N-CSRS 1 rs0205_10911.txt RS0205_10911.TXT 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 811-3346 Oppenheimer Disciplined Allocation Fund (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 -------------- Date of fiscal year end: October 31 Date of reporting period: November 1, 2003 - April 30, 2004 Item 1. Reports to Stockholders. STATEMENT OF INVESTMENTS April 30, 2004 / Unaudited -------------------------------------------------------------------------------- MARKET VALUE SHARES SEE NOTE 1 -------------------------------------------------------------------------------- COMMON STOCKS--57.4% -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--9.0% -------------------------------------------------------------------------------- AUTO COMPONENTS--0.2% TRW Automotive Holdings Corp. 1 11,000 $ 230,780 -------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--0.7% McDonald's Corp. 33,900 923,097 -------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.3% WCI Communities, Inc. 1 16,600 403,546 -------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL--1.2% InterActiveCorp 1 45,000 1,434,150 -------------------------------------------------------------------------------- MEDIA--5.6% EchoStar Communications Corp., Cl. A 1 50,600 1,679,414 -------------------------------------------------------------------------------- Liberty Media Corp., Cl. A 1 232,300 2,541,362 -------------------------------------------------------------------------------- UnitedGlobalCom, Inc., Cl. A 1 383,650 2,869,702 ------------ 7,090,478 -------------------------------------------------------------------------------- SPECIALTY RETAIL--1.0% Bed Bath & Beyond, Inc. 1 11,726 435,269 -------------------------------------------------------------------------------- Boise Cascade Corp. 23,203 782,637 ------------ 1,217,906 -------------------------------------------------------------------------------- CONSUMER STAPLES--4.1% -------------------------------------------------------------------------------- BEVERAGES--0.4% Constellation Brands, Inc., Cl. A 1 17,200 569,836 -------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--2.1% Costco Wholesale Corp. 1 41,600 1,557,920 -------------------------------------------------------------------------------- Wal-Mart Stores, Inc. 18,600 1,060,200 ------------ 2,618,120 -------------------------------------------------------------------------------- TOBACCO--1.6% Altria Group, Inc. 36,600 2,026,908 -------------------------------------------------------------------------------- ENERGY--3.4% -------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.7% Halliburton Co. 20,400 607,920 -------------------------------------------------------------------------------- Talisman Energy, Inc. 2,100 119,553 -------------------------------------------------------------------------------- Todco, Cl. A 1 13,000 192,400 ------------ 919,873 -------------------------------------------------------------------------------- OIL & GAS--2.7% BP plc, ADR 54,200 2,867,180 -------------------------------------------------------------------------------- LUKOIL, Sponsored ADR 2,100 228,900 -------------------------------------------------------------------------------- YUKOS, ADR 7,100 318,805 ------------ 3,414,885 11 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENT OF INVESTMENTS Unaudited / Continued -------------------------------------------------------------------------------- MARKET VALUE SHARES SEE NOTE 1 -------------------------------------------------------------------------------- FINANCIALS--10.4% -------------------------------------------------------------------------------- COMMERCIAL BANKS--2.4% Bank of America Corp. 21,601 $ 1,738,664 -------------------------------------------------------------------------------- SouthTrust Corp. 19,200 596,736 -------------------------------------------------------------------------------- Wells Fargo & Co. 12,800 722,688 ------------ 3,058,088 -------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--5.1% CIT Group, Inc. 18,200 625,534 -------------------------------------------------------------------------------- Citigroup, Inc. 45,277 2,177,371 -------------------------------------------------------------------------------- J.P. Morgan Chase & Co. 19,500 733,200 -------------------------------------------------------------------------------- Merrill Lynch & Co., Inc. 7,600 412,148 -------------------------------------------------------------------------------- Morgan Stanley 34,900 1,793,511 -------------------------------------------------------------------------------- SLM Corp. 19,100 731,721 ------------ 6,473,485 -------------------------------------------------------------------------------- INSURANCE--2.9% Chubb Corp. 2,400 165,600 -------------------------------------------------------------------------------- Platinum Underwriters Holdings Ltd. 29,400 940,212 -------------------------------------------------------------------------------- Prudential Financial, Inc. 30,500 1,340,170 -------------------------------------------------------------------------------- UnumProvident Corp. 27,200 422,960 -------------------------------------------------------------------------------- XL Capital Ltd., Cl. A 9,500 725,325 ------------ 3,594,267 -------------------------------------------------------------------------------- HEALTH CARE--10.4% -------------------------------------------------------------------------------- BIOTECHNOLOGY--3.0% Amgen, Inc. 1 8,700 489,549 -------------------------------------------------------------------------------- Gilead Sciences, Inc. 1 20,700 1,259,181 -------------------------------------------------------------------------------- MedImmune, Inc. 1 47,600 1,153,824 -------------------------------------------------------------------------------- Wyeth 23,000 875,610 ------------ 3,778,164 -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.4% Boston Scientific Corp. 1 22,600 930,894 -------------------------------------------------------------------------------- Medtronic, Inc. 15,800 797,268 ------------ 1,728,162 -------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--2.7% Aetna, Inc. 8,900 736,475 -------------------------------------------------------------------------------- PacifiCare Health Systems, Inc. 1 18,700 668,712 -------------------------------------------------------------------------------- Province Healthcare Co. 1 50,400 805,896 -------------------------------------------------------------------------------- Tenet Healthcare Corp. 1 108,900 1,280,664 ------------ 3,491,747 12 | OPPENHEIMER DISCIPLINED ALLOCATION FUND
MARKET VALUE SHARES SEE NOTE 1 -------------------------------------------------------------------------------------- PHARMACEUTICALS--3.3% Mylan Laboratories, Inc. 23,550 $ 539,531 -------------------------------------------------------------------------------------- Pfizer, Inc. 32,100 1,147,896 -------------------------------------------------------------------------------------- Schering-Plough Corp. 44,800 749,504 -------------------------------------------------------------------------------------- Teva Pharmaceutical Industries Ltd., Sponsored ADR 16,100 991,116 -------------------------------------------------------------------------------------- Watson Pharmaceuticals, Inc. 1 19,800 705,078 ------------ 4,133,125 -------------------------------------------------------------------------------------- INDUSTRIALS--6.9% -------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--2.8% Boeing Co. 22,700 969,063 -------------------------------------------------------------------------------------- Raytheon Co. 81,300 2,622,738 ------------ 3,591,801 -------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--2.9% Cendant Corp. 124,300 2,943,424 -------------------------------------------------------------------------------------- ChoicePoint, Inc. 1 16,200 711,504 ------------ 3,654,928 -------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--1.2% Tyco International Ltd. 53,000 1,454,850 -------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--7.6% -------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.1% Cisco Systems, Inc. 1 5,000 104,350 -------------------------------------------------------------------------------------- Geotek Communications, Inc., Series B, Escrow Shares 1,2,3 100 -- ------------ 104,350 -------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--2.0% Dell, Inc. 1 23,500 815,685 -------------------------------------------------------------------------------------- Hewlett-Packard Co. 86,300 1,700,110 ------------ 2,515,795 -------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.1% Flextronics International Ltd. 1 44,700 719,670 -------------------------------------------------------------------------------------- Symbol Technologies, Inc. 11,700 140,400 -------------------------------------------------------------------------------------- Thermo Electron Corp. 1 19,000 554,800 ------------ 1,414,870 -------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.4% Net2Phone, Inc. 1 130,100 506,089 -------------------------------------------------------------------------------------- IT SERVICES--0.7% CSG Systems International, Inc. 1 27,900 468,441 -------------------------------------------------------------------------------------- Unisys Corp. 1 27,400 357,022 ------------ 825,463
13 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENT OF INVESTMENTS Unaudited / Continued -------------------------------------------------------------------------------- MARKET VALUE SHARES SEE NOTE 1 -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.7% Intel Corp. 19,300 $ 496,589 -------------------------------------------------------------------------------- National Semiconductor Corp. 1 4,700 191,713 -------------------------------------------------------------------------------- Texas Instruments, Inc. 8,000 200,800 ------------ 889,102 -------------------------------------------------------------------------------- SOFTWARE--2.6% Compuware Corp. 1 31,300 239,445 -------------------------------------------------------------------------------- Microsoft Corp. 63,300 1,643,901 -------------------------------------------------------------------------------- Oracle Corp. 1 47,100 528,462 -------------------------------------------------------------------------------- Take-Two Interactive Software, Inc. 1 29,900 863,811 ------------ 3,275,619 -------------------------------------------------------------------------------- MATERIALS--1.5% -------------------------------------------------------------------------------- CHEMICALS--1.0% Dow Chemical Co. 18,300 726,327 -------------------------------------------------------------------------------- Praxair, Inc. 14,300 522,665 ------------ 1,248,992 -------------------------------------------------------------------------------- CONTAINERS & Packaging--0.2% Smurfit-Stone Container Corp. 14,900 256,131 -------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.3% Bowater, Inc. 8,100 339,795 -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--2.1% -------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.9% IDT Corp., Cl. B 1 58,300 1,085,546 -------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--1.2% AT&T Corp. 49,900 855,785 -------------------------------------------------------------------------------- Vodafone Group plc, Sponsored ADR 28,900 709,206 ------------ 1,564,991 -------------------------------------------------------------------------------- UTILITIES--2.0% -------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.2% AES Corp. (The) 1 115,200 998,784 -------------------------------------------------------------------------------- PG&E Corp. 1 19,500 536,640 ------------ 1,535,424 -------------------------------------------------------------------------------- GAS UTILITIES--0.8% Kinder Morgan, Inc. 9,800 590,058 -------------------------------------------------------------------------------- Sempra Energy 12,800 406,400 ------------ 996,458 ------------ Total Common Stocks (Cost $63,484,322) 72,366,821 14 | OPPENHEIMER DISCIPLINED ALLOCATION FUND
MARKET VALUE SHARES SEE NOTE 1 ------------------------------------------------------------------------------------------------------- OTHER SECURITIES--1.2% ------------------------------------------------------------------------------------------------------- Nasdaq-100 Unit Investment Trust (Cost $1,098,130) 43,400 $ 1,507,282 PRINCIPAL AMOUNT ------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--7.2% ------------------------------------------------------------------------------------------------------- Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 $ 236,934 236,898 ------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2003-A, Cl. A2, 1.45%, 11/25/05 168,061 168,257 ------------------------------------------------------------------------------------------------------- Caterpillar Financial Asset Trust, Equipment Loan Pass-Through Certificates, Series 2003-A, Cl. A2, 1.25%, 10/25/05 116,848 116,914 ------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2003-B, Cl. AF1, 1.64%, 2/25/18 48,810 48,789 Series 2003-C, Cl. AF1, 2.14%, 7/25/18 209,915 210,184 Series 2004-A, Cl. AF1, 2.03%, 6/25/19 146,009 146,076 ------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2003-3, Cl. 1A1, 1.18%, 8/25/17 4 90,611 90,652 Series 2003-4, Cl. 1A1, 1.22%, 9/25/17 4 223,249 223,389 ------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2003-A, Cl. A2, 1.26%, 1/16/06 77,158 77,200 Series 2003-B, Cl. A2, 1.28%, 3/15/06 127,953 128,000 ------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2002-A3, Cl. A3, 4.40%, 5/15/07 200,000 205,363 ------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations: Series 2002-1, Cl. AF1, 2.474%, 9/25/32 21,387 21,395 Series 2003-2, Cl. AF1, 1.20%, 5/25/33 4 82,628 82,665 Series 2003-3, Cl. AF1, 1.22%, 8/25/33 2,4 143,236 143,305 ------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2003-A, Cl. A2, 1.52%, 12/8/05 410,000 410,519 Series 2003-B, Cl. A2, 1.61%, 7/8/06 480,000 480,388 ------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2002-D, Cl. A2A, 2.10%, 3/15/05 52,222 52,287 Series 2003-A, Cl. A2A, 1.62%, 8/15/05 98,876 99,025 ------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.: Series 2002-2, Cl. A1, 1.91%, 4/16/07 128,369 128,646 Series 2003-3, Cl. A1, 1.50%, 1/15/08 287,175 287,311 ------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2002-4, Cl. A2, 1.66%, 6/15/05 163,431 163,600 Series 2003-3, Cl. A2, 1.52%, 4/21/06 460,000 460,450 Series 2003-4, Cl. A2, 1.58%, 7/17/06 410,000 410,337 ------------------------------------------------------------------------------------------------------- Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 2 610,507 628,822
15 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES Continued --------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: Series 2002-1, Cl. A3, 2.49%, 10/22/07 $ 236,825 $ 238,280 Series 2003-1, Cl. A2, 1.60%, 7/20/06 350,000 350,406 --------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 190,000 189,822 --------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2003-A, Cl. A2, 1.69%, 12/15/05 270,000 270,464 --------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.: Series 2003-B, Cl. A2, 1.20%, 11/15/05 360,441 360,640 Series 2004-A, Cl. A2, 1.40%, 7/17/06 210,000 209,584 --------------------------------------------------------------------------------------------------- Salomon Smith Barney Auto Loan Trust, Asset-Backed Automobile Loan Obligations, Series 2002-1, Cl. A2, 1.83%, 9/15/05 43,635 43,695 --------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 72,921 73,622 Series 2003-A, Cl. A2, 1.28%, 8/15/05 212,306 212,476 Series 2003-B, Cl. A2, 1.43%, 2/15/06 310,000 310,073 --------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2002-1, Cl. A3, 2.41%, 10/16/06 123,090 123,726 Series 2003-1, Cl. A2, 1.22%, 4/17/06 182,439 182,520 Series 2004-1, Cl. A2, 1.43%, 9/15/06 510,000 509,017 --------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2, 1.11%, 12/20/05 145,060 145,048 Series 2003-2, Cl. A2, 1.55%, 6/20/06 240,000 240,194 --------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates: Series 2002-1, Cl. A2, 1.88%, 6/15/05 127,163 127,369 Series 2003-1, Cl. A2A, 1.40%, 4/15/06 440,000 440,227 ----------- Total Asset-Backed Securities (Cost $9,026,559) 9,047,635 --------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--28.7% --------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 120,000 120,099 --------------------------------------------------------------------------------------------------- Fannie Mae Whole Loan, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Trust 2003-W6, Cl. 2A1, 2.232%, 9/25/42 298,041 298,161 --------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 5%, 5/15/34 5 1,130,000 1,095,747 5.50%, 1/1/34 139,476 139,421 7%, 9/1/33 235,140 249,567 7%, 5/1/34 5 1,719,000 1,815,694 8%, 4/1/16 156,867 168,709 9%, 8/1/22-5/1/25 44,659 49,963
16 | OPPENHEIMER DISCIPLINED ALLOCATION FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1669, Cl. G, 6.50%, 2/15/23 $ 122,742 $ 124,877 Series 2055, Cl. ZM, 6.50%, 5/15/28 218,936 231,253 Series 2080, Cl. Z, 6.50%, 8/15/28 142,449 148,927 Series 2102, Cl. VA, 6%, 10/15/09 100,094 100,728 Series 2387, Cl. PD, 6%, 4/15/30 312,000 322,835 Series 2466, Cl. PD, 6%, 4/15/30 250,111 257,032 Series 2491, Cl. PE, 6%, 12/15/27 164,270 165,645 Series 2498, Cl. PC, 5.50%, 10/15/14 58,788 60,249 Series 2500, Cl. FD, 1.60%, 3/15/32 4 81,532 81,961 Series 2526, Cl. FE, 1.50%, 6/15/29 4 91,142 91,559 Series 2551, Cl. FD, 1.50%, 1/15/33 4 77,203 77,560 Series 2551, Cl. TA, 4.50%, 2/15/18 343,708 345,874 ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 3.269%, 6/1/26 6 128,675 25,600 Series 177, Cl. B, 0.699%, 7/1/26 6 215,925 46,133 Series 183, Cl. IO, 2.394%, 4/1/27 6 208,457 42,750 Series 184, Cl. IO, 4.595%, 12/1/26 6 204,740 41,381 Series 192, Cl. IO, 10.245%, 2/1/28 6 64,513 13,687 Series 200, Cl. IO, 8.687%, 1/1/29 6 76,895 15,693 Series 2130, Cl. SC, 38.228%, 3/15/29 6 179,535 18,934 ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 5.905%, 6/1/26 7 71,845 61,438 Series 177, Cl. PO, 5.781%, 7/1/26 7 215,925 182,448 Series 199, Cl. PO, 5.380%, 8/1/28 7 128,464 107,016 Series 203, Cl. PO, 5.077%, 6/1/29 7 76,237 63,144 Series 217, Cl. PO, 6.955%, 2/1/32 7 81,014 67,162 ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Structured Pass-Through Securities, Collateralized Mtg. Obligations, Series T-42, Cl. A2, 5.50%, 2/25/42 25,703 25,853 ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 5%, 5/1/34 5 2,055,000 1,991,422 5.50%, 7/1/33-12/1/34 1,516,716 1,514,818 5.50%, 6/18/19-5/13/34 5 7,538,000 7,578,960 6.50%, 3/1/26-10/1/30 156,944 163,712 6.50%, 5/25/34 5 4,588,000 4,775,824 7%, 2/25/22-11/1/33 1,811,918 1,914,453 7%, 5/25/34 5 8,022,000 8,483,265 7.50%, 1/1/08-6/1/08 50,174 53,535 8.50%, 7/1/32 27,359 29,565 ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1998-63, Cl. PG, 6%, 3/25/27 125,058 127,069 Trust 2001-50, Cl. NE, 6%, 8/25/30 209,045 215,948 Trust 2001-70, Cl. LR, 6%, 9/25/30 176,560 184,013
17 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 ---------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS Continued ---------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Continued Trust 2001-70, Cl. PD, 6%, 3/25/29 $ 190,000 $ 194,366 Trust 2001-72, Cl. NH, 6%, 4/25/30 160,000 165,261 Trust 2001-74, Cl. PD, 6%, 5/25/30 60,000 62,457 Trust 2002-50, Cl. PD, 6%, 9/25/27 140,000 144,692 Trust 2002-73, Cl. PA, 5%, 1/25/17 101,838 102,270 Trust 2002-77, Cl. WF, 1.50%, 12/18/32 4 128,472 128,934 Trust 2002-94, Cl. MA, 4.50%, 8/25/09 235,834 238,758 ---------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates Interest-Only Stripped Mtg.-Backed Security: Trust 2002-47, Cl. NS, 29.849%, 4/25/32 6 296,565 32,164 Trust 2002-51, Cl. S, 29.849%, 8/25/32 6 272,449 29,109 ---------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, 2.692%, 6/1/23 6 272,310 58,431 Trust 240, Cl. 2, 1.765%, 9/1/23 6 623,182 137,954 Trust 252, Cl. 2, (2.05)%, 11/1/23 6 305,366 67,837 Trust 254, Cl. 2, 1.453%, 1/1/24 6 150,049 31,446 Trust 273, Cl. 2, 3.541%, 7/1/26 6 93,023 19,005 Trust 342, Cl. 2, 4.788%. 9/1/33 6 158,195 37,713 Trust 1993-223, Cl. PM, 5.819%, 10/25/23 6 155,072 14,143 Trust 2002-9, Cl. MS, 31.233%, 3/25/32 6 209,074 21,718 Trust 2002-52, Cl. SD, 21.759%, 9/25/32 6 359,825 38,817 ---------------------------------------------------------------------------------------------------------------- First Union/Lehman Brothers/Bank of America, Commercial Mtg. Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 140,000 153,332 ---------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn.: 7%, 4/15/09-2/15/24 222,627 238,547 7.50%, 3/15/09 102,221 109,898 8%, 5/15/17 68,995 75,910 8.50%, 8/15/17-12/15/17 53,381 59,240 ---------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2002-76, Cl. SY, 31.715%, 12/16/26 6 523,160 48,457 Series 2004-11, Cl. SM, 32.747%, 1/17/30 6 218,022 21,747 ---------------------------------------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 192,000 217,372 ------------- Total Mortgage-Backed Obligations (Cost $36,112,834) 36,139,262 ---------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--7.4% ---------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 2.375%, 4/15/06 1,100,000 1,099,694 2.75%, 8/15/06 520,000 521,249 4.50%, 1/15/13 55,000 53,637 4.875%, 11/15/13 40,000 39,710
18 | OPPENHEIMER DISCIPLINED ALLOCATION FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 ---------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS Continued ---------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: Continued 5.50%, 7/15/06 8 $ 1,085,000 $ 1,152,076 5.75%, 1/15/12 350,000 373,459 6.625%, 9/15/09 470,000 526,126 ---------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 4.25%, 7/15/07 1,300,000 1,339,868 7.25%, 1/15/10-5/15/30 1,595,000 1,851,387 ---------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: 5.375%, 11/13/08 122,000 129,867 7.125%, 5/1/30 128,000 151,068 Series C, 4.75%, 8/1/13 15,000 14,882 Series C, 6%, 3/15/13 15,000 16,302 ---------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 5.375%, 2/15/31 924,000 936,417 STRIPS, 2.99%, 2/15/10 9 125,000 99,468 STRIPS, 3.37%, 2/15/11 9 101,000 76,034 STRIPS, 3.86%, 2/15/13 9 112,000 74,667 STRIPS, 4.96%, 2/15/16 9 171,000 94,034 STRIPS, 5.52%, 11/15/26 9 96,000 26,938 ---------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 4%, 2/15/14 487,000 467,977 5.75%, 8/15/10 293,000 322,140 ------------ Total U.S. Government Obligations (Cost $9,507,077) 9,367,000 ---------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--0.1% ---------------------------------------------------------------------------------------------------- United Mexican States Nts., 7.50%, 1/14/12 (Cost $111,028) 110,000 120,175 ---------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--9.5% ---------------------------------------------------------------------------------------------------- Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 250,000 271,196 ---------------------------------------------------------------------------------------------------- Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 110,000 122,650 ---------------------------------------------------------------------------------------------------- American Honda Finance Corp., 3.85% Nts., 11/6/08 60,000 59,705 ---------------------------------------------------------------------------------------------------- AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 175,000 194,459 ---------------------------------------------------------------------------------------------------- AXA, 8.60% Unsec. Sub. Nts., 12/15/30 190,000 236,846 ---------------------------------------------------------------------------------------------------- Bankers Trust Corp., 7.375% Unsec. Sub. Nts., 5/1/08 20,000 22,516 ---------------------------------------------------------------------------------------------------- Beazer Homes USA, Inc., 8.625% Sr. Unsec. Nts., 5/15/11 115,000 125,063 ---------------------------------------------------------------------------------------------------- Boeing Capital Corp., 5.65% Sr. Unsec. Nts., 5/15/06 38,000 40,111 ---------------------------------------------------------------------------------------------------- British Telecommunications plc, 7.875% Nts., 12/15/05 155,000 167,825 ---------------------------------------------------------------------------------------------------- Caesars Entertainment, Inc., 7% Sr. Unsec. Sub. Nts., 7/15/04 100,000 101,125 ---------------------------------------------------------------------------------------------------- Cardinal Health, Inc., 4.45% Nts., 6/30/05 160,000 163,896 ---------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc.: 5.875% Nts., 6/1/08 135,000 137,611 8.125% Unsec. Nts., Series B, 7/15/05 60,000 63,680
19 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------ NON-CONVERTIBLE CORPORATE BONDS AND NOTES Continued ------------------------------------------------------------------------------------------------------ CIGNA Corp., 7.40% Unsec. Nts., 5/15/07 $ 295,000 $ 326,473 ------------------------------------------------------------------------------------------------------ CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 120,000 138,781 ------------------------------------------------------------------------------------------------------ Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 60,000 63,227 ------------------------------------------------------------------------------------------------------ Conectiv, Inc., 5.30% Unsec. Unsub. Nts., Series B, 6/1/05 33,000 34,000 ------------------------------------------------------------------------------------------------------ CSX Corp., 6.25% Unsec. Nts., 10/15/08 120,000 129,548 ------------------------------------------------------------------------------------------------------ D.R. Horton, Inc., 9.375% Sr. Unsec. Sub. Nts., 3/15/11 105,000 117,600 ------------------------------------------------------------------------------------------------------ DaimlerChrysler North America Holding Corp., 4.75% Unsec. Nts., 1/15/08 235,000 238,602 ------------------------------------------------------------------------------------------------------ Delphi Corp., 6.55% Nts., 6/15/06 135,000 143,282 ------------------------------------------------------------------------------------------------------ Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 155,000 183,368 ------------------------------------------------------------------------------------------------------ Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 135,000 158,310 ------------------------------------------------------------------------------------------------------ DTE Energy Co.: 6% Sr. Unsec. Unsub. Nts., 6/1/04 55,000 55,175 6.375% Sr. Nts., 4/15/33 125,000 119,416 6.45% Sr. Unsub. Nts., 6/1/06 120,000 127,545 ------------------------------------------------------------------------------------------------------ Edison International, Inc., 6.875% Unsec. Nts., 9/15/04 12,000 12,225 ------------------------------------------------------------------------------------------------------ EOP Operating LP, 7.75% Unsec. Nts., 11/15/07 145,000 164,263 ------------------------------------------------------------------------------------------------------ FedEx Corp., 2.65% Nts., 4/1/07 10 275,000 269,128 ------------------------------------------------------------------------------------------------------ FirstEnergy Corp., 5.50% Sr. Unsub. Nts., Series A, 11/15/06 250,000 261,013 ------------------------------------------------------------------------------------------------------ Food Lion, Inc., 7.55% Nts., 4/15/07 165,000 179,264 ------------------------------------------------------------------------------------------------------ Ford Holdings, Inc., 9.30% Unsec. Unsub. Debs., 3/1/30 95,000 106,849 ------------------------------------------------------------------------------------------------------ Ford Motor Co., 8.90% Unsec. Unsub. Debs., 1/15/32 65,000 72,371 ------------------------------------------------------------------------------------------------------ France Telecom SA: 8.20% Sr. Unsec. Nts., 3/1/06 80,000 87,049 9% Sr. Unsec. Nts., 3/1/11 80,000 94,702 9.50% Sr. Unsec. Nts., 3/1/31 4 45,000 57,877 ------------------------------------------------------------------------------------------------------ Franklin Resources, Inc., 3.70% Nts., 4/15/08 80,000 79,031 ------------------------------------------------------------------------------------------------------ Gap, Inc. (The), 6.90% Nts., 9/15/07 100,000 110,500 ------------------------------------------------------------------------------------------------------ General Motors Acceptance Corp., 6.875% Unsec. Unsub. Nts., 8/28/12 340,000 355,064 ------------------------------------------------------------------------------------------------------ General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 45,000 48,808 ------------------------------------------------------------------------------------------------------ Hartford Financial Services Group, Inc. (The), 2.375% Nts., 6/1/06 70,000 69,210 ------------------------------------------------------------------------------------------------------ Health Net, Inc., 8.375% Sr. Unsec. Unsub. Nts., 4/15/11 95,000 112,298 ------------------------------------------------------------------------------------------------------ Hertz Corp. (The): 7.625% Sr. Nts., 6/1/12 180,000 192,609 7.625% Sr. Unsec. Nts., 8/15/07 95,000 103,146 ------------------------------------------------------------------------------------------------------ Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 95,000 104,738 ------------------------------------------------------------------------------------------------------ Hutchison Whampoa International Ltd., 7.45% Sr. Bonds, 11/24/33 10 100,000 96,543 ------------------------------------------------------------------------------------------------------ J.C. Penney Co., Inc., 7.60% Nts., 4/1/07 190,000 209,475 ------------------------------------------------------------------------------------------------------ John Hancock Global Funding II, 7.90% Nts., 7/2/10 10 105,000 122,817 ------------------------------------------------------------------------------------------------------ Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 150,000 161,711 ------------------------------------------------------------------------------------------------------ Kraft Foods, Inc., 5.25% Nts., 6/1/07 300,000 315,462
20 | OPPENHEIMER DISCIPLINED ALLOCATION FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 ---------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES Continued ---------------------------------------------------------------------------------------------------------- Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 $ 180,000 $ 202,897 ---------------------------------------------------------------------------------------------------------- Lear Corp., 7.96% Sr. Unsec. Nts., Series B, 5/15/05 87,000 92,003 ---------------------------------------------------------------------------------------------------------- Liberty Media Corp., 3.50% Nts., 9/25/06 110,000 110,275 ---------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 4.125% Nts., Series C, 1/15/09 135,000 134,832 ---------------------------------------------------------------------------------------------------------- MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 265,000 274,377 ---------------------------------------------------------------------------------------------------------- Morgan Stanley Dean Witter & Co., 6.60% Nts., 4/1/12 155,000 170,875 ---------------------------------------------------------------------------------------------------------- Nationwide Financial Services, Inc., 5.90% Nts., 7/1/12 125,000 131,623 ---------------------------------------------------------------------------------------------------------- Niagara Mohawk Power Corp., 5.375% Sr. Unsec. Nts., 10/1/04 75,000 76,181 ---------------------------------------------------------------------------------------------------------- NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 190,000 221,466 ---------------------------------------------------------------------------------------------------------- Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 140,000 157,627 ---------------------------------------------------------------------------------------------------------- Petroleos Mexicanos, 9.50% Sr. Sub. Nts., 9/15/27 70,000 80,500 ---------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 10 75,000 72,145 ---------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 10 195,000 238,729 ---------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 10 260,000 316,205 ---------------------------------------------------------------------------------------------------------- PSEG Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 115,000 120,750 ---------------------------------------------------------------------------------------------------------- Pulte Homes, Inc., 8.375% Sr. Nts., 8/15/04 45,000 45,564 ---------------------------------------------------------------------------------------------------------- Safeway, Inc.: 2.50% Nts., 11/1/05 75,000 75,023 4.80% Sr. Unsec. Nts., 7/16/07 170,000 175,337 ---------------------------------------------------------------------------------------------------------- Spieker Properties LP, 6.80% Unsec. Unsub. Nts., 5/1/04 75,000 75,000 ---------------------------------------------------------------------------------------------------------- Sprint Capital Corp.: 7.125% Sr. Unsec. Nts., 1/30/06 135,000 144,879 8.75% Nts., 3/15/32 100,000 119,800 ---------------------------------------------------------------------------------------------------------- TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 290,000 370,746 ---------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 8.25% Sr. Unsec. Nts., 1/26/06 95,000 103,290 ---------------------------------------------------------------------------------------------------------- Time Warner Cos., Inc., 9.125% Debs., 1/15/13 130,000 160,619 ---------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 10.15% Sr. Nts., 5/1/12 65,000 84,250 ---------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 115,000 127,650 ---------------------------------------------------------------------------------------------------------- TXU Corp., 6.375% Sr. Unsec. Nts., Series C, 1/1/08 100,000 107,375 ---------------------------------------------------------------------------------------------------------- Tyco International Group SA: 5.875% Unsec. Unsub. Nts., 11/1/04 25,000 25,495 6.75% Sr. Unsub. Nts., 2/15/11 76,000 82,073 ---------------------------------------------------------------------------------------------------------- Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 135,000 144,231 ---------------------------------------------------------------------------------------------------------- Walt Disney Co. (The): 4.875% Nts., 7/2/04 130,000 130,753 6.75% Sr. Unsec. Nts., Series B, 3/30/06 145,000 154,846 ---------------------------------------------------------------------------------------------------------- Waste Management, Inc., 7% Sr. Nts., 7/15/28 90,000 95,041 ---------------------------------------------------------------------------------------------------------- Weyerhaeuser Co., 5.50% Unsec. Unsub. Nts., 3/15/05 175,000 180,368 ---------------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 260,000 287,092 ------------- Total Non-Convertible Corporate Bonds and Notes (Cost $11,668,143) 12,018,080
21 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--2.0% ------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, COUNTS Corp. Sec. Credit Linked Nts., Series 2003-1, 2.88%, 1/7/05 2,4 $ 950,000 $ 941,355 ------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank, TRAC-X NA High Yield T2 Credit Linked Nts., 6.05%, 3/25/09 10 585,000 576,225 ------------------------------------------------------------------------------------------------------------- UBS AG, High Grade Credit Linked Nts., 2.753%, 12/10/04 2,4 950,000 953,563 -------------- Total Structured Notes (Cost $2,485,000) 2,471,143 ------------------------------------------------------------------------------------------------------------- SHORT-TERM NOTES--3.0% ------------------------------------------------------------------------------------------------------------- Federal Home Loan Bank, 0.95%, 5/3/04 (Cost $3,799,830) 3,800,000 3,799,823 ------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--5.4% ------------------------------------------------------------------------------------------------------------- Undivided interest of 42.91% in joint repurchase agreement (Principal Amount/Market Value $15,818,000, with a maturity value of $15,819,186) with Zion Bank/Capital Markets Group, 0.90%, dated 4/30/04, to be repurchased at $6,787,509 on 5/3/04, collateralized by U.S. Treasury Nts., 5.875%, 11/15/05, with a value of $16,157,500 (Cost $6,787,000) 6,787,000 6,787,000 ------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $144,079,923) 121.9% 153,624,221 ------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (21.9) (27,638,762) ---------------------------------- NET ASSETS 100.0% $ 125,985,459 ==================================
FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Non-income producing security. 2. Identifies issues considered to be illiquid or restricted. See Note 8 of Notes to Financial Statements. 3. Received as the result of issuer reorganization. Currently has minimal market value. 4. Represents the current interest rate for a variable or increasing rate security. 5. When-issued security to be delivered and settled after April 30, 2004. See Note 1 of Notes to Financial Statements. 6. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $762,719 or 0.61% of the Fund's net assets as of April 30, 2004. 7. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. 8. Securities with an aggregate market value of $233,601 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 6 of Notes to Financial Statements. 9. Zero coupon bond reflects effective yield on the date of purchase. 10. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Directors. These securities amount to $1,691,792 or 1.34% of the Fund's net assets as of April 30, 2004. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 22 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENT OF ASSETS AND LIABILITIES Unaudited --------------------------------------------------------------------------------
April 30, 2004 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ ASSETS ------------------------------------------------------------------------------------------------------ Investments, at value (cost $144,079,923)--see accompanying statement of investments $ 153,624,221 ------------------------------------------------------------------------------------------------------ Receivables and other assets: Investments sold (including $2,442,577 sold on a when-issued basis) 4,229,373 Interest, dividends and principal paydowns 579,813 Shares of capital stock sold 42,520 Futures margins 16,098 Other 7,128 -------------- Total assets 158,499,153 ------------------------------------------------------------------------------------------------------ LIABILITIES ------------------------------------------------------------------------------------------------------ Bank overdraft 466,058 ------------------------------------------------------------------------------------------------------ Payables and other liabilities: Investments purchased (including $31,176,983 purchased on a when-issued basis) 31,785,326 Swap contracts 60,168 Shares of capital stock redeemed 54,219 Shareholder communications 51,311 Directors' compensation 28,112 Distribution and service plan fees 26,113 Transfer and shareholder servicing agent fees 22,293 Other 20,094 -------------- Total liabilities 32,513,694 ------------------------------------------------------------------------------------------------------ NET ASSETS $ 125,985,459 ============== ------------------------------------------------------------------------------------------------------ COMPOSITION OF NET ASSETS ------------------------------------------------------------------------------------------------------ Par value of shares of capital stock $ 9,296 ------------------------------------------------------------------------------------------------------ Additional paid-in capital 132,212,082 ------------------------------------------------------------------------------------------------------ Accumulated net investment income 185,186 ------------------------------------------------------------------------------------------------------ Accumulated net realized loss on investments and foreign currency transactions (15,775,588) ------------------------------------------------------------------------------------------------------ Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies 9,354,483 -------------- NET ASSETS $ 125,985,459 ==============
23 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued -------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------ NET ASSET VALUE PER SHARE ------------------------------------------------------------------------------------------ Class A Shares: Net asset value and redemption price per share (based on net assets of $103,472,260 and 7,642,880 shares of capital stock outstanding) $13.54 Maximum offering price per share (net asset value plus sales charge of 5.75% of offering price) $14.37 ------------------------------------------------------------------------------------------ Class B Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $15,552,369 and 1,132,859 shares of capital stock outstanding) $13.73 ------------------------------------------------------------------------------------------ Class C Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $5,682,339 and 425,179 shares of capital stock outstanding) $13.36 ------------------------------------------------------------------------------------------ Class N Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,278,491 and 94,748 shares of capital stock outstanding) $13.49
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 24 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENT OF OPERATIONS Unaudited --------------------------------------------------------------------------------
For the Six Months Ended April 30, 2004 --------------------------------------------------------------------------------------- INVESTMENT INCOME --------------------------------------------------------------------------------------- Interest $ 757,474 --------------------------------------------------------------------------------------- Dividends (net of foreign withholding taxes of $5,451) 479,945 ------------ Total investment income 1,237,419 --------------------------------------------------------------------------------------- EXPENSES --------------------------------------------------------------------------------------- Management fees 392,946 --------------------------------------------------------------------------------------- Distribution and service plan fees: Class A 128,831 Class B 77,041 Class C 26,553 Class N 1,653 --------------------------------------------------------------------------------------- Transfer and shareholder servicing agent fees: Class A 108,650 Class B 23,126 Class C 8,356 Class N 1,719 --------------------------------------------------------------------------------------- Shareholder communications: Class A 15,382 Class B 4,378 Class C 1,209 Class N 224 --------------------------------------------------------------------------------------- Accounting service fees 7,500 --------------------------------------------------------------------------------------- Directors' compensation 3,065 --------------------------------------------------------------------------------------- Custodian fees and expenses 1,213 --------------------------------------------------------------------------------------- Other 7,130 ------------ Total expenses 808,976 Less reduction to custodian expenses (691) Less voluntary waiver of transfer and shareholder servicing agent fees: Class A (940) Class N (636) ------------ Net expenses 806,709 --------------------------------------------------------------------------------------- NET INVESTMENT INCOME 430,710
25 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENT OF OPERATIONS Unaudited / Continued -------------------------------------------------------------------------------- --------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) --------------------------------------------------------------------------------------- Net realized gain on: Investments $ 7,527,374 Closing of futures contracts 219,882 Foreign currency transactions 426 ------------ Net realized gain 7,747,682 --------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on: Investments (3,161,399) Translation of assets and liabilities denominated in foreign currencies (284) Futures contracts (75,967) ------------ Net change in unrealized appreciation (3,237,650) --------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 4,940,742 ============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 26 | OPPENHEIMER DISCIPLINED ALLOCATION FUND STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED APRIL 30, 2004 OCTOBER 31, (UNAUDITED) 2003 -------------------------------------------------------------------------------------------------------------------- OPERATIONS -------------------------------------------------------------------------------------------------------------------- Net investment income $ 430,710 $ 1,173,188 -------------------------------------------------------------------------------------------------------------------- Net realized gain 7,747,682 1,451,451 -------------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation (3,237,650) 11,944,104 ------------------------------- Net increase in net assets resulting from operations 4,940,742 14,568,743 -------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS -------------------------------------------------------------------------------------------------------------------- Dividends from net investment income: Class A (412,673) (1,140,244) Class B (897) (45,309) Class C (1,071) (15,476) Class N (1,041) (2,774) -------------------------------------------------------------------------------------------------------------------- CAPITAL STOCK TRANSACTIONS -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from capital stock transactions: Class A (358,917) (4,085,561) Class B 249,419 1,001,740 Class C 851,823 1,212,712 Class N 880,487 109,096 -------------------------------------------------------------------------------------------------------------------- NET ASSETS -------------------------------------------------------------------------------------------------------------------- Total increase 6,147,872 11,602,927 -------------------------------------------------------------------------------------------------------------------- Beginning of period 119,837,587 108,234,660 ------------------------------- End of period (including accumulated net investment income of $185,186 and $170,158, respectively) $125,985,459 $119,837,587 ===============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 27 | OPPENHEIMER DISCIPLINED ALLOCATION FUND FINANCIAL HIGHLIGHTS --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED APRIL 30, 2004 OCT. 31, CLASS A (UNAUDITED) 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $13.04 $11.56 $12.54 $14.23 $15.03 $15.45 ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .06 .14 .22 .26 .44 .44 Net realized and unrealized gain (loss) .49 1.48 (.94) (1.69) .68 (.01) -------------------------------------------------------------------------------- Total from investment operations .55 1.62 (.72) (1.43) 1.12 .43 ----------------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.05) (.14) (.26) (.26) (.44) (.44) Distributions from net realized gain -- -- -- -- (1.48) (.41) -------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.05) (.14) (.26) (.26) (1.92) (.85) ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $13.54 $13.04 $11.56 $12.54 $14.23 $15.03 ================================================================================ ----------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 1 4.25% 14.17% (5.86)% (10.12)% 8.27% 2.62% ----------------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $103,472 $100,032 $ 92,806 $112,864 $144,244 $258,159 ----------------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $104,832 $ 94,811 $104,415 $128,477 $172,514 $293,677 ----------------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 2 Net investment income 0.83% 1.18% 1.73% 1.88% 2.88% 2.72% Total expenses 1.15% 3,4 1.26% 3,4 1.21% 3,4 1.19% 3 1.11% 3 1.04% 3 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 40% 275% 193% 164% 34% 122%
1. Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 2. Annualized for periods of less than one full year. 3. Reduction to custodian expenses less than 0.01%. 4. Voluntary waiver of transfer agent fees less than 0.01%. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 28 | OPPENHEIMER DISCIPLINED ALLOCATION FUND
SIX MONTHS YEAR ENDED ENDED APRIL 30, 2004 OCT. 31, CLASS B (UNAUDITED) 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ---------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $13.23 $11.73 $12.72 $14.43 $15.20 $15.62 ---------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income -- 1 .04 .11 .15 .30 .31 Net realized and unrealized gain (loss) .50 1.50 (.94) (1.70) .73 -- ----------------------------------------------------------------------------- Total from investment operations .50 1.54 (.83) (1.55) 1.03 .31 ---------------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income -- 1 (.04) (.16) (.16) (.32) (.32) Distributions from net realized gain -- -- -- -- (1.48) (.41) ----------------------------------------------------------------------------- Total dividends and/or distributions to shareholders -- (.04) (.16) (.16) (1.80) (.73) ---------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $13.73 $13.23 $11.73 $12.72 $14.43 $15.20 ============================================================================= ---------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 3.79% 13.21% (6.61)% (10.79)% 7.48% 1.84% ---------------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ---------------------------------------------------------------------------------------------------------------------------------- pNet assets, end of period (in thousands) $15,552 $14,747 $12,204 $14,770 $17,892 $23,522 ---------------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $15,505 $12,776 $13,639 $16,569 $19,643 $24,648 ---------------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income (loss) (0.04)% 0.31% 0.94% 1.14% 2.12% 1.97% Total expenses 2.02% 2.15% 2.00% 1.94% 1.87% 1.80% Expenses after expense reimbursement or fee waiver and reduction to custodian expenses N/A 4 2.11% N/A 4,5 N/A 4 N/A 4 N/A 4 ---------------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 40% 275% 193% 164% 34% 122%
1. Less than $0.005 per share. 2. Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 3. Annualized for periods of less than one full year. 4. Reduction to custodian expenses less than 0.01%. 5. Voluntary waiver of transfer agent fees less than 0.01%. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 29 | OPPENHEIMER DISCIPLINED ALLOCATION FUND FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED APRIL 30, 2004 OCT. 31, CLASS C (UNAUDITED) 2003 2002 2001 2000 1999 --------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $12.88 $11.43 $12.41 $14.08 $14.88 $15.31 --------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .01 .07 .13 .13 .28 .32 Net realized and unrealized gain (loss) .47 1.43 (.94) (1.64) .72 (.01) ------------------------------------------------------------------------------ Total from investment operations .48 1.50 (.81) (1.51) 1.00 .31 --------------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income -- 1 (.05) (.17) (.16) (.32) (.33) Distributions from net realized gain -- -- -- -- (1.48) (.41) ------------------------------------------------------------------------------ Total dividends and/or distributions to shareholders -- (.05) (.17) (.16) (1.80) (.74) --------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $13.36 $12.88 $11.43 $12.41 $14.08 $14.88 ============================================================================== --------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 3.75% 13.18% (6.64)% (10.76)% 7.44% 1.84% --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA --------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $5,682 $4,666 $2,984 $2,893 $3,931 $5,719 --------------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $5,350 $3,806 $2,961 $3,280 $4,255 $5,876 --------------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income (loss) (0.05)% 0.29% 0.93% 1.14% 2.13% 1.97% Total expenses 2.02% 2.17% 2.00% 1.94% 1.86% 1.80% Expenses after expense reimbursement or fee waiver and reduction to custodian expenses N/A 4 2.12% N/A 4,5 N/A 4 N/A 4 N/A 4 --------------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 40% 275% 193% 164% 34% 122%
1. Less than $0.005 per share. 2. Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 3. Annualized for periods of less than one full year. 4. Reduction to custodian expenses less than 0.01%. 5. Voluntary waiver of transfer agent fees less than 0.01%. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 3O | OPPENHEIMER DISCIPLINED ALLOCATION FUND
SIX MONTHS YEAR ENDED ENDED APRIL 30, 2004 OCT. 31, CLASS N (UNAUDITED) 2003 2002 2001 1 ---------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ---------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $13.00 $11.52 $12.52 $13.74 ---------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .06 .12 .16 .12 Net realized and unrealized gain (loss) .46 1.46 (.91) (1.20) ----------------------------------------------------- Total from investment operations .52 1.58 (.75) (1.08) ---------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.03) (.10) (.25) (.14) Distributions from net realized gain -- -- -- -- ----------------------------------------------------- Total dividends and/or distributions to shareholders (.03) (.10) (.25) (.14) ---------------------------------------------------------------------------------------------------------------- Net asset value, end of period $13.49 $13.00 $11.52 $12.52 ===================================================== ---------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 4.00% 13.81% (6.17)% (7.90)% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ---------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $1,278 $392 $241 $2 ---------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $670 $342 $160 $1 ---------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 0.38% 0.79% 1.28% 1.04% Total expenses 1.75% 2.04% 1.60% 1.68% Expenses after expense reimbursement or fee waiver and reduction to custodian expenses 1.56% 1.58% N/A 4,5 N/A 4 ---------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 40% 275% 193% 164%
1. For the period from March 1, 2001 (inception of offering) to October 31, 2001. 2. Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 3. Annualized for periods of less than one full year. 4. Reduction to custodian expenses less than 0.01%. 5. Voluntary waiver of transfer agent fees less than 0.01%. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 31 | OPPENHEIMER DISCIPLINED ALLOCATION FUND NOTES TO FINANCIAL STATEMENTS Unaudited -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Oppenheimer Disciplined Allocation Fund (the Fund), a series of Oppenheimer Series Fund, Inc. (the Company), is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Fund's investment objective is to seek to maximize total investment return (including capital appreciation and income) principally by allocating its assets among stocks, corporate bonds, U.S. government securities and money market instruments, according to changing market conditions. The Fund's investment advisor is OppenheimerFunds, Inc. (the Manager). The Fund offers Class A, Class B, Class C and Class N shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class B, Class C and Class N shares are sold without a front-end sales charge but may be subject to a contingent deferred sales charge (CDSC). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ by minor amounts due to each class having its own expenses directly attributable to that class. Classes A, B, C and N have separate distribution and/or service plans. Class B shares will automatically convert to Class A shares six years after the date of purchase. The following is a summary of significant accounting policies consistently followed by the Fund. -------------------------------------------------------------------------------- SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for business. Securities listed or traded on National Stock Exchanges or other domestic or foreign exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ are valued based on the closing price provided by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the closing bid and asked prices, and if not, at the closing bid price. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Directors. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value. Foreign securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of their respective foreign exchanges will be fair valued. Fair value is determined in good faith using consistently applied procedures under the supervision of the Board of Directors. Short-term "money market type" debt securities with remaining maturities of sixty days or less are valued at amortized cost (which approximates market value). 32 | OPPENHEIMER DISCIPLINED ALLOCATION FUND -------------------------------------------------------------------------------- STRUCTURED NOTES. The Fund invests in structured notes whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured notes are often leveraged, increasing the volatility of each note's market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying financial statements. The Fund records a realized gain or loss when a structured note is sold or matures. As of April 30, 2004, the market value of these securities comprised 2.0% of the Fund's net assets and resulted in unrealized cumulative losses of $13,857. -------------------------------------------------------------------------------- SECURITIES ON A WHEN-ISSUED (OR FORWARD COMMITMENT) BASIS. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis can take place ten days or more after the trade date. Normally the settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains segregated assets with a market value equal to or greater than the amount of its purchase commitments. As of April 30, 2004, the value of the segregated assets was $25,945,399. The purchase of securities on a when-issued (or forward commitment) basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. The Fund may also sell securities that it purchased on a when-issued basis prior to settlement of the original purchase. As of April 30, 2004, the Fund had purchased $31,176,983 of securities on a when-issued basis and sold $2,442,577 of securities issued on a when-issued basis. In connection with its ability to purchase or sell securities on a when-issued basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-related pools. 33 | OPPENHEIMER DISCIPLINED ALLOCATION FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. Prices of securities denominated in foreign currencies are translated into U.S. dollars at the closing rates of exchange. Amounts related to the purchase and sale of foreign securities and investment income are translated at the rates of exchange prevailing on the respective dates of such transactions. Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rate. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations. -------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other affiliated funds advised by the Manager, may transfer uninvested cash balances into joint trading accounts on a daily basis. These balances are invested in one or more repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default by the other party to the agreement, retention of the collateral may be subject to legal proceedings. -------------------------------------------------------------------------------- ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class. -------------------------------------------------------------------------------- FEDERAL TAXES. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders, therefore, no federal income or excise tax provision is required. Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends 34 | OPPENHEIMER DISCIPLINED ALLOCATION FUND and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund. As of April 30, 2004, the Fund had available for federal income tax purposes an estimated unused capital loss carryforward of $15,207,267 expiring by 2012. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended April 30, 2004 and the year ended October 31, 2003, the Fund used $7,747,682 and $1,129,404, respectively, of carryforward to offset capital gains realized. As of October 31, 2003, the Fund had available for federal income tax purposes unused capital loss carryforwards as follows: EXPIRING -------------------------- 2009 $12,735,068 2010 10,219,881 ----------- Total $22,954,949 =========== -------------------------------------------------------------------------------- DIRECTORS' COMPENSATION. The Fund has adopted an unfunded retirement plan for the Fund's independent directors. Benefits are based on years of service and fees paid to each director during the years of service. During the six months ended April 30, 2004, the Fund's projected benefit obligations were increased by $1,198 and payments of $1,482 were made to retired directors, resulting in an accumulated liability of $23,756 as of April 30, 2004. The Board of Directors has adopted a deferred compensation plan for independent directors that enable directors to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Director. The Fund does purchase shares of the funds selected for deferral by the Director in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of "Other" within the asset section of the Statement of Assets and Liabilities. Deferral of directors' fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund's assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the Plan. -------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. Income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually. 35 | OPPENHEIMER DISCIPLINED ALLOCATION FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, which includes accretion of discount and amortization of premium, is accrued as earned. -------------------------------------------------------------------------------- EXPENSE OFFSET ARRANGEMENT. The reduction of custodian fees, if applicable, represents earnings on cash balances maintained by the Fund. -------------------------------------------------------------------------------- SECURITY TRANSACTIONS. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost. -------------------------------------------------------------------------------- OTHER. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund's maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. -------------------------------------------------------------------------------- 2. SHARES OF CAPITAL STOCK The Fund has authorized 550 million shares of $0.001 par value capital stock. Transactions in shares of capital stock were as follows:
SIX MONTHS ENDED APRIL 30, 2004 YEAR ENDED OCTOBER 31, 2003 SHARES AMOUNT SHARES AMOUNT ---------------------------------------------------------------------------------------------------- CLASS A Sold 597,893 $ 8,221,047 999,373 $ 12,060,988 Dividends and/or distributions reinvested 29,481 396,413 91,508 1,096,971 Redeemed (655,212) (8,976,377) (1,446,531) (17,243,520) ------------------------------------------------------------------ Net decrease (27,838) $ (358,917) (355,650) $ (4,085,561) ================================================================== ---------------------------------------------------------------------------------------------------- CLASS B Sold 203,988 $ 2,831,855 443,368 $ 5,482,870 Dividends and/or distributions reinvested 62 837 3,597 42,750 Redeemed (185,934) (2,583,273) (372,443) (4,523,880) ------------------------------------------------------------------ Net increase 18,116 $ 249,419 74,522 $ 1,001,740 ==================================================================
36 | OPPENHEIMER DISCIPLINED ALLOCATION FUND
SIX MONTHS ENDED APRIL 30, 2004 YEAR ENDED OCTOBER 31, 2003 SHARES AMOUNT SHARES AMOUNT ---------------------------------------------------------------------------------------------------- CLASS C Sold 101,489 $ 1,373,347 186,268 $ 2,221,285 Dividends and/or distributions reinvested 78 1,025 1,273 14,766 Redeemed (38,637) (522,549) (86,326) (1,023,339) -------------------------------------------------------------- Net increase 62,930 $ 851,823 101,215 $ 1,212,712 ============================================================== ---------------------------------------------------------------------------------------------------- CLASS N Sold 65,742 $ 896,525 21,478 $ 261,761 Dividends and/or distributions reinvested 77 1,038 230 2,766 Redeemed (1,240) (17,076) (12,426) (155,431) -------------------------------------------------------------- Net increase 64,579 $ 880,487 9,282 $ 109,096 ===============================================================
-------------------------------------------------------------------------------- 3. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, other than U.S. government obligations and short-term obligations, for the six months ended April 30, 2004, were $37,005,808 and $44,953,175, respectively. There were purchases of $8,159,538 and sales of $2,985,756 of U.S. government and government agency obligations for the six months ended April 30, 2004. -------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the investment advisory agreement with the Fund which provides for a fee at an annual rate of 0.625% of the first $300 million of average annual net assets of the Fund, 0.50% of the next $100 million, and 0.45% of average annual net assets in excess of $400 million. -------------------------------------------------------------------------------- ACCOUNTING FEES. The Manager acts as the accounting agent for the Fund at an annual fee of $15,000, plus out-of-pocket costs and expenses reasonably incurred. -------------------------------------------------------------------------------- TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. The Fund pays OFS a per account fee. For the six months ended April 30, 2004, the Fund paid $143,383 to OFS for services to the Fund. OFS has voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class. This undertaking may be amended or withdrawn at any time. -------------------------------------------------------------------------------- DISTRIBUTION AND SERVICE PLAN (12b-1) FEES. Under its General Distributor's Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor) acts as the Fund's principal underwriter in the continuous public offering of the Fund's classes of shares. 37 | OPPENHEIMER DISCIPLINED ALLOCATION FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan for Class A shares. It reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made quarterly at an annual rate of up to 0.25% of the average annual net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions quarterly for providing personal services and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent years. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations. -------------------------------------------------------------------------------- DISTRIBUTION AND SERVICE PLANS FOR CLASS B, CLASS C AND CLASS N SHARES. The Fund has adopted Distribution and Service Plans for Class B, Class C and Class N shares to compensate the Distributor for its services in connection with the distribution of those shares and servicing accounts. Under the plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% per year on Class B shares and on Class C shares and 0.25% per year on Class N shares. The Distributor also receives a service fee of up to 0.25% per year under each plan. If either the Class B, Class C or Class N plan is terminated by the Fund or by the shareholders of a class, the Board of Directors and its independent directors must determine whether the Distributor shall be entitled to payment from the Fund of all or a portion of the service fee and/or asset-based sales charge in respect to shares sold prior to the effective date of such termination. The Distributor's aggregate uncompensated expenses under the plan at April 30, 2004 for Class B, Class C and Class N shares were $467,672, $120,675 and $15,647, respectively. Fees incurred by the Fund under the plans are detailed in the Statement of Operations. -------------------------------------------------------------------------------- SALES CHARGES. Front-end sales charges and contingent deferred sales charges (CDSC) do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the table below for the period indicated.
CLASS A CLASS B CLASS C CLASS N CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR ---------------------------------------------------------------------------------------------------- April 30, 2004 $36,807 $79 $17,544 $394 $64
38 | OPPENHEIMER DISCIPLINED ALLOCATION FUND -------------------------------------------------------------------------------- 5. FOREIGN CURRENCY CONTRACTS A foreign currency contract is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. The Fund may enter into foreign currency contracts to settle specific purchases or sales of securities denominated in a foreign currency and for protection from adverse exchange rate fluctuation. Risks to the Fund include the potential inability of the counterparty to meet the terms of the contract. The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Fund and the resulting unrealized appreciation or depreciation are determined using prevailing foreign currency exchange rates. Unrealized appreciation and depreciation on foreign currency contracts are reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations with the change in unrealized appreciation or depreciation. The Fund may realize a gain or loss upon the closing or settlement of the foreign transaction. Contracts closed or settled with the same broker are recorded as net realized gains or losses. Such realized gains and losses are reported with all other foreign currency gains and losses in the Statement of Operations. As of April 30, 2004, the Fund had no outstanding foreign currency contracts. -------------------------------------------------------------------------------- 6. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a commodity or financial instrument at a negotiated price on a stipulated future date. Futures contracts are traded on a commodity exchange. The Fund may buy and sell futures contracts that relate to broadly based securities indices (financial futures) or debt securities (interest rate futures) in order to gain exposure to or protection from changes in market value of stocks and bonds or interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts as a hedge against increases in interest rates and decreases in market value of portfolio securities. The Fund may also purchase futures contracts to gain exposure to market changes as it may be more efficient or cost effective than actually buying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. The Fund recognizes a realized gain or loss when the contract is closed or has expired. Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable and/or payable for the daily mark to market for variation margin. Realized gains and losses are reported 39 | OPPENHEIMER DISCIPLINED ALLOCATION FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 6. FUTURES CONTRACTS Continued in the Statement of Operations as the closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported on the Statement of Operations. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. As of April 30, 2004, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS APRIL 30, 2004 (DEPRECIATION) ---------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 6/21/04 25 $2,677,344 $ (116,203) U.S. Treasury Nts., 10 yr 6/21/04 50 5,525,000 (121,963) ----------- (238,166) ----------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr 6/30/04 33 7,014,047 33,005 U.S. Treasury Nts., 5 yr 6/21/04 40 4,397,500 75,264 ----------- 108,269 ----------- $ (129,897) ===========
-------------------------------------------------------------------------------- 7. TOTAL RETURN SWAP CONTRACTS The Fund may enter into a total return swap transaction to maintain a total return on a particular investment, or portion of its portfolio, or for other non-speculative purposes. Because the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. The Fund records an increase or decrease to unrealized gain (loss), in the amount due to or owed by the Fund at termination or settlement. Total return swaps are subject to risks (if the counterparty fails to meet its obligations). As of April 30, 2004, the Fund had entered into the following total return swap agreements:
PAID BY RECEIVED BY NOTIONAL THE FUND AT THE FUND AT TERMINATION UNREALIZED SWAP COUNTERPARTY AMOUNT APRIL 30, 2004 APRIL 30, 2004 DATE DEPRECIATION ------------------------------------------------------------------------------------------------------------ Value of total One-Month return of Lehman LIBOR less 50 Brothers CMBS Deutsche Bank AG $1,758,423 basis points Index 6/30/04 $60,168
Index abbreviations are noted below: CMBS Commercial Mortgage Backed Securities Markets 40 | OPPENHEIMER DISCIPLINED ALLOCATION FUND -------------------------------------------------------------------------------- 8. ILLIQUID OR RESTRICTED SECURITIES As of April 30, 2004, investments in securities included issues that are illiquid or restricted. Restricted securities are purchased in private placement transactions, are not registered under the Securities Act of 1933, may have contractual restrictions on resale, and are valued under methods approved by the Board of Directors as reflecting fair value. A security may also be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. The Fund intends to invest no more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid or restricted securities. Certain restricted securities, eligible for resale to qualified institutional investors, are not subject to that limitation. The aggregate value of illiquid or restricted securities subject to this limitation as of April 30, 2004 was $2,667,045, which represents 2.12% of the Fund's net assets, of which zero is considered restricted. Information concerning restricted securities is as follows:
VALUATION AS OF UNREALIZED SECURITY ACQUISITION DATE COST APRIL 30, 2004 DEPRECIATION -------------------------------------------------------------------------------------------------------- STOCKS AND/OR WARRANTS Geotek Communications, Inc., Series B, Escrow Shares 1/4/01 $400 $-- $400
-------------------------------------------------------------------------------- 9. BORROWING AND LENDING ARRANGEMENTS The Fund entered into an "interfund borrowing and lending arrangement" with other funds in the Oppenheimer funds complex, to allow funds to borrow for liquidity purposes. The arrangement was initiated pursuant to exemptive relief granted by the Securities and Exchange Commission (the SEC) to allow these affiliated funds to lend money to, and borrow money from, each other, in an attempt to reduce borrowing costs below those of bank loan facilities. The SEC's order requires the Fund's Board of Directors to adopt operating policies and procedures to administer interfund borrowing and lending. Under the arrangement the Fund may lend money to other Oppenheimer funds and may borrow from other Oppenheimer funds at a rate set by the Fund's Board of Directors, based upon a recommendation by the Manager. The Fund's borrowings, if any, are subject to asset coverage requirements under the Investment Company Act and the provisions of the SEC order and other applicable regulations. If the Fund borrows money, there is a risk that the loan could be called on one day's notice, in which case the Fund might have to borrow from a bank at higher rates if a loan were not available from another Oppenheimer fund. If the Fund lends money to another fund, it will be subject to the risk that the other fund might not repay the loan in a timely manner, or at all. The Fund had no interfund borrowings or loans outstanding during the six months ended or at April 30, 2004. 41 | OPPENHEIMER DISCIPLINED ALLOCATION FUND PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES Unaudited -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities ("portfolio proxies") held by the Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.225.5677, (ii) on the Fund's website at www.oppenheimerfunds.com, and (iii) on the SEC's website at www.sec.gov. In addition, the Fund will be required to file new Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The first such filing is due no later than August 31, 2004, for the twelve months ended June 30, 2004. Once filed, the Fund's Form N-PX filing will be available (i) without charge, upon request, by calling the Fund toll-free at 1.800.225.5677, and (ii) on the SEC's website at www.sec.gov. 42 | OPPENHEIMER DISCIPLINED ALLOCATION FUND Item 2. Code of Ethics The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. Item 3. Audit Committee Financial Expert The Board of Directors of the registrant has determined that the registrant does not have an audit committee financial expert serving on its Audit Committee. In this regard, no member of the Audit Committee was identified as having all of the technical attributes identified in Instruction 2(b) to Item 3 of Form N-CSR to qualify as an "audit committee financial expert," whether through the type of specialized education or experience described in that Instruction. The Board has concluded that while the members of the Audit Committee collectively have the necessary attributes and experience required to serve effectively as an Audit Committee, no single member possesses all of the required technical attributes through the particular methods of education or experience set forth in the Instructions to be designated as an audit committee financial expert. Item 4. Principal Accountant Fees and Services Not applicable to semiannual reports. Item 5. Not applicable Item 6. Schedule of Investments Not applicable Item 7. Not applicable Item 8. Not applicable Item 9. Submission of Matters to a Vote of Security Holders The Board is responsible for approving nominees for election as directors. To assist in this task, the Board has designated the Audit Committee as the nominating committee for the Board. It reviews and recommends nominees to the Board. The Committee is comprised entirely of disinterested directors as defined in Section 2(a)(19) of the Investment Company Act of 1940. The Audit Committee charter describes the responsibilities of the Committee in nominating candidates for election as independent Directors of the Registrant. The Registrant's Board has adopted a written charter for the Committee. A current copy of the Audit Committee charter is available to shareholders on the OppenheimerFunds website at www.oppenheimerfunds.com. Under the current policy, if the Board determines that a vacancy exists or is likely to exist on the Board, the Audit Committee of the Board will consider candidates for Board membership including recommended by Registrant shareholders. The Audit Committee will consider nominees recommended by independent Board members or recommended by any other Board members including Board members affiliated with the Registrant's investment advisors. The Committee may, upon Board approval, retain an executive search firm to assist in screening potential candidates. Upon Board approval, the Audit Committee may also use the services of legal, financial, or other external counsel that it deems necessary or desirable in the screening process. Shareholders wishing to submit a nominee for election to the Board may do so by mailing their submission to the offices of OppenheimerFunds, Inc., 6803 South Tucson Way, Centennial, CO 80112, to the attention of the Board of Directors of the named Registrant, c/o the Secretary of the Registrant. The Committee's process for identifying and evaluating nominees for directors includes a number of factors. In screening candidates for board membership, whether the candidate is suggested by Board members, shareholders or others, the Committee considers the candidate's professional experience, soundness of judgment, integrity, ability to make independent, analytical inquiries, collegiality, willingness and ability to devote the time required to perform Board activities adequately, ability to represent the interests of all shareholders of the Registrant, and diversity relative to the board's composition. Candidates are expected to provide a mix of attributes, experience, perspective and skills necessary to effectively advance the interests of shareholders. Item 10. Controls and Procedures (a) Based on their evaluation of registrant's disclosure controls and procedures (as defined in rule 30a-2(c) under the Investment Company Act of 1940 (17 CFR 270.30a-2(c)) as of April 30, 2004, registrant's principal executive officer and principal financial officer found registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in registrant's internal controls over financial reporting that occurred during the registrant's last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 11. Exhibits. (a) Exhibit attached hereto. (Attach code of ethics as exhibit) (b) Exhibits attached hereto. (Attach certifications as exhibits)