor's 500SM Index gained 10.64%, the small-cap-laden Russell 2000® Index leapt 23.11% and the blue chips' bellwether Dow Jones Industrial AverageSM added 8.16%.

For the 12 months ending July 31, 2003, the fund returned 15.14%, which lagged the Russell 2000 return of 23.11%, as well as the LipperSM Small Cap Funds Average, which returned 18.43%. The biggest reason for the performance disparity can be traced to the aggressive growth mentality that pervaded the market, and the general sense that a substantial recovery - bolstered by several economic stimulants - was imminent. Against this backdrop, groups such as Internet and biotechnology stocks fared especially well, and the fund's lack of participation in these areas detracted. Steadier growers, including the fund's two largest stakes, drugstore chain CVS and grocery chain Safeway, were largely ignored in this climate and detracted from the fund's relative return. Poor trading with respect to the fund's position in HealthSouth also hurt performance. On a positive note, several of the fund's turnaround stories began to shine, most notably managed-care provider PacifiCare Health Systems. Other solid gainers included Doral Financial, a Puerto Rico-based mortgage bank, and Best Buy, a leading retailer of high-end electronics.

The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Investment Changes

Top Ten Stocks as of July 31, 2003

% of fund's
net assets

% of fund's net assets
6 months ago

CVS Corp.

2.1

2.1

Safeway, Inc.

1.9

2.5

The PMI Group, Inc.

1.5

1.5

D.R. Horton, Inc.

1.5

1.3

Lafarge North America, Inc.

1.2

1.4

Computer Sciences Corp.

1.0

1.0

PacifiCare Health Systems, Inc.

1.0

0.7

Sabre Holdings Corp. Class A

1.0

1.1

Doral Financial Corp.

1.0

0.9

Ross Stores, Inc.

1.0

1.0

13.2

Top Five Market Sectors as of July 31, 2003

% of fund's
net assets

% of fund's net assets
6 months ago

Consumer Discretionary

25.7

26.9

Information Technology

16.0

14.7

Financials

14.6

15.1

Industrials

10.5

12.3

Health Care

8.5

9.5

Asset Allocation (% of fund's net assets)

As of July 31, 2003 *

As of January 31, 2003 **

Stocks 92.0%

Stocks 95.6%

Convertible
Securities 0.3%

Convertible
Securities 0.2%

Short-Term
Investments and
Net Other Assets 7.7%

Short-Term
Investments and
Net Other Assets 4.2%

* Foreign
investments

15.3%

** Foreign investments

14.3%

Annual Report

Investments July 31, 2003

Showing Percentage of Net Assets

Common Stocks - 92.0%

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - 25.7%

Auto Components - 1.5%

Aftermarket Technology Corp. (a)

40,000

$ 478

American Axle & Manufacturing Holdings, Inc. (a)

2,000,000

57,900

ArvinMeritor, Inc. (c)

6,287,100

114,740

Dura Automotive Systems, Inc. Class A (a)(c)

1,653,774

17,100

FCC Co. Ltd.

125,000

3,359

Federal Screw Works (c)

156,250

5,641

Fuji Oozx, Inc.

200,000

406

Intermet Corp. (c)

2,559,810

9,446

Murakami Corp. (c)

800,000

2,999

Musashi Seimitsu Industry Co. Ltd.

25,000

533

Owari Precise Products Co. Ltd.

350,000

540

Piolax, Inc. (c)

850,000

9,165

Spartan Motors, Inc.

462,300

3,939

Stoneridge, Inc. (a)(c)

2,116,400

31,534

Strattec Security Corp. (a)(c)

528,700

28,285

Tachi-S Co. Ltd.

1,150,000

7,487

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

249,200

5,186

Tochigi Fuji Industrial Co. Ltd.

600,000

1,468

Tower Automotive, Inc.

320,000

1,453

Transpro, Inc. (a)(c)

392,725

1,571

Yutaka Giken Co. Ltd.

50,000

346

303,576

Automobiles - 0.0%

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

971,900

6,794

Distributors - 0.4%

Advanced Marketing Services, Inc. (c)

1,927,800

21,977

Compania de Distribucion Integral Logista SA

294,358

6,792

Goodfellow, Inc. (c)

419,000

3,208

Impact 21 Co. Ltd.

100,000

1,309

Nagahori Corp.

200,000

423

Nakayamafuku Co. Ltd.

50,000

170

Source Interlink Companies, Inc. (a)(c)

1,818,100

15,308

Uni-Select, Inc. (c)

1,610,400

23,514

72,701

Hotels, Restaurants & Leisure - 4.7%

Applebee's International, Inc. (c)

5,580,800

178,028

Argosy Gaming Co. (a)

375,000

8,700

ARK Restaurants Corp. (a)(c)

221,300

1,815

Ask Central PLC (c)

5,776,000

13,343

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Benihana, Inc. (a)(c)

373,300

$ 4,711

Benihana, Inc. Class A (c)

470,225

5,897

CEC Entertainment, Inc. (a)(c)

2,601,500

91,443

Choice Hotels International, Inc. (a)

53,900

1,657

Darden Restaurants, Inc.

2,075,000

38,823

Elxsi Corp. (a)

181,600

617

Enterprise Inns PLC

303,956

4,313

Flanigan's Enterprises, Inc. (c)

195,000

1,269

Gresham Hotel Group PLC

1,007,562

989

Groupe Partouche (a)

25,000

1,687

Hanover International PLC

1,250,000

2,545

IHOP Corp. (c)

1,500,000

50,250

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

3,335,500

71,046

Jurys Doyle Hotel Group PLC (Ireland)

350,000

3,306

Kerzner International Ltd. (a)

517,600

16,558

La Quinta Corp. unit (a)

3,360,400

17,575

Lakes Entertainment, Inc. (a)(c)

1,056,200

9,400

Luminar PLC

900,000

6,498

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

2,020,500

17,477

Outback Steakhouse, Inc. (c)

4,200,000

156,870

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

2,269,600

59,804

Pizzaexpress PLC

1,750,000

10,902

Ryan's Family Steak Houses, Inc. (a)(c)

2,548,096

34,399

ShoLodge, Inc. (a)(c)

427,700

1,339

Sonic Corp. (a)(c)

4,200,000

102,648

Sportscene Restaurants, Inc. Class A (c)

135,500

1,544

915,453

Household Durables - 5.4%

Abbey PLC (c)

3,407,000

21,453

Airsprung Furniture Group PLC

950,000

1,032

Barratt Developments PLC

8,200,000

64,253

Beazer Homes USA, Inc. (a)

450,570

34,766

Bellway PLC

3,100,000

32,537

Berkeley Group PLC

50,000

686

Blyth, Inc. (c)

3,444,900

90,119

Boston Acoustics, Inc. (c)

434,327

4,765

Bush Industries, Inc. Class A (c)

1,024,400

5,419

Cavalier Homes, Inc. (a)

120,000

258

Chromcraft Revington, Inc. (a)(c)

957,300

12,636

Clayton Homes, Inc.

3,745,000

46,700

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Cobra Electronics Corp. (a)(c)

612,600

$ 3,694

D.R. Horton, Inc. (c)

10,165,000

286,145

Decorator Industries, Inc. (c)

279,715

1,496

Department 56, Inc. (a)(c)

1,300,400

18,076

Dominion Homes, Inc. (a)(c)

536,400

14,000

Ekornes AS

120,000

1,756

Enesco Group, Inc. (a)(c)

1,211,900

9,210

George Wimpey PLC

500,000

2,849

Global-Tech Appliances, Inc. (a)

61,000

377

Helen of Troy Ltd. (a)(c)

2,661,100

48,698

Henry Boot PLC (c)

2,425,000

12,590

IDT International Ltd.

250,000

31

Kaufman & Broad SA

200,000

4,884

KB Home

1,000,000

56,610

Libbey, Inc.

317,000

8,813

M/I Schottenstein Homes, Inc. (c)

1,750,000

71,383

Media Arts Group, Inc. (a)(c)

1,322,000

3,080

Meritage Corp. (a)(c)

725,000

32,176

Modtech Holdings, Inc. (a)

174,284

1,630

Mohawk Industries, Inc. (a)

628,900

42,394

Nagawa Co. Ltd. (c)

947,000

4,124

Ngai Lik Industrial Holdings Ltd.

8,000,000

2,846

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

359,300

2,436

Persimmon PLC

1,350,393

11,369

Portmeirion Group PLC

350,000

1,099

Rational AG

56,523

2,424

Redrow PLC

100,000

533

Silentnight Holdings PLC

50,000

112

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

1,425,100

3,491

Stanley Furniture Co., Inc. (c)

623,800

16,618

Technical Olympic USA, Inc. (a)

45,457

1,175

Techtronic Industries Co.

15,000,000

27,599

The Rowe Companies (a)

456,700

799

Toso Co. Ltd.

400,000

753

William Lyon Homes (a)(c)

496,300

17,346

Yankee Candle Co., Inc. (a)

1,000,000

24,020

1,051,260

Internet & Catalog Retail - 0.6%

Blair Corp. (c)

754,900

17,015

Coldwater Creek, Inc. (a)(c)

1,104,975

17,680

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Internet & Catalog Retail - continued

Insight Enterprises, Inc. (a)(c)

4,613,400

$ 71,738

N Brown Group PLC

4,129,800

8,809

115,242

Leisure Equipment & Products - 0.8%

Action Performance Companies, Inc. (c)

1,542,600

33,428

Anthony & Sylvan Pools Corp. (a)

226,936

590

Beneteau SA

5,000

188

Brass Eagle, Inc. (a)(c)

407,299

3,523

Coastcast Corp. (a)(c)

763,200

1,450

Gametech International, Inc. (a)

278,800

1,018

JAKKS Pacific, Inc. (a)(c)

2,458,600

28,077

Johnson Outdoors, Inc. Class A (a)

238,288

3,412

Marine Products Corp. (c)

1,587,940

19,214

MarineMax, Inc. (a)

230,500

3,192

Polaris Industries, Inc.

500,000

39,500

Radica Games Ltd. (a)

347,700

2,750

SCP Pool Corp. (a)

444,000

17,209

Steinway Musical Instruments, Inc. (a)

35,000

586

Zapf Creation AG (a)

239,000

7,981

162,118

Media - 1.1%

Austereo Group Ltd.

5,000,000

4,927

CanWest Global Communications Corp. (sub. vtg.) (a)

918,006

5,885

Catalina Marketing Corp. (a)

700,000

11,781

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

1,471,600

2,487

Chime Communications PLC (c)

9,800,000

4,378

Chubu-Nippon Broadcasting Co. Ltd.

150,000

995

Citadel Broadcasting Corp.

46,000

874

Grupo Radio Centro SA de CV sponsored ADR (a)

655,600

3,875

Harte-Hanks, Inc.

200,000

3,842

Highbury House Communications PLC

2,400,000

850

Independent News & Media PLC (Ireland)

602,666

1,105

Johnston Press PLC

4,550,030

31,020

Opinion Research Corp. (a)

295,501

1,862

P4 Radio Hele Norge ASA (a)

450,000

325

Persona, Inc. (a)(c)

1,964,600

6,297

PubliGroupe SA (Reg.) (a)

32,516

6,564

R.H. Donnelley Corp. (a)

1,000,000

39,500

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

826,400

10,727

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Media - continued

SMG PLC

750,000

$ 1,008

Sondagsavisen AS (Reg.) (a)

250,000

851

Southern Cross Broadcasting Australia Ltd.

1,274,345

7,370

Trinity Mirror PLC

1,150,000

8,886

TV Azteca SA de CV sponsored ADR

2,932,300

19,881

TVA Group, Inc. Class B (c)

1,688,000

24,046

Village Roadshow Ltd. (a)

600,000

502

VLT AB (B Shares)

225,000

2,138

Wegener NV (a)

690,000

5,346

207,322

Multiline Retail - 0.8%

Daiwa Co. Ltd.

300,000

498

Dollar Tree Stores, Inc. (a)

2,000,000

73,360

Gifi

20,000

1,206

Harvey Norman Holdings Ltd.

1,250,000

2,180

Merchant Retail Group PLC

1,125,000

3,088

Next PLC

2,600,000

47,526

ShopKo Stores, Inc. (a)(c)

2,700,000

36,720

164,578

Specialty Retail - 6.6%

Aaron Rents, Inc.

312,800

8,930

Abercrombie & Fitch Co. Class A (a)

100,000

3,209

American Eagle Outfitters, Inc. (a)(c)

3,630,000

80,441

AutoZone, Inc. (a)

1,000,000

83,260

Best Buy Co., Inc. (a)

2,000,000

87,300

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

1,600,000

21,652

Brookstone Co., Inc. (a)(c)

836,600

19,158

Cato Corp. Class A (c)

1,945,844

46,720

CD Bramall PLC (c)

3,764,869

27,940

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

2,123,667

26,121

Chico's FAS, Inc. (a)

200,000

5,430

Clinton Cards PLC

525,000

2,037

Cole National Corp. Class A (a)

389,400

4,392

Finlay Enterprises, Inc. (a)(c)

1,042,700

16,464

Footstar, Inc. (a)(c)

2,016,000

22,841

French Connection Group PLC (c)

950,000

22,404

Friedmans, Inc. Class A (c)

1,632,700

21,829

Genesco, Inc. (a)

661,100

12,508

Hibbett Sporting Goods, Inc. (a)(c)

1,476,450

33,383

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Homestyle Group PLC

550,000

$ 1,023

Hot Topic, Inc. (a)

951,200

27,490

JJB Sports PLC

4,348,252

14,910

Jo-Ann Stores, Inc. Class B (non-vtg.) (a)

319,000

7,532

John David Group PLC

500,000

1,421

Keiiyu Co. Ltd.

100,000

647

La Senza Corp. (sub. vtg.)

161,700

1,267

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

201,500

1,467

Lindex AB (a)

10,000

178

Lithia Motors, Inc. Class A (c)

1,446,400

27,988

Loehmann's Holdings, Inc. (a)

30,000

450

Matalan PLC

200,000

647

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

679,600

21,312

New Look Group PLC

400,000

1,793

New Look Group PLC (d)

950,000

4,259

Pacific Sunwear of California, Inc. (a)

775,000

23,521

Payless ShoeSource, Inc. (a)

587,900

7,760

PC Connection, Inc. (a)

1,190,300

11,117

Peacock Group PLC

250,000

674

Pier 1 Imports, Inc.

3,825,000

71,145

Pomeroy IT Solutions, Inc. (c)

1,267,800

16,608

Reg Vardy PLC

100,000

796

Regis Corp.

236,900

7,294

Rex Stores Corp. (a)(c)

1,400,000

18,690

Ross Stores, Inc. (c)

4,100,000

187,370

S&K Famous Brands, Inc. (a)

7,600

123

ScS Upholstery PLC

1,370,700

5,682

Sonic Automotive, Inc. Class A (a)

808,100

20,728

Steiner Leisure Ltd. (a)(c)

1,741,308

28,122

TBC Corp. (a)(c)

1,925,950

38,635

The Buckle, Inc. (a)

314,000

6,390

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

2,660,288

57,037

The Men's Wearhouse, Inc. (a)(c)

3,000,000

75,930

Too, Inc. (a)

937,700

17,254

Topps Tiles PLC

325,000

2,156

United Retail Group, Inc. (a)

457,200

1,577

Whitehall Jewellers, Inc. (a)(c)

962,300

11,451

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

2,051,412

16,493

1,284,956

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Textiles Apparel & Luxury Goods - 3.8%

Bijou Brigitte Modische Accessoires AG

10,000

$ 905

Billabong International Ltd.

110,000

476

Cherokee, Inc. (a)(c)

743,300

14,115

Dan River, Inc. Class A (a)

294,000

647

Danier Leather, Inc. (a)(c)

405,200

3,100

Delta Apparel, Inc. (c)

401,100

6,321

Fossil, Inc. (a)(c)

4,509,400

114,629

Gerry Weber International AG (Bearer)

10,666

67

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

2,145,200

62,211

Hampshire Group Ltd. (a)(c)

472,300

14,700

Hugo Boss AG

60,000

951

JLM Couture, Inc. (a)(c)

197,100

952

Jones Apparel Group, Inc. (a)

5,090,700

147,376

Kenneth Cole Productions, Inc. Class A (a)(c)

1,126,000

27,936

Liz Claiborne, Inc.

701,900

24,166

Movado Group, Inc. (c)

967,900

22,358

Nautica Enterprises, Inc. (a)(c)

3,233,000

54,444

Novel Denim Holdings Ltd. (a)(c)

943,800

1,925

Perry Ellis International, Inc. (a)

407,500

9,633

Polo Ralph Lauren Corp. Class A (c)

2,708,100

71,521

Quiksilver, Inc. (a)(c)

2,950,000

50,976

Skechers U.S.A., Inc. Class A (a)(c)

1,857,300

12,258

Tandy Brands Accessories, Inc. (a)(c)

550,900

7,024

Ted Baker PLC

200,000

1,000

Tommy Hilfiger Corp. (a)(c)

9,044,150

94,059

Unifirst Corp.

141,700

3,652

Velcro Industries NV

268,400

3,167

750,569

TOTAL CONSUMER DISCRETIONARY

5,034,569

CONSUMER STAPLES - 8.4%

Beverages - 1.0%

Coca-Cola Femsa SA de CV sponsored ADR (a)

10,000

220

Constellation Brands, Inc. Class A (a)(c)

5,765,000

166,320

Hansen Natural Corp. (a)(c)

875,575

4,465

Heineken Holding NV (A Shares)

120,000

3,623

Mikuni Coca-Cola Bottling Co.

50,000

360

National Beverage Corp. (a)

705,900

9,939

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER STAPLES - continued

Beverages - continued

Robert Mondavi Corp. Class A (a)

325,100

$ 8,124

Shikoku Coca-Cola Bottling Co. Ltd.

200,000

1,856

194,907

Food & Staples Retailing - 5.4%

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

7,006,000

136,617

CVS Corp.

13,415,000

402,312

Duane Reade, Inc. (a)

530,000

8,878

Fresh Brands, Inc. (c)

510,700

7,323

Jean Coutu Group, Inc. Class A

2,000,000

21,368

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

6,455,000

90,113

Ministop Co. Ltd.

200,000

2,860

Safeway, Inc. (a)

17,625,000

376,294

Shoei Foods Corp.

250,000

954

Sligro Food Group NV

130,000

6,724

Village Super Market, Inc. Class A

47,600

1,190

Yaoko Co. Ltd.

10,000

130

1,054,763

Food Products - 1.4%

American Italian Pasta Co. Class A (a)

172,900

6,932

Brioche Pasquier SA

100,000

5,317

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

474,700

2,326

Cranswick PLC

275,000

1,888

Dean Foods Co. (a)

750,000

22,448

Fresh Del Monte Produce, Inc.

2,718,800

75,664

Gaban Co. Ltd.

17,000

121

Greggs PLC

135,000

6,922

IAWS Group PLC:

(Ireland)

3,250,000

28,942

(United Kingdom) (Reg.)

600,000

5,433

Interstate Bakeries Corp.

1,110,100

11,367

Kerry Group PLC Class A

2,350,000

36,913

Kleeneze PLC (c)

2,700,000

4,825

Monterey Pasta Co. (a)(c)

1,408,700

6,241

Riviana Foods, Inc. (c)

897,967

26,849

Robert Wiseman Dairies PLC

200,000

723

Saputo, Inc.

556,100

11,031

Sylvan, Inc. (a)

142,100

1,482

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER STAPLES - continued

Food Products - continued

Want Want Holdings Ltd.

6,500,000

$ 5,493

Zapata Corp. (a)(c)

238,700

13,942

274,859

Household Products - 0.0%

The Dial Corp.

40,000

783

Personal Products - 0.1%

DSG International Ltd. (c)

512,500

2,281

IWP International PLC:

(Dublin) (Reg.)

250,000

62

(United Kingdom) (Reg.)

700,000

175

Nature's Sunshine Products, Inc. (c)

1,617,300

12,938

Nu Skin Enterprises, Inc. Class A

120,000

1,391

16,847

Tobacco - 0.5%

DIMON, Inc. (c)

3,050,700

21,935

Loews Corp. - Carolina Group

1,493,000

37,444

RJ Reynolds Tobacco Holdings, Inc.

800,000

28,416

Standard Commercial Corp. (c)

1,349,165

23,718

111,513

TOTAL CONSUMER STAPLES

1,653,672

ENERGY - 3.1%

Energy Equipment & Services - 1.5%

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

863,500

13,531

Bolt Technology Corp. (a)(c)

439,000

1,756

CCS Income Trust unit (c)

1,375,100

22,527

Collicutt Energy Services Ltd. (a)

295,000

536

Enerflex Systems Ltd.

209,800

2,525

Ensign Resource Service Group, Inc.

1,200,000

16,624

Farstad Shipping ASA (a)

1,875,000

13,909

Foremost Industries Income Fund Trust unit (c)

543,500

2,462

Fugro NV (Certificaten Van Aandelen)

519,500

23,978

Gulf Island Fabrication, Inc. (a)

119,500

1,787

IHC Caland NV

50,000

2,578

Lufkin Industries, Inc. (c)

487,780

12,419

NQL Drilling Tools, Inc. (a)(c)

2,586,200

5,766

Offshore Logistics, Inc. (a)(c)

1,891,666

40,198

Oil States International, Inc. (a)

1,319,800

14,848

Common Stocks - continued

Shares

Value (Note 1)
(000s)

ENERGY - continued

Energy Equipment & Services - continued

Pason Systems, Inc. (c)

1,142,500

$ 12,206

Peak Energy Services Ltd. (a)(c)

2,961,700

4,915

Petroleum Helicopters, Inc. (a)(c)

218,200

7,201

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

259,085

8,200

ProSafe ASA

1,100,000

20,022

RPC, Inc. (c)

2,835,000

31,355

Solstad Offshore ASA

350,000

1,947

Superior Energy Services, Inc. (a)

2,199,100

19,836

T-3 Energy Services, Inc. (a)

10,000

63

Technip-Coflexip SA

50,000

4,264

Total Energy Services Ltd. (a)(c)

2,197,300

5,055

Wenzel Downhole Tools Ltd. (a)

796,400

244

290,752

Oil & Gas - 1.6%

Adams Resources & Energy, Inc. (c)

421,800

3,872

Castle Energy Corp. (c)

1,167,000

5,415

Compton Petroleum Corp. (a)

1,350,000

5,481

Frontline Ltd.

10,000

152

Giant Industries, Inc. (a)(c)

901,600

5,139

Holly Corp. (c)

1,015,400

28,401

Hunting PLC

1,800,000

3,376

KCS Energy, Inc. (a)(c)

3,690,400

18,526

Markwest Hydrocarbon, Inc. (a)(c)

836,330

6,130

Nissin Shoji Co. Ltd.

250,000

686

Novus Petroleum Ltd. (a)(c)

12,250,000

11,516

Oil Search Ltd.

37,360,463

22,043

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

336,150

1,257

Petroleo Brasileiro SA Petrobras sponsored ADR

780,000

15,826

Petroleum Development Corp. (a)(c)

1,624,500

15,465

Repsol YPF SA sponsored ADR

900,000

14,274

Stelmar Shipping Ltd. (a)

773,600

13,051

Swift Energy Co. (a)(c)

2,728,400

30,776

Teekay Shipping Corp. (c)

2,100,000

92,568

Tsakos Energy Navigation Ltd.

325,300

4,668

Vintage Petroleum, Inc.

1,260,000

14,452

313,074

TOTAL ENERGY

603,826

Common Stocks - continued

Shares

Value (Note 1)
(000s)

FINANCIALS - 14.6%

Capital Markets - 0.7%

AOT NV (a)

250,000

$ 379

Globaly Corp.

69,400

1,589

Home Capital Group, Inc. Class B (sub. vtg.) (c)

1,087,100

17,034

Investment Technology Group, Inc. (a)

2,361,000

43,867

Janus Capital Group, Inc.

1,000,000

17,500

Knight Trading Group, Inc. (a)

5,000,000

44,200

MFC Bancorp Ltd. (c)

763,800

8,028

Singer & Friedlander Group PLC

1,200,000

3,052

Van der Moolen Holding NV sponsored ADR

526,400

6,554

Vontobel Holdings AG

201,000

3,566

145,769

Commercial Banks - 4.8%

Abbey National PLC

100,000

871

Amagerbanken AS

28,000

2,580

Amtssparekassen Fyn AS

23,440

2,128

Anglo Irish Bank Corp. PLC

4,750,360

43,665

Bank of the Ozarks, Inc. (c)

750,000

28,650

BOK Financial Corp.

1,107,227

42,739

Canadian Western Bank, Edmonton (c)

920,100

22,544

Cascade Bancorp

329,743

5,988

Cathay Bancorp, Inc. (c)

1,203,995

58,454

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

76,326

2,426

City National Corp.

1,320,000

66,462

DnB Holding ASA

6,550,095

33,742

DnB Holding ASA (d)

900,000

4,636

East West Bancorp, Inc.

5,600

242

First Bancorp, Puerto Rico (c)

3,950,000

119,093

Gjensidige NOR ASA

679,750

24,558

Great Southern Bancorp, Inc.

167,889

6,867

Hanmi Financial Corp. (c)

1,000,000

18,250

Harleysville National Corp., Pennsylvania

75,147

2,185

International Bancshares Corp.

314,992

12,033

Jyske Bank AS (Reg.) (a)(c)

2,200,000

89,385

Laurentian Bank of Canada

1,028,400

19,044

Local Financial Corp. (a)(c)

1,719,545

28,957

London Scottish Bank PLC

100,000

210

OKO Bank (A Shares)

1,000,000

16,866

Popular, Inc.

1,703,500

63,949

Ringerikes Sparebank (a)(c)

31,950

584

Ringkjoebing Bank (Reg.) (c)

154,600

6,738

Common Stocks - continued

Shares

Value (Note 1)
(000s)

FINANCIALS - continued

Commercial Banks - continued

S.Y. Bancorp, Inc.

290,700

$ 10,814

SouthTrust Corp.

3,400,000

97,444

Southwest Bancorp, Inc., Oklahoma (c)

311,116

10,301

Sparebanken More (primary capital certificate)

100,084

2,818

Sparebanken Rana (a)(c)

50,750

809

Sparebanken Rogaland (primary capital certificate) (a)

100,000

3,187

Sterling Bancorp, New York (c)

1,163,568

34,383

Sterling Bancshares, Inc.

994,005

12,266

Sydbank AS

315,000

31,936

Texas Regional Bancshares, Inc. Class A

263,500

8,690

Vestjysk Bank AS (Reg.)

10,000

1,876

Yardville National Bancorp

285,718

5,626

943,996

Consumer Finance - 1.0%

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

1,017,000

14,106

Aeon Credit Service (Asia) Co. Ltd.

16,000,000

6,975

Aeon Credit Service Ltd.

10,000

307

Cattles PLC

400,000

2,102

HPSC, Inc. (a)

167,900

1,578

JCG Holdings Ltd.

32,250,000

19,021

MBNA Corp.

5,500,000

122,595

Takefuji Corp.

425,000

22,982

189,666

Diversified Financial Services - 0.6%

California First National Bancorp (c)

640,935

6,730

CIT Group, Inc.

3,350,000

93,398

Daiko Clearing Services Co. Ltd.

100,000

290

Instinet Group, Inc.

4,092,500

19,194

Norvestia Oyj (B Shares)

225,000

3,618

123,230

Insurance - 3.2%

Aegon NV ADR

1,050,000

13,419

Allmerica Financial Corp. (a)

229,600

5,129

American Physicians Capital, Inc. (a)(c)

587,151

14,972

CNP Assurances

350,000

14,931

Commerce Group, Inc., Massachusetts

589,200

22,419

Cotton States Life Insurance Co. (c)

612,500

5,929

Financial Industries Corp. (c)

1,302,480

19,798

IPC Holdings Ltd. (c)

3,531,000

121,502

Common Stocks - continued

Shares

Value (Note 1)
(000s)

FINANCIALS - continued

Insurance - continued

Montpelier Re Holdings Ltd.

150,900

$ 4,857

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

245,714

31,943

Nationwide Financial Services, Inc. Class A (c)

2,928,000

90,622

Nymagic, Inc.

34,800

706

Philadelphia Consolidated Holding Corp. (a)(c)

1,298,300

52,373

Protective Life Corp.

2,146,600

62,552

PXRE Group Ltd. (c)

1,216,500

22,019

RenaissanceRe Holdings Ltd.

3,000,000

127,770

Seibels Bruce Group, Inc. (a)

153,000

252

Standard Management Corp. (a)

358,500

1,559

UICI (a)

711,000

9,940

622,692

Real Estate - 0.4%

Apartment Investment & Management Co. Class A

900,000

35,469

Joint Corp.

10,000

79

Melcor Developments Ltd.

7,500

203

Tejon Ranch Co. (a)(c)

1,000,000

32,350

68,101

Thrifts & Mortgage Finance - 3.9%

Coastal Financial Corp.

267,056

3,872

Doral Financial Corp. (c)

4,275,000

187,673

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

57,866

1,481

First Mutual Bancshares, Inc. (c)

464,807

8,896

Fremont General Corp.

1,181,700

15,457

Harbor Florida Bancshares, Inc.

136,073

3,526

Hawthorne Financial Corp. (a)(c)

524,700

18,632

HMN Financial, Inc.

42,200

846

North Central Bancshares, Inc. (c)

160,600

5,841

Northern Rock PLC

500,000

5,844

Paragon Group of Companies PLC

1,700,000

8,716

Parkvale Financial Corp.

196,152

4,814

Quaker City Bancorp, Inc. (c)

410,611

16,318

Radian Group, Inc.

3,000,000

140,430

The PMI Group, Inc. (c)

8,828,700

292,495

W Holding Co., Inc.

2,465,000

47,328

762,169

TOTAL FINANCIALS

2,855,623

Common Stocks - continued

Shares

Value (Note 1)
(000s)

HEALTH CARE - 8.5%

Biotechnology - 0.2%

Albany Molecular Research, Inc. (a)

1,524,500

$ 23,066

Embrex, Inc. (a)(c)

809,700

7,854

30,920

Health Care Equipment & Supplies - 2.4%

Baxter International, Inc.

200,000

5,522

Bespak PLC

100,000

559

Biomet, Inc.

2,000,000

59,220

Cantel Medical Corp. (a)

133,400

1,728

CONMED Corp. (a)

42,000

864

Cooper Companies, Inc. (c)

1,750,000

61,338

Elscint Ltd. (c)

1,430,800

6,124

Exactech, Inc. (a)(c)

900,000

13,455

Huntleigh Technology PLC

1,025,000

4,802

ICU Medical, Inc. (a)(c)

1,414,400

35,530

Invacare Corp. (c)

2,201,500

77,273

Kensey Nash Corp. (a)(c)

597,500

16,180

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

581,275

8,213

Medstone International, Inc. (a)(c)

561,200

1,751

Memry Corp. (a)

652,800

816

Mentor Corp.

1,000,000

20,410

Mesa Laboratories, Inc. (a)(c)

301,100

2,258

Moulin International Holdings Ltd.

5,500,167

3,473

Nakanishi, Inc.

250,000

10,761

National Dentex Corp. (a)(c)

348,000

7,329

Ocular Sciences, Inc. (a)(c)

2,375,731

51,078

Orthofix International NV (a)(c)

1,173,647

38,848

ResMed, Inc. (a)

100,000

3,970

Shofu, Inc.

25,000

172

Theragenics Corp. (a)(c)

2,966,000

13,139

Utah Medical Products, Inc. (a)(c)

483,300

10,507

Young Innovations, Inc. (c)

658,330

19,348

474,668

Health Care Providers & Services - 5.7%

Allou Health Care, Inc. Class A (a)

269,600

27

AMERIGROUP Corp. (a)

600,000

24,732

Atol Co. Ltd.

25,000

118

Cegedim SA

15,000

658

CML Healthcare, Inc. (a)

1,036,600

27,724

Corvel Corp. (a)(c)

1,125,000

41,546

Common Stocks - continued

Shares

Value (Note 1)
(000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

D & K Healthcare Resources, Inc. (c)

1,146,300

$ 17,091

Dendrite International, Inc. (a)(c)

3,516,073

45,498

Health Management Associates, Inc. Class A

7,978,300

159,327

Hokuyaku, Inc.

250,000

728

Horizon Health Corp. (a)(c)

674,400

11,404

ICON PLC sponsored ADR (a)

10,000

348

IMPATH, Inc. (a)(c)

1,607,100

14,536

Inveresk Research Group, Inc. (a)

150,400

2,555

Lincare Holdings, Inc. (a)

5,000,000

182,000

Molina Healthcare, Inc. (a)

17,000

403

National Healthcare Corp. (a)(c)

908,200

18,818

OPG Groep NV (A Shares)

30,000

928

Option Care, Inc. (a)

899,045

11,238

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

3,550,000

198,445

PDI, Inc. (a)

533,360

8,960

Priority Healthcare Corp. Class B (a)

215,000

4,435

Radiologix, Inc. (a)

326,000

1,281

RehabCare Group, Inc. (a)(c)

1,737,500

27,800

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

4,839,436

173,107

ResCare, Inc. (a)(c)

2,050,300

8,550

Rhoen-Klinikum AG

140,000

5,823

Sun-Life Corp.

6,700

100

Trover Solutions, Inc. (a)(c)

1,112,500

6,453

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

228,100

3,317

United Drug PLC:

(Ireland)

2,625,000

5,844

(United Kingdom)

875,000

1,986

Universal Health Services, Inc. Class B (a)

2,000,000

102,500

1,108,280

Pharmaceuticals - 0.2%

Alpharma, Inc. Class A

1,628,300

32,322

Far East Pharmaceutical Technology Co. Ltd.

500,000

163

KV Pharmaceutical Co. Class A (a)

500,000

14,210

SICOR, Inc. (a)

28,200

550

47,245

TOTAL HEALTH CARE

1,661,113

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - 10.5%

Aerospace & Defense - 1.0%

AAR Corp. (c)

1,900,000

$ 15,390

Astronics Corp. (a)(c)

604,800

2,305

Astronics Corp. Class B (a)(c)

203,193

711

CAE, Inc.

1,225,000

5,366

Cobham PLC

1,150,000

21,845

Ducommun, Inc. (a)(c)

985,000

15,711

ECC International Corp. (a)

312,500

1,316

Magellan Aerospace Corp. (a)

576,800

1,150

Mercury Computer Systems, Inc. (a)

196,322

3,893

Moog, Inc. Class A (a)

481,500

17,816

Pemco Aviation Group, Inc. (a)

100,100

2,252

Precision Castparts Corp.

600,300

19,360

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

445,000

8,722

Triumph Group, Inc. (a)(c)

792,200

24,645

United Defense Industries, Inc. (a)

865,000

21,962

World Fuel Services Corp. (c)

1,216,106

29,491

191,935

Air Freight & Logistics - 0.0%

AirNet Systems, Inc. (a)(c)

635,100

2,725

Baltrans Holdings Ltd.

6,000,000

2,212

Chuo Warehouse Co. Ltd.

300,000

1,742

6,679

Airlines - 0.3%

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

2,106,500

16,325

Atlantic Coast Airlines Holdings, Inc. (a)

700,400

5,302

Frontier Airlines, Inc. (a)

811,300

10,368

Mesaba Holdings, Inc. (a)(c)

2,032,011

15,342

Midwest Express Holdings, Inc. (a)(c)

1,551,700

6,005

Transat A.T., Inc. (a)

701,800

2,374

55,716

Building Products - 0.6%

Aaon, Inc. (a)(c)

770,164

13,794

American Woodmark Corp.

152,800

7,693

Beltecno Corp.

125,000

282

Domco Tarkett, Inc.

631,300

3,372

Drew Industries, Inc. (a)(c)

959,000

18,317

Kingspan Group PLC:

(Ireland)

1,000,000

3,283

(United Kingdom)

3,300,000

10,864

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - continued

Building Products - continued

Kondotec, Inc.

275,000

$ 1,289

Maezawa Kasei Industries Co. Ltd.

350,000

3,588

Miyako, Inc.

22,000

82

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

1,873,000

33,171

Nichiha Corp.

300,000

2,175

Nippon Filing Co. Ltd.

100,000

272

Patrick Industries, Inc. (c)

273,280

1,858

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

696,000

5,141

Toami Corp. (c)

350,000

1,335

USG Corp. (a)

600,000

9,114

115,630

Commercial Services & Supplies - 1.2%

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

187,700

219

Compudyne Corp. (a)(c)

469,728

4,538

CompX International, Inc. Class A

137,700

720

Copart, Inc. (a)

2,147,601

20,123

CSS Stellar PLC

50,000

91

Hoan Kogyo Co. Ltd.

500,000

1,020

Hudson Highland Group, Inc. (a)

5,000

108

Imagistics International, Inc. (a)

705,300

20,242

Informatics Holdings Ltd.

850,000

408

Integrated Alarm Services Group, Inc. (a)

100,000

926

Kyoshin Co. Ltd.

13,500

53

Mitie Group PLC

1,250,000

2,525

New Horizons Worldwide, Inc. (a)(c)

1,019,900

6,150

Nishio Rent All Co. Ltd.

500,000

3,774

On Assignment, Inc. (a)(c)

2,526,418

13,693

Penna Consulting PLC

700,000

1,414

RCM Technologies, Inc. (a)(c)

1,053,000

4,201

Refac (a)

75,900

373

Reliance Security Group Ltd.

252,500

2,561

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

847,400

9,406

Right Management Consultants, Inc. (a)(c)

1,231,350

17,337

Roto Smeets de Boer NV (c)

270,920

7,235

Samas Groep NV (Certificaten Van Aandelen)

250,000

1,209

Shingakukai Co. Ltd.

200,000

748

SHL Group PLC

250,000

235

SOURCECORP, Inc. (a)(c)

1,696,600

40,549

Spherion Corp. (a)(c)

5,918,800

45,220

Tanabe Management Consulting Co.

200,000

567

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Trio-Tech International (a)(c)

285,900

$ 786

United Services Group NV

95,261

1,264

Up, Inc. (c)

450,000

1,788

Valassis Communications, Inc. (a)

603,200

17,077

Wao Corp. (c)

450,000

713

Watson Wyatt & Co. Holdings Class A (a)

446,100

10,260

Wesco, Inc.

200,000

401

Wyndeham Press Group PLC (c)

2,850,000

5,620

243,554

Construction & Engineering - 2.3%

Aoki Marine Co. Ltd.

126,000

172

Badger Daylighting, Inc. (a)(c)

1,170,300

950

Chodai Co. Ltd.

200,000

461

Dai-Dan Co. Ltd.

100,000

406

Dycom Industries, Inc. (a)(c)

2,400,000

40,824

EMCOR Group, Inc. (a)(c)

1,499,072

61,912

Flint Energy Services Ltd. (a)

25,000

346

Heijmans NV (c)

1,500,277

30,904

Hibiya Engineering Ltd.

1,500,000

9,468

Imtech NV

250,000

4,905

Jacobs Engineering Group, Inc. (a)

2,500,000

109,600

Japan Engineering Consultants Co. Ltd.

300,000

421

Japan Steel Tower Co. Ltd.

500,000

726

Kaneshita Construction Co. Ltd.

465,000

1,755

Kawasaki Setsubi Kogyo Co. Ltd. (a)

200,000

416

Kier Group PLC

120,000

1,106

Komai Tekko, Inc.

100,000

205

Koninklijke BAM Groep NV

600,000

13,425

Koninklijke Volker Wessels Stevin NV (Certificaten Van Aandelen) (c)

2,400,000

53,216

Matsui Construction Co. Ltd.

400,000

1,012

Matsuo Bridge Co. Ltd.

500,000

829

Peterhouse Group PLC

125,000

548

Sanshin Corp.

250,000

243

Sanyo Engineering & Construction, Inc.

1,000,000

2,405

Shaw Group, Inc. (a)

650,000

5,532

Stantec, Inc. (a)(c)

1,833,300

25,463

Taihei Dengyo Kaisha Ltd.

100,000

249

Takada Kiko Co. Ltd.

700,000

2,555

Takigami Steel Construction Co. Ltd.

300,000

839

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - continued

Construction & Engineering - continued

Technical Olympic SA (Reg.)

1,750,000

$ 8,619

URS Corp. (a)(c)

2,837,600

56,752

Yokogawa Bridge Corp.

1,000,000

3,633

Yokogawa Construction Co. Ltd.

300,000

863

Yurtec Corp.

1,150,000

3,300

444,060

Electrical Equipment - 1.4%

Acuity Brands, Inc. (c)

4,147,700

75,281

Aichi Electric Co. Ltd.

1,000,000

1,062

AZZ, Inc. (a)(c)

526,700

5,783

BTU International, Inc. (a)(c)

694,500

1,368

Byd Co. Ltd. (H Shares)

100,000

248

C&D Technologies, Inc. (c)

2,559,400

38,519

Channell Commercial Corp. (a)(c)

650,124

3,608

Chase Corp. (c)

400,000

4,720

Deswell Industries, Inc. (c)

877,150

17,534

Draka Holding NV (a)

1,025,000

12,090

General Cable Corp. (c)

3,317,500

23,554

Genlyte Group, Inc. (a)(c)

1,362,700

50,761

Koito Industries Ltd.

1,000,000

2,837

Kyosan Electric Manufacturing Co. Ltd.

500,000

1,522

LSI Industries, Inc.

109,149

1,303

Roper Industries, Inc.

500,000

19,950

TB Wood's Corp. (c)

417,200

3,338

Volex Group PLC (a)

500,000

704

264,182

Industrial Conglomerates - 0.8%

DCC PLC:

(Ireland) (c)

3,812,200

42,650

(United Kingdom) (c)

4,550,000

51,602

Send Group PLC (a)(c)

1,000,000

910

Teleflex, Inc.

1,505,400

68,842

164,004

Machinery - 1.4%

Actuant Corp. Class A (a)

319,700

15,569

AddTech AB (B Shares)

275,000

1,263

Cascade Corp. (c)

909,600

17,592

Collins Industries, Inc.

210,800

675

Denyo Co. Ltd.

250,000

1,037

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - continued

Machinery - continued

DT Industries, Inc. (a)(c)

1,460,975

$ 2,120

Gardner Denver, Inc. (a)(c)

1,568,400

34,724

Gehl Co. (a)(c)

635,000

6,928

Graco, Inc.

500,000

18,225

Hardinge, Inc.

160,200

1,299

Hurco Companies, Inc. (a)(c)

387,428

872

Interpump Group Spa

125,000

535

Met-Pro Corp.

210,800

3,223

Munters AB

25,000

521

NACCO Industries, Inc. Class A

290,200

21,257

Pfeiffer Vacuum Technology AG sponsored ADR

204,129

5,511

Quipp, Inc. (a)(c)

141,500

1,610

Quixote Corp. (c)

590,000

14,166

Reliance Steel & Aluminum Co.

517,600

11,594

Sansei Yusoki Co. Ltd.

959,000

3,707

Supreme Industries, Inc. Class A (a)

421,300

2,085

The Oilgear Co. (a)(c)

190,000

428

Todd Shipyards Corp.

194,600

3,114

Trifast PLC

316,996

380

Trinity Industries, Inc. (c)

4,597,200

104,310

Twin Disc, Inc.

78,700

1,251

Valmont Industries, Inc.

73,600

1,550

Velan, Inc. (sub. vtg.) (c)

385,300

3,249

278,795

Marine - 0.0%

Ocean Wilsons Holdings Ltd.

600,000

1,019

Tokyo Kisen Co. Ltd. (c)

530,000

1,503

2,522

Road & Rail - 1.3%

Arkansas Best Corp. (c)

1,450,969

40,148

Boyd Brothers Transportation, Inc. (a)(c)

155,299

733

Daiwa Logistics Co. Ltd. (a)

400,000

1,626

Frozen Food Express Industries, Inc. (a)

214,187

822

Genesee & Wyoming, Inc. Class A (a)(c)

881,100

19,745

Hutech Norin Co. Ltd.

25,000

255

Japan Logistic Systems Corp.

300,000

702

Marten Transport Ltd. (a)(c)

671,550

12,759

Old Dominion Freight Lines, Inc. (a)(c)

1,531,950

49,022

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

1,128,025

25,358

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - continued

Road & Rail - continued

Sakai Moving Service Co. Ltd. (a)

14,000

$ 173

SCS Transportation, Inc. (a)(c)

901,547

13,532

Trancom Co. Ltd.

500,000

5,267

USF Corp. (c)

2,701,200

85,088

Vitran Corp., Inc. Class A (a)

70,800

565

255,795

Trading Companies & Distributors - 0.2%

Bergman & Beving AB (B Shares)

275,000

1,541

Brammer PLC

300,000

609

Grafton Group PLC unit

650,000

3,033

Heiton Group PLC

824,909

2,996

Inaba Denki Sangyo Co. Ltd.

900,000

11,130

Mitani Sangyo Co. Ltd.

200,000

383

Richelieu Hardware Ltd.

547,000

6,580

Russel Metals, Inc.

130,142

527

SIG PLC

750,000

3,562

Uehara Sei Shoji Co. Ltd.

1,050,000

2,456

Wakita & Co. Ltd.

850,000

3,736

36,553

Transportation Infrastructure - 0.0%

Isewan Terminal Service Co. Ltd.

1,000,000

2,140

Meiko Transportation Co. Ltd.

500,000

1,410

3,550

TOTAL INDUSTRIALS

2,062,975

INFORMATION TECHNOLOGY - 15.8%

Communications Equipment - 1.9%

Aastra Technologies Ltd. (a)(c)

1,691,760

15,785

Applied Innovation, Inc. (a)(c)

907,518

4,946

Bel Fuse, Inc.:

Class A

381,500

8,755

Class B

47,300

1,193

Black Box Corp. (c)

2,025,025

82,014

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

511,500

1,100

Brocade Communications Systems, Inc. (a)

25,000

140

Brooktrout, Inc. (a)(c)

1,231,100

9,036

Cable Design Technologies Corp. (a)

1,807,100

11,656

ClearOne Communications, Inc. (a)(c)

951,600

2,189

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Communications Systems, Inc. (c)

561,081

$ 4,489

Comverse Technology, Inc. (a)

4,600,077

67,851

Ditech Communications Corp. (a)(c)

2,463,500

16,210

ECI Telecom Ltd. (a)

2,604,500

8,230

ECtel Ltd. (a)(c)

1,619,500

10,851

Intracom SA (Reg.)

200,000

1,597

Optical Cable Corp. (a)

214,208

1,540

Optical Communication Products, Inc.

20,700

38

Plantronics, Inc. (a)

407,000

9,866

ROHN Industries, Inc. (a)(c)

3,761,500

639

Sunrise Telecom, Inc. (a)

967,316

2,031

Tellabs, Inc. (a)

16,900,000

113,737

Twentsche Kabel Holding NV

250,000

4,219

Wireless Telecom Group, Inc. (c)

1,687,300

4,269

382,381

Computers & Peripherals - 1.5%

Datapulse Technology Ltd.

3,550,000

575

Dataram Corp. (a)(c)

853,800

3,082

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

4,700,457

98,710

Gateway, Inc. (a)(c)

19,700,400

100,669

InFocus Corp. (a)(c)

3,936,100

18,145

Logitech International SA sponsored ADR (a)

1,500,000

43,064

Qualstar Corp. (a)(c)

1,223,203

6,526

SBS Technologies, Inc. (a)(c)

1,431,700

16,078

286,849

Electronic Equipment & Instruments - 3.7%

Acal PLC

100,000

885

Artesyn Technologies, Inc. (a)

742,564

5,332

Blick PLC

1,000,000

3,501

CDW Corp.

1,000,000

47,880

CTS Corp. (c)

3,415,000

39,443

Daidensha Co. Ltd.

100,000

328

Elec & Eltek International Co. Ltd.

179,664

375

Elec & Eltek International Holdings Ltd.

12,000,000

1,816

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

1,468,157

37,423

GTSI Corp. (a)(c)

818,240

7,471

Kingboard Chemical Holdings Ltd.

27,000,000

23,367

Kingboard Chemical Holdings Ltd. warrants 12/31/03 (a)

1,099,800

154

Lagercrantz Group AB (B Shares)

300,000

786

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - continued

Leitch Technology Corp. (a)

204,700

$ 672

Linx Printing Technologies PLC (c)

1,499,961

7,027

Mettler-Toledo International, Inc. (a)

1,400,000

48,860

MOCON, Inc. (c)

331,401

2,582

NU Horizons Electronics Corp. (a)(c)

1,576,500

10,531

Optimal Robotics Corp. Class A (a)(c)

1,300,600

9,039

Orbotech Ltd. (c)

3,196,085

50,338

Oxford Instruments PLC

350,000

1,056

Perceptron, Inc. (a)(c)

786,523

4,758

Pioneer Standard Electronics, Inc. (c)

1,893,811

17,006

Rotork PLC

175,000

975

Roxboro Group PLC

161,885

628

SAES Getters Spa sponsored ADR

1,373,000

8,120

ScanSource, Inc. (a)(c)

1,177,000

39,500

Scientific Technologies, Inc. (a)

157,600

709

Scribona AB (B Shares) (a)

219,502

267

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

480,000

326

Shinko Shoji Co. Ltd.

50,000

228

Sigmatron International, Inc. (a)(c)

288,100

3,716

Silent Witness Enterprises Ltd. (a)(c)

750,100

2,805

Solectron Corp. (a)

20,605,800

105,296

Somera Communications, Inc. (a)(c)

4,507,316

7,482

Spectrum Control, Inc. (a)(c)

1,314,400

7,584

Taitron Components, Inc. Class A (a)(c)

487,700

522

Tech Data Corp. (a)(c)

5,665,600

177,333

Technitrol, Inc. (a)

372,600

6,994

TT electronics PLC (c)

9,500,000

20,799

Varitronix International Ltd.

8,000,000

6,770

Wong's International Holdings Ltd.

502,587

89

Zomax, Inc. (a)(c)

3,227,309

12,457

723,230

Internet Software & Services - 0.1%

Keynote Systems, Inc. (a)

1,132,167

11,809

RWD Technologies, Inc. (a)(c)

1,338,101

2,756

14,565

IT Services - 4.8%

Affiliated Computer Services, Inc. Class A (a)

2,000,000

99,100

Altran Technologies SA

200,000

2,105

Carreker Corp. (a)(c)

2,354,100

10,476

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

IT Services - continued

Computer Sciences Corp. (a)

5,000,000

$ 202,850

Concord EFS, Inc. (a)

8,032,100

109,317

Convergys Corp. (a)

2,200,000

37,114

CSG Systems International, Inc. (a)(c)

3,596,148

54,266

Daitec Co. Ltd. (c)

457,000

5,269

eFunds Corp. (a)

2,004,881

22,415

Emblaze Ltd. (a)

50,000

93

Exact Holdings NV (a)

435,000

8,217

Forrester Research, Inc. (a)(c)

1,260,126

21,296

infoUSA, Inc. (a)(c)

3,015,485

27,139

InterCept, Inc. (a)

146,520

1,568

Lightbridge, Inc. (a)

258,900

2,568

Ordina NV

375,000

2,673

Perot Systems Corp. Class A (a)(c)

7,671,400

83,235

PinkRoccade NV

50,000

506

Sabre Holdings Corp. Class A (c)

8,400,000

193,872

Technology Solutions Co. (a)(c)

3,295,775

3,362

The BISYS Group, Inc. (a)

3,250,000

53,788

Tier Technologies, Inc. Class B (a)

544,394

5,493

946,722

Office Electronics - 0.2%

Zebra Technologies Corp. Class A (a)

500,000

38,790

Semiconductors & Semiconductor Equipment - 1.5%

BE Semiconductor Industries NV (NY Shares) (a)(c)

3,155,900

20,040

Catalyst Semiconductor, Inc. (a)

176,285

1,146

Cohu, Inc.

659,400

13,076

Diodes, Inc. (a)(c)

791,900

16,115

DuPont Photomasks, Inc. (a)(c)

1,157,967

23,727

ELMOS Semiconductor AG (a)

75,000

717

ESS Technology, Inc. (a)

500,000

4,330

Intest Corp. (a)(c)

868,000

4,114

Lattice Semiconductor Corp. (a)(c)

10,622,900

82,540

Melexis NV

1,360,868

11,583

MIPS Technologies, Inc.:

Class A (a)

167,300

532

Class B (a)

1,212,791

3,723

Nanometrics, Inc. (a)(c)

1,049,200

8,236

Pericom Semiconductor Corp. (a)(c)

2,009,299

18,134

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Reliability, Inc. (a)(c)

666,700

$ 800

Siliconix, Inc. (a)(c)

2,036,488

87,060

295,873

Software - 2.1%

Ansys, Inc. (a)(c)

1,474,000

49,733

Catapult Communications Corp. (a)

109,506

1,336

Check Point Software Technologies Ltd. (a)

600,000

10,674

CI Technologies Group Ltd.

1,100,000

849

Compuware Corp. (a)(c)

26,824,896

138,148

FJA AG

100,000

3,064

Geac Computer Corp. Ltd. (a)

2,738,100

9,810

GSE Systems, Inc. (a)(c)

297,600

452

Inet Technologies, Inc. (a)

1,179,685

13,118

MetaSolv, Inc. (a)(c)

3,719,003

8,368

NDS Group PLC sponsored ADR (a)

480,000

6,936

NetScout Systems, Inc. (a)

736,259

4,101

Netsmart Technologies, Inc. (a)

17,600

100

ORC Software AB

25,000

206

Pegasystems, Inc. (a)

310,838

2,213

Pervasive Software, Inc. (a)(c)

1,698,100

10,189

Phoenix Technologies Ltd. (a)

826,588

4,530

Planit Holdings PLC

1,500,000

592

Renaissance Learning, Inc. (a)

323,690

7,966

Reynolds & Reynolds Co. Class A

2,750,900

79,556

Royalblue Group PLC

10,000

67

Software AG (Bearer) (a)

150,000

2,650

Software Innovation ASA (a)

100,000

161

Synopsys, Inc. (a)

700,000

43,757

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

1,172,000

5,860

Unit 4 Agresso NV (a)

250,000

2,108

VISMA ASA

20,000

147

406,691

TOTAL INFORMATION TECHNOLOGY

3,095,101

MATERIALS - 4.8%

Chemicals - 1.5%

Aronkasei Co. Ltd.

750,000

2,009

Bairnco Corp. (c)

900,900

5,207

Celanese AG (c)

2,993,907

83,350

Common Stocks - continued

Shares

Value (Note 1)
(000s)

MATERIALS - continued

Chemicals - continued

CPAC, Inc. (c)

577,200

$ 3,440

Cytec Industries, Inc. (a)

500,000

19,310

Engelhard Corp.

1,525,000

40,077

FMC Corp. (a)(c)

1,820,690

43,514

Givaudan AG

10,000

4,096

Hercules, Inc. (a)

3,838,100

43,831

Nihon Kagaku Sangyo Co. Ltd.

200,000

509

Octel Corp. (c)

1,431,800

21,047

OM Group, Inc.

50,000

696

Solutia, Inc.

5,192,445

6,335

Spartech Corp.

1,292,500

29,379

Summa Industries, Inc. (a)(c)

423,052

3,088

Tokyo Printing Ink Manufacturing Co. Ltd.

375,000

849

306,737

Construction Materials - 1.7%

Asahi Concrete Works Co. Ltd. (c)

1,150,000

2,985

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

794,200

7,665

Centex Construction Products, Inc. (c)

1,031,800

46,431

Continental Materials Corp. (a)

21,900

504

Devcon International Corp. (a)(c)

375,700

2,513

Lafarge North America, Inc. (c)

7,247,036

242,776

Martin Marietta Materials, Inc.

275,500

10,552

Monarch Cement Co.

10,300

184

Readymix PLC

150,000

278

Texas Industries, Inc.

650,100

15,544

329,432

Containers & Packaging - 0.5%

Airspray NV

88,400

1,889

Bemis Co., Inc.

156,200

6,981

Caraustar Industries, Inc. (a)

988,426

8,856

Crown Holdings, Inc. (a)

1,000,000

7,470

Mod-Pacific Corp. (a)(c)

302,400

2,434

Mod-Pacific Corp. Class B (a)(c)

101,596

818

Nippon Steel Drum Co. Ltd.

100,000

246

Peak International Ltd. (a)(c)

1,375,700

7,429

Silgan Holdings, Inc. (a)(c)

1,808,300

57,775

93,898

Metals & Mining - 0.7%

Chubu Steel Plate Co. Ltd.

1,000,000

1,078

Common Stocks - continued

Shares

Value (Note 1)
(000s)

MATERIALS - continued

Metals & Mining - continued

Cleveland-Cliffs, Inc. (a)(c)

567,500

$ 11,180

Commonwealth Industries, Inc.

12,102

58

Harris Steel Group, Inc. Class A (non-vtg.)

445,100

6,103

Industrias Penoles SA de CV

3,082,400

6,043

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

1,500,000

5,876

MAXXAM, Inc. (a)(c)

553,400

7,554

Metalrax Group PLC

4,600,000

6,183

Northwest Pipe Co. (a)(c)

651,919

9,551

Novamerican Steel, Inc. (a)

2,700

20

Richmont Mines, Inc. (a)

273,900

882

Salzgitter AG

100,000

844

Sons of Gwalia Ltd.

250,000

478

UK Coal PLC (c)

12,529,900

19,767

USEC, Inc. (c)

8,000,000

58,160

133,777

Paper & Forest Products - 0.4%

Buckeye Technologies, Inc. (a)(c)

2,201,200

17,610

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

200,000

2,586

M-real Oyj (B Shares)

6,000,000

49,249

Noda Corp.

100,000

344

Sino-Forest Corp. Class A (sub. vtg.) (a)(c)

7,403,400

13,710

83,499

TOTAL MATERIALS

947,343

TELECOMMUNICATION SERVICES - 0.4%

Diversified Telecommunication Services - 0.1%

Atlantic Tele-Network, Inc. (c)

498,220

10,313

Cable & Wireless PLC sponsored ADR

2,004,800

11,066

City Telecom (HK) Ltd. (CTI)

4,100,000

1,341

XETA Technologies, Inc. (a)(c)

929,969

5,310

28,030

Wireless Telecommunication Services - 0.3%

Cosmote Mobile Telecommunications SA

1,650,000

18,924

Debitel AG

10,000

88

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

2,469,785

10,027

MobileOne Ltd.

1,000,000

841

SmarTone Telecommunications Holdings Ltd.

13,000,000

15,918

Common Stocks - continued

Shares

Value (Note 1)
(000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Tele Nordeste Celular Participacoes SA sponsored ADR

273,500

$ 4,526

Turkcell Iletisim Hizmet AS sponsored ADR (a)

325,500

5,192

55,516

TOTAL TELECOMMUNICATION SERVICES

83,546

UTILITIES - 0.2%

Electric Utilities - 0.1%

CenterPoint Energy, Inc.

1,350,000

10,895

Maine & Maritimes Corp. (c)

99,100

3,201

14,096

Gas Utilities - 0.1%

Hokuriku Gas Co.

1,700,000

4,526

Keiyo Gas Co. Ltd.

25,000

68

Otaki Gas Co. Ltd.

525,000

1,315

Southwestern Energy Co. (a)

394,600

5,998

11,907

Multi-Utilities & Unregulated Power - 0.0%

Sierra Pacific Resources (a)

825,000

4,249

Water Utilities - 0.0%

Wedeco AG Water Technology (a)

70,000

956

TOTAL UTILITIES

31,208

TOTAL COMMON STOCKS

(Cost $13,945,189)

18,028,976

Preferred Stocks - 0.1%

Convertible Preferred Stocks - 0.1%

CONSUMER STAPLES - 0.1%

Beverages - 0.1%

Constellation Brands, Inc. (depositary shares) Series A, 5.75%

223,400

5,825

Preferred Stocks - continued

Shares

Value (Note 1)
(000s)

Nonconvertible Preferred Stocks - 0.0%

CONSUMER DISCRETIONARY - 0.0%

Textiles Apparel & Luxury Goods - 0.0%

Hugo Boss AG

25,000

$ 413

TOTAL PREFERRED STOCKS

(Cost $5,889)

6,238

Convertible Bonds - 0.2%

Principal
Amount (000s)

HEALTH CARE - 0.0%

Health Care Providers & Services - 0.0%

ResCare, Inc. 6% 12/1/04

$ 6,785

6,412

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.0%

Natural MicroSystems Corp. 5% 10/15/05

5,000

3,725

Electronic Equipment & Instruments - 0.0%

Trans Lux Corp. 7.5% 12/1/06

500

410

Semiconductors & Semiconductor Equipment - 0.2%

Conexant Systems, Inc. 4% 2/1/07

31,950

26,918

TOTAL INFORMATION TECHNOLOGY

31,053

TOTAL CONVERTIBLE BONDS

(Cost $31,218)

37,465

Money Market Funds - 9.0%

Shares

Fidelity Cash Central Fund, 1.12% (b)

1,606,784,719

1,606,785

Fidelity Securities Lending Cash Central Fund, 1.13% (b)

162,678,345

162,678

TOTAL MONEY MARKET FUNDS

(Cost $1,769,463)

1,769,463

Cash Equivalents - 0.0%

Maturity
Amount (000s)

Value (Note 1)
(000s)

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.04%, dated 7/31/03 due 8/1/03)
(Cost $2,283)

2,283

$ 2,283

TOTAL INVESTMENT PORTFOLIO - 101.3%

(Cost $15,754,042)

19,844,425

NET OTHER ASSETS - (1.3)%

(245,171)

NET ASSETS - 100%

$ 19,599,254

Legend

(a) Non-income producing

(b) 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) Affiliated company

(d) 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 $8,895,000 or 0.0% of net assets.

Other Information

Distribution of investments by country of issue, as a percentage of total net assets, is as follows:

United States of America

84.7%

Canada

3.0%

United Kingdom

2.3%

Bermuda

1.7%

Ireland

1.3%

Netherlands

1.2%

Others (individually less than 1%)

5.8%

100.0%

Purchases and sales of securities, other than short-term securities, aggregated $5,629,927,000 and $3,364,556,000.

The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $725,000 for the period.

The fund participated in the interfund lending program as a borrower. The average daily loan balance during the period for which the loan was outstanding amounted to $6,541,000. The weighted average interest rate was 1.43%. At period end there were no interfund loans outstanding.

Income Tax Information

The fund hereby designates approximately $221,858,000 as a 20%-rate capital gain dividend for the purpose of the dividend paid deduction.

At July 31, 2003, the fund had a capital loss carryforward of approximately $69,908,000 all of which will expire on July 31, 2011.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)

July 31, 2003

Assets

Investment in securities, at value (including securities loaned of $157,331 and repurchase agreements of $2,283)(cost $15,754,042) - See accompanying schedule

$ 19,844,425

Foreign currency held at value (cost $ 2,111)

2,112

Receivable for investments sold

39,314

Receivable for fund shares sold

41,444

Dividends receivable

8,427

Interest receivable

2,179

Redemption fees receivable

7

Other receivables

187

Total assets

19,938,095

Liabilities

Payable for investments purchased

$ 145,573

Payable for fund shares redeemed

15,130

Accrued management fee

12,070

Other payables and accrued expenses

3,390

Collateral on securities loaned, at value

162,678

Total liabilities

338,841

Net Assets

$ 19,599,254

Net Assets consist of:

Paid in capital

$ 15,596,555

Undistributed net investment income

6,455

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(94,335)

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

4,090,579

Net Assets, for 651,639 shares outstanding

$ 19,599,254

Net Asset Value, offering price and redemption price per share ($19,599,254 ÷ 651,639 shares)

$ 30.08

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements - continued

Statement of Operations

Amounts in thousands

Year ended July 31, 2003

Investment Income

Dividends (including $62,448 received from affiliated issuers)

$ 139,969

Interest

22,710

Security lending

2,489

Total income

165,168

Expenses

Management fee
Basic fee

$ 98,783

Performance adjustment

21,604

Transfer agent fees

36,983

Accounting and security lending fees

1,146

Non-interested trustees' compensation

61

Appreciation in deferred trustee compensation account

16

Custodian fees and expenses

1,079

Registration fees

448

Audit

117

Legal

61

Interest

1

Miscellaneous

146

Total expenses before reductions

160,445

Expense reductions

(3,251)

157,194

Net investment income (loss)

7,974

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities (including realized gain (loss) of $(281,078) on sales of investments in affiliated issuers)

(88,741)

Foreign currency transactions

208

Total net realized gain (loss)

(88,533)

Change in net unrealized appreciation (depreciation) on:

Investment securities

2,504,264

Assets and liabilities in foreign currencies

97

Total change in net unrealized appreciation (depreciation)

2,504,361

Net gain (loss)

2,415,828

Net increase (decrease) in net assets resulting from operations

$ 2,423,802

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

Amounts in thousands

Year ended
July 31,
2003

Year ended
July 31,
2002

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 7,974

$ 46,484

Net realized gain (loss)

(88,533)

420,991

Change in net unrealized appreciation (depreciation)

2,504,361

(283,453)

Net increase (decrease) in net assets resulting from operations

2,423,802

184,022

Distributions to shareholders from net investment income

(17,590)

(65,314)

Distributions to shareholders from net realized gain

(316,609)

(618,513)

Total distributions

(334,199)

(683,827)

Share transactions
Net proceeds from sales of shares

4,991,514

8,532,199

Reinvestment of distributions

324,933

662,583

Cost of shares redeemed

(3,473,797)

(3,309,654)

Net increase (decrease) in net assets resulting from share transactions

1,842,650

5,885,128

Redemption fees

3,491

6,230

Total increase (decrease) in net assets

3,935,744

5,391,553

Net Assets

Beginning of period

15,663,510

10,271,957

End of period (including undistributed net investment income of $6,455 and undistributed net investment income of $23,633, respectively)

$ 19,599,254

$ 15,663,510

Other Information

Shares

Sold

190,743

305,336

Issued in reinvestment of distributions

12,565

26,455

Redeemed

(138,309)

(122,578)

Net increase (decrease)

64,999

209,213

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights

Years ended July 31,

2003

2002

2001

2000

1999

Selected Per-Share Data

Net asset value,
beginning of period

$ 26.70

$ 27.22

$ 23.93

$ 24.27

$ 25.87

Income from Investment Operations

Net investment income (loss) C

.01

.09 E

.22

.13

.12

Net realized and
unrealized gain (loss)

3.93

1.08 E

6.65

.87

.42

Total from investment operations

3.94

1.17

6.87

1.00

.54

Distributions from
net investment income

(.03)

(.16)

(.16)

(.15)

(.20)

Distributions from
net realized gain

(.54)

(1.54)

(3.43)

(1.19)

(1.94)

Total distributions

(.57)

(1.70)

(3.59)

(1.34)

(2.14)

Redemption fees added
to paid in capital C

.01

.01

.01

- F

- F

Net asset value, end of period

$ 30.08

$ 26.70

$ 27.22

$ 23.93

$ 24.27

Total Return A, B

15.14%

4.79%

32.36%

4.57%

3.72%

Ratios to Average Net Assets D

Expenses before
expense reductions

1.03%

.99%

1.02%

.81%

1.09%

Expenses net of
voluntary waivers, if any

1.03%

.99%

1.02%

.81%

1.09%

Expenses net of all reductions

1.01%

.97%

1.00%

.80%

1.08%

Net investment income (loss)

.05%

.34% E

.92%

.58%

.52%

Supplemental Data

Net assets,
end of period (in millions)

$ 19,599

$ 15,664

$ 10,272

$ 6,080

$ 7,702

Portfolio turnover rate

23%

26%

44%

15%

24%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Total returns do not include the effect of the former sales charges.

C Calculated based on average shares outstanding during the period.

D Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.

E Effective August 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities, as required. Per share data and ratios for periods prior to adoption have not been restated to reflect this change.

F Amount represents less than $.01 per-share.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended July 31, 2003

(Amounts in thousands except ratios)

1. Significant Accounting Policies.

Fidelity Low-Priced Stock Fund (the fund) is a fund of Fidelity Puritan Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:

Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and electronic data processing techniques. If an event that is expected to materially affect the value of a security occurs after the close of an exchange or market on which that security trades, but prior to the NAV calculation, then that security will be fair valued taking the event into account. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value as determined in good faith under consistently applied procedures under the general supervision of the Board of Trustees. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.

Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

1. Significant Accounting Policies - continued

Annual Report

Foreign Currency - continued

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. The fund estimates the components of distributions received from Real Estate Investment Trusts (REITs). Distributions received in excess of income are recorded as a reduction of cost of investments and/or realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, as required, is accrued as earned. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), non-interested Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of the fund or are invested in a cross-section of other Fidelity funds, and are marked-to-market. Deferred amounts remain in the fund until distributed in accordance with the Plan.

Income Tax Information and Distributions to Shareholders. Each year the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on each fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. Distributions are recorded on the ex-dividend date.

Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the fund will treat a portion of the proceeds from shares redeemed as a distribution from net investment income for income tax purposes. Capital accounts within the financial statements are adjusted for permanent and temporary book and tax differences. These adjustments have no impact on net assets or the results of operations. Temporary

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

1. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

differences will reverse in a subsequent period. These differences are primarily due to foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships, capital loss carryforwards and losses deferred due to wash sales.

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 5,285,794

Unrealized depreciation

(1,198,014)

Net unrealized appreciation (depreciation)

4,087,780

Undistributed ordinary income

1,186

Capital loss carryforward

(69,908)

Cost for federal income tax purposes

$ 15,756,645

The tax character of distributions paid was as follows:

July 31, 2003

July 31, 2002

Ordinary Income

$ 112,341

$ 157,153

Long-term Capital Gains

221,858

526,674

Total

$ 334,199

$ 683,827

Short-Term Trading (Redemption) Fees. Shares held in the fund less than 90 days are subject to a short-term trading fee equal to 1.50% of the proceeds of the redeemed shares. The fee, which is retained by the fund, is accounted for as an addition to paid in capital.

2. Operating Policies.

Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. The custodian bank receives the collateral, which is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

Annual Report

Restricted Securities. The fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale

2. Operating Policies - continued

Restricted Securities - continued

at an acceptable price may be difficult. Information regarding restricted securities is included under the captions "Legend" and/or "Other Information" at the end of the fund's Schedule of Investments.

3. Purchases and Sales of Investments.

Information regarding purchases and sales of securities is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

4. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the fund with investment management related services for which the fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .35% of the fund's average net assets and a group fee rate that averaged .28% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. In addition, the management fee is subject to a performance adjustment (up to a maximum of ± .20% of the fund's average net assets over a 36 month performance period). The upward or downward adjustment to the management fee is based on the fund's relative investment performance as compared to an appropriate benchmark index. For the period, the total annual management fee rate, including the performance adjustment, was .77% of the fund's average net assets.

Sales Load. For the period, Fidelity Distributors Corporation (FDC), an affiliate of FMR, received sales charges of $3,632 on sales of shares of the fund all of which was retained. Effective June 23, 2003, the fund's sales charge was eliminated.

Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of all shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .24% of average net assets.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

Accounting and Security Lending Fees. FSC maintains the fund's accounting records and administers the security lending program. The security lending fee is based on the number and duration of lending transactions. The accounting fee is based on the level of average net assets for the month plus out-of-pocket expenses.

Annual Report

4. Fees and Other Transactions with Affiliates - continued

Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $14,899 for the period.

Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms are shown under the caption "Other Information" at the end of the fund's Schedule of Investments.

5. Committed Line of Credit.

The fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.

6. Security Lending.

The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities.

7. Bank Borrowings.

The fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Information regarding the fund's participation in the program is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

8. Expense Reductions.

Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $3,090 for the period. In addition, through arrangements with the fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody and transfer agent expenses by $8 and $153, respectively.

9. Transactions with Affiliated Companies.

An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Transactions during the period with companies which are or were affiliates are as follows:

Summary of Transactions with Affiliated Companies

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

Aaon, Inc.

$ 315

$ 5,620

$ -

$ 13,794

AAR Corp.

2,087

-

-

15,390

Aastra Technologies Ltd.

9,740

-

-

15,785

Abbey PLC

-

-

829

21,453

ACE Cash Express, Inc.

758

-

-

14,106

Action Performance Companies, Inc.

12,550

-

-

33,428

Acuity Brands, Inc.

164

-

2,485

75,281

Adams Resources & Energy, Inc.

-

-

55

3,872

Advanced Marketing Services, Inc.

-

-

77

21,977

AirNet Systems, Inc.

543

-

-

2,725

Allou Health Care, Inc. Class A

-

282

-

-

Alpharma, Inc. Class A

-

15,412

-

-

AlphaStar Insurance Group Ltd.

-

10,194

-

-

America West Holding Corp. Class B

-

4,493

-

16,325

American Eagle Outfitters, Inc.

9,413

19,401

-

80,441

American Physicians Capital, Inc.

-

1,450

-

14,972

Ansys, Inc.

-

-

-

49,733

Applebee's International, Inc.

-

-

335

178,028

Applied Innovation, Inc.

822

-

-

4,946

ARK Restaurants Corp.

-

-

-

1,815

Arkansas Best Corp.

5,842

901

227

40,148

ArvinMeritor, Inc.

19,796

1,399

2,302

114,740

Asahi Concrete Works Co. Ltd.

-

-

65

2,985

Ask Central PLC

1,428

-

-

13,343

Astronics Corp.

13

-

-

2,305

Astronics Corp. Class B

-

-

-

711

Atlantic Tele-Network, Inc.

-

-

336

10,313

Summary of Transactions with Affiliated Companies - continued

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

AudioCodes Ltd.

$ 914

$ 5,078

$ -

$ -

AZZ, Inc.

279

-

-

5,783

Badger Daylighting, Inc.

132

-

-

950

Bairnco Corp.

-

-

180

5,207

Bank of the Ozarks, Inc.

-

46

324

28,650

BE Semiconductor Industries NV (NY Shares)

3,176

-

-

20,040

Benihana, Inc.

133

-

-

4,711

Benihana, Inc. Class A

651

-

-

5,897

BJ's Wholesale Club, Inc.

86,053

-

-

136,617

Black Box Corp.

-

-

304

82,014

Blair Corp.

-

859

466

17,015

Blonder Tongue Laboratories, Inc.

248

-

-

1,100

Blyth, Inc.

18,759

9,447

839

90,119

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

-

-

113

21,652

Bolt Technology Corp.

520

-

-

1,756

Boston Acoustics, Inc.

1,777

-

100

4,765

Boyd Brothers Transportation, Inc.

77

-

-

733

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

154

-

-

7,665

Brass Eagle, Inc.

327

-

-

3,523

Brookstone Co., Inc.

-

-

-

19,158

Brooktrout, Inc.

-

91

-

9,036

BTU International, Inc.

6

-

-

1,368

Buckeye Technologies, Inc.

2,615

-

-

17,610

Bush Industries, Inc. Class A

29

261

102

5,419

C&D Technologies, Inc.

813

2,492

140

38,519

Cagle's, Inc. Class A

-

-

-

2,326

California First National Bancorp

954

-

25

6,730

Canadian Western Bank, Edmonton

-

591

249

22,544

Carreker Corp.

1,196

-

-

10,476

Cascade Corp.

1,216

3,007

255

17,592

Castle Energy Corp.

-

-

233

5,415

Cathay Bancorp, Inc.

725

-

669

58,454

Cato Corp. Class A

-

-

1,187

46,720

CCS Income Trust unit

1,034

383

1,361

22,527

CD Bramall PLC

-

-

534

27,940

CEC Entertainment, Inc.

32,846

-

-

91,443

Celanese AG

8,779

-

-

83,350

Centex Construction Products, Inc.

1,387

1,195

206

46,431

Championship Auto Racing Teams, Inc.

2,122

-

-

2,487

Channell Commercial Corp.

996

-

-

3,608

Charlotte Russe Holding, Inc.

13,034

-

-

26,121

Chase Corp.

-

-

108

4,720

Summary of Transactions with Affiliated Companies - continued

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

Chase Industries, Inc.

$ -

$ -

$ -

$ -

Cherokee, Inc.

-

1,015

-

14,115

Chime Communications PLC

673

-

-

4,378

Chromcraft Revington, Inc.

-

-

-

12,636

ClearOne Communications, Inc.

3,058

2,478

-

2,189

Cleveland-Cliffs, Inc.

366

7,165

-

11,180

Coastcast Corp.

-

-

-

1,450

Cobra Electronics Corp.

-

-

-

3,694

Coldwater Creek, Inc.

270

1,308

-

17,680

Cole National Corp. Class A

-

1,736

-

-

Communications Systems, Inc.

1,104

-

58

4,489

Compudyne Corp.

485

64

-

4,538

Compuware Corp.

19,334

12,288

-

138,148

Constellation Brands, Inc. Class A

50,989

24,798

-

166,320

Cooper Companies, Inc.

6,092

1,125

53

61,338

Corvel Corp.

-

-

-

41,546

Cotelligent, Inc.

-

1,141

-

-

Cotton States Life Insurance Co.

-

-

98

5,929

CPAC, Inc.

-

-

162

3,440

CSG Systems International, Inc.

10,990

-

-

54,266

CTS Corp.

608

-

404

39,443

D & K Healthcare Resources, Inc.

4,875

-

30

17,091

D.R. Horton, Inc.

10,879

-

2,568

286,145

Daitec Co. Ltd.

78

-

-

5,269

Danier Leather, Inc.

-

-

-

3,100

Dataram Corp.

-

-

-

3,082

DCC PLC

25,886

-

1,771

94,252

Decorator Industries, Inc.

-

-

34

1,496

Del Global Technologies Corp.

-

2,570

-

-

Delta Apparel, Inc.

34

-

84

6,321

Dendrite International, Inc.

5,077

6,836

-

45,498

Department56, Inc.

73

-

-

18,076

Deswell Industries, Inc.

733

-

487

17,534

Devcon International Corp.

-

-

-

2,513

DIMON, Inc.

1,701

1,296

792

21,935

Diodes, Inc.

-

346

-

16,115

Ditech Communications Corp.

-

2,225

-

16,210

Diversified Corporate Resources, Inc.

-

1,425

-

-

Dominion Homes, Inc.

1,440

4,658

-

14,000

Doral Financial Corp.

-

2,298

1,970

187,673

Drew Industries, Inc.

-

155

-

18,317

DSG International Ltd.

-

-

359

2,281

DT Industries, Inc.

-

3,207

-

2,120

Summary of Transactions with Affiliated Companies - continued

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

Ducommun, Inc.

$ 1,547

$ 4,408

$ -

$ 15,711

DuPont Photomasks, Inc.

5,954

1,985

-

23,727

Dura Automotive Systems, Inc. Class A

792

-

-

17,100

Dycom Industries, Inc.

3,040

7,697

-

40,824

ECtel Ltd.

4,487

-

-

10,851

eFunds Corp.

4,824

6,877

-

-

Electronics for Imaging, Inc.

695

14,760

-

98,710

Elscint Ltd.

-

533

1,213

6,124

Embrex, Inc.

274

-

-

7,854

EMCOR Group, Inc.

32,605

-

-

61,912

Enesco Group, Inc.

1,399

-

-

9,210

Exactech, Inc.

-

1,266

-

13,455

Federal Screw Works

-

162

153

5,641

Financial Industries Corp.

-

87

65

19,798

Finish Line, Inc. Class A

8,295

14,189

-

-

Finlay Enterprises, Inc.

-

-

-

16,464

First Bancorp, Puerto Rico

-

22

1,495

119,093

First Mutual Bancshares, Inc.

1,520

-

109

8,896

Flanigan's Enterprises, Inc.

-

-

53

1,269

FMC Corp.

726

-

-

43,514

Footstar, Inc.

47

-

-

22,841

Foremost Industries Income Fund Trust unit

-

-

218

2,462

Forrester Research, Inc.

4,555

9,785

-

21,296

Fossil, Inc.

-

1,532

-

114,629

French Connection Group PLC

-

-

-

22,404

Fresh Brands, Inc.

-

136

185

7,323

Friedmans, Inc. Class A

-

1,287

144

21,829

Gardner Denver, Inc.

-

497

-

34,724

Gateway, Inc.

2,274

6,682

-

100,669

Gehl Co.

-

-

-

6,928

General Cable Corp.

83

-

165

23,554

Genesee & Wyoming, Inc. Class A

3,887

890

-

19,745

Genlyte Group, Inc.

703

-

-

50,761

Giant Industries, Inc.

-

-

-

5,139

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

-

1,337

-

62,211

Global Imaging Systems, Inc.

7,208

-

-

37,423

Goodfellow, Inc.

-

-

86

3,208

GSE Systems, Inc.

-

31

-

452

GTSI Corp.

761

538

-

7,471

Guitar Center, Inc.

1,262

8,508

-

-

Hampshire Group Ltd.

169

-

-

14,700

Hanmi Financial Corp.

-

3,115

224

18,250

Hansen Natural Corp.

1,339

-

-

4,465

Summary of Transactions with Affiliated Companies - continued

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

Hawthorne Financial Corp.

$ -

$ -

$ -

$ 18,632

HealthSouth Corp.

71,638

179,446

-

-

Heijmans NV

7,093

-

-

30,904

Helen of Troy Ltd.

-

1,769

-

48,698

Henry Boot PLC

3,415

-

450

12,590

Herbalife International, Inc. Class A

-

1,295

-

-

Hibbett Sporting Goods, Inc.

-

-

-

33,383

Hirsch International Corp. Class A

-

3,760

-

-

Holly Corp.

-

6,363

639

28,401

Home Capital Group, Inc.
Class B (sub. vtg.)

755

-

70

17,034

Horizon Health Corp.

-

-

-

11,404

Howell Corp.

-

2,633

44

-

Hurco Companies, Inc.

-

-

-

872

ICU Medical, Inc.

2,037

1,174

-

35,530

IHOP Corp.

2,283

13,589

763

50,250

IMPATH, Inc.

3,271

1,425

-

14,536

Independence Federal Savings Bank

-

600

-

-

InFocus Corp.

40

-

-

18,145

infoUSA, Inc.

2,479

-

-

27,139

Insight Enterprises, Inc.

526

-

-

71,738

Intermet Corp.

5,267

-

364

9,446

Intest Corp.

-

-

-

4,114

Invacare Corp.

4,959

-

104

77,273

IPC Holdings Ltd.

7,082

-

1,062

121,502

Jack in the Box, Inc.

22,657

-

-

71,046

JAKKS Pacific, Inc.

1,454

-

-

28,077

JLM Couture, Inc.

-

-

-

952

Johnson Outdoors, Inc. Class A

180

346

-

-

Jyske Bank AS (Reg.)

1,936

228

-

89,385

K2, Inc.

-

6,476

-

-

KCS Energy, Inc.

1,317

-

-

18,526

Kenneth Cole Productions, Inc. Class A

124

-

-

27,936

Kensey Nash Corp.

-

-

-

16,180

Kentucky Electric Steel, Inc.

-

716

-

-

Kleeneze PLC

-

-

-

4,825

Koninklijke Volker Wessels Stevin NV (Certificaten Van Aandelen)

6,961

9,583

3,280

53,216

Lafarge North America, Inc.

33,964

4,743

4,012

242,776

Lakes Entertainment, Inc.

23

-

-

9,400

Lattice Semiconductor Corp.

46,359

16,444

-

82,540

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

63

-

44

1,467

Linx Printing Technologies PLC

2,200

-

135

7,027

Summary of Transactions with Affiliated Companies - continued

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

Lithia Motors, Inc. Class A

$ 9,074

$ -

$ -

$ 27,988

Local Financial Corp.

12,905

1,129

-

28,957

Lufkin Industries, Inc.

936

5,514

359

12,419

M/I Schottenstein Homes, Inc.

-

59

176

71,383

Maine & Maritimes Corp.

621

-

110

3,201

Major Drilling Group International, Inc.

1,429

-

-

5,876

Mapics, Inc.

56

-

-

-

Marine Products Corp.

-

-

191

19,214

Markwest Hydrocarbon, Inc.

-

-

-

6,130

Marten Transport Ltd.

-

-

-

12,759

MAXXAM, Inc.

-

1,152

-

7,554

MCSi, Inc.

99

18,435

-

-

Measurement Specialties, Inc.

-

2,316

-

-

Media Arts Group, Inc.

-

-

-

3,080

Medical Action Industries, Inc.

1,064

-

-

8,213

Medstone International, Inc.

-

-

-

1,751

Mercer International, Inc. (SBI)

-

4,739

-

-

Meritage Corp.

3,405

4,846

-

32,176

Mesa Laboratories, Inc.

26

140

-

2,258

Mesaba Holdings, Inc.

2,194

-

-

15,342

MetaSolv, Inc.

353

-

-

8,368

Metro One Telecommunications, Inc.

101

-

-

10,027

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

-

-

914

90,113

MFC Bancorp Ltd.

-

-

-

8,028

Microsemi Corp.

8,759

9,207

-

-

Midwest Express Holdings, Inc.

427

-

-

6,005

MOCON, Inc.

83

288

86

2,582

Mod-Pacific Corp.

-

-

-

2,434

Mod-Pacific Corp. Class B

-

-

-

818

Monro Muffler Brake, Inc.

-

1,977

-

21,312

Monterey Pasta Co.

2,444

-

-

6,241

MOSAID Technologies, Inc.

-

730

-

-

Movado Group, Inc.

-

231

146

22,358

MTR Gaming Group, Inc.

4,788

-

-

17,477

Murakami Corp.

-

-

46

2,999

Nagawa Co. Ltd.

303

-

118

4,124

Nanometrics, Inc.

3,323

1,511

-

8,236

National Dentex Corp.

-

-

-

7,329

National Healthcare Corp.

-

-

-

18,818

National R.V. Holdings, Inc.

-

-

-

6,794

National Service Industries, Inc.

1,001

2,747

30

-

National Western Life Insurance Co. Class A

2,531

-

-

31,943

Summary of Transactions with Affiliated Companies - continued

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

Nationwide Financial Services, Inc. Class A

$ 3,365

$ 1,206

$ 745

$ 90,622

Nature's Sunshine Products, Inc.

-

-

215

12,938

Nautica Enterprises, Inc.

-

9,490

-

54,444

NCI Building Systems, Inc.

852

-

-

33,171

New Horizons Worldwide, Inc.

124

39

-

6,150

Nordlandsbanken AS

-

1,868

-

-

North Central Bancshares, Inc.

-

148

128

5,841

Northwest Pipe Co.

4,240

-

-

9,551

Novel Denim Holdings Ltd.

-

-

-

1,925

Novus Petroleum Ltd.

1,568

-

-

11,516

NQL Drilling Tools, Inc.

1,798

-

-

5,766

NU Horizons Electronics Corp.

415

803

-

10,531

Oakwood Homes Corp.

-

2,733

-

-

Octel Corp.

-

-

143

21,047

Ocular Sciences, Inc.

607

-

-

51,078

Offshore Logistics, Inc.

10,832

-

-

40,198

Old Dominion Freight Lines, Inc.

4,290

88

-

49,022

On Assignment, Inc.

6,216

-

-

13,693

One Price Clothing Stores, Inc.

-

2,394

-

-

Optimal Robotics Corp. Class A

4,511

1,652

-

9,039

Orbotech Ltd.

7,635

-

-

50,338

Orthofix International NV

5,376

-

-

38,848

Osteotech, Inc.

-

3,042

-

-

Outback Steakhouse, Inc.

-

13,521

1,644

156,870

P&F Industries, Inc. Class A

-

-

-

2,436

P.A.M. Transportation Services, Inc.

4,980

-

-

25,358

Pacific Sunwear of California, Inc.

-

2,849

-

-

Pacific Union Bank

-

618

-

-

PacifiCare Health Systems, Inc.

3,571

343

-

198,445

Papa John's International, Inc.

-

-

-

59,804

Parkvale Financial Corp.

-

617

54

-

Pason Systems, Inc.

1,094

-

46

12,206

Patrick Industries, Inc.

-

1,407

52

1,858

Pe Ben Oilfield Services Ltd.

-

-

-

1,257

Peak Energy Services Ltd.

458

-

-

4,915

Peak International Ltd.

-

-

-

7,429

Perceptron, Inc.

1,290

-

-

4,758

Pericom Semiconductor Corp.

6,350

758

-

18,134

Perot Systems Corp. Class A

36,294

17,610

-

83,235

Perry Ellis International, Inc.

-

3,734

-

-

Persona, Inc.

839

-

-

6,297

Pervasive Software, Inc.

-

-

-

10,189

Summary of Transactions with Affiliated Companies - continued

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

Petroleum Development Corp.

$ -

$ -

$ -

$ 15,465

Petroleum Helicopters, Inc.

-

-

-

7,201

Philadelphia Consolidated Holding Corp.

1,130

1,337

-

52,373

Piolax, Inc

322

-

151

9,165

Pioneer Standard Electronics, Inc.

4,275

-

91

17,006

Polo Ralph Lauren Corp. Class A

2,439

-

135

71,521

Pomeroy IT Solutions, Inc.

-

-

1,014

16,608

Pubco Corp.

-

1,590

-

-

PXRE Group Ltd.

3,874

603

257

22,019

Quaker City Bancorp, Inc.

2,956

-

-

16,318

Qualstar Corp.

713

-

-

6,526

Quiksilver, Inc.

-

6,565

-

50,976

Quipp, Inc.

-

-

-

1,610

Quixote Corp.

-

195

197

14,166

R.H. Donnelley Corp.

2,525

9,534

-

-

RADWARE Ltd.

2,536

7,942

-

-

RCM Technologies, Inc.

-

-

-

4,201

Refac

-

511

-

-

RehabCare Group, Inc.

8

-

-

27,800

Reliability, Inc.

-

-

-

800

RemedyTemp, Inc. Class A

655

-

-

9,406

Renal Care Group, Inc.

27,684

-

-

173,107

ResCare, Inc.

946

-

-

8,550

Rex Stores Corp.

-

-

-

18,690

Right Management Consultants, Inc.

2,680

2,934

-

17,337

Ringerikes Sparebank

19

-

32

584

Ringkjoebing Bank (Reg.)

-

95

80

6,738

Riviana Foods, Inc.

-

321

616

26,849

ROHN Industries, Inc.

-

1,819

-

639

Ross Stores, Inc.

9,466

1,791

236

187,370

Roto Smeets de Boer NV

1,199

-

227

7,235

RPC, Inc.

52

169

284

31,355

RWD Technologies, Inc.

-

-

-

2,756

Ryan's Family Steak Houses, Inc.

4,008

-

-

34,399

Sabre Holdings Corp. Class A

31,378

11,620

1,209

193,872

SBS Technologies, Inc.

320

534

-

16,078

ScanSource, Inc.

803

-

-

39,500

Scherer Healthcare, Inc.

-

1,391

-

-

SCS Transportation, Inc.

1,509

-

-

13,532

SED International Holdings, Inc.

-

-

-

326

Send Group PLC

-

-

-

910

ShoLodge, Inc.

66

-

-

1,339

ShopKo Stores, Inc.

4,590

9,280

-

36,720

Summary of Transactions with Affiliated Companies - continued

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

Sigmatron International, Inc.

$ -

$ -

$ -

$ 3,716

Silent Witness Enterprises Ltd.

1,483

-

-

2,805

Silgan Holdings, Inc.

2,167

385

-

57,775

Siliconix, Inc.

4,347

4,399

-

87,060

Sino-Forest Corp. Class A (sub. vtg.)

750

-

-

13,710

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

6,600

-

-

12,258

Somera Communications, Inc.

3,408

-

-

7,482

Sonic Corp.

-

133

-

102,648

Source Interlink Companies, Inc.

288

-

-

15,308

SOURCECORP, Inc.

2,408

-

-

40,549

Southern Energy Homes, Inc.

-

-

-

3,491

Southwest Bancorp, Inc., Oklahoma

369

-

-

10,301

Sparebanken Rana

112

-

28

809

Spectrum Control, Inc.

-

-

-

7,584

Spherion Corp.

11,604

-

-

45,220

Sportscene Restaurants, Inc. Class A

-

-

40

1,544

Standard Commercial Corp.

236

-

336

23,718

Stanley Furniture Co., Inc.

-

1,028

67

16,618

Stantec, Inc.

241

-

-

25,463

Steiner Leisure Ltd.

1,601

-

-

28,122

Sterling Bancorp, New York

260

-

836

34,383

Stoneridge, Inc.

-

2,275

-

31,534

Strattec Security Corp.

-

-

-

28,285

Summa Industries, Inc.

1,790

-

-

3,088

Swift Energy Co.

11,364

-

-

30,776

Sylvan, Inc.

-

3,148

-

-

Taitron Components, Inc. Class A

-

-

-

522

Tandy Brands Accessories, Inc.

19

-

-

7,024

TB Wood's Corp.

-

-

150

3,338

TBC Corp.

2,931

2,021

-

38,635

Tech Data Corp.

70,356

-

-

177,333

Technology Solutions Co.

1,221

-

-

3,362

Teekay Shipping Corp.

-

5,211

1,881

92,568

Tejon Ranch Co.

-

496

-

32,350

The Allied Defense Group, Inc.

-

-

-

8,722

The Childrens' Place Retail Stores, Inc.

12,714

-

-

57,037

The Men's Wearhouse, Inc.

6,513

2,046

-

75,930

The Oilgear Co.

-

-

-

428

The PMI Group, Inc.

116,970

-

744

292,495

The Stephan Co.

-

3,896

18

-

Theragenics Corp.

-

-

-

13,139

Thomas Group

-

-

-

-

Summary of Transactions with Affiliated Companies - continued

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

Timberline Software Corp.

$ -

$ 4,237

$ 103

$ -

Toami Corp.

-

-

45

1,335

Tokyo Kisen Co. Ltd.

89

-

-

1,503

Tommy Hilfiger Corp.

787

-

-

94,059

Total Energy Services Ltd.

823

-

-

5,055

Trancom Co. Ltd.

-

15

58

-

Transpro, Inc.

23

2,870

-

1,571

Trenwick Group Ltd.

-

57,372

147

-

Trinity Industries, Inc.

23,196

-

983

104,310

Trio-Tech International

-

-

-

786

Triumph Group, Inc.

-

-

-

24,645

Trover Solutions, Inc.

-

-

-

6,453

TT electronics PLC

3,213

-

-

20,799

TTI Team Telecom International Ltd.

3,081

-

-

5,860

TVA Group, Inc. Class B

1,165

-

181

24,046

Twin Disc, Inc.

-

3,756

132

-

UK Coal PLC

-

4,171

2,324

19,767

Uni-Select, Inc.

4,123

-

213

23,514

United Retail Group, Inc.

-

2,675

-

-

Up, Inc.

-

-

51

1,788

URS Corp.

16,744

-

-

56,752

USEC, Inc.

110

229

4,393

58,160

USF Corp.

550

-

1,006

85,088

Utah Medical Products, Inc.

-

2,500

-

10,507

Velan, Inc. (sub. vtg.)

437

-

36

3,249

Wao Corp.

-

-

19

713

Whitehall Jewellers, Inc.

2,313

-

-

11,451

William Lyon Homes, Inc.

-

234

-

17,346

Wilsons Leather Experts, Inc.

3,170

-

-

16,493

Wireless Telecom Group, Inc.

499

1,682

91

4,269

World Fuel Services Corp.

-

428

370

29,491

Wyndeham Press Group PLC

1,097

-

114

5,620

XETA Technologies, Inc.

1,059

-

-

5,310

Yardville National Bancorp

-

3,241

297

-

Young Innovations, Inc.

4,800

-

-

19,348

Zapata Corp.

1,684

-

-

13,942

Zomax, Inc.

5,305

-

-

12,457

TOTALS

$ 1,308,497

$ 784,270

$ 62,448

$ 10,457,275

Annual Report

Report of Independent Auditors

To the Trustees of Fidelity Puritan Trust and the Shareholders of Fidelity Low-Priced Stock Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Low-Priced Stock Fund (a fund of Fidelity Puritan Trust) at July 31, 2003 and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Low-Priced Stock Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at July 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

September 12, 2003

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 279 funds advised by FMR or an affiliate. Mr. McCoy oversees 281 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (73)**

Year of Election or Appointment: 1984

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc.

Abigail P. Johnson (41)**

Year of Election or Appointment: 2001

Senior Vice President of Low-Priced Stock (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds.

Laura B. Cronin (49)

Year of Election or Appointment: 2003

Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002).

Robert L. Reynolds (51)

Year of Election or Appointment: 2003

Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.

Annual Report

Non-Interested Trustees:

Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

J. Michael Cook (60)

Year of Election or Appointment: 2001

Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), Rockwell Automation (2000) and The Dow Chemical Company (2000). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Board of the Directorship Search Group, Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater.

Ralph F. Cox (71)

Year of Election or Appointment: 1991

Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin.

Phyllis Burke Davis (71)

Year of Election or Appointment: 1992

Mrs. Davis is retired from Avon Products, Inc. (consumer products) where she held various positions including Senior Vice President of Corporate Affairs and Group Vice President of U.S. product marketing, sales, distribution, and manufacturing. Mrs. Davis is a member of the Board of Directors of the Southampton Hospital in Southampton, N.Y. (1998). Previously, she served as a Director of BellSouth Corporation (telecommunications), Eaton Corporation (diversified industrial), the TJX Companies, Inc. (retail stores), Hallmark Cards, Inc., and Nabisco Brands, Inc.

Robert M. Gates (59)

Year of Election or Appointment: 1997

Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), and Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001). He also serves as a member of the Advisory Board of VoteHere.net (secure internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy.

Donald J. Kirk (70)

Year of Election or Appointment: 1987

Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations).

Marie L. Knowles (56)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing), URS Corporation (multidisciplinary engineering, 1999), and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (59)

Year of Election or Appointment: 2000

Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Chairman and as a Director (1998) of Acterna Corporation (communications test equipment). He is also Co-Chairman of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Eaton Corporation (diversified industrial) and the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations.

Marvin L. Mann (70)

Year of Election or Appointment: 1993

Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals) where he remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. Mr. Mann is a Board member of Imation Corp. (imaging and information storage) and Acterna Corporation (communications test equipment, 1999). He is also a member of the Director Services Committee of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.

William O. McCoy (69)

Year of Election or Appointment: 1997

Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), Progress Energy, Inc. (electric utility), and Acterna Corporation (communications test equipment, 1999). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998).

William S. Stavropoulos (64)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman of the Board, President and CEO (2002), and Chairman of the Executive Committee (2000) and a Director of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000) and Chief Executive Officer (1995-2000). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council, World Business Council for Sustainable Development, and the University of Notre Dame Advisory Council for the College of Science.

Annual Report

Trustees and Officers - continued

Advisory Board Members and Executive Officers:

Correspondence intended for Dr. Heilmeier may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

George H. Heilmeier (67)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Puritan Trust. Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001) and Teletech Holdings (customer management services, 1998). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the IEEE (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences and The Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania.

Peter S. Lynch (60)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Puritan Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.

John B. McDowell (44)

Year of Election or Appointment: 2002

Vice President of Low-Priced Stock. Mr. McDowell also serves as Vice President of certain Equity Funds (2002). He is Senior Vice President of FMR (1999), FMR Co., Inc. (2001), and Fidelity Management Trust Company (FMTC). Since joining Fidelity Investments in 1985, Mr. McDowell has worked as a research analyst and manager.

Joel Tillinghast (45)

Year of Election or Appointment: 1992

Vice President of Low-Priced Stock.

Eric D. Roiter (54)

Year of Election or Appointment: 1998

Secretary of Low-Priced Stock. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003).

Stuart Fross (43)

Year of Election or Appointment: 2003

Assistant Secretary of Low-Priced Stock. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR.

Maria F. Dwyer (44)

Year of Election or Appointment: 2002

President and Treasurer of Low-Priced Stock. Ms. Dwyer also serves as President and Treasurer of other Fidelity funds (2002) and is a Vice President (1999) and an employee (1996) of FMR. Prior to joining Fidelity, Ms. Dwyer served as Director of Compliance for MFS Investment Management.

Timothy F. Hayes (52)

Year of Election or Appointment: 2002

Chief Financial Officer of Low-Priced Stock. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998).

John R. Hebble (45)

Year of Election or Appointment: 2003

Deputy Treasurer of Low-Priced Stock. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003).

John H. Costello (56)

Year of Election or Appointment: 1989

Assistant Treasurer of Low-Priced Stock. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.

Francis V. Knox, Jr. (56)

Year of Election or Appointment: 2002

Assistant Treasurer of Low-Priced Stock. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002).

Mark Osterheld (48)

Year of Election or Appointment: 2002

Assistant Treasurer of Low-Priced Stock. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.

Thomas J. Simpson (45)

Year of Election or Appointment: 1998

Assistant Treasurer of Low-Priced Stock. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995).

Annual Report

Distributions

The fund designates 25% of the dividend distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund will notify shareholders in January 2004 of amounts for use in preparing 2003 income tax returns.

Annual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

1   For mutual fund and brokerage trading.

2   For quotes.*

3   For account balances and holdings.

4   To review orders and mutual
fund activity.

5   To change your PIN.

*0   To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Annual Report

To Visit Fidelity

For directions and hours,
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

7373 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

527 North Brand Boulevard
Glendale, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

10100 Santa Monica Blvd.
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

1760 Challenge Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

8 Montgomery Street
San Francisco, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6300 Canoga Avenue
Woodland Hills, CA

Colorado

1625 Broadway
Denver, CO

9185 East Westview Road
Littleton, CO

Connecticut

48 West Putnam Avenue
Greenwich, CT

265 Church Street
New Haven, CT

300 Atlantic Street
Stamford, CT

29 South Main Street
West Hartford, CT

Delaware

222 Delaware Avenue
Wilmington, DE

Florida

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

1907 West State Road 434
Longwood, FL

8880 Tamiami Trail, North
Naples, FL

3501 PGA Boulevard
West Palm Beach, FL

8065 Beneva Road
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Annual Report

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

1415 West 22nd Street
Oak Brook, IL

1700 East Golf Road
Schaumburg, IL

3232 Lake Avenue
Wilmette, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7401 Wisconsin Avenue
Bethesda, MD

One W. Pennsylvania Ave.
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

405 Cochituate Road
Framingham, MA

416 Belmont Street
Worcester, MA

Annual Report

Michigan

280 Old N. Woodward Ave.
Birmingham, MI

43420 Grand River Avenue
Novi, MI

29155 Northwestern Hwy.
Southfield, MI

Minnesota

7600 France Avenue South
Edina, MN

Missouri

8885 Ladue Road
Ladue, MO

New Jersey

150 Essex Street
Millburn, NJ

56 South Street
Morristown, NJ

501 Route 17, South
Paramus, NJ

3518 Route 1 North
Princeton, NJ

New York

1055 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

North Carolina

4611 Sharon Road
Charlotte, NC

Ohio

3805 Edwards Road
Cincinnati, OH

28699 Chagrin Boulevard
Woodmere Village, OH

Oregon

16850 SW 72nd Avenue
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

47 Providence Place
Providence, RI

Tennessee

6150 Poplar Avenue
Memphis, TN

Texas

10000 Research Boulevard
Austin, TX

4017 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

400 East Las Colinas Blvd.
Irving, TX

14100 San Pedro
San Antonio, TX

19740 IH 45 North
Spring, TX

6005 West Park Boulevard
Plano, TX 75093

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Annual Report

Utah

215 South State Street
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

411 108th Avenue, N.E.
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

595 North Barker Road
Brookfield, WI

Annual Report

To Write Fidelity

We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.

(letter_graphic)Making Changes
To Your Account

(such as changing name, address, bank, etc.)

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002

(letter_graphic)For Non-Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

(letter_graphic)For Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

Annual Report

Annual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Adviser

FMR Co., Inc.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Far East) Inc.

Fidelity Investments Japan Limited

Fidelity International Investment
Advisors

Fidelity International Investment
Advisors (U.K.) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Shareholder
Servicing Agent

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Fidelity

Value Discovery

Fund

Annual Report

July 31, 2003

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's messge to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets,
as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

Auditors' Opinion

<Click Here>

The auditors' opinion.

Trustees and Officers

<Click Here>

Distributions

<Click Here>

For a free copy of the fund's proxy voting guidelines visit www.fidelity.com/goto/proxyguidelines, call 1-800-544-8544, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.

(Recycle graphic)   This report is printed on recycled paper using soy-based inks.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

Mutual fund shares are not deposits or obligations of, or guaranteed by, any depository institution. Shares are not insured by the FDIC, Federal Reserve Board or any other agency, and are subject to investment risks, including possible loss of principal amount invested.

Neither the fund nor Fidelity Distributors Corporation is a bank.

For more information on any Fidelity fund, including charges and expenses, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

This shareholder update and report on the performance of your fund is among the first to be produced under the new Sarbanes-Oxley Public Company Accounting and Investor Protection Act of 2002. This act requires that public companies certify, under penalty of law, the financial information they report to shareholders. It was adopted by Congress in reaction to several incidents of corporate malfeasance that brought the integrity of management of some publicly traded companies into question.

After the act was signed into law, the Securities and Exchange Commission interpreted it as applying to mutual funds as well as public companies. Thus, every mutual fund now is required to certify that the financial information provided in annual and semiannual reports to shareholders fully and fairly presents its financial position.

There is little doubt that the intent of Congress and regulators in this matter is a noble one - to improve the accuracy and accountability of financial reporting to investors by corporate America. We in no way condone any of the activities that brought about these requirements, and we welcome any and every reasonable proposal to strengthen investor protection and information disclosure.

That said, we are proud that mutual funds have always provided full and fair disclosure. Governed by the Investment Company Act of 1940 - and monitored and regulated by federal and state agencies, industry oversight associations, and independent directors - mutual funds are among the most transparent of all financial products. For example, the prices of mutual fund shares are established and published every business day, and the majority of members of the Board of Trustees that oversees our funds are not affiliated with the business of Fidelity. The disclosure standards of mutual funds actually have become models for governance and transparency across corporate America.

We are, of course, complying in full with the letter of this new requirement and hope that any future efforts by Congress to reassure investors about the honesty of corporate America will focus on practical and substantive solutions of genuine value to shareholders.

This sort of careful consideration was evident as Congress deliberated President Bush's tax cut package this spring, then enacted legislation that contains a variety of benefits for American families, investors and businesses. Although the final bill did not completely eliminate the tax that individual investors pay when they receive dividends from companies, it still will benefit American investors, and we applaud it in the spirit of compromise that marked the debate in Congress.

At Fidelity, we are committed to acting at all times in accordance with the highest standards of integrity and in the best interests of our fund shareholders. We are proud of the amount of information we provide to those who invest in our funds and pleased to continue that level of communication with you in these reports.

Best regards,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. If Fidelity had not reimbursed certain fund expenses the total returns and dividends would have been lower. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Average annual total returns take Fidelity Value Discovery Fund's cumulative total return and show you what would have happened if Fidelity Value Discovery fund shares had performed at a constant rate each year. These numbers will be reported once the fund is a year old.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity Value Discovery Fund on December 10, 2002, when the fund started. The chart shows how the value of your investment would have grown, and also shows how the Russell 3000® Value Index did over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Scott Offen, Portfolio Manager of Fidelity® Value Discovery Fund

Shaking off corporate governance scandals, weak corporate profits, and fears of war and terrorism, U.S. equities climbed sharply higher in the back half of the one-year period ending July 31, 2003, as positive signals emerged that many hoped would mark the end of the stock market's three-year decline. Among the bright spots, the Federal Reserve Board cut the fed funds target rate twice in the period, dropping it to a 45-year low of 1.00%. The 2003 first-quarter earnings season was solid, as was the second-quarter increase in gross domestic product. But the rapid conclusion of major military operations in Iraq seemed to provide the biggest boost. Overall, the mid-March through July rally lifted most equity benchmarks into positive territory for the period, and many enjoyed double-digit returns. The technology-rich NASDAQ Composite® Index advanced 31.22%, the large-cap-oriented Standard & Poor's 500SM Index gained 10.64%, the small-cap-laden Russell 2000® Index leapt 23.11% and the blue chips' bellwether Dow Jones Industrial AverageSM added 8.16%.

From its inception on December 10, 2002, through July 31, 2003, the fund returned 10.90%. By contrast, the Russell 3000® Value Index returned 12.44% percent. The fund underperformed its benchmark because of disappointing performance from several individual stock picks, particularly within the fund's energy holdings. For example, Weatherford International, an oil and gas equipment company, saw its stock price fall along with the rest of the energy sector. Another weak relative performer was Owens-Illinois, a glass and plastics packaging maker that was hurt by higher-than-expected pension expenses and natural gas costs. We sold Owens-Illinois before the period's end. On the positive side, owning home builder Lennar helped the fund. The company benefited from its inexpensive valuation, strong financial position and better-than-expected earnings. American Tower also boosted fund performance. The company leases antenna space to wireless communications providers, and strong wireless demand helped increase American Tower's profitability.

The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Investment Changes

Top Ten Stocks as of July 31, 2003

% of fund's
net assets

% of fund's net assets
6 months ago

Bank of America Corp.

3.4

2.5

Option Care, Inc.

2.7

1.8

Morgan Stanley

2.2

1.9

Merrill Lynch & Co., Inc.

2.1

1.6

Olin Corp.

2.0

0.5

American International Group, Inc.

2.0

1.6

Eaton Corp.

1.6

0.7

Citizens Communications Co.

1.6

1.6

Smith International, Inc.

1.5

1.6

Weatherford International Ltd.

1.5

0.8

20.6

Top Five Market Sectors as of July 31, 2003

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

25.8

25.0

Information Technology

16.5

7.2

Energy

13.7

13.3

Consumer Discretionary

10.4

11.6

Industrials

9.7

16.2

Asset Allocation (% of fund's net assets)

As of July 31, 2003

As of January 31, 2003

Stocks 98.3%

Stocks 98.6%

Short-Term
Investments and
Net Other Assets 1.7%

Short-Term
Investments and
Net Other Assets 1.4%

* Foreign investments

11.5%

** Foreign investments

6.4%

Annual Report

Investments July 31, 2003

Showing Percentage of Net Assets

Common Stocks - 98.3%

Shares

Value
(Note 1)

CONSUMER DISCRETIONARY - 10.4%

Hotels, Restaurants & Leisure - 0.5%

McDonald's Corp.

7,200

$ 165,672

Household Durables - 1.7%

Champion Enterprises, Inc. (a)

40,400

262,196

Lennar Corp. Class A

4,855

316,497

578,693

Media - 7.0%

AOL Time Warner, Inc. (a)

22,480

346,866

Cablevision Systems Corp. - NY Group Class A (a)

7,100

151,230

Clear Channel Communications, Inc.

7,400

303,030

Comcast Corp. Class A (a)

10,070

305,322

Emmis Communications Corp. Class A (a)

7,200

144,072

Fox Entertainment Group, Inc. Class A (a)

5,600

169,512

Omnicom Group, Inc.

2,200

162,536

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

10,500

174,195

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

8,000

348,160

Walt Disney Co.

16,100

352,912

2,457,835

Textiles Apparel & Luxury Goods - 1.2%

Jones Apparel Group, Inc. (a)

3,600

104,220

Liz Claiborne, Inc.

4,640

159,755

Perry Ellis International, Inc. (a)

6,500

153,660

417,635

TOTAL CONSUMER DISCRETIONARY

3,619,835

ENERGY - 13.7%

Energy Equipment & Services - 13.7%

BJ Services Co. (a)

15,210

520,943

Cooper Cameron Corp. (a)

11,086

530,022

Diamond Offshore Drilling, Inc.

9,200

179,032

ENSCO International, Inc.

14,450

362,262

Grant Prideco, Inc. (a)

16,110

173,183

Nabors Industries Ltd. (a)

10,130

362,654

National-Oilwell, Inc. (a)

9,570

176,088

Noble Corp. (a)

10,723

352,465

Pride International, Inc. (a)

21,500

354,320

Rowan Companies, Inc. (a)

15,800

346,810

Smith International, Inc. (a)

14,908

534,303

Transocean, Inc. (a)

9,200

180,044

Common Stocks - continued

Shares

Value
(Note 1)

ENERGY - continued

Energy Equipment & Services - continued

Varco International, Inc. (a)

10,100

$ 174,528

Weatherford International Ltd. (a)

14,619

530,231

4,776,885

FINANCIALS - 25.8%

Capital Markets - 8.6%

Ameritrade Holding Corp. (a)

17,800

170,880

Bank of New York Co., Inc.

11,500

346,380

Charles Schwab Corp.

31,411

326,989

Goldman Sachs Group, Inc.

2,000

174,280

Lehman Brothers Holdings, Inc.

7,790

492,873

Merrill Lynch & Co., Inc.

13,810

750,850

Morgan Stanley

15,910

754,770

3,017,022

Commercial Banks - 6.6%

Bank of America Corp.

14,510

1,198,090

Bank One Corp.

12,080

477,885

Wachovia Corp.

6,560

286,606

Wells Fargo & Co.

6,600

333,498

2,296,079

Insurance - 10.6%

ACE Ltd.

14,740

486,273

AFLAC, Inc.

2,701

86,648

Allstate Corp.

13,140

499,714

American International Group, Inc.

11,100

712,620

Everest Re Group Ltd.

6,500

491,205

Hartford Financial Services Group, Inc.

3,300

172,227

Lincoln National Corp.

3,700

138,158

Montpelier Re Holdings Ltd.

5,300

170,607

PartnerRe Ltd.

4,480

216,698

The Chubb Corp.

3,900

252,720

Travelers Property Casualty Corp. Class A

21,260

344,412

XL Capital Ltd. Class A

1,500

119,250

3,690,532

TOTAL FINANCIALS

9,003,633

Common Stocks - continued

Shares

Value
(Note 1)

HEALTH CARE - 7.3%

Health Care Equipment & Supplies - 1.3%

Baxter International, Inc.

6,700

$ 184,987

Fisher Scientific International, Inc. (a)

4,200

158,760

Schick Technologies, Inc. (a)

13,300

106,400

450,147

Health Care Providers & Services - 3.0%

Laboratory Corp. of America Holdings (a)

3,900

123,903

Option Care, Inc. (a)

74,310

928,875

1,052,778

Pharmaceuticals - 3.0%

Merck & Co., Inc.

5,620

310,674

Novartis AG sponsored ADR

3,900

150,501

Pharmaceutical Resources, Inc. (a)

1,500

84,900

Schering-Plough Corp.

20,400

346,392

Wyeth

3,500

159,530

1,051,997

TOTAL HEALTH CARE

2,554,922

INDUSTRIALS - 9.7%

Aerospace & Defense - 0.4%

Boeing Co.

4,700

155,664

Air Freight & Logistics - 0.5%

CNF, Inc.

6,300

175,455

Building Products - 1.4%

American Standard Companies, Inc. (a)

6,380

487,432

Commercial Services & Supplies - 1.2%

HON Industries, Inc.

3,500

116,410

Manpower, Inc.

4,700

179,070

Waste Management, Inc.

5,800

138,562

434,042

Construction & Engineering - 0.2%

Granite Construction, Inc.

3,760

67,567

Industrial Conglomerates - 0.2%

Carlisle Companies, Inc.

1,400

61,250

Machinery - 4.1%

Albany International Corp. Class A

2,840

81,139

Astec Industries, Inc. (a)

5,990

72,659

Eaton Corp.

6,850

576,565

Common Stocks - continued

Shares

Value
(Note 1)

INDUSTRIALS - continued

Machinery - continued

Ingersoll-Rand Co. Ltd. Class A

4,870

$ 264,149

Kennametal, Inc.

4,130

159,005

Terex Corp. (a)

13,000

278,850

1,432,367

Road & Rail - 1.7%

Arkansas Best Corp.

6,184

171,111

Canadian National Railway Co.

3,500

182,354

CSX Corp.

2,100

65,730

Union Pacific Corp.

2,610

159,053

578,248

TOTAL INDUSTRIALS

3,392,025

INFORMATION TECHNOLOGY - 16.5%

Communications Equipment - 2.4%

Alcatel SA sponsored ADR (a)

17,200

169,592

Marconi Corp. PLC (a)

139,400

163,816

Motorola, Inc.

17,740

160,370

Telefonaktiebolaget LM Ericsson ADR (a)

24,800

353,896

847,674

Computers & Peripherals - 3.3%

Hewlett-Packard Co.

14,600

309,082

Hutchinson Technology, Inc. (a)

10,400

298,688

Seagate Technology

8,700

189,660

Storage Technology Corp. (a)

6,770

180,353

Sun Microsystems, Inc. (a)

13,400

50,116

Western Digital Corp. (a)

14,700

146,412

1,174,311

Electronic Equipment & Instruments - 4.4%

Amphenol Corp. Class A (a)

4,190

226,260

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

13,640

209,846

Flextronics International Ltd. (a)

15,900

174,900

Ingram Micro, Inc. Class A (a)

12,800

176,000

Manufacturers Services Ltd. (a)

36,500

186,150

Solectron Corp. (a)

33,500

171,185

Tech Data Corp. (a)

5,380

168,394

Thermo Electron Corp. (a)

2,880

64,080

Vishay Intertechnology, Inc. (a)

11,410

151,753

1,528,568

Common Stocks - continued

Shares

Value
(Note 1)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - 0.6%

United Online, Inc. (a)

6,500

$ 203,645

IT Services - 2.1%

Ceridian Corp. (a)

26,580

495,717

First Data Corp.

6,320

238,643

734,360

Semiconductors & Semiconductor Equipment - 1.8%

Cree, Inc. (a)

6,200

82,832

Cypress Semiconductor Corp. (a)

12,800

178,944

Intersil Corp. Class A (a)

6,900

170,154

Samsung Electronics Co. Ltd.

550

193,816

625,746

Software - 1.9%

Cadence Design Systems, Inc. (a)

13,600

185,912

Network Associates, Inc. (a)

12,598

142,357

Synopsys, Inc. (a)

2,400

150,024

Vastera, Inc. (a)

29,600

184,775

663,068

TOTAL INFORMATION TECHNOLOGY

5,777,372

MATERIALS - 6.9%

Chemicals - 4.2%

Dow Chemical Co.

10,380

366,414

Georgia Gulf Corp.

5,970

136,594

Lyondell Chemical Co.

17,743

265,613

Olin Corp.

38,310

715,631

1,484,252

Containers & Packaging - 0.5%

Pactiv Corp. (a)

2,580

50,955

Smurfit-Stone Container Corp. (a)

7,280

108,982

159,937

Metals & Mining - 0.5%

Inco Ltd. (a)

8,100

189,000

Paper & Forest Products - 1.7%

Boise Cascade Corp.

7,300

180,967

Bowater, Inc.

2,600

100,152

Domtar, Inc.

9,090

97,115

Common Stocks - continued

Shares

Value
(Note 1)

MATERIALS - continued

Paper & Forest Products - continued

International Paper Co.

3,500

$ 136,920

Tembec, Inc. (a)

15,300

79,442

594,596

TOTAL MATERIALS

2,427,785

TELECOMMUNICATION SERVICES - 5.7%

Diversified Telecommunication Services - 4.0%

Citizens Communications Co. (a)

46,594

552,139

SBC Communications, Inc.

15,850

370,256

Verizon Communications, Inc.

13,330

464,684

1,387,079

Wireless Telecommunication Services - 1.7%

American Tower Corp. Class A (a)

29,262

266,284

Crown Castle International Corp. (a)

17,800

176,220

Rogers Wireless Communications, Inc. Class B (a)

10,400

175,111

617,615

TOTAL TELECOMMUNICATION SERVICES

2,004,694

UTILITIES - 2.3%

Electric Utilities - 1.5%

PG&E Corp. (a)

15,900

341,055

TXU Corp.

9,090

183,345

524,400

Multi-Utilities & Unregulated Power - 0.8%

Reliant Resources, Inc. (a)

25,900

128,464

Sierra Pacific Resources (a)

32,300

166,345

294,809

TOTAL UTILITIES

819,209

TOTAL COMMON STOCKS

(Cost $31,667,485)

34,376,360

Money Market Funds - 1.0%

Fidelity Securities Lending Cash Central Fund, 1.13% (b)
(Cost $363,000)

363,000

363,000

Cash Equivalents - 4.6%

Maturity
Amount

Value
(Note 1)

Investments in repurchase agreements (Collateralized by
U.S. Treasury Obligations, in a joint trading account at 1.06%, dated 7/31/03 due 8/1/03)
(Cost $1,591,000)

$ 1,591,047

$ 1,591,000

TOTAL INVESTMENT PORTFOLIO - 103.9%

(Cost $33,621,485)

36,330,360

NET OTHER ASSETS - (3.9)%

(1,356,641)

NET ASSETS - 100%

$ 34,973,719

Legend

(a) Non-income producing

(b) 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.

Other Information

Distribution of investments by country of issue, as a percentage of total net assets, is as follows:

United States of America

88.5%

Bermuda

3.9

Canada

2.6

Cayman Islands

1.5

Sweden

1.0

Others (individually less than 1%)

2.5

100.0%

Purchases and sales of securities, other than short-term securities, aggregated $54,827,380 and $23,427,105, respectively.

The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $7,264 for the period.

Income Tax Information

The fund hereby designates approximately $1,000 as a 20%-rate capital gain dividend for the purpose of the dividend paid deduction.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements

Statement of Assets and Liabilities

July 31, 2003

Assets

Investment in securities, at value (including securities loaned of $332,350 and repurchase agreements of $1,591,000) (cost $33,621,485) - See accompanying schedule

$ 36,330,360

Cash

875

Receivable for fund shares sold

117,786

Dividends receivable

24,298

Prepaid expenses

8,142

Other receivables

896

Total assets

36,482,357

Liabilities

Payable for investments purchased

$ 1,056,860

Payable for fund shares redeemed

36,888

Accrued management fee

19,132

Other payables and accrued expenses

32,758

Collateral on securities loaned, at value

363,000

Total liabilities

1,508,638

Net Assets

$ 34,973,719

Net Assets consist of:

Paid in capital

$ 32,016,325

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

248,519

Net unrealized appreciation (depreciation) on investments

2,708,875

Net Assets, for 3,154,678 shares outstanding

$ 34,973,719

Net Asset Value, offering price and redemption price per share ($34,973,719 ÷ 3,154,678 shares)

$ 11.09

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements - continued

Statement of Operations

December 10, 2002 (commencement of operations) to July 31, 2003

Investment Income

Dividends

$ 185,580

Interest

6,274

Security lending

273

Total income

192,127

Expenses

Management fee

$ 86,777

Transfer agent fees

38,573

Accounting and security lending fees

38,898

Non-interested trustees' compensation

50

Custodian fees and expenses

13,882

Registration fees

21,671

Audit

40,646

Legal

137

Miscellaneous

386

Total expenses before reductions

241,020

Expense reductions

(28,381)

212,639

Net investment income (loss)

(20,512)

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities

269,116

Foreign currency transactions

(85)

Total net realized gain (loss)

269,031

Change in net unrealized appreciation (depreciation) on investment securities

2,708,875

Net gain (loss)

2,977,906

Net increase (decrease) in net assets resulting from operations

$ 2,957,394

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

December 10, 2002
(commencement
of operations) to
July 31, 2003

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ (20,512)

Net realized gain (loss)

269,031

Change in net unrealized appreciation (depreciation)

2,708,875

Net increase (decrease) in net assets resulting from operations

2,957,394

Share transactions
Net proceeds from sales of shares

40,700,057

Cost of shares redeemed

(8,683,732)

Net increase (decrease) in net assets resulting from share transactions

32,016,325

Total increase (decrease) in net assets

34,973,719

Net Assets

Beginning of period

-

End of period

$ 34,973,719

Other Information

Shares

Sold

3,999,190

Redeemed

(844,512)

Net increase (decrease)

3,154,678

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights

Period ended July 31,

2003 E

Selected Per-Share Data

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

Net investment income (loss) D

(.01)

Net realized and unrealized gain (loss)

1.10

Total from investment operations

1.09

Net asset value, end of period

$ 11.09

Total Return B, C

10.90%

Ratios to Average Net Assets F

Expenses before expense reductions

1.63% A

Expenses net of voluntary waivers, if any

1.50% A

Expenses net of all reductions

1.44% A

Net investment income (loss)

(.14)% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 34,974

Portfolio turnover rate

158% A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 10, 2002 (commencement of operations) to July 31, 2003.

F Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended July 31, 2003

1. Significant Accounting Policies.

Fidelity Value Discovery Fund (the fund) is a fund of Fidelity Puritan Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:

Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. If an event that is expected to materially affect the value of a security occurs after the close of an exchange or market on which that security trades, but prior to the NAV calculation, then that security will be fair valued taking the event into account. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value as determined in good faith under consistently applied procedures under the general supervision of the Board of Trustees. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.

Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Annual Report

Notes to Financial Statements - continued

1. Significant Accounting Policies - continued

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. The fund estimates the components of distributions received from Real Estate Investment Trusts (REITs). Distributions received in excess of income are recorded as a reduction of cost of investments and/or realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities is accrued as earned. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.

Prepaid Expenses. Fidelity Management & Research Company (FMR) bears all organizational expenses of the fund, except for the cost of registering and qualifying new shares for distribution under federal and state securities law. These registration expenses are borne by the fund and amortized over one year.

Income Tax Information and Distributions to Shareholders. Each year the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on each fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. Distributions are recorded on the ex-dividend date.

Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the fund will treat a portion of the proceeds from shares redeemed as a distribution from realized gain for income tax purposes. Capital accounts within the financial statements are adjusted for permanent and temporary book and tax differences. These adjustments have no impact on net assets or the results of operations. Temporary differences will reverse in a subsequent period. These differences are primarily due to foreign currency transactions, passive foreign investment companies (PFIC) and losses deferred due to wash sales.

Annual Report

1. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 3,171,603

|

Unrealized depreciation

(692,309)

Net unrealized appreciation (depreciation)

2,479,294

Undistributed ordinary income

476,539

Cost for federal income tax purposes

$ 33,851,066

2. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. The custodian bank receives the collateral, which is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

3. Purchases and Sales of Investments.

Information regarding purchases and sales of securities is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

4. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the fund with investment management related services for which the fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the fund's average net assets and a group fee rate that averaged .28% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. In addition, the management fee is subject to a performance adjustment (up to a maximum of ±.20% of the fund's average net assets over a 36 month performance period). The upward or downward adjustment to the management fee is based on the fund's relative investment performance as compared to an appropriate benchmark index. The fund's performance adjustment will not take

Annual Report

Notes to Financial Statements - continued

4. Fees and Other Transactions with Affiliates - continued

Management Fee - continued

effect until December 2003. Subsequent months will be added until the performance period includes 36 months. For the period, the total annualized management fee rate was .59% of the fund's average net assets.

Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of all shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .26% of average net assets.

Accounting and Security Lending Fees. FSC maintains the fund's accounting records and administers the security lending program. The security lending fee is based on the number and duration of lending transactions. The accounting fee is based on the level of average net assets for the month plus out-of-pocket expenses.

Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements.

5. Committed Line of Credit.

The fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.

6. Security Lending.

The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the

Annual Report

6. Security Lending - continued

securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities.

7. Expense Reductions.

FMR agreed to reimburse the fund to the extent operating expenses exceeded 1.50% of average net assets. Some expenses, for example interest expense, are excluded from this reimbursement. During the period, this reimbursement reduced the fund's expenses by $18,954.

Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $9,427 for the period.

8. Other Information.

At the end of the period, FMR or its affiliates were the owners of record of 22% of the total outstanding shares of the fund.

Annual Report

Independent Auditors' Report

To the Trustees of Fidelity Puritan Trust and Shareholders of Fidelity Value Discovery Fund:

We have audited the accompanying statement of assets and liabilities of Fidelity Value Discovery Fund (the Fund), a fund of Fidelity Puritan Trust, including the portfolio of investments, as of July 31, 2003, and the related statement of operations, the statement of changes in net assets, and the financial highlights for the period from December 10, 2002 (commencement of operations) to July 31, 2003. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.

We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of July 31, 2003, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Value Discovery Fund as of July 31, 2003, and the results of its operations, the changes in its net assets, and its financial highlights for the period from December 10, 2002 (commencement of operations) to July 31, 2003 in conformity with accounting principles generally accepted in the United States of America.

/s/DELOITTE & TOUCHE LLP

DELOITTE & TOUCHE LLP

Boston, Massachusetts

September 12, 2003

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 279 funds advised by FMR or an affiliate. Mr. McCoy oversees 281 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (73)**

Year of Election or Appointment: 1984

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc.

Abigail P. Johnson (41)**

Year of Election or Appointment: 2001

Senior Vice President of Fidelity Value Discovery Fund (2002). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds.

Laura B. Cronin (49)

Year of Election or Appointment: 2003

Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002).

Robert L. Reynolds (51)

Year of Election or Appointment: 2003

Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.

Annual Report

Non-Interested Trustees:

Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

J. Michael Cook (60)

Year of Election or Appointment: 2001

Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), Rockwell Automation (2000) and The Dow Chemical Company (2000). He is a Member of the Diversity Advisory Council of Marakon (2003) and of the Advisory Board Directorship Search Group, Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater.

Ralph F. Cox (71)

Year of Election or Appointment: 1991

Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin.

Phyllis Burke Davis (71)

Year of Election or Appointment: 1992

Mrs. Davis is retired from Avon Products, Inc. (consumer products) where she held various positions including Senior Vice President of Corporate Affairs and Group Vice President of U.S. product marketing, sales, distribution, and manufacturing. Mrs. Davis is a member of the Board of Directors of the Southampton Hospital in Southampton, N.Y. (1998). Previously, she served as a Director of BellSouth Corporation (telecommunications), Eaton Corporation (diversified industrial), the TJX Companies, Inc. (retail stores), Hallmark Cards, Inc., and Nabisco Brands, Inc.

Robert M. Gates (59)

Year of Election or Appointment: 1997

Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), and Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001). He also serves as a member of the Advisory Board of VoteHere.net (secure internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy.

Donald J. Kirk (70)

Year of Election or Appointment: 1987

Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations).

Marie L. Knowles (56)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing), URS Corporation (multidisciplinary engineering, 1999), and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (59)

Year of Election or Appointment: 2000

Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Chairman and as a Director (1998) of Acterna Corporation (communications test equipment). He is also Co-Chairman of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Eaton Corporation (diversified industrial) and the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations.

Marvin L. Mann (70)

Year of Election or Appointment: 1993

Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals) where he remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. Mr. Mann is a Board member of Imation Corp. (imaging and information storage) and Acterna Corporation (communications test equipment, 1999). He is also a member of the Director Services Committee of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.

William O. McCoy (69)

Year of Election or Appointment: 1997

Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), Progress Energy, Inc. (electric utility), and Acterna Corporation (communications test equipment, 1999). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998).

William S. Stavropoulos (64)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman of the Board, President and CEO (2002) and Chairman of the Executive Committee (2000) and a Director of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000) and Chief Executive Officer (1995-2000). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council, World Business Council for Sustainable Development, and the University of Notre Dame Advisory Council for the College of Science.

Annual Report

Trustees and Officers - continued

Advisory Board Members and Executive Officers:

Correspondence intended for Dr. Heilmeier may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

George H. Heilmeier (67)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Puritan Trust. Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001) and Teletech Holdings (customer management services, 1998). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the IEEE (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences and The Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania.

Peter S. Lynch (60)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Puritan Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.

Bart A. Grenier (44)

Year of Election or Appointment: 2002

Vice President of Fidelity Value Discovery Fund. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000).

Scott Offen (43)

Year of Election or Appointment: 2003

Vice President of Fidelity Value Discovery Fund. Prior to assuming his current responsibilities, Mr. Offen worked as a research analyst and portfolio manager.

Eric D. Roiter (54)

Year of Election or Appointment: 2002

Secretary of Fidelity Value Discovery Fund. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003).

Stuart Fross (43)

Year of Election or Appointment: 2003

Assistant Secretary of Fidelity Value Discovery Fund. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR.

Maria F. Dwyer (44)

Year of Election or Appointment: 2002

President and Treasurer of Fidelity Value Discovery Fund. Ms. Dwyer also serves as President and Treasurer of other Fidelity funds (2002) and is a Vice President (1999) and an employee (1996) of FMR. Prior to joining Fidelity, Ms. Dwyer served as Director of Compliance for MFS Investment Management.

Timothy F. Hayes (52)

Year of Election or Appointment: 2002

Chief Financial Officer of Fidelity Value Discovery Fund. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998).

John R. Hebble (45)

Year of Election or Appointment: 2003

Deputy Treasurer of Fidelity Value Discovery Fund. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003).

John H. Costello (56)

Year of Election or Appointment: 2002

Assistant Treasurer of Fidelity Value Discovery Fund. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.

Francis V. Knox, Jr. (56)

Year of Election or Appointment: 2002

Assistant Treasurer of Fidelity Value Discovery Fund. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002).

Mark Osterheld (48)

Year of Election or Appointment: 2002

Assistant Treasurer of Fidelity Value Discovery Fund. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.

Thomas J. Simpson (45)

Year of Election or Appointment: 2002

Assistant Treasurer of Fidelity Value Discovery Fund. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995).

Annual Report

Distributions

The Board of Trustees of Fidelity Value Discovery Fund voted to pay on September 8, 2003, to shareholders of record at the opening of business on September 5, 2003, a distribution of $.15 per share derived from capital gains realized from sales of portfolio securities.

The fund will notify shareholders in January 2004 of amounts for use in preparing 2003 income tax returns.

Annual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)Fidelity Automated
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Annual Report

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Annual Report

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Annual Report

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Annual Report

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Annual Report

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Annual Report

Annual Report

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Fidelity®

Puritan®

Fund

Annual Report

July 31, 2003

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets,
as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

Auditors' Opinion

<Click Here>

The auditors' opinion.

Trustees and Officers

<Click Here>

Distributions

<Click Here>

For a free copy of the fund's proxy voting guidelines visit www.fidelity.com/goto/proxyguidelines, call 1-800-544-8544, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.

(Recycle graphic)   This report is printed on recycled paper using soy-based inks.

Annual Report

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

Mutual fund shares are not deposits or obligations of, or guaranteed by, any depository institution. Shares are not insured by the FDIC, Federal Reserve Board or any other agency, and are subject to investment risks, including possible loss of principal amount invested.

Neither the fund nor Fidelity Distributors Corporation is a bank.

For more information on any Fidelity fund, including charges and expenses, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

This shareholder update and report on the performance of your fund is among the first to be produced under the new Sarbanes-Oxley Public Company Accounting and Investor Protection Act of 2002. This act requires that public companies certify, under penalty of law, the financial information they report to shareholders. It was adopted by Congress in reaction to several incidents of corporate malfeasance that brought the integrity of management of some publicly traded companies into question.

After the act was signed into law, the Securities and Exchange Commission interpreted it as applying to mutual funds as well as public companies. Thus, every mutual fund now is required to certify that the financial information provided in annual and semiannual reports to shareholders fully and fairly presents its financial position.

There is little doubt that the intent of Congress and regulators in this matter is a noble one - to improve the accuracy and accountability of financial reporting to investors by corporate America. We in no way condone any of the activities that brought about these requirements, and we welcome any and every reasonable proposal to strengthen investor protection and information disclosure.

That said, we are proud that mutual funds have always provided full and fair disclosure. Governed by the Investment Company Act of 1940 - and monitored and regulated by federal and state agencies, industry oversight associations, and independent directors - mutual funds are among the most transparent of all financial products. For example, the prices of mutual fund shares are established and published every business day, and the majority of members of the Board of Trustees that oversees our funds are not affiliated with the business of Fidelity. The disclosure standards of mutual funds actually have become models for governance and transparency across corporate America.

We are, of course, complying in full with the letter of this new requirement and hope that any future efforts by Congress to reassure investors about the honesty of corporate America will focus on practical and substantive solutions of genuine value to shareholders.

This sort of careful consideration was evident as Congress deliberated President Bush's tax cut package this spring, then enacted legislation that contains a variety of benefits for American families, investors and businesses. Although the final bill did not completely eliminate the tax that individual investors pay when they receive dividends from companies, it still will benefit American investors, and we applaud it in the spirit of compromise that marked the debate in Congress.

At Fidelity, we are committed to acting at all times in accordance with the highest standards of integrity and in the best interests of our fund shareholders. We are proud of the amount of information we provide to those who invest in our funds and pleased to continue that level of communication with you in these reports.

Best regards,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended July 31, 2003

Past 1
year

Past 5
years

Past 10
years

Fidelity Puritan

9.45%

3.00%

8.94%

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity ® Puritan® Fund on July 31, 1993. The chart shows how the value of your investment would have grown, and also shows how the Standard & Poor's 500 Index did over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Stephen Petersen, Portfolio Manager of Fidelity® Puritan® Fund

Most stock and bond benchmarks had positive returns for the 12 months ending July 31, 2003, but they took wildly divergent paths to get there. In the period's first half, stocks were hurt by corporate governance scandals, weak corporate profits and fears of war. Bonds, meanwhile, reaped the benefits of low inflation, low interest rates, and their historical safe-haven status. In spring, however, stocks rallied. First-quarter earnings were solid, and investors cheered the end to the major military campaign in Iraq. The stock market rally lifted U.S. equity indexes into positive territory for the year overall. The technology-rich NASDAQ Composite® Index returned 31.22%, the large-cap-oriented Standard & Poor's 500SM Index gained 10.64% and the blue chips' Dow Jones Industrial AverageSM added 8.16%. Turning to bonds, the Lehman Brothers® Aggregate Bond Index - a proxy for investment-grade debt - gained 5.42%. Corporates did best, as investors were more willing to take on risk. Treasuries were volatile, particularly in the final six weeks of the period when their yields swung from record lows to a 12-month high.

For the 12 months ending July 31, 2003, the fund gained 9.45%, topping the LipperSM Balanced Funds Average, which returned 8.21%. The fund performed in line with the 9.48% return of the Fidelity Balanced Income Composite Index, a hypothetical combination of unmanaged indexes using the total returns of the Russell 3000® Value Index and the Lehman Brothers Aggregate Bond Index, with a weighting of 60% and 40%, respectively. Financial stocks, which represented the portfolio's largest sector weighting at period end, generally helped performance. Citigroup, Bank of New York, J.P. Morgan Chase, Bank of America and Merrill Lynch were some of the fund's top contributors. However, Fannie Mae and Freddie Mac declined, mostly as a result of allegations of accounting misdeeds at Freddie. Positive security selection within the corporate bond sector was the main driver of performance for the fixed-income subportfolio, while the fund's modest overweighting in mortgages was a slight detractor.

The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Investment Changes

Top Five Stocks as of July 31, 2003

% of fund's
net assets

% of fund's net assets
6 months ago

Exxon Mobil Corp.

3.1

3.3

Citigroup, Inc.

2.1

1.8

Freddie Mac

1.7

2.6

American International Group, Inc.

1.7

1.4

Bank of America Corp.

1.7

1.4

10.3

Top Five Bond Issuers as of July 31, 2003

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

Fannie Mae

12.3

10.0

U.S. Treasury Obligations

3.7

4.2

Government National Mortgage Association

1.7

3.8

Freddie Mac

1.3

1.3

Capital One Multi-Asset Execution Trust

0.3

0.0

19.3

Top Five Market Sectors as of July 31, 2003

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

24.8

25.9

Consumer Discretionary

10.1

9.3

Energy

8.9

9.4

Industrials

8.7

8.3

Materials

5.0

4.4

Asset Allocation (% of fund's net assets)

As of July 31, 2003*

As of January 31, 2003**

Stocks 64.9%

Stocks 61.0%

Bonds 34.6%

Bonds 36.9%

Convertible
Securities 1.7%

Convertible
Securities 2.4%

Other
Investments 0.1%

Other
Investments 0.0%

Short-Term
Investments and
Net Other Assets A (1.3)%

Short-Term
Investments and
Net Other Assets A (0.3)%

* Foreign investments

9.1%

** Foreign investments

9.4%

A Short-Term Investments and Net Other Assets are not included in the pie chart.

Annual Report

Investments July 31, 2003

Showing Percentage of Net Assets

Common Stocks - 64.7%

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - 7.1%

Auto Components - 0.0%

Exide Technologies warrants 3/18/06 (a)

6,789

$ 0

Automobiles - 0.2%

General Motors Corp.

643,800

24,097

Harley-Davidson, Inc.

231,700

10,862

34,959

Hotels, Restaurants & Leisure - 1.0%

Mandalay Resort Group

458,600

15,941

McDonald's Corp.

3,535,300

81,347

MGM MIRAGE (a)

1,708,430

58,599

MOA Hospitality, Inc. (a)

3,000

8

Park Place Entertainment Corp. (a)

3,366,000

30,126

Six Flags, Inc. (a)

1,958,701

9,304

195,325

Household Durables - 0.8%

Black & Decker Corp.

724,700

29,611

Fortune Brands, Inc.

185,100

10,293

Maytag Corp.

1,117,960

28,452

Newell Rubbermaid, Inc.

1,467,300

34,672

Snap-On, Inc.

536,500

15,194

Whirlpool Corp.

558,600

36,186

154,408

Media - 3.3%

AOL Time Warner, Inc. (a)

10,367,760

159,975

Citadel Broadcasting Corp.

46,000

874

Clear Channel Communications, Inc.

1,854,000

75,921

Comcast Corp. Class A (a)

4,160,316

126,141

Liberty Media Corp. Class A (a)

2,855,706

31,670

News Corp. Ltd.:

ADR

284,835

8,662

sponsored ADR

417,817

10,713

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

400,000

5,192

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

3,510,217

152,765

Vivendi Universal SA sponsored ADR (a)

1,519,600

26,502

Walt Disney Co.

2,206,090

48,357

646,772

Multiline Retail - 0.4%

Big Lots, Inc. (a)

1,510,600

23,278

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

Federated Department Stores, Inc.

543,500

$ 21,745

Target Corp.

1,254,800

48,084

93,107

Specialty Retail - 1.3%

Charming Shoppes, Inc. (a)

1,875,100

9,844

Gap, Inc.

2,916,100

52,461

Home Depot, Inc.

864,000

26,957

Limited Brands, Inc.

3,331,900

55,676

Office Depot, Inc. (a)

1,809,400

30,036

RadioShack Corp.

1,740,500

46,245

Staples, Inc. (a)

1,747,768

35,200

256,419

Textiles Apparel & Luxury Goods - 0.1%

Jones Apparel Group, Inc. (a)

525,100

15,202

TOTAL CONSUMER DISCRETIONARY

1,396,192

CONSUMER STAPLES - 3.7%

Beverages - 0.3%

The Coca-Cola Co.

1,093,400

49,170

Food & Staples Retailing - 0.5%

Albertson's, Inc.

1,017,800

19,196

CVS Corp.

2,839,100

85,145

104,341

Food Products - 0.6%

ConAgra Foods, Inc.

112,200

2,528

Fresh Del Monte Produce, Inc.

587,832

16,359

Kraft Foods, Inc. Class A

1,094,300

30,432

Tyson Foods, Inc. Class A

1,714,100

19,421

Unilever PLC sponsored ADR

1,637,200

54,011

122,751

Household Products - 0.9%

Colgate-Palmolive Co.

684,700

37,385

Kimberly-Clark Corp.

1,867,500

90,387

Procter & Gamble Co.

450,260

39,564

The Dial Corp.

620,100

12,142

179,478

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER STAPLES - continued

Personal Products - 0.8%

Gillette Co.

4,790,800

$ 147,365

Tobacco - 0.6%

Altria Group, Inc.

2,900,740

116,059

Loews Corp. - Carolina Group

267,200

6,701

122,760

TOTAL CONSUMER STAPLES

725,865

ENERGY - 8.5%

Energy Equipment & Services - 1.6%

Baker Hughes, Inc.

2,027,500

63,684

BJ Services Co. (a)

729,700

24,992

Noble Corp. (a)

1,177,850

38,716

Schlumberger Ltd. (NY Shares)

4,014,000

180,911

Tokheim Corp. (a)

47,760

0

308,303

Oil & Gas - 6.9%

Anadarko Petroleum Corp.

360,600

15,794

Apache Corp.

564,805

34,995

BP PLC sponsored ADR

3,796,826

157,758

ChevronTexaco Corp.

1,443,900

104,120

ConocoPhillips

685,665

35,888

Exxon Mobil Corp.

16,912,524

601,730

Royal Dutch Petroleum Co. (NY Shares)

2,702,500

117,775

Total SA:

Series B

655,800

96,534

sponsored ADR

2,512,600

184,927

1,349,521

TOTAL ENERGY

1,657,824

FINANCIALS - 20.1%

Capital Markets - 4.5%

Bank of New York Co., Inc.

4,610,000

138,853

Charles Schwab Corp.

5,650,500

58,822

Credit Suisse Group sponsored ADR

1,086,400

33,950

J.P. Morgan Chase & Co.

6,085,050

213,281

Janus Capital Group, Inc.

1,452,800

25,424

Lehman Brothers Holdings, Inc.

550,900

34,855

Common Stocks - continued

Shares

Value (Note 1)
(000s)

FINANCIALS - continued

Capital Markets - continued

Mellon Financial Corp.

2,281,600

$ 69,018

Merrill Lynch & Co., Inc.

2,513,600

136,664

Morgan Stanley

2,903,840

137,758

Nomura Holdings, Inc.

2,384,000

31,636

880,261

Commercial Banks - 4.9%

Bank of America Corp.

3,912,400

323,047

Bank One Corp.

3,612,190

142,898

Banknorth Group, Inc.

66,400

1,833

Comerica, Inc.

1,125,000

54,540

FleetBoston Financial Corp.

2,364,600

73,515

Huntington Bancshares, Inc.

742,200

15,171

PNC Financial Services Group, Inc.

862,600

42,224

State Bank of India

636,977

5,821

U.S. Bancorp, Delaware

4,124,550

101,134

Wachovia Corp.

2,657,441

116,104

Wells Fargo & Co.

1,675,000

84,638

960,925

Consumer Finance - 0.9%

American Express Co.

3,022,701

133,513

MBNA Corp.

2,134,500

47,578

181,091

Diversified Financial Services - 2.4%

CIT Group, Inc.

2,000,000

55,760

Citigroup, Inc.

9,241,092

414,001

ECM Corp. LP (f)

6,318

543

470,304

Insurance - 4.0%

ACE Ltd.

2,523,277

83,243

Allianz AG sponsored ADR

838,100

8,867

Allstate Corp.

2,174,100

82,681

American International Group, Inc.

5,050,237

324,225

Hartford Financial Services Group, Inc.

1,772,200

92,491

Marsh & McLennan Companies, Inc.

287,000

14,241

MBIA, Inc.

357,700

18,107

The Chubb Corp.

924,000

59,875

Travelers Property Casualty Corp.:

Class A

3,560,954

57,687

Common Stocks - continued

Shares

Value (Note 1)
(000s)

FINANCIALS - continued

Insurance - continued

Travelers Property Casualty Corp.: - continued

Class B

820,290

$ 13,239

UnumProvident Corp.

1,846,400

25,074

779,730

Real Estate - 0.2%

Equity Office Properties Trust

300,000

8,322

Equity Residential (SBI)

1,614,400

45,042

53,364

Thrifts & Mortgage Finance - 3.2%

Fannie Mae

4,464,350

285,897

Freddie Mac

6,945,100

339,268

625,165

TOTAL FINANCIALS

3,950,840

HEALTH CARE - 4.6%

Health Care Equipment & Supplies - 0.5%

Baxter International, Inc.

2,884,400

79,638

Becton, Dickinson & Co.

600,000

21,978

101,616

Health Care Providers & Services - 0.7%

HCA, Inc.

819,300

28,880

IMS Health, Inc.

2,003,030

38,739

Mariner Health Care, Inc. (a)

7,778

42

Mariner Health Care, Inc. warrants 5/1/04 (a)

7,345

40

McKesson Corp.

1,298,600

41,893

Tenet Healthcare Corp. (a)

1,855,500

25,569

135,163

Pharmaceuticals - 3.4%

Abbott Laboratories

1,242,600

48,772

Bristol-Myers Squibb Co.

4,544,100

119,055

Eli Lilly & Co.

172,500

11,357

Johnson & Johnson

2,100,400

108,780

Merck & Co., Inc.

3,610,400

199,583

Pfizer, Inc.

1,397,800

46,631

Roche Holding AG (participation certificate)

232,550

19,441

Common Stocks - continued

Shares

Value (Note 1)
(000s)

HEALTH CARE - continued

Pharmaceuticals - continued

Schering-Plough Corp.

3,181,900

$ 54,029

Wyeth

1,402,400

63,921

671,569

TOTAL HEALTH CARE

908,348

INDUSTRIALS - 7.8%

Aerospace & Defense - 1.8%

Boeing Co.

1,284,100

42,529

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

1,856,900

6,811

Honeywell International, Inc.

4,467,900

126,352

Lockheed Martin Corp.

1,072,200

56,119

Northrop Grumman Corp.

662,530

61,112

Raytheon Co.

488,000

14,982

United Technologies Corp.

555,200

41,768

349,673

Airlines - 0.0%

Continental Airlines, Inc. Class B (a)

1,143

17

Building Products - 0.3%

Masco Corp.

2,116,800

51,586

Commercial Services & Supplies - 0.4%

HON Industries, Inc.

92,700

3,083

Viad Corp.

1,560,300

34,623

Waste Management, Inc.

1,884,500

45,021

82,727

Electrical Equipment - 0.3%

Emerson Electric Co.

804,200

43,186

Rockwell Automation, Inc.

421,300

10,886

54,072

Industrial Conglomerates - 2.1%

3M Co.

227,900

31,952

General Electric Co.

5,187,700

147,538

Hutchison Whampoa Ltd.

3,641,000

23,809

Siemens AG sponsored ADR

603,500

33,862

Textron, Inc.

1,292,800

56,133

Tyco International Ltd.

6,569,724

122,197

415,491

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - continued

Machinery - 2.1%

Caterpillar, Inc.

1,385,900

$ 93,507

Cummins, Inc.

185,000

8,571

Deere & Co.

637,500

32,372

Eaton Corp.

644,200

54,222

Illinois Tool Works, Inc.

517,300

36,030

Ingersoll-Rand Co. Ltd. Class A

2,157,100

117,001

Kennametal, Inc.

314,266

12,099

Navistar International Corp. (a)

300,000

11,706

Parker Hannifin Corp.

631,600

29,117

SPX Corp. (a)

371,000

17,470

Timken Co.

586,500

8,973

421,068

Road & Rail - 0.8%

Burlington Northern Santa Fe Corp.

3,289,900

90,670

Union Pacific Corp.

1,083,600

66,035

156,705

TOTAL INDUSTRIALS

1,531,339

INFORMATION TECHNOLOGY - 4.0%

Communications Equipment - 0.2%

Motorola, Inc.

3,144,700

28,428

Computers & Peripherals - 1.0%

Hewlett-Packard Co.

5,319,802

112,620

International Business Machines Corp.

948,200

77,041

Sun Microsystems, Inc. (a)

3,569,700

13,351

203,012

Electronic Equipment & Instruments - 1.1%

Agilent Technologies, Inc. (a)

1,129,200

24,538

Arrow Electronics, Inc. (a)

972,400

16,579

Avnet, Inc. (a)

1,629,070

23,459

PerkinElmer, Inc.

2,997,100

44,537

Sanmina-SCI Corp. (a)

1,599,800

12,702

Solectron Corp. (a)

1,701,600

8,695

Tektronix, Inc. (a)

1,743,600

36,842

Thermo Electron Corp. (a)

1,911,400

42,529

209,881

IT Services - 0.3%

Ceridian Corp. (a)

2,306,600

43,018

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

IT Services - continued

Concord EFS, Inc. (a)

308,900

$ 4,204

Electronic Data Systems Corp.

433,300

9,650

First Data Corp.

247,100

9,330

66,202

Semiconductors & Semiconductor Equipment - 0.9%

Intel Corp.

2,835,100

70,736

Micron Technology, Inc. (a)

2,711,100

39,691

National Semiconductor Corp. (a)

546,800

12,221

Rohm Co. Ltd.

185,600

21,828

Samsung Electronics Co. Ltd.

30,900

10,889

Teradyne, Inc. (a)

624,200

10,268

Texas Instruments, Inc.

1,014,800

19,149

184,782

Software - 0.5%

Microsoft Corp.

3,535,800

93,345

TOTAL INFORMATION TECHNOLOGY

785,650

MATERIALS - 4.4%

Chemicals - 1.8%

Arch Chemicals, Inc.

660,100

13,664

BOC Group PLC

1,081,903

14,891

Dow Chemical Co.

3,402,700

120,115

Hercules, Inc. (a)

500,000

5,710

LG Chemical Ltd.

274,100

10,797

Lyondell Chemical Co.

1,756,600

26,296

Millennium Chemicals, Inc.

1,300,850

14,517

Olin Corp.

834,300

15,585

PolyOne Corp.

1,696,800

7,737

PPG Industries, Inc.

515,500

29,110

Praxair, Inc.

1,204,600

77,889

Solutia, Inc.

2,284,201

2,787

339,098

Containers & Packaging - 0.3%

Owens-Illinois, Inc. (a)

507,700

5,803

Packaging Corp. of America (a)

195,900

3,703

Smurfit-Stone Container Corp. (a)

3,485,607

52,180

61,686

Common Stocks - continued

Shares

Value (Note 1)
(000s)

MATERIALS - continued

Metals & Mining - 1.5%

Alcan, Inc.

1,278,500

$ 44,565

Alcoa, Inc.

4,408,600

122,427

Dofasco, Inc.

1,153,700

23,978

Nucor Corp.

413,300

20,384

Pechiney SA

659,078

33,726

Phelps Dodge Corp. (a)

1,297,500

54,742

299,822

Paper & Forest Products - 0.8%

Boise Cascade Corp.

247,100

6,126

Bowater, Inc.

697,200

26,856

Georgia-Pacific Corp.

2,055,800

44,919

International Paper Co.

788,800

30,858

Weyerhaeuser Co.

944,900

53,188

161,947

TOTAL MATERIALS

862,553

TELECOMMUNICATION SERVICES - 2.8%

Diversified Telecommunication Services - 2.8%

BellSouth Corp.

7,061,170

179,848

NTL, Inc. (a)

177,389

7,417

SBC Communications, Inc.

6,999,387

163,506

Verizon Communications, Inc.

5,391,300

187,941

538,712

UTILITIES - 1.7%

Electric Utilities - 1.5%

Cinergy Corp.

587,900

20,000

Dominion Resources, Inc.

978,700

58,820

DPL, Inc.

1,229,279

17,886

Entergy Corp.

1,469,400

75,689

FirstEnergy Corp.

1,375,800

47,451

Northeast Utilities

2,037,410

34,228

TXU Corp.

1,564,700

31,560

285,634

Common Stocks - continued

Shares

Value (Note 1)
(000s)

UTILITIES - continued

Multi-Utilities & Unregulated Power - 0.2%

SCANA Corp.

1,233,500

$ 40,952

TOTAL UTILITIES

326,586

TOTAL COMMON STOCKS

(Cost $11,648,672)

12,683,909

Preferred Stocks - 1.0%

Convertible Preferred Stocks - 0.8%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

General Motors Corp.:

Series B, 5.25%

501,100

10,874

Series C, 6.25%

369,100

9,061

19,935

Hotels, Restaurants & Leisure - 0.0%

Six Flags, Inc. 7.25% PIERS

485,200

8,370

TOTAL CONSUMER DISCRETIONARY

28,305

FINANCIALS - 0.3%

Capital Markets - 0.1%

State Street Corp. 6.75%

36,750

8,450

Consumer Finance - 0.1%

Ford Motor Co. Capital Trust II 6.50%

561,900

24,547

Insurance - 0.1%

Hartford Financial Services Group, Inc. 6.00%

70,200

3,718

The Chubb Corp.:

7.00%

227,700

6,158

Series B, 7.00%

173,900

4,730

Travelers Property Casualty Corp. 4.50%

289,800

6,800

21,406

TOTAL FINANCIALS

54,403

HEALTH CARE - 0.0%

Health Care Equipment & Supplies - 0.0%

Baxter International, Inc. 7.00%

215,800

10,925

Preferred Stocks - continued

Shares

Value (Note 1)
(000s)

Convertible Preferred Stocks - continued

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.1%

Raytheon Co. 8.25%

224,100

$ 12,516

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.1%

Motorola, Inc. 7.00%

532,300

16,609

IT Services - 0.1%

Electronic Data Systems Corp. 7.625% PRIDES

573,300

12,819

Office Electronics - 0.0%

Xerox Corp. 6.25%

36,900

3,936

TOTAL INFORMATION TECHNOLOGY

33,364

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Cincinnati Bell, Inc. Series B, 6.75%

96,900

3,527

Wireless Telecommunication Services - 0.0%

Digitalglobe, Inc. Series C, 8.50% pay-in-kind (f)

15,578

16

TOTAL TELECOMMUNICATION SERVICES

3,543

UTILITIES - 0.1%

Electric Utilities - 0.1%

Cinergy Corp. 9.50% PRIDES

153,800

9,067

TXU Corp. 8.75%

278,900

8,838

17,905

Multi-Utilities & Unregulated Power - 0.0%

El Paso Corp. 9.00%

163,000

4,556

TOTAL UTILITIES

22,461

TOTAL CONVERTIBLE PREFERRED STOCKS

165,517

Nonconvertible Preferred Stocks - 0.2%

FINANCIALS - 0.1%

Diversified Financial Services - 0.0%

Fresenius Medical Care Capital Trust II 7.875%

3,790

3,996

Preferred Stocks - continued

Shares

Value (Note 1)
(000s)

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Insurance - 0.1%

American Annuity Group Capital Trust II 8.875%

6,030

$ 5,867

TOTAL FINANCIALS

9,863

INFORMATION TECHNOLOGY - 0.0%

Computers & Peripherals - 0.0%

Ampex Corp. 8% non-cumulative (redeemable preferred)

443

346

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.0%

Broadwing Communications, Inc. Series B, 12.50% pay-in-kind (a)

19,880

3,578

NTL Europe, Inc. Series A, 10.00%

203

1

3,579

Wireless Telecommunication Services - 0.1%

Nextel Communications, Inc. Series E, 11.125%

14,996

16,196

TOTAL TELECOMMUNICATION SERVICES

19,775

UTILITIES - 0.0%

Electric Utilities - 0.0%

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

26,681

2,655

TOTAL NONCONVERTIBLE PREFERRED STOCKS

32,639

TOTAL PREFERRED STOCKS

(Cost $246,622)

198,156

Corporate Bonds - 13.3%

Principal
Amount (000s)

Convertible Bonds - 0.9%

CONSUMER DISCRETIONARY - 0.5%

Hotels, Restaurants & Leisure - 0.0%

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

$ 19,020

8,511

Media - 0.5%

Cox Communications, Inc. 0.4259% 4/19/20

34,870

17,435

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Convertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

EchoStar Communications Corp.:

4.875% 1/1/07 (f)

$ 30,000

$ 30,413

4.875% 1/1/07

7,460

7,563

Liberty Media Corp.:

4% 11/15/29 (f)

17,982

10,250

3.5% 1/15/31 (f)

14,140

9,474

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

28,330

15,617

90,752

Multiline Retail - 0.0%

JCPenney Co., Inc. 5% 10/15/08 (f)

3,810

3,739

TOTAL CONSUMER DISCRETIONARY

103,002

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

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

3,320

3,357

Insurance - 0.0%

Loews Corp. 3.125% 9/15/07

6,940

6,446

TOTAL FINANCIALS

9,803

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.1%

Total Renal Care Holdings 7% 5/15/09

11,700

12,197

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.1%

Corning, Inc. 3.5% 11/1/08

16,860

18,989

Electronic Equipment & Instruments - 0.1%

Agilent Technologies, Inc. 3% 12/1/21

8,250

8,116

Semiconductors & Semiconductor Equipment - 0.0%

Atmel Corp. 0% 5/23/21

12,100

4,523

TOTAL INFORMATION TECHNOLOGY

31,628

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Convertible Bonds - continued

MATERIALS - 0.1%

Metals & Mining - 0.1%

Freeport-McMoRan Copper & Gold, Inc. 8.25% 1/31/06 (f)

$ 6,200

$ 11,991

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

Millicom International Cellular SA 2% 6/1/06
pay-in-kind (f)

280

840

Nextel Communications, Inc. 6% 6/1/11

3,665

3,899

4,739

TOTAL CONVERTIBLE BONDS

173,360

Nonconvertible Bonds - 12.4%

CONSUMER DISCRETIONARY - 2.4%

Auto Components - 0.3%

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

1,660

1,569

ArvinMeritor, Inc. 8.75% 3/1/12

2,470

2,495

DaimlerChrysler NA Holding Corp.:

3.4% 12/15/04

15,500

15,630

4.05% 6/4/08

5,000

4,806

4.75% 1/15/08

11,300

11,255

Dana Corp.:

9% 8/15/11

1,745

1,876

10.125% 3/15/10

4,340

4,709

Lear Corp.:

7.96% 5/15/05

2,865

3,080

8.11% 5/15/09

1,245

1,422

Stoneridge, Inc. 11.5% 5/1/12

115

131

United Components, Inc. 9.375% 6/15/13 (f)

910

937

47,910

Automobiles - 0.1%

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

2,000

1,950

General Motors Corp.:

7.125% 7/15/13

1,975

1,926

8.25% 7/15/23

6,635

6,288

8.375% 7/15/33

8,145

7,610

17,774

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - 0.6%

Bally Total Fitness Holding Corp.:

9.875% 10/15/07

$ 3,930

$ 3,655

10.5% 7/15/11 (f)

4,300

4,386

Coast Hotels & Casinos, Inc. 9.5% 4/1/09

1,540

1,617

Domino's, Inc. 8.25% 7/1/11 (f)

1,670

1,733

Florida Panthers Holdings, Inc. 9.875% 4/15/09

7,375

7,818

Herbst Gaming, Inc. 10.75% 9/1/08

1,030

1,128

Hilton Hotels Corp.:

7.625% 12/1/12

2,590

2,771

8.25% 2/15/11

3,270

3,613

Horseshoe Gaming LLC 8.625% 5/15/09

6,825

7,269

MGM MIRAGE 8.5% 9/15/10

2,890

3,240

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

890

810

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

5,115

5,396

Six Flags, Inc. 8.875% 2/1/10

3,000

2,678

Speedway Motorsports, Inc. 6.75% 6/1/13 (f)

1,920

1,920

Starwood Hotels & Resorts Worldwide, Inc.:

7.375% 5/1/07

4,705

4,870

7.875% 5/1/12

2,675

2,856

Station Casinos, Inc. 8.375% 2/15/08

16,095

17,061

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

11,980

12,908

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

1,770

1,876

Tricon Global Restaurants, Inc. 8.875% 4/15/11

10,045

11,401

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

1,170

1,217

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

2,155

2,177

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

5,100

5,674

108,074

Household Durables - 0.1%

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

3,140

3,328

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

4,250

4,378

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

3,580

4,010

Standard Pacific Corp. 9.25% 4/15/12

1,815

1,969

13,685

Internet & Catalog Retail - 0.0%

USA Interactive 7% 1/15/13

4,000

4,335

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Leisure Equipment & Products - 0.0%

The Hockey Co. 11.25% 4/15/09

$ 5,600

$ 6,328

Media - 1.3%

AMC Entertainment, Inc.:

9.5% 2/1/11

2,315

2,408

9.875% 2/1/12

2,800

3,024

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

5,430

5,797

AOL Time Warner, Inc.:

6.875% 5/1/12

9,230

9,896

7.625% 4/15/31

3,835

3,977

7.7% 5/1/32

11,940

12,524

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

21,300

24,282

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

0% 1/15/10 (d)

7,090

4,538

0% 5/15/11 (d)

3,700

2,035

8.625% 4/1/09

13,600

10,064

9.625% 11/15/09

2,005

1,524

10% 4/1/09

2,050

1,599

10% 5/15/11

3,985

2,989

10.25% 1/15/10

5,915

4,673

10.75% 10/1/09

1,935

1,529

Cinemark USA, Inc. 9.625% 8/1/08

3,835

3,835

Clear Channel Communications, Inc. 5.75% 1/15/13

3,000

3,033

Comcast Corp. 7.05% 3/15/33

7,500

7,490

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

5,560

5,977

CSC Holdings, Inc.:

7.625% 4/1/11

3,440

3,337

7.625% 7/15/18

1,455

1,368

7.875% 2/15/18

535

514

EchoStar DBS Corp. 10.375% 10/1/07

13,425

14,633

Entravision Communications Corp. 8.125% 3/15/09

4,530

4,689

Houghton Mifflin Co.:

8.25% 2/1/11 (f)

8,155

8,359

9.875% 2/1/13 (f)

2,150

2,247

Lamar Media Corp. 7.25% 1/1/13

1,290

1,313

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

4,060

4,415

News America Holdings, Inc. 7.75% 12/1/45

10,825

11,624

News America, Inc. 7.28% 6/30/28

14,000

14,475

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

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

$ 3,345

$ 3,654

PanAmSat Corp. 6.375% 1/15/08

2,720

2,761

Pegasus Satellite Communications, Inc. 11.25% 1/15/10 (f)

4,585

4,218

PEI Holdings, Inc. 11% 3/15/10 (f)

3,240

3,564

Penton Media, Inc. 11.875% 10/1/07

1,475

1,401

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

14,005

15,195

Regal Cinemas Corp. 9.375% 2/1/12

5,885

6,503

Satelites Mexicanos SA de CV 5.6% 6/30/04 (f)(i)

1,763

1,516

Telewest PLC:

11% 10/1/07 (c)

11,615

4,356

yankee 9.625% 10/1/06 (c)

7,700

2,868

Time Warner, Inc. 8.18% 8/15/07

5,425

6,187

Vertis, Inc. 9.75% 4/1/09 (f)

3,180

3,307

Vivendi Universal SA 9.25% 4/15/10 (f)

7,450

8,270

Walt Disney Co. 5.375% 6/1/07

8,000

8,471

Yell Finance BV 10.75% 8/1/11

6,035

6,910

257,349

Multiline Retail - 0.0%

Barneys, Inc. 9% 4/1/08 unit (f)

3,470

3,158

Specialty Retail - 0.0%

Hollywood Entertainment Corp. 9.625% 3/15/11

1,270

1,378

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

430

439

1,817

Textiles Apparel & Luxury Goods - 0.0%

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

2,460

2,116

TOTAL CONSUMER DISCRETIONARY

462,546

CONSUMER STAPLES - 0.5%

Food & Staples Retailing - 0.1%

Rite Aid Corp.:

7.125% 1/15/07

2,000

1,940

8.125% 5/1/10 (f)

2,000

2,030

9.5% 2/15/11 (f)

5,000

5,300

11.25% 7/1/08

5,000

5,275

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

The Great Atlantic & Pacific Tea Co.:

7.75% 4/15/07

$ 935

$ 846

9.125% 12/15/11

4,315

3,905

19,296

Food Products - 0.2%

Central Garden & Pet Co. 9.125% 2/1/13

850

905

Chiquita Brands International, Inc. 10.56% 3/15/09

5,318

5,637

Corn Products International, Inc.:

8.25% 7/15/07

5,660

6,056

8.45% 8/15/09

795

869

Dean Foods Co.:

6.625% 5/15/09

460

469

6.9% 10/15/17

3,700

3,663

8.15% 8/1/07

5,005

5,355

Del Monte Corp. 8.625% 12/15/12 (f)

1,960

2,078

Doane Pet Care Co.:

9.75% 5/15/07

3,550

3,408

10.75% 3/1/10

2,580

2,774

Kraft Foods, Inc.:

5.25% 6/1/07

4,140

4,338

6.25% 6/1/12

5,025

5,260

Michael Foods, Inc. 11.75% 4/1/11

260

299

41,111

Personal Products - 0.0%

Revlon Consumer Products Corp. 12% 12/1/05

5,990

5,691

Tobacco - 0.2%

Philip Morris Companies, Inc. 7% 7/15/05

27,190

28,105

TOTAL CONSUMER STAPLES

94,203

ENERGY - 0.4%

Energy Equipment & Services - 0.0%

DI Industries, Inc. 8.875% 7/1/07

969

988

Grant Prideco, Inc.:

9% 12/15/09

660

710

9.625% 12/1/07

2,440

2,623

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

ENERGY - continued

Energy Equipment & Services - continued

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

$ 1,390

$ 1,453

SESI LLC 8.875% 5/15/11

290

310

6,084

Oil & Gas - 0.4%

Chesapeake Energy Corp. 8.125% 4/1/11

6,530

6,791

Encore Acquisition Co. 8.375% 6/15/12

3,510

3,650

Forest Oil Corp. 8% 12/15/11

2,550

2,614

General Maritime Corp. 10% 3/15/13 (f)

4,520

4,949

GulfTerra Energy Partners LP/GulfTerra Energy Finance Corp. 10.625% 12/1/12

980

1,117

Pemex Project Funding Master Trust 6.125% 8/15/08 (f)

10,750

11,207

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

1,840

1,978

Plains Exploration & Production Co. LP 8.75% 7/1/12

6,215

6,448

Teekay Shipping Corp. 8.875% 7/15/11

10,030

10,983

The Coastal Corp.:

6.2% 5/15/04

2,920

2,840

6.375% 2/1/09

1,285

996

6.5% 5/15/06

3,325

2,801

6.5% 6/1/08

1,970

1,576

6.95% 6/1/28

180

119

7.5% 8/15/06

8,570

7,499

7.625% 9/1/08

1,275

1,039

7.75% 6/15/10

9,680

7,792

7.75% 10/15/35

945

662

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

2,200

2,376

77,437

TOTAL ENERGY

83,521

FINANCIALS - 4.2%

Capital Markets - 0.6%

Amvescap PLC:

5.9% 1/15/07

7,005

7,492

yankee 6.6% 5/15/05

6,750

7,212

Bank of New York Co., Inc.:

3.4% 3/15/13 (i)

5,300

5,158

4.25% 9/4/12 (i)

6,980

7,087

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

5,900

5,952

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Credit Suisse First Boston (USA), Inc.:

5.875% 8/1/06

$ 11,730

$ 12,742

6.5% 1/15/12

3,045

3,282

Goldman Sachs Group, Inc.:

5.7% 9/1/12

9,110

9,350

6.6% 1/15/12

17,725

19,320

J.P. Morgan Chase & Co. 5.35% 3/1/07

15,550

16,600

Lehman Brothers Holdings, Inc. 4% 1/22/08

6,900

6,948

Merrill Lynch & Co., Inc.:

3.7% 4/21/08

1,935

1,919

4% 11/15/07

7,970

7,978

Morgan Stanley 6.6% 4/1/12

10,695

11,644

122,684

Commercial Banks - 0.2%

Fleet Financial Group, Inc. 7.125% 4/15/06

6,740

7,449

FleetBoston Financial Corp. 7.25% 9/15/05

10,040

11,093

Korea Development Bank 7.375% 9/17/04

3,890

4,106

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

14,505

15,849

38,497

Consumer Finance - 1.0%

American General Finance Corp.:

2.75% 6/15/08

870

824

5.875% 7/14/06

32,050

34,759

Capital One Bank:

4.875% 5/15/08

8,185

8,216

6.5% 6/13/13

8,925

8,332

6.65% 3/15/04

3,400

3,489

Ford Motor Credit Co.:

5.8% 1/12/09

6,895

6,597

6.5% 1/25/07

19,920

20,457

7.375% 10/28/09

18,120

18,494

General Electric Capital Corp.:

6% 6/15/12

7,100

7,468

6.125% 2/22/11

16,000

17,214

General Motors Acceptance Corp.:

6.125% 2/1/07

525

542

6.125% 8/28/07

530

543

6.38% 1/30/04

16,080

16,443

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

General Motors Acceptance Corp.: - continued

6.875% 9/15/11

$ 4,250

$ 4,152

6.875% 8/28/12

8,950

8,686

Household Finance Corp.:

6.375% 10/15/11

16,305

17,421

6.75% 5/15/11

11,395

12,465

7% 5/15/12

2,595

2,880

MBNA Corp. 7.5% 3/15/12

11,845

13,346

202,328

Diversified Financial Services - 1.3%

Ahold Finance USA, Inc.:

6.25% 5/1/09

4,660

4,287

8.25% 7/15/10

7,780

7,624

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

1,130

814

Arch Western Finance LLC 6.75% 7/1/13 (f)

6,460

6,331

ASIF Global Financing XVIII 3.85% 11/26/07 (f)

380

381

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

2,700

2,923

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

2,070

2,505

Continental Airlines, Inc. pass thru trust certificates:

6.541% 9/15/09

359

276

6.748% 9/15/18

250

185

6.795% 8/2/18

1,837

1,360

6.8% 7/2/07

232

195

6.9% 1/2/17

2,301

1,634

8.312% 10/2/12

1,574

1,165

8.321% 11/1/06

155

133

8.388% 5/1/22

128

96

Delta Air Lines, Inc. pass thru trust certificates:

7.299% 9/18/06

455

387

7.57% 11/18/10

4,945

4,932

7.711% 9/18/11

515

430

7.779% 11/18/05

2,410

2,097

7.92% 5/18/12

2,745

2,354

10.06% 1/2/16

960

739

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Deutsche Telekom International Finance BV:

5.25% 7/22/13

$ 6,255

$ 5,989

8.25% 6/15/05

2,617

2,878

8.5% 6/15/10

14,180

16,708

8.75% 6/15/30

9,630

11,275

Devon Financing Corp. U.L.C. 7.875% 9/30/31

6,700

7,653

El Paso Energy Partners LP/El Paso Energy Partners Finance Corp. 8.5% 6/1/11

4,070

4,263

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

2,515

2,641

FIMEP SA 10.5% 2/15/13 (f)

7,195

7,879

Gemstone Investor Ltd./Gemstone Investor, Inc. 7.71% 10/31/04 (f)

1,000

971

Huntsman Advanced Materials LLC:

10% 7/15/08 (f)(i)

2,320

2,366

11% 7/15/10 (f)

1,840

1,978

IOS Capital LLC 7.25% 6/30/08

3,020

2,778

Newcourt Credit Group, Inc. yankee 6.875% 2/16/05

9,280

9,902

NiSource Finance Corp. 7.875% 11/15/10

20,680

23,823

Northwest Airlines, Inc. pass thru trust certificates:

6.81% 2/1/20

1,211

978

7.248% 7/2/14

1,744

1,046

7.575% 3/1/19

871

862

7.691% 4/1/17

165

129

7.95% 9/1/16

149

118

8.304% 9/1/10

1,430

1,116

Pemex Project Funding Master Trust 7.375% 12/15/14

8,620

8,900

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

28,745

31,549

PTC International Finance II SA yankee 11.25% 12/1/09

7,255

8,017

R. H. Donnelley Finance Corp. I:

8.875% 12/15/10 (f)

1,390

1,501

10.875% 12/15/12 (f)

2,170

2,430

Sprint Capital Corp. 6.125% 11/15/08

7,449

7,731

TRW Automotive Acquisition Corp.:

9.375% 2/15/13 (f)

4,930

5,361

11% 2/15/13 (f)

5,185

5,781

U.S. Airways pass thru trust certificates 6.85% 7/30/19

834

776

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

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

$ 11,660

$ 12,884

Verizon Global Funding Corp.:

6.125% 6/15/07

9,075

9,914

7.25% 12/1/10

990

1,123

7.375% 9/1/12

10,285

11,625

Verizon Wireless Capital LLC 5.375% 12/15/06

3,575

3,822

257,615

Insurance - 0.2%

Aegon NV 4.75% 6/1/13

12,500

11,766

Hartford Financial Services Group, Inc.:

2.375% 6/1/06

2,755

2,710

4.625% 7/15/13 (f)

2,815

2,652

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

6,295

6,242

Travelers Property Casualty Corp.:

5% 3/15/13

3,375

3,316

6.375% 3/15/33

4,345

4,240

30,926

Real Estate - 0.5%

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

12,300

12,629

Camden Property Trust 5.875% 11/30/12

7,910

8,050

CarrAmerica Realty Corp. 5.25% 11/30/07

6,175

6,346

CenterPoint Properties Trust 6.75% 4/1/05

8,720

9,265

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

4,930

5,269

EOP Operating LP 7.75% 11/15/07

22,895

26,172

Gables Realty LP:

5.75% 7/15/07

11,440

11,875

6.8% 3/15/05

1,595

1,684

ProLogis:

6.7% 4/15/04

3,970

4,125

7.05% 7/15/06

10,000

11,204

Senior Housing Properties Trust 8.625% 1/15/12

5,910

6,206

102,825

Thrifts & Mortgage Finance - 0.4%

Countrywide Home Loans, Inc.:

3.25% 5/21/08

2,946

2,848

5.5% 8/1/06

17,955

19,265

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Countrywide Home Loans, Inc.: - continued

5.625% 5/15/07

$ 12,000

$ 12,853

Washington Mutual Bank 6.875% 6/15/11

8,300

9,354

Washington Mutual, Inc.:

4.375% 1/15/08

7,605

7,770

5.625% 1/15/07

12,800

13,826

65,916

TOTAL FINANCIALS

820,791

HEALTH CARE - 0.2%

Health Care Equipment & Supplies - 0.0%

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

3,175

3,342

Health Care Providers & Services - 0.2%

AmeriPath, Inc. 10.5% 4/1/13

8,680

9,201

AmerisourceBergen Corp. 8.125% 9/1/08

1,110

1,188

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

4,085

4,677

Psychiatric Solutions, Inc. 10.625% 6/15/13 (f)

790

828

Tenet Healthcare Corp.:

5% 7/1/07

1,825

1,679

5.375% 11/15/06

465

442

6.375% 12/1/11

3,305

2,975

6.5% 6/1/12

1,355

1,223

7.375% 2/1/13

2,440

2,318

Triad Hospitals, Inc. 8.75% 5/1/09

5,725

6,040

30,571

Pharmaceuticals - 0.0%

aaiPharma, Inc. 11% 4/1/10

3,265

3,608

Biovail Corp. yankee 7.875% 4/1/10

6,970

7,179

10,787

TOTAL HEALTH CARE

44,700

INDUSTRIALS - 0.8%

Aerospace & Defense - 0.2%

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

8,765

9,422

BE Aerospace, Inc.:

8% 3/1/08

445

374

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Aerospace & Defense - continued

BE Aerospace, Inc.: - continued

8.875% 5/1/11

$ 4,230

$ 3,553

9.5% 11/1/08

2,185

1,868

Raytheon Co.:

5.5% 11/15/12

4,225

4,219

6.75% 8/15/07

6,065

6,642

Transdigm, Inc. 8.375% 7/15/11 (f)

1,340

1,377

Vought Aircraft Industries, Inc. 8% 7/15/11 (f)

2,150

2,172

29,627

Airlines - 0.0%

Delta Air Lines, Inc.:

equipment trust certificates 8.54% 1/2/07

566

453

7.9% 12/15/09

465

353

8.3% 12/15/29

5,570

3,718

NWA Trust 10.23% 6/21/14

1,024

799

5,323

Building Products - 0.0%

Jacuzzi Brands, Inc. 9.625% 7/1/10 (f)

2,530

2,606

Commercial Services & Supplies - 0.2%

Allied Waste North America, Inc.:

7.625% 1/1/06

2,220

2,276

7.875% 1/1/09

11,430

11,830

8.5% 12/1/08

4,340

4,568

American Color Graphics, Inc.:

10% 6/15/10 (f)

3,630

3,721

12.75% 8/1/05

10,940

10,967

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

2,470

2,578

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

1,350

1,391

Danka Business Systems PLC 11% 6/15/10 (f)

4,260

4,090

Iron Mountain, Inc. 8.25% 7/1/11

815

844

Pierce Leahy Command Co. yankee 8.125% 5/15/08

500

510

World Color Press, Inc.:

7.75% 2/15/09

4,080

4,243

8.375% 11/15/08

260

273

Worldspan LP 9.625% 6/15/11 (f)

900

938

48,229

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Industrial Conglomerates - 0.2%

Textron Financial Corp. 2.75% 6/1/06

$ 4,865

$ 4,781

Tyco International Group SA yankee:

6.125% 11/1/08

160

159

6.375% 6/15/05

2,800

2,884

6.375% 10/15/11

6,210

6,148

6.75% 2/15/11

18,345

18,528

32,500

Machinery - 0.0%

AGCO Corp. 9.5% 5/1/08

810

871

Columbus McKinnon Corp. 10% 8/1/10 (f)

450

459

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

1,230

1,378

Dunlop Standard Aerospace Holdings PLC yankee 11.875% 5/15/09

760

825

3,533

Marine - 0.0%

Transport Maritima Mexicana SA de CV yankee:

9.5% 8/15/03 (c)

1,780

1,513

10.25% 11/15/06 (c)

3,750

3,150

4,663

Road & Rail - 0.1%

Kansas City Southern Railway Co.:

7.5% 6/15/09

8,005

8,285

9.5% 10/1/08

460

496

TFM SA de CV yankee:

10.25% 6/15/07

5,990

6,185

11.75% 6/15/09

6,985

7,125

22,091

Transportation Infrastructure - 0.1%

Korea Highway Corp. 4.9% 7/1/13 (f)

10,300

9,656

TOTAL INDUSTRIALS

158,228

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.3%

Motorola, Inc. 8% 11/1/11

18,530

20,939

Nortel Networks Corp. 6.125% 2/15/06

4,900

4,680

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Qwest Services Corp.:

13.5% 12/15/10 (f)

$ 26,170

$ 28,394

14% 12/15/14 (f)

10,425

11,676

65,689

Computers & Peripherals - 0.0%

Seagate Technology HDD Holdings 8% 5/15/09

2,930

3,179

Electronic Equipment & Instruments - 0.0%

Flextronics International Ltd. yankee 9.875% 7/1/10

3,640

4,077

IT Services - 0.1%

Digitalnet, Inc. 9% 7/15/10 (f)

740

725

Electronic Data Systems Corp. 6% 8/1/13 (f)

10,615

9,928

Iron Mountain, Inc. 8.625% 4/1/13

370

382

11,035

Office Electronics - 0.0%

Xerox Corp.:

7.125% 6/15/10

4,270

4,142

7.625% 6/15/13

4,270

4,142

8,284

Semiconductors & Semiconductor Equipment - 0.1%

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

3,700

4,135

Amkor Technology, Inc.:

7.75% 5/15/13 (f)

915

874

9.25% 2/15/08

370

392

10.5% 5/1/09

95

100

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

9,000

8,730

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

2,460

2,706

16,937

TOTAL INFORMATION TECHNOLOGY

109,201

MATERIALS - 0.5%

Chemicals - 0.1%

Avecia Group PLC 11% 7/1/09

5,202

4,578

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

3,770

4,166

Geon Co. 6.875% 12/15/05

375

338

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Lyondell Chemical Co.:

9.5% 12/15/08 (f)

$ 2,040

$ 1,938

9.875% 5/1/07

1,350

1,310

PolyOne Corp.:

8.875% 5/1/12

1,805

1,516

10.625% 5/15/10

6,170

5,491

19,337

Containers & Packaging - 0.2%

BWAY Corp. 10% 10/15/10 (f)

840

869

Crown Cork & Seal, Inc.:

7.375% 12/15/26

2,590

2,007

8% 4/15/23

1,805

1,444

Crown European Holdings SA 9.5% 3/1/11 (f)

2,500

2,550

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

2,750

2,860

Owens-Brockway Glass Container, Inc.:

7.75% 5/15/11 (f)

1,760

1,804

8.25% 5/15/13 (f)

3,020

3,080

8.75% 11/15/12

2,530

2,657

8.875% 2/15/09

9,730

10,022

Owens-Illinois, Inc.:

7.15% 5/15/05

1,980

2,010

7.35% 5/15/08

800

780

7.5% 5/15/10

770

743

7.8% 5/15/18

350

329

8.1% 5/15/07

1,630

1,642

Sealed Air Corp.:

5.625% 7/15/13 (f)

1,975

1,889

6.875% 7/15/33 (f)

4,130

3,884

6.95% 5/15/09 (f)

4,195

4,515

8.75% 7/1/08 (f)

1,035

1,188

44,273

Metals & Mining - 0.1%

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

8,480

9,413

Luscar Coal Ltd. 9.75% 10/15/11

2,930

3,282

Phelps Dodge Corp.:

8.75% 6/1/11

260

295

9.5% 6/1/31

4,280

4,890

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

Salt Holdings Corp., Inc. 0% 12/15/12 (d)(f)

$ 4,550

$ 3,049

Steel Dynamics, Inc. 9.5% 3/15/09

515

545

21,474

Paper & Forest Products - 0.1%

Boise Cascade Corp. 7.5% 2/1/08

3,700

3,924

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

510

515

Stone Container Corp.:

8.375% 7/1/12

2,710

2,873

9.75% 2/1/11

2,320

2,488

Weyerhaeuser Co.:

5.25% 12/15/09

5,304

5,367

6.125% 3/15/07

4,145

4,472

19,639

TOTAL MATERIALS

104,723

TELECOMMUNICATION SERVICES - 1.3%

Diversified Telecommunication Services - 0.8%

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

10,000

11,772

AT&T Corp.:

7% 11/15/06

3,060

3,382

7.8% 11/15/11

3,105

3,404

British Telecommunications PLC:

8.375% 12/15/10

8,630

10,312

8.875% 12/15/30

3,050

3,746

Citizens Communications Co. 8.5% 5/15/06

6,960

7,946

France Telecom SA 9.25% 3/1/11 (e)

20,000

23,769

Koninklijke KPN NV yankee 8% 10/1/10

10,550

12,483

Level 3 Communications, Inc.:

9.125% 5/1/08

5,350

4,387

11% 3/15/08

2,610

2,323

Mobifon Holdings BV 12.5% 7/31/10 (f)

7,225

7,550

NTL, Inc. 19% 1/1/10 pay-in-kind (f)(g)

11,685

11,568

Qwest Corp. 8.875% 3/15/12 (f)

5,935

6,083

Rogers Cantel, Inc. yankee 9.375% 6/1/08

2,365

2,471

Telewest Communications PLC yankee:

0% 4/15/09 (c)(d)

3,965

1,229

0% 2/1/10 (c)(d)

5,675

1,589

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telewest Communications PLC yankee: - continued

9.875% 2/1/10 (c)

$ 2,610

$ 940

11.25% 11/1/08 (c)

3,775

1,416

TELUS Corp. yankee 7.5% 6/1/07

30,125

32,942

U.S. West Communications:

7.2% 11/10/26

845

727

7.25% 9/15/25

840

697

WorldCom, Inc. 7.5% 5/15/11 (c)

7,505

2,008

152,744

Wireless Telecommunication Services - 0.5%

American Tower Corp. 9.375% 2/1/09

8,500

8,585

AT&T Wireless Services, Inc.:

7.875% 3/1/11

1,790

2,015

8.75% 3/1/31

8,950

10,315

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

1,500

1,463

Cingular Wireless LLC:

5.625% 12/15/06

5,000

5,404

7.125% 12/15/31

11,000

11,794

Crown Castle International Corp.:

9.375% 8/1/11

6,995

7,205

9.5% 8/1/11

555

572

10.75% 8/1/11

2,285

2,479

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

10,075

11,133

Millicom International Cellular SA 11% 6/1/06 (f)

2,473

2,473

Nextel Communications, Inc.:

9.375% 11/15/09

8,815

9,366

9.5% 2/1/11

14,665

16,022

12% 11/1/08

1,450

1,552

Nextel Partners, Inc. 11% 3/15/10

6,000

6,300

Rogers Wireless, Inc. 9.625% 5/1/11

4,765

5,384

Western Wireless Corp. 9.25% 7/15/13 (f)

3,560

3,418

105,480

TOTAL TELECOMMUNICATION SERVICES

258,224

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

UTILITIES - 1.6%

Electric Utilities - 0.8%

AES Drax Holdings Ltd. 10.41% 12/31/20

$ 6,430

$ 4,469

CMS Energy Corp.:

7.5% 1/15/09

2,430

2,284

7.625% 11/15/04

2,435

2,426

8.5% 4/15/11

1,500

1,459

8.9% 7/15/08

4,085

4,024

9.875% 10/15/07

8,190

8,395

Constellation Energy Group, Inc.:

6.35% 4/1/07

10,595

11,568

7% 4/1/12

6,940

7,584

Dominion Resources, Inc.:

6.25% 6/30/12

5,085

5,366

8.125% 6/15/10

6,850

8,024

DTE Energy Co. 7.05% 6/1/11

4,995

5,439

Duke Capital Corp. 6.75% 2/15/32

2,874

2,559

Edison International 6.875% 9/15/04

3,140

3,109

FirstEnergy Corp.:

5.5% 11/15/06

7,528

7,902

6.45% 11/15/11

6,460

6,593

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

3,435

3,472

Illinois Power Co.:

7.5% 6/15/09

9,760

9,760

11.5% 12/15/10 (f)

5,260

5,786

MidAmerican Energy Holdings, Inc.:

4.625% 10/1/07

5,160

5,242

5.875% 10/1/12

3,450

3,535

Nevada Power Co. 10.875% 10/15/09

810

883

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

5,060

5,925

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

7,980

8,567

Pacific Gas & Electric Co.:

7.05% 3/1/24

800

800

10% 11/1/05 (f)(i)

5,950

5,950

PG&E Corp. 6.875% 7/15/08 (f)

2,340

2,399

Reliant Energy Resources Corp.:

7.75% 2/15/11

1,240

1,327

8.125% 7/15/05

3,510

3,777

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

4,015

4,256

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

Southern California Edison Co.:

7.125% 7/15/25

$ 245

$ 248

7.25% 3/1/26

765

776

7.625% 1/15/10

3,545

3,722

8% 2/15/07 (f)

5,510

5,896

TECO Energy, Inc. 7% 5/1/12

1,505

1,415

154,937

Gas Utilities - 0.3%

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

1,360

1,414

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

4,530

5,075

El Paso Energy Corp.:

6.75% 5/15/09

5,725

4,466

6.95% 12/15/07

3,730

3,059

7.375% 12/15/12

640

496

7.8% 8/1/31

1,020

714

8.05% 10/15/30

655

472

Noram Energy Corp. 6.5% 2/1/08

1,250

1,303

Northwest Pipeline Corp.:

6.625% 12/1/07

1,325

1,358

8.125% 3/1/10

1,290

1,329

Panhandle Eastern Pipe Line Co.:

7.2% 8/15/24

395

385

8.25% 4/1/10

1,145

1,358

Southern Natural Gas Co.:

7.35% 2/15/31

6,230

5,685

8% 3/1/32

120

114

8.875% 3/15/10

1,610

1,658

Tennessee Gas Pipeline Co.:

7% 10/15/28

510

444

7.5% 4/1/17

255

242

8.375% 6/15/32

765

750

Texas Eastern Transmission Corp.:

5.25% 7/15/07

2,905

3,021

7.3% 12/1/10

12,250

13,776

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - continued

Transcontinental Gas Pipe Line Corp.:

6.125% 1/15/05

$ 1,755

$ 1,755

6.25% 1/15/08

3,650

3,632

8.875% 7/15/12

1,160

1,235

Williams Holdings of Delaware, Inc. 6.25% 2/1/06

715

677

54,418

Multi-Utilities & Unregulated Power - 0.5%

AES Corp.:

8.75% 6/15/08

397

391

8.75% 5/15/13 (f)

5,050

4,930

8.875% 2/15/11

507

460

9% 5/15/15 (f)

3,790

3,714

9.375% 9/15/10

451

421

9.5% 6/1/09

1,357

1,279

10.25% 7/15/06

1,165

1,118

El Paso Corp.:

7% 5/15/11

8,115

6,411

7.875% 6/15/12 (f)

5,750

4,629

Reliant Resources, Inc. 9.25% 7/15/10 (f)

5,150

4,944

Southern Energy, Inc. New York 7.4% 7/15/04 (c)(f)

2,505

1,077

Western Resources, Inc.:

7.125% 8/1/09

865

869

7.875% 5/1/07

7,990

8,769

9.75% 5/1/07

3,030

3,360

Williams Companies, Inc.:

6.5% 8/1/06

2,505

2,380

6.625% 11/15/04

3,695

3,621

6.75% 1/15/06

3,060

2,907

7.125% 9/1/11

26,110

24,021

7.5% 1/15/31

2,171

1,878

7.625% 7/15/19

2,750

2,448

8.125% 3/15/12

10,630

10,205

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities & Unregulated Power - continued

Williams Companies, Inc.: - continued

8.625% 6/1/10

$ 3,620

$ 3,584

9.25% 3/15/04

3,685

3,722

97,138

TOTAL UTILITIES

306,493

TOTAL NONCONVERTIBLE BONDS

2,442,630

TOTAL CORPORATE BONDS

(Cost $2,491,330)

2,615,990

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

U.S. Government Agency Obligations - 2.5%

Fannie Mae:

3.625% 4/15/04

15,345

15,607

5% 5/14/07

60,100

61,800

5.125% 2/13/04

4,590

4,687

5.5% 3/15/11

1,502

1,581

6.25% 2/1/11

23,525

25,213

6.25% 7/19/11

75,900

78,742

6.625% 11/15/10

24,130

27,148

Freddie Mac:

1.5% 8/15/05

31,720

31,364

2.875% 9/26/05

30,000

30,069

3.75% 4/15/04

16,365

16,654

4.5% 1/15/13

25,000

23,870

5.25% 11/5/12

5,610

5,441

5.75% 1/15/12

60,000

63,447

5.875% 3/21/11

44,910

46,935

6% 5/25/12

40,000

41,031

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

4,745

5,195

U.S. Government and Government Agency Obligations - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

U.S. Government Agency Obligations - continued

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

$ 19,565

$ 21,507

Private Export Funding Corp. secured 6.86% 4/30/04

469

488

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

500,779

U.S. Treasury Obligations - 3.7%

U.S. Treasury Bonds:

6.125% 8/15/29

256,316

278,153

6.375% 8/15/27

2,575

2,877

8.875% 8/15/17

53,265

73,535

9.125% 5/15/18

50,000

70,664

9.875% 11/15/15

2,360

3,456

11.25% 2/15/15

59,890

94,535

U.S. Treasury Notes:

4% 11/15/12

67,735

65,428

5% 8/15/11

84,640

88,928

6% 8/15/09

36,153

40,600

TOTAL U.S. TREASURY OBLIGATIONS

718,176

TOTAL U.S. GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,225,840)

1,218,955

U.S. Government Agency - Mortgage Securities - 13.1%

Fannie Mae - 11.4%

4.5% 8/1/18 to 8/13/33 (g)(h)

469,000

450,641

5% 8/1/18 to 8/1/33 (g)

559,625

544,663

5.5% 10/1/08 to 4/1/18

102,791

105,188

6% 10/1/08 to 6/1/33

139,526

142,011

6.5% 3/1/08 to 2/1/33

471,350

487,200

6.5% 8/1/18 (g)

53,710

56,412

7% 7/1/23 to 10/1/32

14,433

15,132

7% 8/1/33 (g)

382,000

400,861

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

19,914

21,178

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

26

28

10% 8/1/17

11

12

TOTAL FANNIE MAE

2,223,326

U.S. Government Agency - Mortgage Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Freddie Mac - 0.0%

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

$ 492

$ 536

Government National Mortgage Association - 1.7%

5.5% 8/1/33 (g)

12,000

11,906

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

7,219

7,565

6.5% 6/15/23 to 8/15/32

44,466

46,106

7% 10/15/17 to 10/15/32

198,993

209,020

7% 8/1/33 (g)

2,395

2,520

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

36,570

38,958

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

16,017

17,315

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

2,190

2,374

9% 3/15/10 to 5/15/22

256

285

9.5% 3/15/23

21

24

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

483

543

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

336,616

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $2,570,442)

2,560,478

Asset-Backed Securities - 1.5%

ACE Securities Corp. Series 2003-FM1 Class M2, 2.95% 11/25/32 (i)

3,660

3,660

American Express Credit Account Master Trust:

Series 1999-2 Class B, 6.1% 12/15/06

14,200

14,719

Series 2001-6 Class B, 1.4569% 12/15/08 (i)

13,200

13,237

Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE2 Class A2, 1.4869% 4/15/33 (i)

13,071

13,049

Capital One Multi-Asset Execution Trust:

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

7,120

7,129

Series 2003-A1 Class A1, 1.4969% 1/15/09 (i)

35,085

35,258

Series 2003-B1 Class B1, 2.2769% 2/17/09 (i)

13,530

13,631

CDC Mortgage Capital Trust Series 2003-HE2:

Class M1, 1.9% 6/25/33 (i)

845

848

Class M2, 3% 6/25/33 (i)

3,130

3,137

Chase Manhattan Auto Owner Trust Series 2001-A
Class CTFS, 5.06% 2/15/08

2,924

3,003

Ford Credit Auto Owner Trust:

Series 2001-B Class B, 5.71% 9/15/05

5,895

6,104

Series 2001-C Class B, 5.54% 12/15/05

9,800

10,104

Asset-Backed Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Home Equity Asset Trust:

Series 2003-2:

Class A2, 1.48% 8/25/33 (i)

$ 2,484

$ 2,487

Class M1, 1.98% 8/25/33 (i)

3,115

3,135

Series 2003-4:

Class M1, 1.9% 10/25/33 (i)

4,080

4,080

Class M2, 3% 10/25/33 (i)

4,825

4,825

Home Equity Asset Trust NIMS Trust:

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

3,286

3,188

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

3,532

3,457

Honda Auto Receivables Owner Trust Series 2001-2 Class A4, 5.09% 10/18/06

9,905

10,182

Household Home Equity Loan Trust Series 2002-2
Class A, 1.4% 4/20/32 (i)

15,962

15,966

Long Beach Mortgage Loan Trust Series 2003-3
Class M2, 2.95% 7/25/33 (i)

4,765

4,766

Morgan Stanley ABS Capital I, Inc.:

Series 2002-NC6N Class NOTE, 9.5% 9/25/32 (f)

2,023

2,024

Series 2003-HE1 Class M2, 3% 6/27/33 (i)

5,640

5,652

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 2.1% 1/25/32 (i)

5,470

5,523

Series 2002-HE1N Class NOTE, 9.5% 6/25/32 (f)

1,396

1,396

Series 2002-NC5N Class NOTE, 9.5% 9/25/32 (f)

4,844

4,844

Series 2002-OP1N Class NOTE, 9.5% 9/25/32 (f)

1,333

1,336

Morgan Stanley Dean Witter Capital I, Inc. Series 2002-AM3N Class NOTE, 9.5% 2/25/33 (f)

3,505

3,508

New Century Home Equity Loan Trust Series 2003-2 Class A2, 1.53% 1/25/33 (i)

12,183

12,216

Residential Finance LP/Residential Finance Development Corp.:

Series 2003-B:

Class B3, 2.6606% 7/10/35 (f)(i)

9,384

9,384

Class B4, 2.8606% 7/10/35 (f)(i)

7,215

7,215

Class B5, 3.4606% 7/10/35 (f)(i)

6,692

6,692

Class B6, 3.9606% 7/10/35 (f)(i)

2,895

2,895

Series 2003-CB1:

Class B3, 2.5606% 6/10/35 (f)(i)

3,256

3,256

Class B4, 2.7606% 6/10/35 (f)(i)

2,911

2,911

Class B5, 3.6306% 6/10/35 (f)(i)

1,987

1,987

Class B6, 3.8606% 6/10/35 (f)(i)

1,178

1,178

Sears Credit Account Master Trust II:

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

22,525

24,560

Asset-Backed Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Sears Credit Account Master Trust II: - continued

Series 2001-2 Class B, 1.3969% 6/16/08 (i)

$ 16,300

$ 16,267

Series 2002-4 Class A, 1.2369% 8/18/09 (i)

10,400

10,390

TOTAL ASSET-BACKED SECURITIES

(Cost $295,248)

299,199

Collateralized Mortgage Obligations - 0.1%

U.S. Government Agency - 0.1%

Ginnie Mae guaranteed REMIC pass thru securities sequential pay Series 2003-59 Class D, 3.654% 10/1/27
(Cost $12,000)

12,000

11,047

Commercial Mortgage Securities - 0.8%

Berkeley Federal Bank & Trust FSB Series 1994-1
Class B, 2.381% 8/1/24 (f)(i)

3,833

3,105

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

12,500

13,637

COMM floater:

Series 2001-FL5A Class A2, 1.6569% 11/15/13 (f)(i)

5,390

5,393

Series 2002-FL7 Class A2, 1.4569% 11/15/14 (f)(i)

7,825

7,823

CS First Boston Mortgage Securities Corp.:

sequential pay Series 2000-C1 Class A2, 7.545% 4/14/62

10,600

12,217

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

10,735

11,713

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

6,000

6,665

First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 7.9752% 4/29/39 (f)(i)

2,900

2,459

Ginnie Mae guaranteed REMIC pass thru securities sequential pay:

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

8,218

7,936

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

6,535

6,373

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

11,610

11,163

Series 2003-59 Class XA, 0.3039% 6/16/34 (i)(j)

59,585

4,706

GS Mortgage Securities Corp. II:

Series 1998-GLII Class E, 7.1904% 4/13/31 (i)

4,895

4,831

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

5,995

5,892

LB Multi-family Mortgage Trust Series 1991-4 Class A1, 6.9814% 4/25/21 (f)(i)

342

304

Commercial Mortgage Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

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

$ 13,900

$ 12,180

Structured Asset Securities Corp. Series 1996-CFL Class E, 7.75% 2/25/28

466

465

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

32,000

35,086

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $145,450)

151,948

Municipal Securities - 0.1%

Illinois Gen. Oblig.:

3.3% 6/1/10

1,300

1,222

3.55% 6/1/11

1,040

975

3.75% 6/1/12

3,390

3,166

5.1% 6/1/33

21,065

17,830

TOTAL MUNICIPAL SECURITIES

(Cost $26,784)

23,193

Foreign Government and Government Agency Obligations - 0.4%

Bahamian Republic 6.625% 5/15/33 (f)

3,875

3,870

Chilean Republic:

5.5% 1/15/13

7,440

7,366

7.125% 1/11/12

10,775

11,933

Polish Government 6.25% 7/3/12

6,010

6,491

State of Israel 4.625% 6/15/13

9,700

9,124

United Mexican States:

6.375% 1/16/13

10,205

10,062

7.5% 1/14/12

12,100

12,977

8.5% 2/1/06

13,075

15,082

TOTAL FOREIGN GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS

(Cost $73,080)

76,905

Supranational Obligations - 0.0%

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

6,580

7,049

Floating Rate Loans - 0.1%

Principal
Amount (000s)

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - 0.0%

Hotels, Restaurants & Leisure - 0.0%

Hilton Head Communications LP Tranche B term loan 5.25% 3/31/08 (g)(i)

$ 4,500

$ 3,645

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

Olympus Cable Holdings LLC Tranche B term loan 6% 9/30/10 (i)

6,220

5,598

INFORMATION TECHNOLOGY - 0.0%

Communications Equipment - 0.0%

Loral Space & Communications Ltd. term loan 5.25% 1/7/05 (g)(i)

5,000

4,763

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Level 3 Communications, Inc. Tranche B term loan 5.37% 1/15/08 (g)(i)

2,000

1,860

UTILITIES - 0.0%

Electric Utilities - 0.0%

Aquila Networks Canada Corp. term loan 7.25% 7/30/04 (i)

5,000

5,000

CMS Energy Corp. Tranche C term loan 9%
9/30/04 (i)

25

25

5,025

TOTAL FLOATING RATE LOANS

(Cost $20,454)

20,891

Money Market Funds - 6.0%

Shares

Fidelity Cash Central Fund, 1.12% (b)

1,168,725,531

1,168,726

Fidelity Securities Lending Cash Central Fund, 1.13% (b)

9,106,000

9,106

TOTAL MONEY MARKET FUNDS

(Cost $1,177,832)

1,177,832

Cash Equivalents - 0.2%

Maturity
Amount (000s)

Value (Note 1)
(000s)

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.04%, dated 7/31/03 due 8/1/03)
(Cost $37,807)

$ 37,808

$ 37,807

TOTAL INVESTMENT PORTFOLIO - 107.5%

(Cost $19,978,071)

21,083,359

NET OTHER ASSETS - (7.5)%

(1,471,874)

NET ASSETS - 100%

$ 19,611,485

Security Type Abbreviations

PIERS

-

Preferred Income Equity Redeemable Securities

PRIDES

-

Preferred Redeemable Increased Dividend Equity Securities

Legend

(a) Non-income producing

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

(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) 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 $563,161,000 or 2.9% of net assets.

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

(h) A portion of the security is subject to a forward commitment to sell.

(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.

(k) Restricted securities - Investment in securities not registered under the Securities Act of 1933.

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

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):

U.S. Government and U.S. Government Agency Obligations

19.6%

AAA,AA,A

5.2

BBB

5.0

BB

1.6

B

3.5

CCC,CC,C

0.6

Not Rated

0.1

Equities

65.7

Short-Term Investments and
Net Other Assets

(1.3)

Total

100.0%

We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings.

Purchases and sales of securities, other than short-term securities, aggregated $15,879,558,000 and $15,546,765,000, respectively, of which long-term U.S. government and government agency obligations aggregated $10,909,889,000 and $10,891,760,000, respectively.

The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $116,000 for the period.

The fund invested in securities that are not registered under the Securities Act of 1933. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $8,730,000 or 0% of net assets.

The fund invested in loans and loan participations, trade claims or other receivables. At period end the value of these investments amounted to $20,891,000 or 0.1% of net assets.

The fund participated in the bank borrowing program. The average daily loan balance during the period for which the loan was outstanding amounted to $26,233,000. The weighted average interest rate was 1.56%. Interest expense includes $1,000 paid under the bank borrowing program. At period end there were no bank borrowings outstanding.

Income Tax Information

The fund hereby designates approximately $300,000 as a capital gain dividend for the purpose of the dividend paid deduction.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amount) J

July 31, 2003

Assets

Investment in securities, at value (including securities loaned of $8,809 and repurchase agreements of $37,807) (cost $19,978,071) - See accompanying schedule

$ 21,083,359

Commitment to sell securities on a delayed delivery basis

$ (321,750)

Receivable for securities sold on a delayed delivery basis

331,968

10,218

Cash

58

Receivable for investments sold

60,270

Receivable for fund shares sold

11,662

Dividends receivable

24,018

Interest receivable

79,972

Other receivables

78

Total assets

21,269,635

Liabilities

Payable for investments purchased
Regular delivery

$ 91,958

Delayed delivery

1,529,463

Payable for fund shares redeemed

16,887

Accrued management fee

7,121

Other payables and accrued expenses

3,615

Collateral on securities loaned, at value

9,106

Total liabilities

1,658,150

Net Assets

$ 19,611,485

Net Assets consist of:

Paid in capital

$ 18,217,433

Undistributed net investment income

77,746

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

200,791

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

1,115,515

Net Assets, for 1,156,547 shares outstanding

$ 19,611,485

Net Asset Value, offering price and redemption price per share ($19,611,485 ÷ 1,156,547 shares)

$ 16.96

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements - continued

Statement of Operations

Amounts in thousands

Tear ended July 31, 2003

Investment Income

Dividends

$ 276,807

Interest

393,825

Security lending

122

Total income

670,754

Expenses

Management fee

$ 78,965

Transfer agent fees

39,625

Accounting and security lending fees

1,343

Non-interested trustees' compensation

60

Appreciation in deferred trustee compensation account

9

Custodian fees and expenses

493

Registration fees

68

Audit

114

Legal

78

Interest

1

Miscellaneous

180

Total expenses before reductions

120,936

Expense reductions

(1,273)

119,663

Net investment income (loss)

551,091

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities

246,503

Foreign currency transactions

154

Total net realized gain (loss)

246,657

Change in net unrealized appreciation (depreciation) on:

Investment securities

842,977

Assets and liabilities in foreign currencies

(16)

Delayed delivery commitments

11,124

Total change in net unrealized appreciation (depreciation)

854,085

Net gain (loss)

1,100,742

Net increase (decrease) in net assets resulting from operations

$ 1,651,833

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

Amounts in thousands

Year ended
July 31,
2003

Year ended
July 31,
2002

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 551,091

$ 607,074

Net realized gain (loss)

246,657

(15,693)

Change in net unrealized appreciation (depreciation)

854,085

(2,680,938)

Net increase (decrease) in net assets resulting from operations

1,651,833

(2,089,557)

Distributions to shareholders from net investment income

(534,431)

(638,412)

Distributions to shareholders from net realized gain

-

(392,174)

Total distributions

(534,431)

(1,030,586)

Share transactions
Net proceeds from sales of shares

2,489,903

2,505,963

Reinvestment of distributions

505,293

976,519

Cost of shares redeemed

(2,710,891)

(3,073,941)

Net increase (decrease) in net assets resulting from share transactions

284,305

408,541

Total increase (decrease) in net assets

1,401,707

(2,711,602)

Net Assets

Beginning of period

18,209,778

20,921,380

End of period (including undistributed net investment income of $77,746 and undistributed net investment income of $58,137, respectively)

$ 19,611,485

$ 18,209,778

Other Information

Shares

Sold

156,096

143,549

Issued in reinvestment of distributions

31,832

56,126

Redeemed

(171,997)

(178,269)

Net increase (decrease)

15,931

21,406

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights

Years ended July 31,

2003

2002

2001

2000

1999

Selected Per-Share Data

Net asset value,
beginning of period

$ 15.96

$ 18.69

$ 18.92

$ 20.22

$ 21.09

Income from Investment
Operations

Net investment income (loss) B

.48

.53

.61

.61

.64

Net realized and unrealized gain (loss)

.99

(2.35)

.78

(.36)

.73

Total from investment
operations

1.47

(1.82)

1.39

.25

1.37

Distributions from net
investment income

(.47)

(.56)

(.61)

(.58)

(.68)

Distributions from net
realized gain

-

(.35)

(1.01)

(.97)

(1.56)

Total distributions

(.47)

(.91)

(1.62)

(1.55)

(2.24)

Net asset value,
end of period

$ 16.96

$ 15.96

$ 18.69

$ 18.92

$ 20.22

Total Return A

9.45%

(10.06)%

7.56%

1.34%

8.03%

Ratios to Average Net Assets C

Expenses before expense reductions

.66%

.65%

.64%

.64%

.64%

Expenses net of voluntary waivers, if any

.66%

.65%

.64%

.64%

.64%

Expenses net of all reductions

.66%

.64%

.63%

.63%

.63%

Net investment income (loss)

3.03%

3.03%

3.23%

3.24%

3.23%

Supplemental Data

Net assets, end of period
(in millions)

$ 19,611

$ 18,210

$ 20,921

$ 20,966

$ 25,740

Portfolio turnover rate

86%

79%

67%

62%

80%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended July 31, 2003

(Amounts in thousands except ratios)

1. Significant Accounting Policies.

Fidelity Puritan Fund (the fund) is a fund of Fidelity Puritan Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:

Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and electronic data processing techniques. If an event that is expected to materially affect the value of a security occurs after the close of an exchange or market on which that security trades, but prior to the NAV calculation, then that security will be fair valued taking the event into account. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value as determined in good faith under consistently applied procedures under the general supervision of the Board of Trustees. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.

Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

Annual Report

Notes to Financial Statements - continued

1. Significant Accounting Policies - continued

Annual Report

Foreign Currency - continued

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, which includes amortization of premium and accretion of discount on debt securities, as required, is accrued as earned. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), non-interested Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of the fund or are invested in a cross-section of other Fidelity funds, and are marked-to-market. Deferred amounts remain in the fund until distributed in accordance with the Plan.

Income Tax Information and Distributions to Shareholders. Each year the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on each fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. Distributions are recorded on the ex-dividend date.

Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the fund will treat a portion of the proceeds from shares redeemed as a distribution from realized gain for income tax purposes. Capital accounts within the financial statements

Annual Report

Notes to Financial Statements - continued

1. Significant Accounting Policies - continued

Annual Report

Income Tax Information and Distributions to Shareholders - continued

are adjusted for permanent and temporary book and tax differences. These adjustments have no impact on net assets or the results of operations. Temporary differences will reverse in a subsequent period. These differences are primarily due to foreign currency transactions, prior period premium and discount on debt securities, market discount, contingent interest, non-taxable dividends, financing transactions and losses deferred due to wash sales and excise tax regulations.

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 2,534,378

|

Unrealized depreciation

(1,419,359)

Net unrealized appreciation (depreciation)

1,115,019

Undistributed ordinary income

213,742

Undistributed long-term capital gain

56,519

Cost for federal income tax purposes

$ 19,968,340

The tax character of distributions paid was as follows:

July 31, 2003

July 31, 2002

Ordinary Income

$ 534,431

$ 651,959

Long-term Capital Gains

-

378,627

Total

$ 534,431

$ 1,030,586

2. Operating Policies.

Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. The custodian bank receives the collateral, which is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

Delayed Delivery Transactions and When-Issued Securities. The fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery

Annual Report

Notes to Financial Statements - continued

2. Operating Policies - continued

Annual Report

Delayed Delivery Transactions and When-Issued Securities - continued

sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the fund's Schedule of Investments. The fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery." Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities. The fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included under the captions "Legend" and/or "Other Information" at the end of the fund's Schedule of Investments.

Loans and Other Direct Debt Instruments. The fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments that obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. Information regarding loans and other direct debt instruments is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but will be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sales price

Annual Report

Notes to Financial Statements - continued

2. Operating Policies - continued

Annual Report

Financing Transactions - continued

and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.

3. Purchases and Sales of Investments.

Information regarding purchases and sales of securities is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

4. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the fund with investment management related services for which the fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the fund's average net assets and a group fee rate that averaged .28% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .43% of the fund's average net assets.

Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of all shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .22% of average net assets.

Accounting and Security Lending Fees. FSC maintains the fund's accounting records and administers the security lending program. The security lending fee is based on the number and duration of lending transactions. The accounting fee is based on the level of average net assets for the month plus out-of-pocket expenses.

Annual Report

Notes to Financial Statements - continued

4. Fees and Other Transactions with Affiliates - continued

Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $13,777 for the period.

Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms are shown under the caption "Other Information" at the end of the fund's Schedule of Investments.

5. Committed Line of Credit.

The fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.

6. Security Lending.

The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities.

7. Bank Borrowings.

The fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Information regarding the fund's participation in the program is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

Annual Report

8. Expense Reductions.

Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $1,069 for the period. In addition, through arrangements with the fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody and transfer agent expenses by $12 and $192, respectively.

Annual Report

Report of Independent Auditors

To the Trustees of Fidelity Puritan Trust and the Shareholders of Fidelity Puritan Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Puritan Fund (a fund of Fidelity Puritan Trust) at July 31, 2003 and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Puritan Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at July 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

September 12, 2003

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 279 funds advised by FMR or an affiliate. Mr. McCoy oversees 281 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (73)**

Year of Election or Appointment: 1984

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc.

Abigail P. Johnson (41)**

Year of Election or Appointment: 2001

Senior Vice President of Puritan Trust (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds.

Laura B. Cronin (49)

Year of Election or Appointment: 2003

Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002).

Robert L. Reynolds (51)

Year of Election or Appointment: 2003

Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.

Annual Report

Non-Interested Trustees:

Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

J. Michael Cook (60)

Year of Election or Appointment: 2001

Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), Rockwell Automation (2000) and The Dow Chemical Company (2000). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Board of the Directorship Search Group, Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater.

Ralph F. Cox (71)

Year of Election or Appointment: 1991

Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin.

Phyllis Burke Davis (71)

Year of Election or Appointment: 1992

Mrs. Davis is retired from Avon Products, Inc. (consumer products) where she held various positions including Senior Vice President of Corporate Affairs and Group Vice President of U.S. product marketing, sales, distribution, and manufacturing. Mrs. Davis is a member of the Board of Directors of the Southampton Hospital in Southampton, N.Y. (1998). Previously, she served as a Director of BellSouth Corporation (telecommunications), Eaton Corporation (diversified industrial), the TJX Companies, Inc. (retail stores), Hallmark Cards, Inc., and Nabisco Brands, Inc.

Robert M. Gates (59)

Year of Election or Appointment: 1997

Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), and Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001). He also serves as a member of the Advisory Board of VoteHere.net (secure internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy.

Donald J. Kirk (70)

Year of Election or Appointment: 1987

Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations).

Marie L. Knowles (56)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing), URS Corporation (multidisciplinary engineering, 1999), and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (59)

Year of Election or Appointment: 2000

Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Chairman and as a Director (1998) of Acterna Corporation (communications test equipment). He is also Co-Chairman of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Eaton Corporation (diversified industrial) and the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations.

Marvin L. Mann (70)

Year of Election or Appointment: 1993

Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals) where he remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. Mr. Mann is a Board member of Imation Corp. (imaging and information storage) and Acterna Corporation (communications test equipment, 1999). He is also a member of the Director Services Committee of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.

William O. McCoy (69)

Year of Election or Appointment: 1997

Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), Progress Energy, Inc. (electric utility), and Acterna Corporation (communications test equipment, 1999). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998).

William S. Stavropoulos (64)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman of the Board and Chairman of the Executive Committee (2000) and a Director of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000) and Chief Executive Officer (1995-2000). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council, World Business Council for Sustainable Development, and the University of Notre Dame Advisory Council for the College of Science.

Annual Report

Trustees and Officers - continued

Advisory Board Members and Executive Officers:

Correspondence intended for Dr. Heilmeier may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

George H. Heilmeier (67)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Puritan Trust. Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001) and Teletech Holdings (customer management services, 1998). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the IEEE (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences and The Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania.

Peter S. Lynch (60)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Puritan Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.

Bart A. Grenier (44)

Year of Election or Appointment: 2001

Vice President of Puritan Fund. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000).

Stephen R. Petersen (47)

Year of Election or Appointment: 2000

Vice President of Puritan Fund. Mr. Petersen also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Petersen managed a variety of Fidelity funds.

Kevin E. Grant (43)

Year of Election or Appointment: 1995

Vice President of Puritan Fund. Mr. Grant also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Grant managed a variety of Fidelity funds.

Eric D. Roiter (54)

Year of Election or Appointment: 1998

Secretary of Puritan Fund. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003).

Stuart Fross (43)

Year of Election or Appointment: 2003

Assistant Secretary of Puritan Fund. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR.

Maria F. Dwyer (44)

Year of Election or Appointment: 2002

President and Treasurer of Puritan Fund. Ms. Dwyer also serves as President and Treasurer of other Fidelity funds (2002) and is a Vice President (1999) and an employee (1996) of FMR. Prior to joining Fidelity, Ms. Dwyer served as Director of Compliance for MFS Investment Management.

Timothy F. Hayes (52)

Year of Election or Appointment: 2002

Chief Financial Officer of Puritan Fund. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998).

John R. Hebble (45)

Year of Election or Appointment: 2003

Deputy Treasurer of Puritan Fund. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003).

John H. Costello (56)

Year of Election or Appointment: 1986

Assistant Treasurer of Puritan Fund. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.

Francis V. Knox, Jr. (56)

Year of Election or Appointment: 2002

Assistant Treasurer of Puritan Fund. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002).

Mark Osterheld (48)

Year of Election or Appointment: 2002

Assistant Treasurer of Puritan Fund. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.

Thomas J. Simpson (45)

Year of Election or Appointment: 2000

Assistant Treasurer of Puritan Fund. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995).

Annual Report

Distributions

The Board of Trustees of Fidelity Puritan Fund voted to pay on September 8, 2003, to shareholders of record at the opening of business on September 5, 2003, a distribution of $.18 per share derived from capital gains realized from sales of portfolio securities and a dividend of $.12 per share from net investment income.

A total of 5.65% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates 33%, 33%, 60%, and 60% of the dividends distributed in September, December, March and June, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 62% of the dividends distributed in March and June during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2004 of amounts for use in preparing 2003 income tax returns.

Annual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Far East) Inc.

Fidelity Investments Money Management, Inc.

Fidelity Investments Japan Limited

Fidelity International Investment Advisers

Fidelity International Investment Advisers (U.K.) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Shareholder
Servicing Agent

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

Fidelity's Growth and Income Funds

Balanced Fund

Convertible Securities Fund

Equity-Income Fund

Equity-Income II Fund

Fidelity ® Fund

Global Balanced Fund

Growth & Income Portfolio

Growth & Income II Portfolio

Puritan® Fund

Real Estate Income Fund

Real Estate Investment Portfolio

Utilities Fund

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST) (automated graphic)    1-800-544-5555

(automated graphic)    Automated line for quickest service

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

PUR-UANN-0903
1.789251.100

Fidelity®

Balanced

Fund

Annual Report

July 31, 2003

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets,
as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

Auditors' Opinion

<Click Here>

The auditors' opinion.

Trustees and Officers

<Click Here>

Distributions

<Click Here>

For a free copy of the fund's proxy voting guidelines visit www.fidelity.com/goto/proxyguidelines, call 1-800-544-8544, or visit the Securities and Exchange Commision (SEC)'s web site at www.sec.gov.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.

(Recycle graphic)   This report is printed on recycled paper using soy-based inks.

Annual Report

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

Mutual fund shares are not deposits or obligations of, or guaranteed by, any depository institution. Shares are not insured by the FDIC, Federal Reserve Board or any other agency, and are subject to investment risks, including possible loss of principal amount invested.

Neither the fund nor Fidelity Distributors Corporation is a bank.

For more information on any Fidelity fund, including charges and expenses, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

This shareholder update and report on the performance of your fund is among the first to be produced under the new Sarbanes-Oxley Public Company Accounting and Investor Protection Act of 2002. This act requires that public companies certify, under penalty of law, the financial information they report to shareholders. It was adopted by Congress in reaction to several incidents of corporate malfeasance that brought the integrity of management of some publicly traded companies into question.

After the act was signed into law, the Securities and Exchange Commission interpreted it as applying to mutual funds as well as public companies. Thus, every mutual fund now is required to certify that the financial information provided in annual and semiannual reports to shareholders fully and fairly presents its financial position.

There is little doubt that the intent of Congress and regulators in this matter is a noble one - to improve the accuracy and accountability of financial reporting to investors by corporate America. We in no way condone any of the activities that brought about these requirements, and we welcome any and every reasonable proposal to strengthen investor protection and information disclosure.

That said, we are proud that mutual funds have always provided full and fair disclosure. Governed by the Investment Company Act of 1940 - and monitored and regulated by federal and state agencies, industry oversight associations, and independent directors - mutual funds are among the most transparent of all financial products. For example, the prices of mutual fund shares are established and published every business day, and the majority of members of the Board of Trustees that oversees our funds are not affiliated with the business of Fidelity. The disclosure standards of mutual funds actually have become models for governance and transparency across corporate America.

We are, of course, complying in full with the letter of this new requirement and hope that any future efforts by Congress to reassure investors about the honesty of corporate America will focus on practical and substantive solutions of genuine value to shareholders.

This sort of careful consideration was evident as Congress deliberated President Bush's tax cut package this spring, then enacted legislation that contains a variety of benefits for American families, investors and businesses. Although the final bill did not completely eliminate the tax that individual investors pay when they receive dividends from companies, it still will benefit American investors, and we applaud it in the spirit of compromise that marked the debate in Congress.

At Fidelity, we are committed to acting at all times in accordance with the highest standards of integrity and in the best interests of our fund shareholders. We are proud of the amount of information we provide to those who invest in our funds and pleased to continue that level of communication with you in these reports.

Best regards,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended July 31, 2003

Past 1
year

Past 5
years

Past 10
years

Fidelity Balanced Fund

14.78%

5.67%

8.31%

$10,000 Over 10 years

Let's say hypothetically that $10,000 was invested in Fidelity® Balanced Fund on July 31, 1993. The chart shows how the value of your investment would have grown, and also shows how the Standard & Poor's 500SM Index did over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Larry Rakers, Lead Portfolio Manager of Fidelity® Balanced Fund

Most stock and bond benchmarks had positive returns for the 12 months ending July 31, 2003, but they took wildly divergent paths to get there. In the period's first half, stocks were hurt by corporate governance scandals, weak corporate profits and fears of war. Bonds, meanwhile, reaped the benefits of low inflation, low interest rates, and their historical safe-haven status. In spring, however, stocks rallied. First-quarter earnings were solid, and investors cheered the end to the major military campaign in Iraq. The stock market rally lifted U.S. equity indexes into positive territory for the year overall. The technology-rich NASDAQ Composite® Index returned 31.22%, the large-cap-oriented Standard & Poor's 500SM Index gained 10.64% and the blue chips' Dow Jones Industrial AverageSM added 8.16%. Turning to bonds, the Lehman Brothers® Aggregate Bond Index - a proxy for investment-grade debt - gained 5.42%. Corporates did best, as investors were more willing to take on risk. Treasuries were volatile, particularly in the final six weeks of the period when their yields swung from record lows to a 12-month high.

Fidelity Balanced Fund gained 14.78% during the past year, outpacing the 8.21% return of the LipperSM Balanced Funds Average and the 9.69% return of the Fidelity Balanced Hybrid Composite Index. While good security selection was primarily responsible, favorable asset allocation also helped. Having a modest bias toward equities boosted returns in an up market, as did allocating part of the bond subportfolio to high-yield securities, which outpaced stocks and investment-grade debt by wide margins during the year. On the equity front, playing more offense benefited the fund in a healthier environment for higher-risk assets. Most of our gains came from modest positions in some beaten-down names - including AES, American Tower, LTX, Frontier Airlines and Agere Systems - that rebounded sharply after I bought them. Some good picks among consumer and industrial cyclicals also contributed, as did underweighting consumer staples. Conversely, weak stock picking among diversified financials curbed results, led by the downturn in Freddie Mac and Fannie Mae. Owning troubled health-care services names, such as Tenet Healthcare, also hurt. In bonds, our investment-grade subportfolio soundly beat its index, largely by underweighting government debt and overweighting stronger-performing corporates.

The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Investment Changes

Top Five Stocks as of July 31, 2003

% of fund's
net assets

% of fund's net assets
6 months ago

Citigroup, Inc.

2.1

1.7

Bank of America Corp.

1.3

1.2

Weatherford International Ltd.

1.2

1.4

American International Group, Inc.

1.1

1.0

Merck & Co., Inc.

1.1

1.1

6.8

Top Five Bond Issuers as of July 31, 2003

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

Fannie Mae

13.7

10.1

U.S. Treasury Obligations

4.1

3.6

Government National Mortgage Association

1.9

4.1

Freddie Mac

1.1

1.2

Sears Credit Account Master Trust II

0.4

0.3

21.2

Top Five Market Sectors as of July 31, 2003

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

18.2

19.9

Consumer Discretionary

11.3

11.1

Information Technology

10.3

8.0

Industrials

8.3

8.1

Health Care

6.9

7.2

Asset Allocation (% of fund's net assets)

As of July 31, 2003 *

As of January 31, 2003 **

Stocks 66.2%

Stocks 63.4%

Bonds 33.9%

Bonds 35.5%

Convertible
Securities 0.9%

Convertible
Securities 0.4%

Other Investments 0.1%

Other Investments 0.0%

Short-Term
Investments and
Net Other Assets*** (1.1)%

Short-Term
Investments and
Net Other Assets 0.7%

* Foreign
investments

8.5%

** Foreign
investments

6.9%

*** Short-Term Investments and Net Other Assets are not included in the pie chart.

Annual Report

Investments July 31, 2003

Showing Percentage of Net Assets

Common Stocks - 66.1%

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - 9.2%

Auto Components - 0.0%

Gentex Corp. (a)

85,000

$ 3,021

Automobiles - 0.2%

Monaco Coach Corp. (a)

744,600

10,410

Winnebago Industries, Inc.

59,000

2,334

12,744

Hotels, Restaurants & Leisure - 0.8%

Argosy Gaming Co. (a)

100,000

2,320

Darden Restaurants, Inc.

300,000

5,613

Kerzner International Ltd. (a)

195,000

6,238

Mandalay Resort Group

185,000

6,431

McDonald's Corp.

1,224,000

28,164

Outback Steakhouse, Inc.

140,000

5,229

Sonic Corp. (a)

148,000

3,617

Wendy's International, Inc.

230,000

6,760

64,372

Household Durables - 1.1%

Beazer Homes USA, Inc. (a)

68,100

5,255

Champion Enterprises, Inc. (a)

1,271,900

8,255

D.R. Horton, Inc.

362,930

10,216

Garmin Ltd. (a)

100,000

3,826

KB Home

252,000

14,266

Leggett & Platt, Inc.

75,000

1,661

Lennar Corp. Class A

264,000

17,210

Standard Pacific Corp.

585,200

19,897

Techtronic Industries Co.

4,000,000

7,360

87,946

Internet & Catalog Retail - 0.1%

Alloy, Inc. (a)

200,000

1,404

Coldwater Creek, Inc. (a)

257,400

4,118

J. Jill Group, Inc. (a)

149,300

2,099

7,621

Media - 3.6%

AOL Time Warner, Inc. (a)

3,964,242

61,168

Citadel Broadcasting Corp.

18,000

342

Clear Channel Communications, Inc.

837,000

34,275

Comcast Corp. Class A (special) (a)

435,000

12,746

Cox Radio, Inc. Class A (a)

75,000

1,571

EchoStar Communications Corp. Class A (a)

575,000

20,855

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Emmis Communications Corp. Class A (a)

383,000

$ 7,664

Fox Entertainment Group, Inc. Class A (a)

294,200

8,905

Lamar Advertising Co. Class A (a)

540,000

18,527

Liberty Media Corp. Class A (a)

3,120,368

34,605

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

500

8

Scholastic Corp. (a)

65,000

1,896

UnitedGlobalCom, Inc. Class A (a)

350,000

2,219

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

983,000

42,780

Vivendi Universal SA sponsored ADR (a)

365,000

6,366

Walt Disney Co.

1,365,000

29,921

283,848

Multiline Retail - 0.5%

Big Lots, Inc. (a)

175,000

2,697

Dollar Tree Stores, Inc. (a)

650,100

23,846

Sears, Roebuck & Co.

240,000

9,768

36,311

Specialty Retail - 2.6%

bebe Stores, Inc. (a)

109,000

2,435

Best Buy Co., Inc. (a)

637,600

27,831

Blockbuster, Inc. Class A

559,000

9,973

Borders Group, Inc. (a)

421,800

7,508

CarMax, Inc. (a)

120,000

4,260

Chico's FAS, Inc. (a)

205,000

5,566

Christopher & Banks Corp. (a)

510,000

20,171

Circuit City Stores, Inc.

830,000

7,619

Home Depot, Inc.

300,000

9,360

Limited Brands, Inc.

960,000

16,042

Movie Gallery, Inc. (a)

450,000

9,000

Office Depot, Inc. (a)

1,399,900

23,238

PETsMART, Inc.

982,800

19,489

Regis Corp.

283,600

8,732

Ross Stores, Inc.

180,000

8,226

Select Comfort Corp. (a)

75,000

1,649

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

238,200

5,107

The Pep Boys - Manny, Moe & Jack

150,000

2,327

West Marine, Inc. (a)

255,000

5,276

Wet Seal, Inc. Class A (a)

710,000

8,009

Whitehall Jewellers, Inc. (a)

121,700

1,448

203,266

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Textiles Apparel & Luxury Goods - 0.3%

Jones Apparel Group, Inc. (a)

35,000

$ 1,013

Liz Claiborne, Inc.

234,900

8,088

Perry Ellis International, Inc. (a)

208,000

4,917

Polo Ralph Lauren Corp. Class A

353,500

9,336

Tommy Hilfiger Corp. (a)

100,000

1,040

Tropical Sportswear International Corp. (a)

418,900

2,836

27,230

TOTAL CONSUMER DISCRETIONARY

726,359

CONSUMER STAPLES - 3.3%

Beverages - 0.4%

The Coca-Cola Co.

711,500

31,996

Food & Staples Retailing - 0.4%

CVS Corp.

860,000

25,791

Sysco Corp.

165,000

4,971

30,762

Food Products - 0.8%

Bunge Ltd.

415,000

12,429

Dean Foods Co. (a)

875,100

26,192

International Multifoods Corp. (a)

15,000

375

Sensient Technologies Corp.

250,000

5,343

Tyson Foods, Inc. Class A

1,760,500

19,946

64,285

Household Products - 0.8%

Colgate-Palmolive Co.

240,000

13,104

Procter & Gamble Co.

575,000

50,525

63,629

Personal Products - 0.2%

Avon Products, Inc.

184,100

11,486

Tobacco - 0.7%

Altria Group, Inc.

1,330,400

53,229

UST, Inc.

145,000

4,821

58,050

TOTAL CONSUMER STAPLES

260,208

Common Stocks - continued

Shares

Value (Note 1)
(000s)

ENERGY - 6.4%

Energy Equipment & Services - 5.2%

BJ Services Co. (a)

947,377

$ 32,448

Cal Dive International, Inc. (a)

150,000

2,970

Cooper Cameron Corp. (a)

981,530

46,927

Dril-Quip, Inc. (a)

233,700

3,669

ENSCO International, Inc.

137,800

3,455

Global Industries Ltd. (a)

379,400

1,745

Grant Prideco, Inc. (a)

2,527,000

27,165

Grey Wolf, Inc. (a)

2,360,000

8,331

Lone Star Technologies, Inc. (a)

100,000

1,656

Maverick Tube Corp. (a)

675,000

11,138

Nabors Industries Ltd. (a)

270,200

9,673

National-Oilwell, Inc. (a)

2,209,978

40,664

Newpark Resources, Inc. (a)

600,000

2,886

Noble Corp. (a)

456,300

14,999

NS Group, Inc. (a)

175,000

1,306

Pride International, Inc. (a)

2,442,700

40,256

Rowan Companies, Inc. (a)

875,000

19,206

Smith International, Inc. (a)

406,800

14,580

TETRA Technologies, Inc. (a)

175,000

5,749

Trican Well Service Ltd. (a)

266,600

3,741

Varco International, Inc. (a)

605,850

10,469

W-H Energy Services, Inc. (a)

495,000

8,999

Weatherford International Ltd. (a)

2,673,100

96,953

408,985

Oil & Gas - 1.2%

Apache Corp.

325,500

20,168

Burlington Resources, Inc.

115,000

5,310

Chesapeake Energy Corp.

2,028,000

19,408

Cimarex Energy Co. (a)

400,000

8,044

EnCana Corp.

525,000

18,177

Range Resources Corp. (a)

50,000

323

Spinnaker Exploration Co. (a)

75,000

1,639

Suncor Energy, Inc.

150,000

2,740

Talisman Energy, Inc.

190,000

8,174

Thunder Energy, Inc. (a)

575,000

2,355

Common Stocks - continued

Shares

Value (Note 1)
(000s)

ENERGY - continued

Oil & Gas - continued

Tsakos Energy Navigation Ltd.

425,000

$ 6,099

Valero Energy Corp.

130,000

4,732

97,169

TOTAL ENERGY

506,154

FINANCIALS - 14.3%

Capital Markets - 3.0%

A.G. Edwards, Inc.

100,000

3,699

Bank of New York Co., Inc.

1,240,000

37,349

Bear Stearns Companies, Inc.

70,000

4,690

Charles Schwab Corp.

733,850

7,639

Federated Investors, Inc. Class B (non-vtg.)

562,300

16,161

Goldman Sachs Group, Inc.

40,000

3,486

J.P. Morgan Chase & Co.

550,000

19,278

Legg Mason, Inc.

110,000

7,700

Lehman Brothers Holdings, Inc.

267,600

16,931

Merrill Lynch & Co., Inc.

1,020,000

55,457

Morgan Stanley

1,158,000

54,936

Waddell & Reed Financial, Inc. Class A

295,000

7,761

235,087

Commercial Banks - 3.2%

Bank of America Corp.

1,207,300

99,687

Bank of Hawaii Corp.

60,700

2,044

Bank One Corp.

1,000,000

39,560

Banknorth Group, Inc.

144,100

3,977

East West Bancorp, Inc.

100,000

4,323

Fifth Third Bancorp

375,000

20,629

FleetBoston Financial Corp.

645,000

20,053

Silicon Valley Bancshares (a)

165,000

4,064

UCBH Holdings, Inc.

100,000

3,083

Wachovia Corp.

1,243,056

54,309

251,729

Consumer Finance - 0.6%

American Express Co.

590,000

26,060

MBNA Corp.

695,000

15,492

Metris Companies, Inc.

1,250,000

4,625

SLM Corp.

160,000

6,634

52,811

Common Stocks - continued

Shares

Value (Note 1)
(000s)

FINANCIALS - continued

Diversified Financial Services - 2.5%

Alliance Capital Management Holding LP

165,000

$ 6,097

CIT Group, Inc.

420,000

11,710

Citigroup, Inc.

3,724,704

166,867

Deutsche Boerse AG

230,000

12,152

196,826

Insurance - 3.5%

ACE Ltd.

705,000

23,258

AFLAC, Inc.

745,000

23,900

Allmerica Financial Corp. (a)

1,115,300

24,916

American International Group, Inc.

1,336,531

85,805

Everest Re Group Ltd.

210,000

15,870

Fidelity National Financial, Inc.

102,500

2,941

Hartford Financial Services Group, Inc.

340,600

17,776

Lincoln National Corp.

510,000

19,043

MBIA, Inc.

490,000

24,804

Nationwide Financial Services, Inc. Class A

635,000

19,653

The Chubb Corp.

95,000

6,156

Travelers Property Casualty Corp. Class A

1,064,068

17,238

281,360

Real Estate - 0.1%

Apartment Investment & Management Co. Class A

135,000

5,320

Capital Automotive (SBI)

50,000

1,537

6,857

Thrifts & Mortgage Finance - 1.4%

Fannie Mae

516,000

33,045

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

300,000

7,677

Freddie Mac

698,700

34,131

Golden West Financial Corp., Delaware

70,000

5,782

NetBank, Inc.

452,900

5,620

Sovereign Bancorp, Inc.

1,260,000

22,604

108,859

TOTAL FINANCIALS

1,133,529

HEALTH CARE - 6.6%

Biotechnology - 0.1%

Trimeris, Inc. (a)

100,000

4,435

Health Care Equipment & Supplies - 0.9%

Bausch & Lomb, Inc.

115,000

4,861

Common Stocks - continued

Shares

Value (Note 1)
(000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Baxter International, Inc.

699,100

$ 19,302

Becton, Dickinson & Co.

270,000

9,890

Biomet, Inc.

120,000

3,553

Centerpulse AG sponsored ADR

254,700

7,004

Edwards Lifesciences Corp. (a)

396,200

11,189

St. Jude Medical, Inc. (a)

340,000

18,241

74,040

Health Care Providers & Services - 1.5%

Accredo Health, Inc. (a)

500,000

12,240

Aetna, Inc.

180,000

11,092

Cerner Corp. (a)

90,000

2,849

HealthSouth Corp. (a)

850,000

1,369

Henry Schein, Inc. (a)

25,000

1,461

Humana, Inc. (a)

160,000

2,803

Laboratory Corp. of America Holdings (a)

605,000

19,221

McKesson Corp.

545,000

17,582

PacifiCare Health Systems, Inc. (a)

120,000

6,708

Pharmaceutical Product Development, Inc. (a)

125,000

3,131

UnitedHealth Group, Inc.

835,000

43,495

121,951

Pharmaceuticals - 4.1%

Abbott Laboratories

685,700

26,914

Alpharma, Inc. Class A

175,000

3,474

Altana AG sponsored ADR

70,000

4,323

Barr Laboratories, Inc. (a)

75,000

5,066

Biovail Corp. (a)

365,000

14,038

Johnson & Johnson

825,000

42,727

Kyorin Pharmaceutical Co. Ltd.

174,000

2,182

Merck & Co., Inc.

1,520,000

84,026

Pfizer, Inc.

2,032,400

67,801

Pharmaceutical Resources, Inc. (a)

190,000

10,754

Schering-Plough Corp.

1,691,100

28,715

Wyeth

658,500

30,014

320,034

TOTAL HEALTH CARE

520,460

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - 7.6%

Aerospace & Defense - 1.1%

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

1,750,000

$ 6,419

Goodrich Corp.

245,000

5,635

Lockheed Martin Corp.

457,800

23,961

Northrop Grumman Corp.

200,000

18,448

SI International, Inc.

275,000

4,400

United Defense Industries, Inc. (a)

150,000

3,809

United Technologies Corp.

320,000

24,074

86,746

Air Freight & Logistics - 0.1%

CNF, Inc.

110,000

3,064

United Parcel Service, Inc. Class B

70,000

4,416

7,480

Airlines - 0.7%

AirTran Holdings, Inc. (a)

100,000

1,303

Frontier Airlines, Inc. (a)(f)

1,964,200

25,102

Northwest Airlines Corp. (a)

2,668,685

24,285

Southwest Airlines Co.

254,800

4,181

54,871

Building Products - 0.4%

American Standard Companies, Inc. (a)

231,800

17,710

Masco Corp.

550,000

13,404

31,114

Commercial Services & Supplies - 1.4%

Cendant Corp. (a)

1,340,000

24,053

Central Parking Corp.

275,000

4,065

Cintas Corp.

115,000

4,735

DeVry, Inc. (a)

350,000

8,939

G&K Services, Inc. Class A

340,300

10,641

HON Industries, Inc.

185,000

6,153

Labor Ready, Inc. (a)

433,200

3,708

Manpower, Inc.

290,000

11,049

Robert Half International, Inc. (a)

675,000

14,654

School Specialty, Inc. (a)

72,000

1,997

Sylvan Learning Systems, Inc. (a)

500,000

13,295

Waste Connections, Inc. (a)

25,000

849

Waste Management, Inc.

350,000

8,362

112,500

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - continued

Construction & Engineering - 0.5%

Dycom Industries, Inc. (a)

606,200

$ 10,311

Fluor Corp.

420,300

14,975

Granite Construction, Inc.

695,000

12,489

37,775

Electrical Equipment - 0.2%

ABB Ltd. (Switzerland) (Reg.) (a)

3,003,000

13,112

Industrial Conglomerates - 0.8%

General Electric Co.

563,200

16,017

Textron, Inc.

270,000

11,723

Tyco International Ltd.

1,745,800

32,472

60,212

Machinery - 1.9%

Actuant Corp. Class A (a)

400,900

19,524

AGCO Corp. (a)

1,226,700

23,528

Albany International Corp. Class A

452,000

12,914

Astec Industries, Inc. (a)

577,500

7,005

Caterpillar, Inc.

110,000

7,422

Cummins, Inc.

85,000

3,938

Ingersoll-Rand Co. Ltd. Class A

320,000

17,357

ITT Industries, Inc.

100,000

6,670

Milacron, Inc.

99,500

398

Navistar International Corp. (a)

584,000

22,788

Pentair, Inc.

210,000

8,474

Terex Corp. (a)

1,142,900

24,515

154,533

Road & Rail - 0.5%

Arkansas Best Corp.

221,786

6,137

Kansas City Southern (a)

611,300

7,427

Laidlaw International, Inc. (a)

100,000

1,036

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

173,072

3,891

Union Pacific Corp.

210,000

12,797

USF Corp.

255,000

8,033

39,321

TOTAL INDUSTRIALS

597,664

INFORMATION TECHNOLOGY - 9.8%

Communications Equipment - 0.7%

Avaya, Inc. (a)

750,000

7,200

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Enterasys Networks, Inc. (a)

2,326,200

$ 10,794

Finisar Corp. (a)

4,123,700

7,711

Lucent Technologies, Inc. (a)

800,000

1,408

Marconi Corp. PLC (a)

5,586,100

6,565

Motorola, Inc.

1,975,000

17,854

Nortel Networks Corp. (a)

350,000

1,033

UTStarcom, Inc. (a)

100,000

4,257

56,822

Computers & Peripherals - 0.5%

ATI Technologies, Inc. (a)

150,000

1,860

Drexler Technology Corp. (a)

145,000

2,968

Hutchinson Technology, Inc. (a)

225,000

6,462

Imation Corp.

160,000

5,710

Komag, Inc. (a)

100,000

1,375

Lexmark International, Inc. Class A (a)

35,000

2,246

M-Systems Flash Disk Pioneers Ltd. (a)

243,000

3,815

Maxtor Corp. (a)

175,000

1,750

Neoware Systems, Inc. (a)

100,000

1,718

Palm, Inc. (a)

150,000

2,408

SanDisk Corp. (a)

17,500

992

Seagate Technology

300,000

6,540

37,844

Electronic Equipment & Instruments - 2.9%

Agilent Technologies, Inc. (a)

2,137,048

46,438

Amphenol Corp. Class A (a)

435,000

23,490

Bell Microproducts, Inc. (a)

200,000

1,456

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

1,368,000

21,046

Flextronics International Ltd. (a)

2,567,500

28,243

Ingram Micro, Inc. Class A (a)

1,362,500

18,734

Manufacturers Services Ltd. (a)

225,000

1,148

National Instruments Corp.

115,000

4,095

Pioneer Standard Electronics, Inc.

215,000

1,931

Sanmina-SCI Corp. (a)

2,200,700

17,474

Solectron Corp. (a)

1,335,000

6,822

Symbol Technologies, Inc.

1,887,900

24,184

Tech Data Corp. (a)

243,000

7,606

Thermo Electron Corp. (a)

740,000

16,465

Vishay Intertechnology, Inc. (a)

625,000

8,313

227,445

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - 0.2%

Art Technology Group, Inc. (a)

1,100,000

$ 2,255

Overture Services, Inc. (a)

337,980

8,003

Vignette Corp. (a)

1,250,000

2,650

12,908

IT Services - 0.8%

Ceridian Corp. (a)

784,800

14,637

Concord EFS, Inc. (a)

335,000

4,559

First Data Corp.

557,100

21,036

MPS Group, Inc. (a)

1,150,000

10,799

The BISYS Group, Inc. (a)

455,000

7,530

Titan Corp.

275,000

4,219

62,780

Office Electronics - 0.3%

IKON Office Solutions, Inc.

475,000

3,411

Xerox Corp. (a)

2,296,000

24,797

28,208

Semiconductors & Semiconductor Equipment - 3.6%

Agere Systems, Inc.:

Class A (a)

10,188,700

28,630

Class B (a)

5,911,305

15,665

Analog Devices, Inc. (a)

95,100

3,609

ASML Holding NV (NY Shares) (a)

1,010,000

13,069

ATMI, Inc. (a)

638,200

16,446

Axcelis Technologies, Inc. (a)

1,510,000

11,114

Cree, Inc. (a)

390,000

5,210

Cymer, Inc. (a)

585,200

23,671

Cypress Semiconductor Corp. (a)

150,000

2,097

Fairchild Semiconductor International, Inc. (a)

1,876,900

23,930

Helix Technology, Inc.

134,700

2,190

Intersil Corp. Class A (a)

295,000

7,275

LSI Logic Corp. (a)

675,000

6,284

LTX Corp. (a)(f)

4,548,013

45,071

Micrel, Inc. (a)

1,139,328

12,806

National Semiconductor Corp. (a)

550,100

12,295

NVIDIA Corp. (a)

911,454

17,427

Omnivision Technologies, Inc. (a)

34,900

1,417

Samsung Electronics Co. Ltd.

67,500

23,787

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Texas Instruments, Inc.

759,100

$ 14,324

Vitesse Semiconductor Corp. (a)

150,000

968

287,285

Software - 0.8%

Activision, Inc. (a)

467,500

5,446

Autodesk, Inc.

825,000

12,342

Cadence Design Systems, Inc. (a)

350,000

4,785

Network Associates, Inc. (a)

2,035,000

22,996

THQ, Inc. (a)

535,000

8,817

Vastera, Inc. (a)

1,452,200

9,065

63,451

TOTAL INFORMATION TECHNOLOGY

776,743

MATERIALS - 5.1%

Chemicals - 1.4%

Crompton Corp.

508,500

3,168

Dow Chemical Co.

625,000

22,063

Ferro Corp.

501,500

10,913

Georgia Gulf Corp.

474,900

10,866

Lyondell Chemical Co.

300,000

4,491

Methanex Corp.

585,000

5,400

Millennium Chemicals, Inc.

1,132,800

12,642

NOVA Chemicals Corp.

390,000

7,911

Olin Corp.

1,229,800

22,973

PolyOne Corp.

1,331,177

6,070

Praxair, Inc.

125,000

8,083

Solutia, Inc.

555,600

678

115,258

Construction Materials - 0.1%

Martin Marietta Materials, Inc.

180,000

6,894

Texas Industries, Inc.

45,000

1,076

Vulcan Materials Co.

95,000

3,821

11,791

Containers & Packaging - 0.7%

Crown Holdings, Inc. (a)

50,000

374

Owens-Illinois, Inc. (a)

2,486,600

28,422

Common Stocks - continued

Shares

Value (Note 1)
(000s)

MATERIALS - continued

Containers & Packaging - continued

Pactiv Corp. (a)

550,000

$ 10,863

Smurfit-Stone Container Corp. (a)

827,300

12,385

52,044

Metals & Mining - 2.4%

Agnico-Eagle Mines Ltd.

1,799,216

21,734

Alcan, Inc.

635,000

22,135

Alcoa, Inc.

1,256,600

34,896

Century Aluminum Co.

442,520

3,974

Falconbridge Ltd.

1,245,000

17,070

Freeport-McMoRan Copper & Gold, Inc. Class B

1,508,900

40,423

Goldcorp, Inc.

563,180

6,839

Inco Ltd. (a)

310,000

7,233

Meridian Gold, Inc. (a)

620,000

7,816

Phelps Dodge Corp. (a)

452,400

19,087

Rio Tinto PLC sponsored ADR

55,000

4,656

Teck Cominco Ltd. Class B (sub. vtg.)

375,000

3,357

189,220

Paper & Forest Products - 0.5%

Abitibi-Consolidated, Inc.

1,050,000

7,292

Boise Cascade Corp.

335,000

8,305

Bowater, Inc.

390,000

15,023

Georgia-Pacific Corp.

325,000

7,101

37,721

TOTAL MATERIALS

406,034

TELECOMMUNICATION SERVICES - 2.2%

Diversified Telecommunication Services - 1.4%

ALLTEL Corp.

150,000

7,019

CenturyTel, Inc.

350,000

12,002

Citizens Communications Co. (a)

792,900

9,396

NTL, Inc. (a)

485,000

20,278

Qwest Communications International, Inc. (a)

1,498,500

5,979

SBC Communications, Inc.

325,000

7,592

Verizon Communications, Inc.

1,410,000

49,153

111,419

Wireless Telecommunication Services - 0.8%

American Tower Corp. Class A (a)

3,604,200

32,798

AT&T Wireless Services, Inc. (a)

590,000

5,033

Common Stocks - continued

Shares

Value (Note 1)
(000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Crown Castle International Corp. (a)

707,000

$ 6,999

KDDI Corp.

2,371

10,698

Nextel Communications, Inc. Class A (a)

125,000

2,283

57,811

TOTAL TELECOMMUNICATION SERVICES

169,230

UTILITIES - 1.6%

Electric Utilities - 0.9%

Allegheny Energy, Inc. (a)

150,000

1,241

Dominion Resources, Inc.

240,000

14,424

Edison International (a)

125,000

2,051

FirstEnergy Corp.

773,200

26,668

PG&E Corp. (a)

600,000

12,870

TXU Corp.

860,000

17,346

74,600

Gas Utilities - 0.1%

Southern Union Co.

5,000

77

Southwestern Energy Co. (a)

250,000

3,800

3,877

Multi-Utilities & Unregulated Power - 0.6%

AES Corp. (a)

6,186,917

38,916

Reliant Resources, Inc. (a)

1,300,000

6,448

Sierra Pacific Resources (a)

710,000

3,657

49,021

TOTAL UTILITIES

127,498

TOTAL COMMON STOCKS

(Cost $4,694,110)

5,223,879

Preferred Stocks - 0.1%

Convertible Preferred Stocks - 0.0%

UTILITIES - 0.0%

Gas Utilities - 0.0%

Southern Union Co. 5.75%

40,000

2,035

Preferred Stocks - continued

Shares

Value (Note 1)
(000s)

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Media - 0.1%

CSC Holdings, Inc.:

Series H, 11.75%

12,450

$ 1,295

Series M, 11.125%

9,055

939

2,234

TOTAL PREFERRED STOCKS

(Cost $4,217)

4,269

Corporate Bonds - 11.3%

Principal Amount (000s)

Convertible Bonds - 0.9%

CONSUMER DISCRETIONARY - 0.1%

Internet & Catalog Retail - 0.0%

Alloy, Inc. 5.375% 8/1/23 (g)

$ 1,000

1,020

Media - 0.1%

Charter Communications, Inc.:

4.75% 6/1/06

4,400

3,421

5.75% 10/15/05

5,000

3,988

7,409

TOTAL CONSUMER DISCRETIONARY

8,429

ENERGY - 0.1%

Energy Equipment & Services - 0.1%

Schlumberger Ltd. 1.5% 6/1/23 (g)

10,000

9,478

Oil & Gas - 0.0%

McMoRan Exploration Co. 6% 7/2/08 (g)

2,000

2,040

TOTAL ENERGY

11,518

FINANCIALS - 0.1%

Insurance - 0.1%

American Financial Group, Inc., Ohio 1.4861% 6/2/33 (e)(g)

5,300

1,948

Fairfax Financial Holdings Ltd. 5% 7/15/23 (g)

1,500

1,569

3,517

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

Convertible Bonds - continued

FINANCIALS - continued

Real Estate - 0.0%

MeriStar Hospitality Corp. 9.5% 4/1/10

$ 1,000

$ 1,080

TOTAL FINANCIALS

4,597

HEALTH CARE - 0.2%

Biotechnology - 0.1%

Cell Therapeutics, Inc. 4% 7/1/10 (g)

2,000

2,020

OSI Pharmaceuticals, Inc. 4% 2/1/09

1,900

1,938

Protein Design Labs, Inc. 2.75% 8/16/23 (g)

2,000

1,800

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

2,000

1,856

7,614

Health Care Equipment & Supplies - 0.0%

Bausch & Lomb, Inc. 1.6388% 8/1/23 (g)(i)

2,000

2,081

Health Care Providers & Services - 0.1%

Health Management Associates, Inc. 1.5% 8/1/23 (g)

5,000

5,069

Sunrise Senior Living, Inc. 5.25% 2/1/09 (g)

3,360

3,251

8,320

TOTAL HEALTH CARE

18,015

INDUSTRIALS - 0.1%

Airlines - 0.1%

Alaska Air Group, Inc. 3.5275% 3/21/23 (g)(i)

2,000

2,334

America West Airlines, Inc. 2.4912% 7/30/23 (e)(g)

2,900

967

3,301

Commercial Services & Supplies - 0.0%

School Specialty, Inc. 3.75% 8/1/23 (e)(g)

1,000

956

Machinery - 0.0%

Wabash National Corp. 3.25% 8/1/08 (g)

1,500

1,672

TOTAL INDUSTRIALS

5,929

INFORMATION TECHNOLOGY - 0.1%

Communications Equipment - 0.1%

Finisar Corp. 5.25% 10/15/08

6,703

5,505

Powerwave Technologies, Inc. 1.25% 7/15/08 (g)

1,000

954

6,459

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

Convertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - 0.0%

Anixter International, Inc. 0% 7/7/33 (g)

$ 2,630

$ 1,007

IT Services - 0.0%

Pegasus Solutions, Inc. 3.875% 7/15/23 (g)

1,000

993

Semiconductors & Semiconductor Equipment - 0.0%

Atmel Corp. 0% 5/23/21

8,000

2,990

Software - 0.0%

Mentor Graphics Corp. 2.79% 8/6/23 (i)

919

919

TOTAL INFORMATION TECHNOLOGY

12,368

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.0%

Commonwealth Telephone Enterprises, Inc. 3.25% 7/15/23 (g)

1,000

970

Level 3 Communications, Inc. 2.875% 7/15/10

3,000

2,530

3,500

Wireless Telecommunication Services - 0.1%

Nextel Communications, Inc. 5.25% 1/15/10

5,245

4,786

Western Wireless Corp. 4.625% 6/15/23 (g)

1,000

1,234

6,020

TOTAL TELECOMMUNICATION SERVICES

9,520

UTILITIES - 0.1%

Electric Utilities - 0.1%

CMS Energy Corp. 3.375% 7/15/23 (g)

3,000

2,855

Multi-Utilities & Unregulated Power - 0.0%

Reliant Resources, Inc. 5% 8/15/10 (g)

2,460

2,180

TOTAL UTILITIES

5,035

TOTAL CONVERTIBLE BONDS

75,411

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - 10.4%

CONSUMER DISCRETIONARY - 1.9%

Auto Components - 0.2%

DaimlerChrysler NA Holding Corp.:

3.4% 12/15/04

$ 5,500

$ 5,546

4.05% 6/4/08

2,000

1,923

4.75% 1/15/08

4,000

3,984

Dana Corp.:

6.25% 3/1/04

550

545

6.5% 3/1/09

2,340

2,153

9% 8/15/11

935

1,005

Navistar International Corp. 8% 2/1/08

345

350

Stoneridge, Inc. 11.5% 5/1/12

165

187

United Components, Inc. 9.375% 6/15/13 (g)

290

299

15,992

Automobiles - 0.1%

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

1,590

1,550

General Motors Corp.:

7.125% 7/15/13

810

790

8.25% 7/15/23

2,720

2,578

8.375% 7/15/33

3,340

3,121

8,039

Hotels, Restaurants & Leisure - 0.3%

Alliance Gaming Corp. 10% 8/1/07

1,145

1,185

Bally Total Fitness Holding Corp.:

9.875% 10/15/07

3,660

3,404

10.5% 7/15/11 (g)

2,320

2,366

Chumash Casino & Resort Enterprise 9% 7/15/10 (g)

680

721

Domino's, Inc. 8.25% 7/1/11 (g)

500

519

Friendly Ice Cream Corp. 10.5% 12/1/07

3,290

3,356

Herbst Gaming, Inc. 10.75% 9/1/08

620

679

HMH Properties, Inc. 7.875% 8/1/05

380

382

Mandalay Resort Group 6.5% 7/31/09 (g)

1,440

1,429

Mohegan Tribal Gaming Authority:

6.375% 7/15/09 (g)

1,110

1,091

8.375% 7/1/11

230

246

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

280

255

MTR Gaming Group, Inc. 9.75% 4/1/10 (g)

440

455

Park Place Entertainment Corp.:

7.875% 12/15/05

1,360

1,435

7.875% 3/15/10

300

323

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Premier Parks, Inc. 9.75% 6/15/07

$ 2,235

$ 2,118

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

1,990

2,144

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

530

562

Tricon Global Restaurants, Inc. 7.65% 5/15/08

540

583

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

1,200

1,320

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

370

385

Yum! Brands, Inc. 7.7% 7/1/12

790

853

25,811

Household Durables - 0.1%

Beazer Homes USA, Inc. 8.375% 4/15/12

645

684

D.R. Horton, Inc. 8.5% 4/15/12

580

626

William Lyon Homes, Inc. 10.75% 4/1/13

1,330

1,423

Standard Pacific Corp. 9.25% 4/15/12

545

591

3,324

Internet & Catalog Retail - 0.1%

J. Crew Operating Corp. 10.375% 10/15/07

1,000

1,010

USA Interactive 7% 1/15/13

3,500

3,793

4,803

Leisure Equipment & Products - 0.0%

The Hockey Co. 11.25% 4/15/09

1,225

1,384

Media - 1.0%

AMC Entertainment, Inc.:

9.5% 3/15/09

1,220

1,257

9.875% 2/1/12

2,405

2,597

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

760

811

AOL Time Warner, Inc.:

6.875% 5/1/12

3,840

4,117

7.625% 4/15/31

1,975

2,048

7.7% 5/1/32

2,885

3,026

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

7,750

8,835

CBD Media LLC/CBD Finance, Inc. 8.625% 6/1/11 (g)

200

206

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

0% 5/15/11 (d)

2,090

1,150

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

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

8.625% 4/1/09

$ 265

$ 196

9.625% 11/15/09

4,680

3,557

Clear Channel Communications, Inc. 5.75% 1/15/13

1,100

1,112

Comcast Corp. 7.05% 3/15/33

2,500

2,497

Comcast UK Cable Partners Ltd. yankee 11.2% 11/15/07

1,960

1,931

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

370

398

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

6,900

7,963

CSC Holdings, Inc.:

7.625% 4/1/11

2,615

2,537

9.875% 2/15/13

810

828

Diamond Holdings PLC yankee 9.125% 2/1/08

600

561

EchoStar DBS Corp.:

9.125% 1/15/09

1,150

1,265

10.375% 10/1/07

3,310

3,608

Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10

710

760

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

955

1,039

LodgeNet Entertainment Corp. 9.5% 6/15/13

180

187

News America Holdings, Inc. 8% 10/17/16

13,000

15,265

PEI Holdings, Inc. 11% 3/15/10 (g)

585

644

PRIMEDIA, Inc.:

7.625% 4/1/08

2,345

2,286

8.875% 5/15/11

160

163

Rogers Cablesystems Ltd. yankee 11% 12/1/15

80

88

Spanish Broadcasting System, Inc. 9.625% 11/1/09

590

620

Telewest PLC:

11% 10/1/07 (c)

3,980

1,493

yankee 9.625% 10/1/06 (c)

1,225

456

Vertis, Inc. 10.875% 6/15/09

795

783

Vivendi Universal SA 6.25% 7/15/08 (g)

3,555

3,484

Walt Disney Co. 5.375% 6/1/07

2,900

3,071

Yell Finance BV:

0% 8/1/11 (d)

600

498

10.75% 8/1/11

440

504

81,841

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.0%

Barneys, Inc. 9% 4/1/08 unit (g)

$ 430

$ 391

Dillard's, Inc. 6.125% 11/1/03

115

116

507

Specialty Retail - 0.1%

Gap, Inc. 10.55% 12/15/08

1,150

1,351

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

2,354

1,671

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

140

143

United Auto Group, Inc. 9.625% 3/15/12

955

1,008

4,173

Textiles Apparel & Luxury Goods - 0.0%

Levi Strauss & Co.:

7% 11/1/06

300

261

11.625% 1/15/08

200

182

12.25% 12/15/12

300

258

701

TOTAL CONSUMER DISCRETIONARY

146,575

CONSUMER STAPLES - 0.2%

Food & Staples Retailing - 0.1%

Rite Aid Corp.:

6% 12/15/05 (g)

855

817

6.875% 8/15/13

1,025

876

7.625% 4/15/05

185

183

8.125% 5/1/10 (g)

850

863

9.5% 2/15/11 (g)

905

959

The Great Atlantic & Pacific Tea Co.:

7.75% 4/15/07

2,995

2,710

9.125% 12/15/11

660

597

7,005

Food Products - 0.1%

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

920

984

Del Monte Corp. 9.25% 5/15/11

2,425

2,595

Doane Pet Care Co. 9.75% 5/15/07

1,465

1,406

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

730

719

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

1,720

1,802

7,506

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Household Products - 0.0%

Fort James Corp. 6.875% 9/15/07

$ 245

$ 244

Personal Products - 0.0%

Jafra Cosmetics International, Inc./Distribuidora Comercial Jafra SA de CV 10.75% 5/15/11 (g)

480

499

Revlon Consumer Products Corp. 12% 12/1/05

1,875

1,781

2,280

TOTAL CONSUMER STAPLES

17,035

ENERGY - 0.3%

Energy Equipment & Services - 0.0%

DI Industries, Inc. 8.875% 7/1/07

358

365

Grant Prideco, Inc.:

9% 12/15/09

210

226

9.625% 12/1/07

540

581

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

1,335

1,395

SESI LLC 8.875% 5/15/11

450

482

Universal Compression, Inc. 7.25% 5/15/10 (g)

1,720

1,711

4,760

Oil & Gas - 0.3%

Chesapeake Energy Corp.:

7.5% 9/15/13 (g)

880

893

8.375% 11/1/08

730

772

9% 8/15/12

445

481

Clark Refining & Marketing, Inc. 8.875% 11/15/07

490

500

General Maritime Corp. 10% 3/15/13 (g)

1,685

1,845

GulfTerra Energy Partners LP/GulfTerra Energy Finance Corp. 10.625% 12/1/12

310

353

NGC Corp. 6.75% 12/15/05

575

561

Nuevo Energy Co.:

9.375% 10/1/10

685

726

9.5% 6/1/08

404

423

Overseas Shipholding Group, Inc. 8.25% 3/15/13 (g)

2,045

2,106

Pemex Project Funding Master Trust 6.125% 8/15/08 (g)

4,000

4,170

Plains Exploration & Production Co. LP:

8.75% 7/1/12

960

996

8.75% 7/1/12 (g)

640

664

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil & Gas - continued

Range Resources Corp. 7.375% 7/15/13 (g)

$ 780

$ 749

Teekay Shipping Corp. 8.875% 7/15/11

2,110

2,310

Tesoro Petroleum Corp. 8% 4/15/08

280

286

The Coastal Corp.:

6.375% 2/1/09

50

39

6.5% 5/15/06

545

459

6.5% 6/1/08

205

164

7.5% 8/15/06

765

669

7.75% 6/15/10

375

302

9.625% 5/15/12

895

841

Western Oil Sands, Inc. 8.375% 5/1/12

980

1,088

21,397

TOTAL ENERGY

26,157

FINANCIALS - 3.8%

Capital Markets - 0.5%

Amvescap PLC:

5.9% 1/15/07

2,810

3,005

yankee 6.6% 5/15/05

2,605

2,783

Bank of New York Co., Inc.:

3.4% 3/15/13 (i)

2,000

1,946

4.25% 9/4/12 (i)

2,490

2,528

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

2,200

2,219

Credit Suisse First Boston (USA), Inc.:

5.875% 8/1/06

4,600

4,997

6.5% 1/15/12

1,250

1,347

Goldman Sachs Group, Inc. 6.6% 1/15/12

9,355

10,197

Lehman Brothers Holdings, Inc. 4% 1/22/08

2,500

2,517

Merrill Lynch & Co., Inc.:

3.7% 4/21/08

805

799

4% 11/15/07

2,375

2,377

Morgan Stanley 6.6% 4/1/12

4,445

4,839

39,554

Commercial Banks - 0.1%

FleetBoston Financial Corp. 7.25% 9/15/05

5,000

5,525

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

5,545

6,059

11,584

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - 1.0%

American General Finance Corp.:

2.75% 6/15/08

$ 335

$ 317

5.875% 7/14/06

12,515

13,573

AmeriCredit Corp. 9.875% 4/15/06

345

331

Capital One Bank:

4.875% 5/15/08

3,225

3,237

6.5% 6/13/13

3,670

3,426

6.65% 3/15/04

900

924

Ford Motor Credit Co.:

5.8% 1/12/09

2,875

2,751

7.375% 10/28/09

12,600

12,860

General Electric Capital Corp. 6.125% 2/22/11

6,600

7,101

General Motors Acceptance Corp.:

6.125% 2/1/07

185

191

6.125% 8/28/07

185

190

6.38% 1/30/04

5,680

5,808

6.875% 9/15/11

1,600

1,563

6.875% 8/28/12

3,800

3,688

Household Finance Corp.:

6.375% 10/15/11

7,765

8,297

6.75% 5/15/11

4,065

4,447

7% 5/15/12

1,235

1,371

MBNA Corp. 7.5% 3/15/12

4,930

5,555

75,630

Diversified Financial Services - 1.4%

Ahold Finance USA, Inc.:

6.25% 5/1/09

1,115

1,026

6.875% 5/1/29

530

435

8.25% 7/15/10

3,570

3,499

American Airlines, Inc. pass thru trust certificates 6.817% 5/23/11

575

489

Arch Western Finance LLC 6.75% 7/1/13 (g)

1,845

1,808

ASIF Global Financing XVIII 3.85% 11/26/07 (g)

150

150

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

1,095

1,185

Citigroup, Inc. 7.25% 10/1/10

10,200

11,648

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

475

461

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Continental Airlines, Inc. pass thru trust certificates:

6.748% 9/15/18

$ 75

$ 56

6.795% 8/2/18

1,606

1,188

6.9% 1/2/17

347

246

7.373% 12/15/15

1,470

1,117

7.73% 9/15/12

200

146

8.321% 11/1/06

50

43

8.388% 5/1/22

283

212

Delta Air Lines, Inc. pass thru trust certificates:

7.299% 9/18/06

265

225

7.57% 11/18/10

1,555

1,551

7.779% 1/2/12

1,429

1,143

9.875% 4/30/08

2,650

2,380

Deutsche Telekom International Finance BV:

5.25% 7/22/13

2,585

2,475

8.25% 6/15/05

2,350

2,584

8.5% 6/15/10

5,535

6,522

8.75% 6/15/30

1,460

1,709

Devon Financing Corp. U.L.C. 7.875% 9/30/31

2,400

2,741

El Paso Energy Partners LP/El Paso Energy Partners Finance Corp. 8.5% 6/1/11

775

812

Gemstone Investor Ltd./Gemstone Investor, Inc. 7.71% 10/31/04 (g)

3,355

3,259

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

2,270

2,122

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

440

473

IOS Capital LLC 7.25% 6/30/08

1,145

1,053

MSW Energy Holding LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10 (g)

180

186

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

320

320

Newcourt Credit Group, Inc. yankee 6.875% 2/16/05

3,815

4,071

NiSource Finance Corp. 7.875% 11/15/10

7,760

8,939

Northern Telecom Capital Corp. 7.875% 6/15/26

525

478

Northwest Airlines, Inc. pass thru trust certificates:

7.068% 7/2/17

298

221

7.626% 4/1/10

1,221

940

7.67% 1/2/15

297

244

7.691% 4/1/17

1,027

801

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

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

8.07% 1/2/15

$ 586

$ 439

Pemex Project Funding Master Trust 7.375% 12/15/14

5,550

5,730

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

11,260

12,358

Power Contract Financing LLC 6.256% 2/1/10 (g)

2,030

2,010

Qwest Capital Funding, Inc.:

5.875% 8/3/04

1,795

1,687

7% 8/3/09

1,340

1,018

7.25% 2/15/11

1,030

773

7.75% 8/15/06

6,525

5,677

Sprint Capital Corp. 6.125% 11/15/08

3,200

3,321

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

870

961

Verizon Global Funding Corp.:

6.125% 6/15/07

1,825

1,994

7.25% 12/1/10

385

437

7.375% 9/1/12

1,275

1,441

Verizon Wireless Capital LLC 5.375% 12/15/06

1,370

1,465

Western Financial Bank 9.625% 5/15/12

1,445

1,575

109,844

Insurance - 0.2%

Aegon NV 4.75% 6/1/13

5,200

4,895

Hartford Financial Services Group, Inc.:

2.375% 6/1/06

1,120

1,102

4.625% 7/15/13 (g)

1,155

1,088

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

2,365

2,345

Travelers Property Casualty Corp.:

5% 3/15/13

1,225

1,204

6.375% 3/15/33

1,580

1,542

12,176

Real Estate - 0.3%

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

4,400

4,518

CarrAmerica Realty Corp. 5.25% 11/30/07

2,205

2,266

CBRE Escrow, Inc. 9.75% 5/15/10 (g)

2,135

2,284

CenterPoint Properties Trust 6.75% 4/1/05

2,600

2,763

EOP Operating LP 7.75% 11/15/07

4,805

5,493

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate - continued

Gables Realty LP:

5.75% 7/15/07

$ 4,795

$ 4,977

6.8% 3/15/05

670

707

LNR Property Corp.:

7.625% 7/15/13 (g)

680

666

9.375% 3/15/08

450

471

10.5% 1/15/09

595

631

ProLogis 6.7% 4/15/04

1,550

1,611

Senior Housing Properties Trust:

7.875% 4/15/15

460

460

8.625% 1/15/12

580

609

27,456

Thrifts & Mortgage Finance - 0.3%

Countrywide Home Loans, Inc.:

3.25% 5/21/08

1,165

1,126

5.5% 8/1/06

6,925

7,430

5.625% 5/15/07

4,700

5,034

Washington Mutual Bank 6.875% 6/15/11

3,300

3,719

Washington Mutual, Inc. 5.625% 1/15/07

4,815

5,201

22,510

TOTAL FINANCIALS

298,754

HEALTH CARE - 0.1%

Health Care Equipment & Supplies - 0.0%

Kinetic Concepts, Inc. 7.375% 5/15/13 (g)(h)

660

667

Health Care Providers & Services - 0.1%

AmeriPath, Inc. 10.5% 4/1/13

725

769

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

1,770

2,027

Psychiatric Solutions, Inc. 10.625% 6/15/13 (g)

845

885

Rotech Healthcare, Inc. 9.5% 4/1/12

920

948

Tenet Healthcare Corp.:

6.375% 12/1/11

1,030

927

7.375% 2/1/13

970

922

6,478

TOTAL HEALTH CARE

7,145

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.1%

BE Aerospace, Inc.:

8.875% 5/1/11

$ 715

$ 601

9.5% 11/1/08

385

329

Orbital Sciences Corp. 9% 7/15/11 (g)

830

838

Raytheon Co.:

5.5% 11/15/12

1,435

1,433

6.75% 8/15/07

2,160

2,365

Transdigm, Inc. 8.375% 7/15/11 (g)

410

421

5,987

Airlines - 0.0%

AMR Corp. 9% 8/1/12

1,110

735

Continental Airlines, Inc. 8% 12/15/05

15

13

Delta Air Lines, Inc.:

equipment trust certificates 8.54% 1/2/07

134

107

7.9% 12/15/09

1,150

874

8.3% 12/15/29

1,000

668

10.14% 8/14/12

120

91

Northwest Airlines, Inc.:

7.875% 3/15/08

130

92

9.875% 3/15/07

270

205

2,785

Building Products - 0.0%

FastenTech, Inc. 11.5% 5/1/11 (g)

650

640

Nortek, Inc.:

9.125% 9/1/07

735

753

9.25% 3/15/07

225

230

1,623

Commercial Services & Supplies - 0.1%

Allied Waste North America, Inc.:

7.625% 1/1/06

1,780

1,825

10% 8/1/09

1,870

1,973

American Color Graphics, Inc. 10% 6/15/10 (g)

1,645

1,686

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

1,025

1,070

6,554

Industrial Conglomerates - 0.2%

Textron Financial Corp. 2.75% 6/1/06

1,990

1,956

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Industrial Conglomerates - continued

Tyco International Group SA yankee:

5.8% 8/1/06

$ 680

$ 690

6.375% 2/15/06

2,725

2,807

6.375% 10/15/11

3,000

2,970

6.75% 2/15/11

8,135

8,216

7% 6/15/28

620

577

17,216

Machinery - 0.1%

AGCO Corp.:

8.5% 3/15/06

110

110

9.5% 5/1/08

445

478

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

475

532

Dresser, Inc. 9.375% 4/15/11

1,400

1,442

Dunlop Standard Aerospace Holdings PLC yankee 11.875% 5/15/09

1,355

1,470

Navistar International Corp. 9.375% 6/1/06

420

454

Terex Corp.:

8.875% 4/1/08

1,580

1,620

9.25% 7/15/11

560

591

6,697

Road & Rail - 0.0%

TFM SA de CV yankee:

10.25% 6/15/07

145

150

11.75% 6/15/09

720

734

884

Transportation Infrastructure - 0.1%

Korea Highway Corp. 4.9% 7/1/13 (g)

4,300

4,031

TOTAL INDUSTRIALS

45,777

INFORMATION TECHNOLOGY - 0.4%

Communications Equipment - 0.2%

Motorola, Inc. 8% 11/1/11

8,145

9,204

Nortel Networks Corp. 6.125% 2/15/06

975

931

Northern Telecom Ltd. yankee 6.875% 9/1/23

470

415

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Qwest Services Corp.:

13% 12/15/07 (g)

$ 590

$ 631

13.5% 12/15/10 (g)

1,020

1,107

12,288

Electronic Equipment & Instruments - 0.0%

Ingram Micro, Inc. 9.875% 8/15/08

715

758

Jabil Circuit, Inc. 5.875% 7/15/10

460

453

Solectron Corp. 7.375% 3/1/06

1,645

1,670

2,881

IT Services - 0.0%

Electronic Data Systems Corp. 6% 8/1/13 (g)

4,355

4,073

Office Electronics - 0.1%

Xerox Corp.:

7.125% 6/15/10

2,785

2,701

7.15% 8/1/04

425

435

7.2% 4/1/16

1,505

1,370

7.625% 6/15/13

990

960

5,466

Semiconductors & Semiconductor Equipment - 0.1%

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

475

531

Amkor Technology, Inc.:

7.75% 5/15/13 (g)

3,490

3,333

9.25% 2/15/08

120

127

10.5% 5/1/09

225

236

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

2,000

1,940

SCG Holding Corp./Semiconductor Components Industries LLC 12% 8/1/09

930

837

7,004

TOTAL INFORMATION TECHNOLOGY

31,712

MATERIALS - 0.6%

Chemicals - 0.1%

Avecia Group PLC 11% 7/1/09

90

79

Berry Plastics Corp. 10.75% 7/15/12

1,495

1,637

Geon Co. 6.875% 12/15/05

115

104

HMP Equity Holdings Corp. 0% 5/15/08 unit (g)

1,585

713

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Huntsman International LLC:

9.875% 3/1/09

$ 240

$ 250

9.875% 3/1/09 (g)

780

811

Methanex Corp. yankee 7.75% 8/15/05

1,540

1,609

Millennium America, Inc.:

9.25% 6/15/08

1,620

1,677

9.25% 6/15/08 (g)

250

259

OMNOVA Solutions, Inc. 11.25% 6/1/10 (g)

780

835

PolyOne Corp.:

8.875% 5/1/12

590

496

10.625% 5/15/10

1,590

1,415

Resolution Performance Products LLC:

9.5% 4/15/10

695

695

13.5% 11/15/10

220

205

10,785

Construction Materials - 0.0%

Texas Industries, Inc. 10.25% 6/15/11 (g)

1,930

2,027

Containers & Packaging - 0.2%

Anchor Glass Container Corp. 11% 2/15/13

900

970

BWAY Corp. 10% 10/15/10 (g)

820

849

Graphic Packaging Corp. 8.625% 2/15/12

170

174

Jefferson Smurfit Corp. U.S. 7.5% 6/1/13 (g)

1,890

1,890

Owens-Brockway Glass Container, Inc.:

7.75% 5/15/11 (g)

560

574

8.25% 5/15/13 (g)

1,310

1,336

8.75% 11/15/12

520

546

8.875% 2/15/09

2,420

2,493

Owens-Illinois, Inc.:

7.15% 5/15/05

1,115

1,132

7.35% 5/15/08

1,560

1,521

7.5% 5/15/10

455

439

7.8% 5/15/18

2,020

1,899

8.1% 5/15/07

615

620

Sealed Air Corp.:

5.625% 7/15/13 (g)

810

775

6.875% 7/15/33 (g)

1,695

1,594

Silgan Holdings, Inc. 9% 6/1/09

670

692

17,504

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - 0.1%

Peabody Energy Corp. 6.875% 3/15/13 (g)

$ 760

$ 758

Salt Holdings Corp., Inc.:

0% 12/15/12 (d)(g)

1,140

764

0% 6/1/13 (d)(g)

1,800

1,044

Steel Dynamics, Inc. 9.5% 3/15/09

1,295

1,369

3,935

Paper & Forest Products - 0.2%

Boise Cascade Corp. 7.5% 2/1/08

1,515

1,607

Georgia-Pacific Corp.:

7.375% 12/1/25

1,700

1,445

7.5% 5/15/06

1,205

1,205

8.125% 5/15/11

1,535

1,535

8.875% 5/15/31

355

335

9.625% 3/15/22

460

446

Norske Skog Canada Ltd.:

8.625% 6/15/11

245

247

8.625% 6/15/11 (g)

1,230

1,245

Stone Container Corp.:

8.375% 7/1/12

760

806

9.75% 2/1/11

2,345

2,515

Weyerhaeuser Co.:

5.25% 12/15/09

2,180

2,206

6.125% 3/15/07

1,720

1,856

15,448

TOTAL MATERIALS

49,699

TELECOMMUNICATION SERVICES - 1.0%

Diversified Telecommunication Services - 0.7%

ACC Escrow Corp. 10% 8/1/11 (g)(h)

2,510

2,529

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

10,000

11,772

AT&T Corp.:

7% 11/15/06

1,105

1,221

7.8% 11/15/11

885

970

British Telecommunications PLC:

8.375% 12/15/10

2,565

3,065

8.875% 12/15/30

910

1,118

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Cable & Wireless Optus Finance Property Ltd. 8.125% 6/15/09 (g)

$ 2,800

$ 3,056

Cincinnati Bell, Inc. 7.25% 7/15/13 (g)

1,360

1,292

Citizens Communications Co. 8.5% 5/15/06

985

1,125

France Telecom SA 9.25% 3/1/11 (e)

5,000

5,942

Koninklijke KPN NV yankee 8% 10/1/10

3,800

4,496

Qwest Corp. 8.875% 3/15/12 (g)

905

928

Rogers Cantel, Inc. yankee:

8.8% 10/1/07

1,365

1,385

9.375% 6/1/08

355

371

Telewest Communications PLC yankee:

9.875% 2/1/10 (c)

260

94

11.25% 11/1/08 (c)

1,205

452

TELUS Corp. yankee 7.5% 6/1/07

11,770

12,870

Triton PCS, Inc.:

8.75% 11/15/11

1,075

1,037

9.375% 2/1/11

2,550

2,537

U.S. West Communications 5.65% 11/1/04

300

293

56,553

Wireless Telecommunication Services - 0.3%

American Tower Corp. 9.375% 2/1/09

2,760

2,788

AT&T Wireless Services, Inc.:

7.875% 3/1/11

1,380

1,554

8.75% 3/1/31

1,640

1,890

Crown Castle International Corp.:

9.375% 8/1/11

1,180

1,215

9.5% 8/1/11

1,000

1,030

10.75% 8/1/11

760

825

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

1,595

1,762

Nextel Communications, Inc.:

9.375% 11/15/09

1,590

1,689

9.5% 2/1/11

1,120

1,224

9.75% 10/31/07

270

277

9.95% 2/15/08

3,820

3,973

Nextel Partners, Inc. 8.125% 7/1/11 (g)

2,145

1,995

Rogers Wireless, Inc. 9.625% 5/1/11

3,700

4,181

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

SBA Communications Corp. 10.25% 2/1/09

$ 525

$ 484

Western Wireless Corp. 9.25% 7/15/13 (g)

1,420

1,363

26,250

TOTAL TELECOMMUNICATION SERVICES

82,803

UTILITIES - 1.5%

Electric Utilities - 0.8%

Allegheny Energy Supply Co. LLC:

8.75% 4/15/12 (g)

4,405

3,678

10.25% 11/15/07 (g)

674

681

10.25% 11/15/07 (g)(i)

76

72

CMS Energy Corp.:

6.75% 1/15/04

2,385

2,385

7.5% 1/15/09

270

254

7.625% 11/15/04

2,505

2,496

7.75% 8/1/10 (g)

1,195

1,129

8.5% 4/15/11

740

720

8.9% 7/15/08

1,120

1,103

9.875% 10/15/07

1,850

1,896

Constellation Energy Group, Inc.:

6.35% 4/1/07

4,410

4,815

7% 4/1/12

2,855

3,120

Dominion Resources, Inc.:

6.25% 6/30/12

2,130

2,248

8.125% 6/15/10

2,505

2,934

Duke Capital Corp. 6.75% 2/15/32

3,530

3,143

Edison International 6.875% 9/15/04

760

752

FirstEnergy Corp.:

5.5% 11/15/06

2,830

2,971

6.45% 11/15/11

2,425

2,475

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

1,250

1,263

Illinois Power Co.:

7.5% 6/15/09

3,330

3,330

11.5% 12/15/10 (g)

1,765

1,942

Nevada Power Co. 10.875% 10/15/09

570

621

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

1,660

1,944

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

2,195

2,357

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

Pacific Gas & Electric Co.:

6.25% 3/1/04

$ 505

$ 506

8.25% 11/1/22

920

920

10% 11/1/05 (g)(i)

1,030

1,030

PG&E Corp. 6.875% 7/15/08 (g)

710

728

Southern California Edison Co.:

7.25% 3/1/26

940

954

8% 2/15/07 (g)

2,795

2,991

TECO Energy, Inc.:

7% 5/1/12

810

761

10.5% 12/1/07

1,425

1,582

57,801

Gas Utilities - 0.2%

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

1,550

1,737

Dynegy Holdings, Inc.:

7.45% 7/15/06

525

504

8.125% 3/15/05

490

480

El Paso Energy Corp.:

6.75% 5/15/09

395

308

6.95% 12/15/07

1,130

927

7.375% 12/15/12

1,260

977

SEMCO Energy, Inc.:

7.125% 5/15/08 (g)

160

160

7.75% 5/15/13 (g)

190

189

Sonat, Inc.:

6.625% 2/1/08

980

764

6.75% 10/1/07

535

422

6.875% 6/1/05

3,475

3,284

Southern Natural Gas Co. 8.875% 3/15/10

480

494

Texas Eastern Transmission Corp.:

5.25% 7/15/07

1,215

1,264

7.3% 12/1/10

4,320

4,858

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

475

475

Williams Holdings of Delaware, Inc. 6.25% 2/1/06

85

81

16,924

Multi-Utilities & Unregulated Power - 0.5%

AES Corp.:

8.375% 8/15/07

510

464

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities & Unregulated Power - continued

AES Corp.: - continued

8.5% 11/1/07

$ 375

$ 341

8.75% 6/15/08

347

342

8.75% 5/15/13 (g)

2,400

2,343

8.875% 2/15/11

558

506

9% 5/15/15 (g)

1,270

1,245

9.375% 9/15/10

523

488

9.5% 6/1/09

1,387

1,307

10% 12/12/05 (g)

395

398

10.25% 7/15/06

395

379

Calpine Corp. 6.8556% 7/15/07 (g)(i)

2,180

2,017

El Paso Corp.:

7% 5/15/11

870

687

7.875% 6/15/12 (g)

725

584

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

2,610

2,388

Reliant Resources, Inc.:

9.25% 7/15/10 (g)

2,305

2,213

9.5% 7/15/13 (g)

680

653

Western Resources, Inc. 9.75% 5/1/07

1,435

1,591

Williams Companies, Inc.:

6.5% 8/1/06

2,465

2,342

6.75% 1/15/06

1,370

1,302

7.125% 9/1/11

7,710

7,093

7.5% 1/15/31

2,010

1,739

7.625% 7/15/19

1,360

1,210

7.875% 9/1/21

1,570

1,397

8.125% 3/15/12

1,970

1,891

8.625% 6/1/10

1,120

1,109

8.75% 3/15/32

265

250

9.25% 3/15/04

3,665

3,702

39,981

TOTAL UTILITIES

114,706

TOTAL NONCONVERTIBLE BONDS

820,363

TOTAL CORPORATE BONDS

(Cost $868,541)

895,774

U.S. Government and Government Agency Obligations - 6.6%

Principal
Amount (000s)

Value (Note 1)
(000s)

U.S. Government Agency Obligations - 2.5%

Fannie Mae:

5% 5/14/07

$ 22,570

$ 23,208

5.5% 3/15/11

11,499

12,104

6.25% 2/1/11

8,605

9,223

6.25% 7/19/11

44,900

46,581

6.625% 11/15/10

7,150

8,044

Financing Corp. - coupon STRIPS 0% 3/26/04

4,574

4,526

Freddie Mac:

2.875% 9/26/05

10,700

10,725

4.5% 1/15/13

8,000

7,638

5.25% 11/5/12

2,810

2,725

5.75% 1/15/12

25,000

26,436

5.875% 3/21/11

27,810

29,064

6% 5/25/12

15,000

15,386

Private Export Funding Corp. secured 6.86% 4/30/04

241

251

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

195,911

U.S. Treasury Obligations - 4.1%

U.S. Treasury Bonds:

6.125% 8/15/29

108,110

117,320

6.375% 8/15/27

1,760

1,967

9.125% 5/15/18

16,500

23,319

11.25% 2/15/15

28,800

45,460

U.S. Treasury Notes:

4% 11/15/12

33,880

32,726

5% 8/15/11

90,025

94,586

6% 8/15/09

12,628

14,181

TOTAL U.S. TREASURY OBLIGATIONS

329,559

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $539,318)

525,470

U.S. Government Agency - Mortgage Securities - 14.1%

Fannie Mae - 12.4%

4.5% 8/1/18 (h)(k)

118,000

115,050

U.S. Government Agency - Mortgage Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Fannie Mae - continued

4.5% 8/1/33 (h)

$ 63,000

$ 57,821

5% 8/1/18 (h)

144,232

144,097

5% 8/1/33 (h)

125,000

119,365

5.5% 11/1/08 to 1/1/18

17,449

17,831

5.5% 8/1/33 (h)

34,050

33,624

6% 8/1/12 to 7/1/33 (h)

25,764

26,088

6.5% 7/1/08 to 4/1/33

127,466

131,124

6.5% 8/1/18 (h)

74,000

77,723

7% 12/1/08 to 10/1/32

10,530

11,040

7% 8/1/33 (h)

224,000

235,035

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

9,393

9,984

8% 9/1/17

22

23

TOTAL FANNIE MAE

978,805

Government National Mortgage Association - 1.7%

5.5% 8/1/33 (h)

9,000

8,930

6.5% 3/15/26 to 1/15/33

20,772

21,524

6.5% 8/1/33 (h)

4,320

4,474

7% 8/15/25 to 12/15/32

85,869

90,200

7% 8/1/33 (h)

2,073

2,181

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

5,479

5,816

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

319

345

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

138

153

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

74

83

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

133,706

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,123,132)

1,112,511

Asset-Backed Securities - 1.6%

Principal
Amount (000s)

Value (Note 1)
(000s)

ACE Securities Corp. Series 2003-FM1 Class M2, 2.95% 11/25/32 (i)

$ 1,490

$ 1,490

American Express Credit Account Master Trust:

Series 1999-2 Class B, 6.1% 12/15/06

4,200

4,353

Series 2001-6 Class B, 1.4569% 12/15/08 (i)

5,200

5,215

Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE2 Class A2, 1.4869% 4/15/33 (i)

4,746

4,738

Asset-Backed Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Capital One Multi-Asset Execution Trust:

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

$ 2,675

$ 2,678

Series 2003-A1 Class A1, 1.4969% 1/15/09 (i)

13,080

13,145

Series 2003-B1 Class B1, 2.2769% 2/17/09 (i)

5,090

5,128

CDC Mortgage Capital Trust Series 2003-HE2:

Class M1, 1.9% 6/25/33 (i)

340

341

Class M2, 3% 6/25/33 (i)

1,265

1,268

Chase Manhattan Auto Owner Trust Series 2001-A Class CTFS, 5.06% 2/15/08

1,128

1,158

Ford Credit Auto Owner Trust:

Series 2001-B Class B, 5.71% 9/15/05

2,170

2,247

Series 2001-C Class B, 5.54% 12/15/05

3,800

3,918

Home Equity Asset Trust:

Series 2003-2:

Class A2, 1.48% 8/25/33 (i)

902

902

Class M1, 1.98% 8/25/33 (i)

1,130

1,137

Series 2003-4:

Class M1, 1.9% 10/25/33 (i)

1,670

1,670

Class M2, 3% 10/25/33 (i)

1,980

1,980

Home Equity Asset Trust NIMS Trust:

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

1,202

1,165

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

1,446

1,416

Honda Auto Receivables Owner Trust Series 2001-2 Class A4, 5.09% 10/18/06

3,825

3,932

Household Home Equity Loan Trust Series 2002-2 Class A, 1.4% 4/20/32 (i)

6,637

6,638

Long Beach Mortgage Loan Trust Series 2003-3:

Class M1, 1.85% 7/25/33 (i)

3,770

3,766

Class M2, 2.95% 7/25/33 (i)

1,925

1,926

Morgan Stanley ABS Capital I, Inc. Series 2003-HE1 Class M2, 3% 6/27/33 (i)

2,310

2,315

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 2.1% 1/25/32 (i)

1,990

2,009

Series 2002-HE1N Class NOTE, 9.5% 6/25/32 (g)

467

467

Series 2002-NC5N Class NOTE, 9.5% 9/25/32 (g)

1,761

1,761

Series 2002-OP1N Class NOTE, 9.5% 9/25/32 (g)

545

546

Asset-Backed Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Morgan Stanley Dean Witter Capital I, Inc. Series 2002-AM3N Class NOTE, 9.5% 2/25/33 (g)

$ 1,423

$ 1,424

New Century Home Equity Loan Trust Series 2003-2 Class A2, 1.53% 1/25/33 (i)

4,424

4,436

Residential Finance LP/Residential Finance Development Corp.:

Series 2003-B:

Class B3, 2.6606% 7/10/35 (g)(i)

3,795

3,795

Class B4, 2.8606% 7/10/35 (g)(i)

2,896

2,896

Class B5, 3.4606% 7/10/35 (g)(i)

2,697

2,697

Class B6, 3.9606% 7/10/35 (g)(i)

1,198

1,198

Series 2003-CB1:

Class B3, 2.5606% 6/10/35 (g)(i)

1,338

1,338

Class B4, 2.7606% 6/10/35 (g)(i)

1,193

1,193

Class B5, 3.6306% 6/10/35 (g)(i)

814

814

Class B6, 3.8606% 6/10/35 (g)(i)

484

484

Sears Credit Account Master Trust II:

Series 2000-1 Class B, 7.5% 11/15/07

6,100

6,193

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

7,895

8,608

Series 2001-2 Class B, 1.3969% 6/16/08 (i)

6,300

6,287

Series 2002-4 Class A, 1.2369% 8/18/09 (i)

4,200

4,196

TOTAL ASSET-BACKED SECURITIES

(Cost $121,382)

122,868

Collateralized Mortgage Obligations - 0.1%

U.S. Government Agency - 0.1%

Ginnie Mae guaranteed REMIC pass thru securities sequential pay Series 2003-59 Class D, 3.654% 10/1/27
(Cost $4,890)

4,890

4,502

Commercial Mortgage Securities - 0.6%

COMM floater:

Series 2001-FL5A Class A2, 1.6569% 11/15/13 (g)(i)

1,954

1,955

Series 2002-FL7 Class A2, 1.4569% 11/15/14 (g)(i)

2,840

2,839

CS First Boston Mortgage Securities Corp.:

sequential pay Series 2000-C1 Class A2, 7.545% 4/14/62

5,000

5,763

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

2,800

3,055

Commercial Mortgage Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

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

$ 935

$ 942

Equitable Life Assurance Society of the United States Series 174:

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

4,000

4,431

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

4,000

4,443

Ginnie Mae guaranteed REMIC pass thru securities sequential pay:

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

2,985

2,882

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

2,370

2,311

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

4,370

4,202

GS Mortgage Securities Corp. II:

Series 1998-GLII Class E, 7.1904% 4/13/31 (i)

1,220

1,204

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

2,445

2,403

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

5,000

4,381

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

9,000

9,868

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $48,488)

50,679

Municipal Securities - 0.1%

Illinois Gen. Oblig. 5.1% 6/1/33
(Cost $8,630)

8,630

7,305

Foreign Government and Government Agency Obligations - 0.4%

Bahamian Republic 6.625% 5/15/33 (g)

1,610

1,608

Chilean Republic:

5.5% 1/15/13

2,655

2,628

7.125% 1/11/12

4,045

4,480

Polish Government 6.25% 7/3/12

2,270

2,452

State of Israel 4.625% 6/15/13

3,985

3,748

United Mexican States:

6.375% 1/16/13

3,935

3,880

7.5% 1/14/12

6,200

6,650

8.5% 2/1/06

5,000

5,768

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $29,684)

31,214

Supranational Obligations - 0.0%

Principal
Amount (000s)

Value (Note 1)
(000s)

Corporacion Andina de Fomento 6.875% 3/15/12
(Cost $2,795)

$ 2,825

$ 3,026

Floating Rate Loans - 0.1%

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Qwest Corp. Tranche A term loan 6.5% 6/30/07 (i)

3,200

3,200

UTILITIES - 0.1%

Multi-Utilities & Unregulated Power - 0.1%

AES Corp. term loan 7% 4/30/08 (i)

5,300

5,274

TOTAL FLOATING RATE LOANS

(Cost $8,495)

8,474

Money Market Funds - 9.4%

Shares

Fidelity Cash Central Fund, 1.12% (b)

720,301,046

720,301

Fidelity Securities Lending Cash Central Fund, 1.13% (b)

25,329,000

25,329

TOTAL MONEY MARKET FUNDS

(Cost $745,630)

745,630

Cash Equivalents - 0.1%

Maturity
Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.04%, dated 7/31/03 due 8/1/03)
(Cost $9,657)

9,657

9,657

TOTAL INVESTMENT PORTFOLIO - 110.6%

(Cost $8,208,969)

8,745,258

NET OTHER ASSETS - (10.6)%

(840,006)

NET ASSETS - 100%

$ 7,905,252

Legend

(a) Non-income producing

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

(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 $228,090,000 or 2.9% 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) Restricted securities - Investment in securities not registered under the Securities Act of 1933.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

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

8/8/02

$ 1,783

(k) A portion of the security is subject to a forward commitment to sell.

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):

U.S.Government and U.S.Government Agency Obligations

20.9%

AAA,AA,A

4.9

BBB

4.1

BB

1.1

B

2.8

CCC,CC,C

0.7

Not Rated

0.4

Equities

66.2

Short-Term Investments and
Net Other Assets

(1.1)

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings.

Purchases and sales of securities, other than short-term securities, aggregated $9,968,837,000 and $9,290,018,000, respectively, of which long-term U.S. government and government agency obligations aggregated $5,411,132,000 and $5,075,653,000, respectively.

The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $413,000 for the period.

The fund invested in securities that are not registered under the Securities Act of 1933. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,940,000 or 0.0% of net assets.

The fund participated in the bank borrowing program. The average daily loan balance during the period for which the loans were outstanding amounted to $24,647,000. The weighted average interest rate was 1.85%. At period end there were no bank borrowings outstanding.

The fund invested in loans and loan participations, trade claims or other receivables. At period end the value of these investments amounted to $8,474,000 or 0.1% of net assets.

Income Tax Information

At July 31, 2003, the fund had a capital loss carryforward of approximately $220,492,000 of which $101,582,000 and $118,910,000 will expire on July 31, 2010 and 2011, respectively.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amount)

July 31, 2003

Assets

Investment in securities, at value (including securities loaned of $23,753 and repurchase agreements of $9,657)(cost $8,208,969) - See accompanying schedule

$ 8,745,258

Commitment to sell securities on a delayed delivery basis

$ (97,500)

Receivable for securities sold on a delayed delivery basis

100,410

2,910

Receivable for investments sold

59,988

Receivable for fund shares sold

25,291

Dividends receivable

3,954

Interest receivable

29,301

Other receivables

35

Total assets

8,866,737

Liabilities

Payable to custodian bank

3

Payable for investments purchased
Regular delivery

103,565

Delayed delivery

823,455

Payable for fund shares redeemed

5,019

Accrued management fee

2,843

Other payables and accrued expenses

1,271

Collateral on securities loaned, at value

25,329

Total liabilities

961,485

Net Assets

$ 7,905,252

Net Assets consist of:

Paid in capital

$ 7,605,519

Undistributed net investment income

17,103

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(256,571)

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

539,201

Net Assets, for 529,701 shares outstanding

$ 7,905,252

Net Asset Value, offering price and redemption price per share ($7,905,252 ÷ 529,701 shares)

$ 14.92

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements - continued

Statement of Operations

Amounts in thousands

Year ended July 31, 2003

Investment Income

Dividends

$ 55,888

Interest

136,982

Security lending

204

Total income

193,074

Expenses

Management fee

$ 29,469

Transfer agent fees

16,510

Accounting and security lending fees

777

Non-interested trustees' compensation

27

Appreciation in deferred trustee compensation account

5

Custodian fees and expenses

323

Registration fees

128

Audit

104

Legal

27

Interest

3

Miscellaneous

65

Total expenses before reductions

47,438

Expense reductions

(1,986)

45,452

Net investment income (loss)

147,622

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities (including realized gain (loss) of $(2,003) on sales of investments in affiliated issuers)

(52,669)

Foreign currency transactions

31

Total net realized gain (loss)

(52,638)

Change in net unrealized appreciation (depreciation) on:

Investment securities

872,375

Assets and liabilities in foreign currencies

(9)

Delayed delivery commitments

3,155

Total change in net unrealized appreciation (depreciation)

875,521

Net gain (loss)

822,883

Net increase (decrease) in net assets resulting from operations

$ 970,505

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

Amounts in thousands

Year ended
July 31,
2003

Year ended
July 31,
2002

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 147,622

$ 193,280

Net realized gain (loss)

(52,638)

(169,127)

Change in net unrealized appreciation (depreciation)

875,521

(798,309)

Net increase (decrease) in net assets resulting from operations

970,505

(774,156)

Distributions to shareholders from net investment income

(143,899)

(197,417)

Distributions to shareholders from net realized gain

-

(76,507)

Total distributions

(143,899)

(273,924)

Share transactions
Net proceeds from sales of shares

1,697,567

1,857,458

Reinvestment of distributions

140,907

268,069

Cost of shares redeemed

(1,223,519)

(1,480,444)

Net increase (decrease) in net assets resulting from share transactions

614,955

645,083

Total increase (decrease) in net assets

1,441,561

(402,997)

Net Assets

Beginning of period

6,463,691

6,866,688

End of period (including undistributed net investment income of $17,103 and undistributed net investment income of $15,727, respectively)

$ 7,905,252

$ 6,463,691

Other Information

Shares

Sold

123,800

126,508

Issued in reinvestment of distributions

10,440

18,314

Redeemed

(91,163)

(102,713)

Net increase (decrease)

43,077

42,109

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights

Years ended July 31,

2003

2002

2001

2000

1999

Selected Per-Share Data

Net asset value, beginning of period

$ 13.28

$ 15.45

$ 15.33

$ 17.51

$ 16.66

Income from Investment Operations

Net investment income (loss) B

.30

.41

.47

.46

.44

Net realized and unrealized gain (loss)

1.63

(1.99)

.61

(.18)

2.09

Total from investment operations

1.93

(1.58)

1.08

.28

2.53

Distributions from net investment income

(.29)

(.42)

(.47)

(.48)

(.40)

Distributions from net realized gain

-

(.17)

(.49)

(1.98)

(1.28)

Total distributions

(.29)

(.59)

(.96)

(2.46)

(1.68)

Net asset value, end of period

$ 14.92

$ 13.28

$ 15.45

$ 15.33

$ 17.51

Total Return A

14.78%

(10.53)%

7.23%

1.82%

17.48%

Ratios to Average Net Assets C

Expenses before expense reductions

.70%

.69%

.67%

.67%

.68%

Expenses net of voluntary waivers, if any

.70%

.69%

.67%

.67%

.68%

Expenses net of all reductions

.67%

.66%

.64%

.63%

.65%

Net investment income (loss)

2.17%

2.79%

3.05%

2.98%

2.67%

Supplemental Data

Net assets, end of period (in millions)

$ 7,905

$ 6,464

$ 6,867

$ 5,814

$ 5,941

Portfolio turnover rate

137%

150%

115%

139%

157%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended July 31, 2003

(Amounts in thousands except ratios)

1. Significant Accounting Policies.

Fidelity Balanced Fund (the fund) is a fund of Fidelity Puritan Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:

Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and electronic data processing techniques. If an event that is expected to materially affect the value of a security occurs after the close of an exchange or market on which that security trades, but prior to the NAV calculation, then that security will be fair valued taking the event into account. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value as determined in good faith under consistently applied procedures under the general supervision of the Board of Trustees. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.

Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

1. Significant Accounting Policies - continued

Annual Report

Foreign Currency - continued

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, which includes amortization of premium and accretion of discount on debt securities, as required, is accrued as earned. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), non-interested Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of the fund or are invested in a cross-section of other Fidelity funds, and are marked-to-market. Deferred amounts remain in the fund until distributed in accordance with the Plan.

Income Tax Information and Distributions to Shareholders. Each year the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on each fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. Distributions are recorded on the ex-dividend date.

Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Capital accounts within the financial statements are adjusted for permanent and temporary book and tax differences. These adjustments have no impact on net assets or the results

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

1. Significant Accounting Policies - continued

Annual Report

Income Tax Information and Distributions to Shareholders - continued

of operations. Temporary differences will reverse in a subsequent period. These differences are primarily due to financing transactions, foreign currency transactions, prior period premium and discount on debt securities, partnerships, market discount, non-taxable dividends, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 888,840

|

Unrealized depreciation

(376,737)

Net unrealized appreciation (depreciation)

512,103

Undistributed ordinary income

11,806

Capital loss carryforward

(220,492)

Cost for federal income tax purposes

$ 8,233,155

The tax character of distributions paid was as follows:

July 31,
2003

July 31,
2002

Ordinary Income

$ 143,899

$ 201,918

Long-term Capital Gains

-

72,006

Total

$ 143,899

$ 273,924

2. Operating Policies.

Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. The custodian bank receives the collateral, which is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

2. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities. The fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the fund's Schedule of Investments. The fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery." Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities. The fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included under the captions "Legend" and/or "Other Information" at the end of the fund's Schedule of Investments.

Loans and Other Direct Debt Instruments. The fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments that obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. Information regarding loans and other direct debt instruments is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but will be collateralized by different pools of

Annual Report

2. Operating Policies - continued

Annual Report

Financing Transactions - continued

mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sales price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.

3. Purchases and Sales of Investments.

Information regarding purchases and sales of securities is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

4. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the fund with investment management related services for which the fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the fund's average net assets and a group fee rate that averaged .28% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .43% of the fund's average net assets.

Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of all shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .24% of average net assets.

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

Accounting and Security Lending Fees. FSC maintains the fund's accounting records and administers the security lending program. The security lending fee is based on the number and duration of lending transactions. The accounting fee is based on the level of average net assets for the month plus out-of-pocket expenses.

Annual Report

4. Fees and Other Transactions with Affiliates - continued

Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $6,257 for the period.

Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms are shown under the caption "Other Information" at the end of the fund's Schedule of Investments.

5. Committed Line of Credit.

The fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.

6. Security Lending.

The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities.

7. Bank Borrowings.

The fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Information regarding the fund's participation in the program is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

8. Expense Reductions.

Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $1,858 for the period. In addition, through arrangements with the fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody and transfer agent expenses by $9 and $119, respectively.

9. Transactions with Affiliated Companies.

An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Transactions during the period with companies which are or were affiliates are as follows:

Affiliate

Purchase
Cost

Sales
Cost

Dividend
Income

Value

Frontier Airlines, Inc.

$ 2,393

$ -

$ -

$ 25,102

LTX Corp.

5,588

7,433

-

45,071

TOTALS

$ 7,981

$ 7,433

$ -

$ 70,173

Annual Report

Independent Auditors' Report

To the Trustees of Fidelity Puritan Trust and the Shareholders of Fidelity Balanced Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Balanced Fund (a fund of Fidelity Puritan Trust) at July 31, 2003 and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Balanced Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at July 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

September 12, 2003

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 279 funds advised by FMR or an affiliate. Mr. McCoy oversees 281 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (73)**

Year of Election or Appointment: 1984

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc.

Abigail P. Johnson (41)**

Year of Election or Appointment: 2001

Senior Vice President of Balanced (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds.

Laura B. Cronin (49)

Year of Election or Appointment: 2003

Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002).

Robert L. Reynolds (51)

Year of Election or Appointment: 2003

Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.

Annual Report

Non-Interested Trustees:

Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

J. Michael Cook (60)

Year of Election or Appointment: 2001

Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), Rockwell Automation (2000) and The Dow Chemical Company (2000). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Board of the Directorship Search Group, Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater.

Ralph F. Cox (71)

Year of Election or Appointment: 1991

Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin.

Phyllis Burke Davis (71)

Year of Election or Appointment: 1992

Mrs. Davis is retired from Avon Products, Inc. (consumer products) where she held various positions including Senior Vice President of Corporate Affairs and Group Vice President of U.S. product marketing, sales, distribution, and manufacturing. Mrs. Davis is a member of the Board of Directors of the Southampton Hospital in Southampton, N.Y. (1998). Previously, she served as a Director of BellSouth Corporation (telecommunications), Eaton Corporation (diversified industrial), the TJX Companies, Inc. (retail stores), Hallmark Cards, Inc., and Nabisco Brands, Inc.

Robert M. Gates (59)

Year of Election or Appointment: 1997

Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), and Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001). He also serves as a member of the Advisory Board of VoteHere.net (secure internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy.

Donald J. Kirk (70)

Year of Election or Appointment: 1987

Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations).

Marie L. Knowles (56)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing), URS Corporation (multidisciplinary engineering, 1999), and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (59)

Year of Election or Appointment: 2000

Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Chairman and as a Director (1998) of Acterna Corporation (communications test equipment). He is also Co-Chairman of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Eaton Corporation (diversified industrial) and the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations.

Marvin L. Mann (70)

Year of Election or Appointment: 1993

Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals) where he remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. Mr. Mann is a Board member of Imation Corp. (imaging and information storage) and Acterna Corporation (communications test equipment, 1999). He is also a member of the Director Services Committee of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.

William O. McCoy (69)

Year of Election or Appointment: 1997

Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), Progress Energy, Inc. (electric utility), and Acterna Corporation (communications test equipment, 1999). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998).

William S. Stavropoulos (64)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman of the Board, President and CEO (2002), and Chairman of the Executive Committee (2000) and a Director of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000) and Chief Executive Officer (1995-2000). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council, World Business Council for Sustainable Development, and the University of Notre Dame Advisory Council for the College of Science.

Annual Report

Trustees and Officers - continued

Advisory Board Members and Executive Officers:

Correspondence intended for Dr. Heilmeier may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

George H. Heilmeier (67)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Puritan Trust. Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001) and Teletech Holdings (customer management services, 1998). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the IEEE (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences and The Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania.

Peter S. Lynch (60)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Puritan Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity Magellan Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.

Bart A. Grenier (44)

Year of Election or Appointment: 2001

Vice President of Balanced. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000).

Charles S. Morrison (42)

Year of Election or Appointment: 2002

Vice President of Balanced. Mr. Morrison also serves as Vice President of Fidelity's Bond Funds (2002), and Vice President of certain Asset Allocation and Balanced Funds (2002). He serves as Vice President (2002) and Bond Group Leader (2002) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002) and FMR (2002). Mr. Morrison joined Fidelity in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division.

Kevin E. Grant (43)

Year of Election or Appointment: 1997

Vice President of Balanced. Mr. Grant is also Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Grant managed a variety of Fidelity funds.

Lawrence Rakers (39)

Year of Election or Appointment: 2003

Vice President of Balanced. Prior to assuming his current responsibilities, Mr. Rakers worked as a research analyst and manager.

Eric D. Roiter (54)

Year of Election or Appointment: 1998

Secretary of Balanced. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003).

Stuart Fross (43)

Year of Election or Appointment: 2003

Assistant Secretary of Balanced. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR.

Maria F. Dwyer (44)

Year of Election or Appointment: 2002

President and Treasurer of Balanced. Ms. Dwyer also serves as President and Treasurer of other Fidelity funds (2002) and is a Vice President (1999) and an employee (1996) of FMR. Prior to joining Fidelity, Ms. Dwyer served as Director of Compliance for MFS Investment Management.

Timothy F. Hayes (52)

Year of Election or Appointment: 2002

Chief Financial Officer of Balanced. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998).

John R. Hebble (45)

Year of Election or Appointment: 2003

Deputy Treasurer of Balanced. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003).

John H. Costello (56)

Year of Election or Appointment: 1986

Assistant Treasurer of Balanced. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.

Francis V. Knox, Jr. (56)

Year of Election or Appointment: 2002

Assistant Treasurer of Balanced. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002).

Mark Osterheld (48)

Year of Election or Appointment: 2002

Assistant Treasurer of Balanced. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.

Thomas J. Simpson (45)

Year of Election or Appointment: 2000

Assistant Treasurer of Balanced. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995).

Annual Report

Distributions

A total of 6.60% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates 27%, 27%, 47%, and 47% of the dividends distributed in June, December, March and June, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 50% of the dividends distributed in March and June during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under Section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2004 of amounts for use in preparing 2003 income tax returns.

Annual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

1   For mutual fund and brokerage trading.

2   For quotes.*

3   For account balances and holdings.

4   To review orders and mutual
fund activity.

5   To change your PIN.

*0   To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Annual Report

To Write Fidelity

We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.

(letter_graphic)Making Changes
To Your Account

(such as changing name, address, bank, etc.)

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002

(letter_graphic)For Non-Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

(letter_graphic)For Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

Annual Report

To Visit Fidelity

For directions and hours,
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

7373 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

527 North Brand Boulevard
Glendale, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

10100 Santa Monica Blvd.
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

1760 Challenge Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

8 Montgomery Street
San Francisco, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6300 Canoga Avenue
Woodland Hills, CA

Colorado

1625 Broadway
Denver, CO

9185 East Westview Road
Littleton, CO

Connecticut

48 West Putnam Avenue
Greenwich, CT

265 Church Street
New Haven, CT

300 Atlantic Street
Stamford, CT

29 South Main Street
West Hartford, CT

Delaware

222 Delaware Avenue
Wilmington, DE

Florida

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

1907 West State Road 434
Longwood, FL

8880 Tamiami Trail, North
Naples, FL

3501 PGA Boulevard
West Palm Beach, FL

8065 Beneva Road
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Annual Report

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

1415 West 22nd Street
Oak Brook, IL

1700 East Golf Road
Schaumburg, IL

3232 Lake Avenue
Wilmette, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7401 Wisconsin Avenue
Bethesda, MD

One W. Pennsylvania Ave.
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

405 Cochituate Road
Framingham, MA

416 Belmont Street
Worcester, MA

Annual Report

Michigan

280 Old N. Woodward Ave.
Birmingham, MI

43420 Grand River Avenue
Novi, MI

29155 Northwestern Hwy.
Southfield, MI

Minnesota

7600 France Avenue South
Edina, MN

Missouri

8885 Ladue Road
Ladue, MO

New Jersey

150 Essex Street
Millburn, NJ

56 South Street
Morristown, NJ

501 Route 17, South
Paramus, NJ

3518 Route 1 North
Princeton, NJ

New York

1055 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

North Carolina

4611 Sharon Road
Charlotte, NC

Ohio

3805 Edwards Road
Cincinnati, OH

28699 Chagrin Boulevard
Woodmere Village, OH

Oregon

16850 SW 72nd Avenue
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

47 Providence Place
Providence, RI

Tennessee

6150 Poplar Avenue
Memphis, TN

Texas

10000 Research Boulevard
Austin, TX

4017 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

400 East Las Colinas Blvd.
Irving, TX

14100 San Pedro
San Antonio, TX

19740 IH 45 North
Spring, TX

6005 West Park Boulevard
Plano, TX 75093

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Annual Report

Utah

215 South State Street
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

411 108th Avenue, N.E.
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

595 North Barker Road
Brookfield, WI

Annual Report

Annual Report

Annual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments
Money Management, Inc.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Far East) Inc.

Fidelity Investments Japan Limited

Fidelity International Investment
Advisers

Fidelity International Investment
Advisers (U.K.) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Shareholder
Servicing Agent

Fidelity Service Company, Inc.

Boston, MA

Custodian

Brown Brothers Harriman & Co.

Boston, MA

Fidelity's Growth and Income Funds

Balanced Fund

Convertible Securities Fund

Equity-Income Fund

Equity-Income II Fund

Fidelity ® Fund

Global Balanced Fund

Growth & Income Portfolio

Growth & Income II Portfolio

Puritan® Fund

Real Estate Income Fund

Real Estate Investment Portfolio

Utilities Fund

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST®) (automated graphic)    1-800-544-5555

(automated graphic)    Automated line for quickest service

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

BAL-UANN-0903
1.789243.100

Item 2. Code of Ethics

As of the end of the period, July 31, 2003, the Fidelity Puritan Trust has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert

The Board of Trustees of Fidelity Puritan Trust has determined that Marie L. Knowles and Donald J. Kirk are each audit committee financial experts, as defined in Item 3 of Form N-CSR. Ms. Knowles and Mr. Kirk are each independent for purposes of Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Reserved

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Reserved

Item 9. 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 second fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 10. Exhibits

(a)

(1)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(a)

(2)

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.

(b)

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

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/Maria Dwyer

Maria Dwyer

President and Treasurer

Date:

September 24, 2003

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/Maria Dwyer

Maria Dwyer

President and Treasurer

Date:

September 24, 2003

By:

/s/Timothy F. Hayes

Timothy F. Hayes

Chief Financial Officer

Date:

September 24, 2003