Travelers Series Trust N-CSRS Certified semi-annual shareholder report (management investment company)

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 811-6465

The Travelers Series Trust

(Exact name of registrant as specified in charter)

125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)

Paul G. Cellupica, Chief Counsel
c/o MetLife, Inc.
One MetLife Plaza
27-01 Queens Plaza North
Long Island City, NY 11101
(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 578-5526

Date of fiscal year end: December 31
Date of reporting period: June 30, 2005

ITEM 1. REPORT TO STOCKHOLDERS.

     The Semi-Annual Report to Stockholders is filed herewith.

SEMI-ANNUAL REPORT

June 30, 2005

Managed Assets Trust

High Yield Bond Trust

Capital Appreciation Fund

Money Market Portfolio

The Travelers Series Trust:

U.S. Government Securities Portfolio

Pioneer Fund Portfolio

Pioneer Mid Cap Value Portfolio

The Travelers Insurance Company

The Travelers Life and Annuity Company

One Cityplace

Hartford, CT 06103

Semi-Annual Report for Managed Assets Trust, High Yield Bond Trust, Capital Appreciation Fund, Money Market Portfolio and The Travelers Series Trust

________________________________________________________________________________

 WHAT’S INSIDE

Letter from the Chairman		1
Managed Assets Trust, High Yield Bond Trust, Capital Appreciation Fund and Money Market Portfolio:
Fund at a Glance:
	Managed Assets Trust	5
	High Yield Bond Trust	6
	Capital Appreciation Fund	7
	Money Market Portfolio	8
Fund Expenses		9
Schedules of Investments		11
Statements of Assets and Liabilities		44
Statements of Operations		45
Statements of Changes in Net Assets		46
Financial Highlights		50
Notes to Financial Statements		54
The Travelers Series Trust – U.S. Government Securities Portfolio, Pioneer Fund Portfolio and Pioneer Mid Cap Value Portfolio:
Fund at a Glance:
	U.S. Government Securities Portfolio	60
	Pioneer Fund Portfolio	61
	Pioneer Mid Cap Value Portfolio	62
Fund Expenses		63
Schedules of Investments		65
Statements of Assets and Liabilities		78
Statements of Operations		79
Statements of Changes in Net Assets		80
Financial Highlights		83
Notes to Financial Statements		86
Factors Considered by the Independent Trustees in Approving the Investment Advisory and the Subadvisory Agreements		92
Combined Special Shareholder Meeting		97

 LETTER FROM THE CHAIRMAN

Dear Shareholder,

The U.S. economy overcame a number of obstacles and continued to expand during the reporting period. Rising interest rates, record high oil prices and geopolitical issues threatened to send the economy into a “soft patch.” However, when all was said and done, first quarter 2005 gross domestic product (“GDP”)ⁱ growth was 3.8%, mirroring the solid gain that occurred during the fourth quarter of 2004.

Given the overall strength of the economy, the Federal Reserve Board (“Fed”)ⁱⁱ continued to raise interest rates over the period in an attempt to ward off inflation. Following five rate hikes from June 2004 through December 2004, the Fed again increased its target for the federal funds rateⁱⁱⁱ in 0.25% increments four additional times during the reporting period. All told, the Fed’s nine rate hikes brought the target for the federal funds rate from 1.00% to 3.25%.
R. JAY GERKEN, CFA
Chairman, President and Chief Executive Officer

During the six months covered by this report, the U.S. stock market was relatively flat, with the S&P 500 Index^iv returning -0.81%. Stocks were weak early in the reporting period, as the issues discussed above caused investors to remain on the sidelines. Equities then rallied in the second quarter of 2005, as the economy appeared to be on
solid footing and inflation was largely under control. Looking at the reporting period as a whole, mid-cap stocks generated superior returns, with the Russell Midcap^v, Russell 1000^vi, and Russell 2000^vii Indexes returning 3.92%, 0.11%, and -1.25%, respectively. From a market style perspective, value-oriented stocks outperformed their growth counterparts.

During the reporting period, the fixed income market confounded many investors as short term interest rates rose in concert with the Fed rate tightening, while longer-term rates, surprisingly, declined. When the period began, the federal fund target rate was 2.25% and the yield on the 10-year Treasury was 4.24%. When the reporting period ended, the federal funds rate rose to 3.25% and the 10-year yield fell to 3.92%. Declining long-term rates, mixed economic data and periodic flights to quality all supported bond prices. Looking at the six-month period as a whole, the overall bond market, as measured by the Lehman Brothers Aggregate Bond Index^viii, returned 2.51%.

Within this environment, the Funds performed as follows¹:

PERFORMANCE OF THE FUNDS

AS OF JUNE 30, 2005

(unaudited)

	6 Months
Managed Assets Trust		-0.20%
S&P 500 Index		-0.81%
Lehman Brothers Government/Credit Bond Index		2.75%
Lipper Variable Flexible Portfolio Funds Category Average		0.54%
High Yield Bond Trust		0.01%
Credit Suisse First Boston High Yield Index		0.77%
Lipper Variable High Current Yield Funds Category Average		0.45%
Capital Appreciation Fund		4.92%
S&P 500 Index		-0.81%
Russell 2000 Index		-1.25%
Lipper Variable Large-Cap Growth Funds Category Average		-1.42%

¹ The Funds are underlying investment options of various variable annuity and variable life insurance products. The Funds’ performance returns do not reflect the deduction of expenses imposed in connection with investing in variable annuity or variable life insurance contracts, such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the performance of the Funds. Past performance is no guarantee of future results.

1

PERFORMANCE OF THE FUNDS

AS OF JUNE 30, 2005

(unaudited)

(continued)

		6 Months
	U.S. Government Securities Portfolio		5.51%
	Merrill Lynch U.S. Treasury/ Agency Master Index		2.99%
	Merrill Lynch U.S. Treasuries 15+ Years Index		9.40%
	Merrill Lynch Mortgage Master Index		2.21%
	Lipper Variable General U.S. Government Funds Category Average		2.95%
	Pioneer Fund Portfolio		-1.16%
	S&P 500 Index		-0.81%
	Lipper Variable Large-Cap Core Funds Category Average		-0.76%
The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.citigroupam.com.
Fund returns assume the reinvestment of all distributions at net asset value and the deduction of all Fund expenses.

Managed Assets Trust²

For the six months ended June 30, 2005, the Managed Assets Trust returned -0.20%. These shares underperformed the Lipper Variable Flexible Portfolio Funds Category Average³, which increased 0.54%. The Fund’s unmanaged benchmarks, the S&P 500 Index and the Lehman Brothers Government/ Credit Bond Index^ix, returned -0.81% and 2.75%, respectively for the same period.

High Yield Bond Trust²

For the six months ended June 30, 2005, the High Yield Bond Trust returned 0.01%. These shares underperformed the Lipper Variable High Current Yield Funds Category Average⁴, which increased 0.45%. The Fund’s unmanaged benchmark, the Credit Suisse First Boston High Yield Index^x, returned 0.77%, for the same period.

Capital Appreciation Fund²

For the six months ended June 30, 2005, the Capital Appreciation Fund returned 4.92%. These shares outperformed the Lipper Variable Large-Cap Growth Funds Category Average⁵, which decreased 1.42%. The Fund’s unmanaged benchmarks, the S&P 500 Index and the Russell 2000 Index, returned -0.81% and -1.25%, respectively, for the same period.

U.S. Government Securities Portfolio²

For the six months ended June 30, 2005, the U.S. Government Securities Portfolio returned 5.51%. The Fund’s unmanaged benchmarks, the Merrill Lynch U.S. Treasury/ Agency Master Index^xi, the Merrill Lynch U.S. Treasuries 15+ Years Index^xii, and the Merrill Lynch Mortgage Master Index^xiii, returned 2.99%, 9.40% and 2.21%, respectively, for the same period. The Lipper Variable General U.S. Government Funds Category Average⁶ increased 2.95%.

2	The Fund is an underlying investment option of various variable annuity and variable life products. The Fund’s performance returns do not reflect the deduction of sales charges and expenses imposed in connection with investing in variable annuity and variable life contracts, such as administrative fees, account charges, and surrender charges which, if reflected, would reduce the performance of the Fund. Past performance is no guarantee of future results.
3	Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended June 30, 2005 including the reinvestment of dividends and capital gains distributions, if any, calculated among the 88 funds in the Fund’s Lipper category.
4	Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended June 30, 2005 including the reinvestment of dividends and capital gains distributions, if any, calculated among the 89 funds in the Fund’s Lipper category.
5	Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended June 30, 2005 including the reinvestment of dividends and capital gains distributions, if any, calculated among the 172 funds in the Fund’s Lipper category.
6	Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended June 30, 2005 including the reinvestment of dividends and capital gains distributions, if any, calculated among the 56 funds in the Fund’s Lipper category.

2

Pioneer Fund Portfolio²

For the six months ended June 30, 2005, the Pioneer Fund Portfolio returned -1.16%. These shares underperformed the Fund’s unmanaged benchmark, the S&P 500 Index, which returned -0.81% for the same period. The Lipper Variable Large-Cap Core Funds Category Average⁷ decreased 0.76%.

Pioneer Mid Cap Value Portfolio²

The Fund commenced operation on May 2, 2005.

Money Market Portfolio²

As of June 30, 2005, the seven-day current yield for the Money Market Portfolio was 2.77% and its seven-day effective yield, which reflects compounding, was 2.81%⁸.

Both yields include a voluntary waiver of the management fee. This waiver may be reduced or terminated at any time. If the full management fee had been included, the seven-day current yield would have been 2.75% and the seven-day effective yield would have been 2.79%.

In addition, your investment is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

MONEY MARKET PORTFOLIO

YIELDS AS OF JUNE 30, 2005

Seven-Day Current Yield	2.77%
Seven-Day Effective Yield	2.81%

The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above.

Current reimbursement and/or fee waivers are voluntary, and may be reduced or terminated at any time. Absent these reimbursements or waivers, the seven-day current yield would have been 2.75% and the seven-day effective yield would have been 2.79%.

Special Shareholder Notice

On January 31, 2005, Citigroup Inc. (“Citigroup”) announced that it had agreed to sell The Travelers Insurance Company and certain other domestic and international insurance businesses to Metlife, Inc. (“MetLife”), pursuant to an acquisition agreement (“MetLife Transaction”). The sale included Travelers Asset Management International Company LLC (“TAMIC”), which serves as the investment advisor for the Funds. During the spring/summer 2005, the shareholders of the Funds approved the change in control of TAMIC from Citigroup to MetLife, as well as the new advisory agreements with TAMIC. The MetLife Transaction closed on July 1, 2005.

Information About Your Funds

As you may be aware, several issues in the mutual fund and variable annuity product industry have recently come under the scrutiny of federal and state regulators. The Travelers Insurance Company and some of its affiliates have received requests for information from various government regulators regarding market timing, late trading, fees, revenue sharing, producer compensation and other mutual fund and variable annuity product issues in connection with various inquiries and or investigations. The Travelers Insurance Company and its affiliates are responding to those information requests, but are not in a position to predict the outcome of these requests and investigations.

Important information concerning the Funds and their sub-administrator with regard to recent regulatory developments is contained in the “Additional Information” note in the Notes to the Financial Statements included in this report.

7	Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended June 30, 2005 including the reinvestment of dividends and capital gains distributions, if any, calculated among the 223 funds in the Fund’s Lipper category.
8	The seven-day effective yield is calculated similarly to the seven-day current yield but, when annualized, the income earned by an investment in the Fund is assumed to be reinvested. The effective yield typically will be slightly higher than the current yield because of the compounding effect of the assumed reinvestment.

3

As always, thank you for your continued confidence in our stewardship of your assets. We look forward to helping you continue to meet your financial goals.

Sincerely,

R. Jay Gerken, CFA

Chairman, President and Chief Executive Officer*

July 14, 2005

*  Mr. Gerken resigned as Chairman, President and Chief Executive Officer of the Funds when the MetLife Transaction closed on July 1, 2005.

The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.

All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.

i	Gross domestic product is a market value of goods and services produced by labor and property in a given country.
ii	The Federal Reserve Board is responsible for the formulation of a policy designed to promote economic growth, full employment, stable prices, and a sustainable pattern of international trade and payments.

iii	The federal funds rate is the interest rate that banks with excess reserves at a Federal Reserve district bank charge other banks that need overnight loans.
iv	The S&P 500 Index is an unmanaged index of 500 stocks that is generally representative of the performance of larger companies in the U.S.

^v The Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index whose average market capitalization was approximately $4.7 billion as of 6/24/05.

vi	The Russell 1000 Index measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index.
vii	The Russell 2000 Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index.

^viii The Lehman Brothers Aggregate Bond Index is a broad-based bond index comprised of Government, Corporate, Mortgage and Asset-backed issues, rated investment grade or higher, and having at least one year to maturity.

^ix The Lehman Brothers Government/ Credit Bond Index is a broad-based index composed of government and corporate debt issues that are investment grade (rated Baa/ BBB or higher).

^x The Credit Suisse First Boston High Yield Index is a market-weighted index that includes publicly traded bonds rated below BBB by S&P and Baa by Moody’s. Moody’s Investors Service is a nationally recognized credit rating agency. Standard & Poor’s Ratings Service is a nationally recognized credit rating agency.

xi	The Merrill Lynch U.S. Treasury/Agency Master Index is an index comprised of U.S. Treasury and Agency securities.
xii	The Merrill Lynch U.S. Treasuries 15+ Years Index tracks the performance of the direct Sovereign debt of the U.S. Government. It includes all U.S. dollar-denominated U.S. Treasury Notes and Bonds having at least 15 years remaining term to maturity and a minimum amount outstanding of $1 billion.

^xiii The Merrill Lynch Mortgage Master Index (also called the Mortgage Backed Securities Index) tracks the performance of the U.S. dollar-denominated 30-year, 15-year and balloon pass through mortgage securities having at least $150 million outstanding per generic production year (defined as the aggregation of all mortgage pools having a common issuer, type, coupon and production year.)

4

 Fund at a Glance — Managed Assets Trust (unaudited)

5

 Fund at a Glance — High Yield Bond Trust (unaudited)

6

 Fund at a Glance — Capital Appreciation Fund (unaudited)

7

 Fund at a Glance — Money Market Portfolio (unaudited)

8

 Fund Expenses (unaudited)

          Example

      As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

      This example is based on an investment of $1,000 invested on January 1, 2005 and held for the six months ended June 30, 2005.

          Actual Expenses

      The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.

 Based on Actual Total Return⁽¹⁾

											Expenses
				Beginning		Ending		Annualized			Paid
	Actual Total			Account		Account		Expense			During the
	Return(2)			Value		Value		Ratio			Period(3)
Managed Assets Trust		(0.20	)%	$	1,000.00	$	998.00		0.61	%	$	3.02
High Yield Bond Trust		0.01			1,000.00		1,000.10		0.61			3.03
Capital Appreciation Fund		4.92			1,000.00		1,049.20		0.78			3.96
Money Market Portfolio		1.17			1,000.00		1,011.70		0.40			2.00

(1)	For the six months ended June 30, 2005.
(2)	Assumes reinvestment of dividends and capital gain distributions, if any, at net asset value. Total return is not annualized, as it may not be representative of the total return for the year. Total returns do not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the total returns. Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower.
(3)	Expenses (net of any fee waiver and/or expense reimbursement) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365.

9

 Fund Expenses (unaudited) (continued)

          Hypothetical Example for Comparison Purposes

      The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Funds and other funds. To do so, compare the 5.00% hypothetical example relating to the Funds with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

      Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

 Based on Hypothetical Total Return⁽¹⁾

	Hypothetical										Expenses
	Annualized			Beginning		Ending		Annualized			Paid
	Total			Account		Account		Expense			During the
	Return			Value		Value		Ratio			Period(2)
Managed Assets Trust		5.00	%	$	1,000.00	$	1,021.77		0.61	%	$	3.06
High Yield Bond Trust		5.00			1,000.00		1,021.77		0.61			3.06
Capital Appreciation Fund		5.00			1,000.00		1,020.93		0.78			3.91
Money Market Portfolio		5.00			1,000.00		1,022.81		0.40			2.01

(1)	For the six months ended June 30, 2005.
(2)	Expenses (net of any fee waiver and/or expense reimbursement) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365.

10

 Schedules of Investments (unaudited) June 30, 2005 

Managed Assets Trust

FACE
AMOUNT		RATING‡	SECURITY		VALUE
CORPORATE BONDS & NOTES — 14.3%
Aerospace/Defense — 0.4%
$	400,000	BBB+	Lockheed Martin Corp., Bonds, 8.500% due 12/1/29		$	579,472
	500,000	BBB	Northrop Grumman Corp., Notes, 4.079% due 11/16/06			498,720
						1,078,192
Agriculture — 0.3%
	700,000	BBB	Altria Group, Inc., Notes, 5.625% due 11/4/08			726,760
Auto Manufacturers — 0.4%
	600,000	BBB	DaimlerChrysler North America Holding Corp., Notes, 7.300% due 1/15/12			671,340
	400,000	BB+	Ford Motor Co., Notes, 7.450% due 7/16/31			334,781
						1,006,121
Banks — 1.5%
	700,000	AA-	ABN AMRO Bank NV, Senior Notes, 3.310% due 5/11/07 (a)			700,989
	500,000	AA-	Bank of America Corp., Senior Notes, 5.375% due 6/15/14			532,216
	300,000	A+	HSBC Bank USA, Subordinated Notes, 5.875% due 11/1/34			328,111
	300,000	A-	Huntington National Bank, Senior Notes, 4.650% due 6/30/09			303,640
	200,000	AA	Rabobank Capital Funding Trust III, Subordinated Notes, 5.254% due 12/31/16 (a)(b)			205,584
	300,000	A	RBS Capital Trust I, 4.709% due 12/29/49 (a)			296,462
	300,000	A+	Royal Bank of Scotland Group PLC, Subordinated Bonds, 5.050% due 1/8/15			310,738
	200,000	A+	U.S. Bank North America, Subordinated Notes, 4.950% due 10/30/14			205,931
			Wachovia Bank North America, Subordinated Notes:
	200,000	A+		4.800% due 11/1/14		202,713
	700,000	A+		3.590% due 11/3/14 (a)		708,780
	400,000	A-	Washington Mutual Bank FA, Subordinated Notes, 5.125% due 1/15/15			407,066
	219,799	NR	Willmington Trust, 9.250% due 1/2/07			127,484
						4,329,714
Beverages — 0.3%
	300,000	A+	Bottling Group LLC, 4.625% due 11/15/12			304,982
	600,000	A	PepsiAmericas, Inc., Notes, 4.875% due 1/15/15			612,288
						917,270
Diversified Financial Services — 3.4%
	400,000	AA+	AIG SunAmerica Global Financing VII, Senior Notes, 5.850% due 8/1/08 (b)			417,275
	800,000	A+	American General Finance Corp., Notes, 3.875% due 10/1/09			782,114
	520,000	BBB	Capital One Bank, Notes, 5.000% due 6/15/09			531,791
	300,000	BBB-	Capital One Financial Corp., Notes, 5.500% due 6/1/15			307,496
	700,000	A	Caterpillar Financial Services, Notes, 4.700% due 3/15/12			713,881
	500,000	A	Countrywide Financial Corp., Medium-Term Notes, Series A, 4.500% due 6/15/10			499,930
	580,000	A	Countrywide Home Loans, Inc., Medium-Term Notes, Series L, 4.000% due 3/22/11			560,070
			Credit Suisse First Boston USA, Inc.:
	500,000	A+		3.875% due 1/15/09		494,524
	300,000	A+		Notes, 6.125% due 11/15/11		326,764

See Notes to Financial Statements.

11

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

FACE
AMOUNT		RATING‡	SECURITY		VALUE
Diversified Financial Services — 3.4% (continued)
			Ford Motor Credit Co.:
$	400,000	BB+		Global Landmark SecuritiesTM, 6.500% due 1/25/07	$	403,018
	100,000	BB+		Notes, 5.700% due 1/15/10		92,324
	300,000	BBB-	Glencore Funding LLC, Notes, 6.000% due 4/15/14 (b)			288,150
	400,000	A-	Goldman Sachs Capital I, Capital Securities, 6.345% due 2/15/34			434,892
	1,100,000	A	HSBC Finance Corp., Notes, 6.375% due 10/15/11			1,204,237
	400,000	A	JPMorgan Chase & Co., Subordinated Notes, 5.250% due 5/1/15			414,145
	500,000	A	Lehman Brothers Holdings, Inc., Medium-Term Notes, Series G, 4.800% due 3/13/14			506,129
			Merrill Lynch & Co., Inc., Medium-Term Notes, Series C:
	300,000	A+		4.125% due 9/10/09		299,011
	300,000	A+		4.250% due 2/8/10		299,564
	300,000	A+		5.000% due 1/15/15		307,760
	600,000	AA	Principal Life Global Funding I, Bonds, 6.125% due 10/15/33 (b)			690,011
						9,573,086
Electric — 1.2%
	300,000	BBB+	Dominion Resources, Inc., Senior Notes, Series F, 5.250% due 8/1/33			307,800
	2,000,000	BB-	PSEG Energy Holdings LLC, Senior Notes, 8.500% due 6/15/11			2,190,000
	700,000	AA	SP PowerAssets Ltd., Notes, 5.000% due 10/22/13 (b)			726,709
	200,000	BBB-	TransAlta Corp., Notes, 5.750% due 12/15/13			210,656
						3,435,165
Forest Products & Paper — 0.1%
	200,000	BBB	International Paper Co., Notes, 5.300% due 4/1/15			200,965
Gas — 0.1%
	300,000	A+	Southern California Gas Co., First Mortgage Bonds, Series II, 4.375% due 1/15/11			300,113
Health Care – Services — 0.1%
	300,000	BBB+	WellPoint, Inc., Bonds, 6.800% due 8/1/12			338,998
Home Builders — 0.1%
	400,000	BBB-	Pulte Homes, Inc., Notes, 5.200% due 2/15/15			396,405
Insurance — 0.3%
			Berkshire Hathaway Finance Corp.:
	200,000	AAA		3.330% due 5/16/08 (a)(b)		200,071
	400,000	AAA		4.750% due 5/15/12 (b)		404,238
	100,000	BBB+	GE Global Insurance Holding Corp., Notes, 7.000% due 2/15/26			107,478
						711,787
Media — 2.2%
	2,000,000	BBB+	Comcast Cable Communications, Inc., Notes, 8.875% due 5/1/17			2,645,008
	700,000	BBB-	COX Communications, Inc., Notes, 7.125% due 10/1/12			786,121
	352,000	BB+	Liberty Media Corp., Senior Notes, 4.910% due 9/17/06 (a)			354,256
	2,000,000	BBB+	Time Warner, Inc., Debentures, 7.625% due 4/15/31			2,505,694
						6,291,079

See Notes to Financial Statements.

12

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

FACE
AMOUNT		RATING‡	SECURITY		VALUE
Mining — 0.1%
$	300,000	BBB	Phelps Dodge Corp., Senior Notes, 8.750% due 6/1/11		$	363,150
Miscellaneous Manufacturing — 0.4%
	1,100,000	AAA	General Electric Co., Notes, 5.000% due 2/1/13			1,137,544
Oil & Gas — 0.1%
	300,000	BBB+	Anadarko Finance Co., Senior Notes, Series B, 6.750% due 5/1/11			333,737
Oil & Gas Services — 0.3%
	200,000	BBB+	Cooper Cameron Corp., Senior Notes, 2.650% due 4/15/07			194,118
	400,000	BBB	Devon Financing Corp. ULC, Guaranteed Debentures, 7.875% due 9/30/31			521,944
						716,062
Pharmaceuticals — 0.2%
	500,000	A	Wyeth, Notes, 6.500% due 2/1/34			586,544
Pipelines — 0.3%
	200,000	BBB+	Consolidated Natural Gas Co., Senior Notes, 5.000% due 12/1/14			202,702
	300,000	BBB-	Duke Capital LLC, Senior Notes, 4.331% due 11/16/06			300,500
	200,000	BBB+	Kinder Morgan Energy Partners LP, Notes, 5.125% due 11/15/14			202,658
						705,860
Real Estate — 0.1%
	200,000	BBB-	Colonial Realty LP, Notes, 4.750% due 2/1/10			198,631
REITs — 1.4%
	100,000	BBB+	AvalonBay Communities, Inc., Notes, 4.950% due 3/15/13			100,920
	200,000	BBB	HRPT Properties Trust, Senior Notes, 6.250% due 8/15/16			216,983
	300,000	BBB-	iStar Financial, Inc., Senior Notes, 6.000% due 12/15/10			312,404
	100,000	A-	Kimco Realty Corp., Medium-Term Notes, Series C, 3.410% due 8/1/06 (a)			100,131
	2,400,000	BBB-	Nationwide Health Properties, Inc., Medium-Term Notes, Series C, 6.900% due 10/1/37			2,696,352
			Simon Property Group LP, Notes:
	200,000	BBB+		4.600% due 6/15/10 (b)		200,330
	200,000	BBB+		5.100% due 6/15/15 (b)		200,279
						3,827,399
Telecommunications — 1.0%
	400,000	A-	Deutsche Telekom International Finance BV, Bonds, 8.750% due 6/15/30			543,274
	1,000,000	A-	France Telecom SA, Notes, 8.500% due 3/1/31			1,398,575
	300,000	A	SBC Communications, Inc., Bonds, 6.450% due 6/15/34			338,470
	500,000	BBB-	Sprint Capital Corp., Notes, 8.375% due 3/15/12			602,204
						2,882,523
			TOTAL CORPORATE BONDS & NOTES (Cost — $36,126,975)			40,057,105

See Notes to Financial Statements.

13

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

FACE
AMOUNT		RATING‡	SECURITY		VALUE
CONVERTIBLE BONDS & NOTES — 4.4%
Auto Parts & Equipment — 0.4%
$	25,000	BBB	American Axle & Manufacturing Holdings, Inc., Senior Notes, step bond to yield 2.000% due 2/15/24 (b)		$	20,062
	2,280,000	BBB-	Lear Corp., Senior Notes, zero coupon bond to yield 3.431% due 2/20/22			1,034,550
						1,054,612
Computers — 0.3%
	955,000	BBB-	Electronic Data Systems Corp., Senior Notes, 3.875% due 7/15/23			912,025
Electric — 0.1%
	250,000	BBB	PPL Energy Supply LLC, Senior Notes, 2.625% due 5/15/23 (b)			299,063
Electronics — 0.1%
	440,000	BBB-	Arrow Electronics, Inc., zero coupon bond to yield 4.000% due 2/21/21			238,700
Health Care – Services — 0.4%
			Health Management Associates, Inc., Senior Subordinated Notes:
	200,000	BBB+		1.500% due 8/1/23		217,000
	800,000	BBB+		1.500% due 8/1/23 (b)		868,000
						1,085,000
Insurance — 0.3%
	1,350,000	AA	American International Group, Inc., Senior Debentures, zero coupon bond to yield 1.525% due 11/9/31			906,187
Leisure Time — 0.5%
	660,000	BBB-	Four Season Hotels, Inc., Senior Notes, 1.875% due 7/30/24			723,525
	1,050,000	BB+	Royal Caribbean Cruises Ltd., Senior LYOTMNs, zero coupon bond to yield 4.875% due 2/2/21			609,000
						1,332,525
Machinery – Construction & Mining — 0.0%
	50,000	BBB+	Placer Dome, Inc., Senior Notes, 2.750% due 10/15/23 (b)			53,188
Media — 0.9%
			Liberty Media Corp., Senior Exchangeable Debentures:
	500,000	BB+		0.750% due 3/30/23 (b)		530,000
	650,000	BB+		4.000% due 11/15/29		408,688
	750,000	BB+		3.500% due 1/15/31		667,500
	850,000	A-	Walt Disney Co., Senior Notes, 2.125% due 4/15/23			876,562
						2,482,750
Oil & Gas Services — 1.1%
	175,000	BBB+	Cooper Cameron Corp., Senior Debentures, 1.500% due 5/15/24 (b)			193,375
	915,000	A-	Diamond Offshore Drilling, Inc., Senior Debentures, 1.500% due 4/15/31			1,125,450
	500,000	BBB	Halliburton Co., Senior Notes, 3.125% due 7/15/23 (b)			693,750
	900,000	A+	Schlumberger Ltd., Senior Notes, Series A, 1.500% due 6/1/23			1,037,250
						3,049,825

See Notes to Financial Statements.

14

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

FACE
AMOUNT		RATING‡	SECURITY		VALUE
Pharmaceuticals — 0.2%
$	250,000	A	Allergan, Inc., Senior Notes, zero coupon bond to yield 1.250% due 11/6/22 (b)		$	245,312
			Watson Pharmaceuticals, Inc.:
	221,000	BBB-	Debentures, 1.750% due 3/15/23			206,083
	140,000	BBB-	Senior Debentures, 1.750% due 3/15/23 (b)			130,550
						581,945
Retail — 0.1%
	200,000	BBB-	Best Buy Co., Inc., 2.250% due 1/15/22 (b)			224,000
			TOTAL CONVERTIBLE BONDS & NOTES (Cost — $11,389,421)			12,219,820
ASSET-BACKED SECURITIES — 2.0%
Diversified Financial Services — 1.8%
	5,000,000	AAA	PP&L Transition Bond LLC, Series 1999-1, Class A7, 7.050% due 6/25/09			5,200,452
Home Equity — 0.2%
	500,000	AAA	Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2002-2, Class 1A5, 5.833% due 4/25/32			514,099
			TOTAL ASSET-BACKED SECURITIES (Cost — $5,521,358)			5,714,551
COLLATERALIZED MORTGAGE OBLIGATIONS — 1.8%
	1,150,000	AAA	Banc of America Commercial Mortgage, Inc., Series 2004-6, Class AJ, 4.870% due 12/10/42 (a)			1,169,326
	920,000	AAA	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, 4.826% due 6/10/48 (a)			932,131
			JPMorgan Chase Commercial Mortgage Securities Corp.:
	2,000,000	Aaa(c)		Series 2004-C3, Class AJ, 4.922% due 1/15/42 (a)		2,039,880
	375,000	AAA		Series 2005-LDP1, Class A4, 5.038% due 3/15/46 (a)		388,560
	520,000	AAA	Morgan Stanley Capital I, Inc., Series 2005-IQ9, Class A4, 4.660% due 7/15/56			524,430
		TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $4,989,070)				5,054,327
MORTGAGE-BACKED SECURITIES — 0.5%
FNMA — 0.5%
			FNMA:
	964,397			6.000% due 1/1/13-8/1/28		994,537
	30,779			6.500% due 12/1/27		31,976
	326,651			5.500% due 8/1/28		332,271
						1,358,784
GNMA — 0.0%
			GNMA:
	22,801			9.000% due 11/15/19		25,032
	7,129			9.500% due 1/15/20		7,952
						32,984
			TOTAL MORTGAGE-BACKED SECURITIES (Cost — $1,328,520)			1,391,768

See Notes to Financial Statements.

15

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

FACE
AMOUNT		RATING‡	SECURITY		VALUE
SOVEREIGN BOND — 0.2%
Canada — 0.2%
$	500,000	AAA	Canada Mortgage & Housing Corp., Local Government Guaranteed, 3.375% due 12/1/08 (Cost — $499,069)		$	491,822
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 12.0%
U.S. Government Agencies — 2.8%
			FHLMC:
	6,000,000			2.125% due 11/15/05		5,969,982
	500,000			4.875% due 11/15/13		524,036
	500,000			step bond to yield 2.900% due 2/27/19		497,256
	1,000,000		FNMA Benchmark Notes, 1.750% due 6/16/06			981,379
						7,972,653
U.S. Government Obligations — 9.2%
	2,082,000		U.S. Treasury Bonds, 5.375% due 2/15/31			2,457,412
			U.S. Treasury Notes:
	2,080,000			5.875% due 11/15/05		2,099,989
	2,068,000			5.625% due 5/15/08		2,177,701
	3,300,000			3.250% due 8/15/08		3,259,911
	3,300,000			3.625% due 7/15/09-6/15/10		3,289,972
	6,225,000			5.750% due 8/15/10		6,805,438
	5,700,000			4.125% due 5/15/15		5,785,055
						25,875,478
		TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $34,004,034)				33,848,131

SHARES
COMMON STOCK — 60.4%
CONSUMER DISCRETIONARY — 7.8%
Automobiles — 0.2%
	8,993	General Motors Corp.	305,762
	4,682	Harley-Davidson, Inc.	232,227
			537,989
Hotels, Restaurants & Leisure — 1.0%
	12,759	Applebee’s International, Inc.	337,986
	12,025	Marriott International, Inc., Class A Shares	820,346
	33,062	McDonald’s Corp.	917,470
	6,189	Starbucks Corp.*	319,724
	2,832	Starwood Hotels & Resorts Worldwide, Inc.	165,870
	4,404	Yum! Brands, Inc.	229,360
			2,790,756

See Notes to Financial Statements.

16

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

SHARES		SECURITY	VALUE
Household Durables — 0.7%
	1,352	Black & Decker Corp.	$	121,477
	9,018	Fortune Brands, Inc.		800,799
	7,166	KB HOME		546,264
	7,756	Pulte Homes, Inc.		653,443
				2,121,983
Internet & Catalog Retail — 0.2%
	13,939	eBay, Inc.*		460,126
Leisure Equipment & Products — 0.3%
	15,290	Eastman Kodak Co.		410,537
	20,411	Mattel, Inc.		373,521
				784,058
Media — 2.0%
	34,011	Comcast Corp., Class A Shares*		1,044,138
	7,544	Gannett Co., Inc.		536,605
	28,494	News Corp., Class A Shares		461,033
	7,260	Pixar*		363,363
	97,173	Time Warner, Inc.*		1,623,761
	12,921	Viacom, Inc., Class B Shares		413,730
	49,318	Walt Disney Co.		1,241,827
				5,684,457
Multi-Line Retail — 1.4%
	7,322	Costco Wholesale Corp.		328,172
	4,198	Federated Department Stores, Inc.		307,629
	7,773	Nordstrom, Inc.		528,331
	4,536	Target Corp.		246,804
	53,021	Wal-Mart Stores, Inc.		2,555,612
				3,966,548
Specialty Retail — 1.4%
	1,929	AutoZone, Inc.*		178,355
	15,534	Borders Group, Inc.		393,166
	5,167	GameStop Corp., Class B Shares*		154,493
	34,286	Home Depot, Inc.		1,333,725
	15,717	Limited Brands, Inc.		336,658
	6,416	Lowe’s Cos., Inc.		373,540
	19,415	Office Depot, Inc.*		443,439
	11,949	Staples, Inc.		254,753
	24,000	Toys “R” Us, Inc.*		635,520
				4,103,649

See Notes to Financial Statements.

17

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

SHARES		SECURITY	VALUE
Textiles, Apparel & Luxury Goods — 0.6%
	2,365	Jones Apparel Group, Inc.	$	73,409
	13,040	NIKE, Inc., Class B Shares		1,129,264
	9,777	Reebok International Ltd.		408,972
				1,611,645
		TOTAL CONSUMER DISCRETIONARY		22,061,211
CONSUMER STAPLES — 4.8%
Beverages — 1.3%
	4,150	Brown-Forman Corp., Class B Shares		250,909
	26,965	Coca-Cola Co.		1,125,789
	24,287	Coca-Cola Enterprises, Inc.		534,557
	5,665	Molson Coors Brewing Co., Class B Shares		351,230
	26,082	PepsiCo, Inc.		1,406,602
				3,669,087
Food & Staples Retailing — 0.7%
	21,786	CVS Corp.		633,319
	12,819	SUPERVALU, Inc.		418,027
	18,619	Walgreen Co.		856,288
				1,907,634
Food Products — 0.9%
	38,909	Archer-Daniels-Midland Co.		831,874
	12,638	General Mills, Inc.		591,332
	5,643	Hormel Foods Corp.		165,509
	3,323	Kellogg Co.		147,674
	12,413	Sara Lee Corp.		245,902
	24,467	Smithfield Foods, Inc.*		667,215
				2,649,506
Household Products — 1.0%
	5,385	Colgate-Palmolive Co.		268,765
	8,064	Kimberly-Clark Corp.		504,726
	39,689	Procter & Gamble Co.		2,093,595
				2,867,086
Personal Products — 0.1%
	7,877	Gillette Co.		398,813
Tobacco — 0.8%
	32,372	Altria Group, Inc.		2,093,174
		TOTAL CONSUMER STAPLES		13,585,300

See Notes to Financial Statements.

18

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

SHARES		SECURITY	VALUE
ENERGY — 5.2%
Energy Equipment & Services — 0.7%
	7,851	Baker Hughes, Inc.	$	401,657
	6,627	Halliburton Co.		316,903
	10,905	Schlumberger Ltd.		828,126
	7,171	Transocean, Inc.*		387,019
				1,933,705
Oil, Gas & Consumable Fuels — 4.5%
	4,869	Anadarko Petroleum Corp.		399,988
	14,047	Burlington Resources, Inc.		775,956
	31,626	Chevron Corp.		1,768,526
	22,396	ConocoPhillips		1,287,546
	5,241	Devon Energy Corp.		265,614
	101,234	ExxonMobil Corp.		5,817,918
	6,545	Kerr-McGee Corp.		499,449
	10,410	Marathon Oil Corp.		555,582
	6,274	Occidental Petroleum Corp.		482,659
	2,601	Sunoco, Inc.		295,682
	6,160	Valero Energy Corp.		487,317
				12,636,237
		TOTAL ENERGY		14,569,942
FINANCIALS — 12.3%
Commercial Banks — 3.4%
	76,490	Bank of America Corp.		3,488,709
	10,732	Comerica, Inc.		620,310
	64	First Horizon National Corp.		2,701
	7,034	KeyCorp		233,177
	6,017	Marshall & Ilsley Corp.		267,456
	21,813	National City Corp.		744,259
	22,726	U.S. Bancorp		663,599
	35,543	Wachovia Corp.		1,762,933
	4,369	Washington Mutual, Inc.		177,775
	27,175	Wells Fargo & Co.		1,673,436
				9,634,355
Diversified Financial Services — 5.1%
	23,907	American Express Co.		1,272,570
	11,875	Bear Stearns Cos., Inc.		1,234,287
	13,965	Capital One Financial Corp.		1,117,340
	13,921	CIT Group, Inc.		598,185
	30,762	E*TRADE Financial Corp.*		430,360
	17,834	Fannie Mae		1,041,506
	4,692	Franklin Resources, Inc.		361,190
	11,808	Freddie Mac		770,236
	11,198	Goldman Sachs Group, Inc.		1,142,420
	73,156	JPMorgan Chase & Co.		2,583,870
	9,878	Lehman Brothers Holdings, Inc.		980,688

See Notes to Financial Statements.

19

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

SHARES		SECURITY	VALUE
Diversified Financial Services — 5.1% (continued)
	6,661	MBNA Corp.	$	174,252
	15,637	Merrill Lynch & Co., Inc.		860,191
	19,664	Morgan Stanley		1,031,770
	9,910	Principal Financial Group, Inc.		415,229
	20,490	Providian Financial Corp.*		361,239
				14,375,333
Insurance — 3.5%
	4,729	ACE Ltd.		212,096
	8,569	AFLAC, Inc.		370,866
	21,659	Allstate Corp.		1,294,125
	9,237	Ambac Financial Group, Inc.		644,373
	43,485	American International Group, Inc.		2,526,479
	4,883	Aon Corp.		122,270
	10,315	Chubb Corp.		883,067
	3,415	Hartford Financial Services Group, Inc.		255,374
	2,333	Jefferson-Pilot Corp.		117,630
	3,117	Lincoln National Corp.		146,250
	8,352	Marsh & McLennan Cos., Inc.		231,350
	5,934	MGIC Investment Corp.		387,015
	9,104	Progressive Corp.		899,566
	27,092	Prudential Financial, Inc.		1,778,861
				9,869,322
Thrifts & Mortgages — 0.3%
	17,826	Countrywide Financial Corp.		688,262
		TOTAL FINANCIALS		34,567,272
HEALTH CARE — 8.0%
Biotechnology — 1.0%
	20,822	Amgen, Inc.*		1,258,898
	10,512	Biogen Idec, Inc.*		362,138
	6,606	Genentech, Inc.*		530,330
	16,677	Gilead Sciences, Inc.*		733,621
				2,884,987
Health Care Equipment & Supplies — 0.8%
	3,936	Becton, Dickinson & Co.		206,522
	13,330	Boston Scientific Corp.*		359,910
	19,145	Medtronic, Inc.		991,520
	8,265	Zimmer Holdings, Inc.*		629,545
				2,187,497
Health Care Providers & Services — 2.0%
	8,352	Aetna, Inc.		691,713
	5,621	AmerisourceBergen Corp.		388,692
	2,714	Cardinal Health, Inc.		156,272
	10,134	Caremark Rx, Inc.*		451,166
	6,162	CIGNA Corp.		659,519

See Notes to Financial Statements.

20

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

SHARES		SECURITY	VALUE
Health Care Providers & Services — 2.0% (continued)
	20,446	Humana, Inc.*	$	812,524
	34,908	UnitedHealth Group, Inc.		1,820,103
	8,918	WellPoint, Inc.*		621,049
				5,601,038
Pharmaceuticals — 4.2%
	24,521	Abbott Laboratories		1,201,774
	30,191	Bristol-Myers Squibb Co.		754,171
	14,279	Eli Lilly and Co.		795,483
	1,408	Hospira, Inc.*		54,912
	16,280	IVAX Corp.*		350,020
	46,625	Johnson & Johnson		3,030,625
	4,519	Medco Health Solutions, Inc.*		241,134
	34,546	Merck & Co., Inc.		1,064,017
	116,843	Pfizer, Inc.		3,222,530
	22,947	Schering-Plough Corp.		437,370
	14,856	Wyeth		661,092
				11,813,128
		TOTAL HEALTH CARE		22,486,650
INDUSTRIALS — 7.1%
Aerospace & Defense — 1.3%
	9,566	Boeing Co.		631,356
	8,588	General Dynamics Corp.		940,730
	9,950	Lockheed Martin Corp.		645,456
	13,073	Northrop Grumman Corp.		722,283
	16,136	United Technologies Corp.		828,584
				3,768,409
Air Freight & Logistics — 0.5%
	18,020	United Parcel Service, Inc., Class B Shares		1,246,263
Building Products — 0.1%
	11,766	Masco Corp.		373,688
Commercial Services & Supplies — 0.3%
	17,480	Cendant Corp.		391,028
	4,135	Fiserv, Inc.*		177,598
	11,174	Herman Miller, Inc.		344,606
				913,232
Electrical Equipment — 0.3%
	4,270	Energizer Holdings, Inc.*		265,466
	14,626	Thomas & Betts Corp.*		413,038
				678,504
Industrial Conglomerates — 2.8%
	8,500	3M Co.		614,550
	163,980	General Electric Co.		5,681,907

See Notes to Financial Statements.

21

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

SHARES		SECURITY	VALUE
Industrial Conglomerates — 2.8% (continued)
	13,410	Honeywell International, Inc.	$	491,208
	33,463	Tyco International Ltd.		977,120
				7,764,785
Machinery — 1.4%
	14,624	Danaher Corp.		765,420
	11,650	Deere & Co.		762,959
	3,249	Eaton Corp.		194,615
	9,758	Ingersoll-Rand Co., Ltd., Class A Shares		696,233
	4,380	Oshkosh Truck Corp.		342,867
	11,531	PACCAR, Inc.		784,108
	7,595	Parker Hannifin Corp.		470,966
				4,017,168
Road & Rail — 0.4%
	13,113	Burlington Northern Santa Fe Corp.		617,360
	12,041	CSX Corp.		513,669
				1,131,029
		TOTAL INDUSTRIALS		19,893,078
INFORMATION TECHNOLOGY — 9.4%
Communications Equipment — 2.2%
	106,792	Cisco Systems, Inc.*		2,040,795
	27,725	Comverse Technology, Inc.*		655,696
	31,845	Corning, Inc.*		529,264
	70,005	Motorola, Inc.		1,278,291
	16,657	Polycom, Inc.*		248,356
	23,475	QUALCOMM, Inc.		774,910
	16,788	Scientific-Atlanta, Inc.		558,537
				6,085,849
Computers & Peripherals — 2.5%
	17,297	Apple Computer, Inc.*		636,703
	39,528	Dell, Inc.*		1,561,751
	39,137	EMC Corp.*		536,568
	48,109	Hewlett-Packard Co.		1,131,043
	28,323	International Business Machines Corp.		2,101,567
	2,045	Lexmark International, Inc., Class A Shares*		132,577
	17,483	NCR Corp.*		614,003
	55,652	Sun Microsystems, Inc.*		207,582
				6,921,794
Electronic Equipment & Instruments — 0.3%
	15,466	Jabil Circuit, Inc.*		475,270
	9,536	Waters Corp.*		354,453
				829,723

See Notes to Financial Statements.

22

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

SHARES		SECURITY	VALUE
Internet Software & Services — 0.2%
	20,955	Yahoo!, Inc.*	$	726,091
Semiconductors & Semiconductor Equipment — 1.7%
	28,441	Advanced Micro Devices, Inc.*		493,167
	6,075	Analog Devices, Inc.		226,658
	102,117	Intel Corp.		2,661,169
	3,210	KLA-Tencor Corp.		140,277
	5,030	Maxim Integrated Products, Inc.		192,196
	33,834	Micron Technology, Inc.*		345,445
	31,784	Texas Instruments, Inc.		892,177
				4,951,089
Software — 2.5%
	22,244	Adobe Systems, Inc.		636,623
	22,558	Autodesk, Inc.		775,319
	149,807	Microsoft Corp.		3,721,206
	79,366	Oracle Corp.*		1,047,631
	17,521	Sybase, Inc.*		321,510
	18,270	VERITAS Software Corp.*		445,788
				6,948,077
		TOTAL INFORMATION TECHNOLOGY		26,462,623
MATERIALS — 1.7%
Chemicals — 0.5%
	18,551	Dow Chemical Co.		826,076
	6,923	E.I. du Pont de Nemours and Co.		297,758
	4,104	Monsanto Co.		258,019
				1,381,853
Containers & Packaging — 0.4%
	7,225	Ball Corp.		259,811
	16,819	Pactiv Corp.*		362,954
	8,955	Sealed Air Corp.*		445,869
				1,068,634
Metals & Mining — 0.6%
	16,838	Allegheny Technologies, Inc.		371,446
	6,565	Newmont Mining Corp.		256,232
	10,583	Nucor Corp.		482,796
	5,563	Phelps Dodge Corp.		514,578
				1,625,052
Paper & Forest Products — 0.2%
	5,899	Georgia-Pacific Corp.		187,588
	7,990	International Paper Co.		241,378
	3,404	Weyerhaeuser Co.		216,665
				645,631
		TOTAL MATERIALS		4,721,170

See Notes to Financial Statements.

23

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

SHARES		SECURITY		VALUE
TELECOMMUNICATION SERVICES — 2.0%
Diversified Telecommunication Services — 1.9%
	50,311	AT&T Corp.		$	957,922
	25,199	BellSouth Corp.			669,537
	18,365	CenturyTel, Inc.			635,980
	64,824	SBC Communications, Inc.			1,539,570
	42,976	Verizon Communications, Inc.			1,484,821
					5,287,830
Wireless Telecommunication Services — 0.1%
	10,082	Nextel Communications, Inc., Class A Shares*			325,749
		TOTAL TELECOMMUNICATION SERVICES			5,613,579
UTILITIES — 2.1%
Electric Utilities — 1.6%
	42,990	AES Corp.*			704,176
	21,191	American Electric Power Co., Inc.			781,312
	15,790	Edison International			640,285
	19,117	Exelon Corp.			981,276
	18,020	FirstEnergy Corp.			866,942
	4,503	Public Service Enterprise Group, Inc.			273,872
	9,265	Southern Co.			321,218
					4,569,081
Gas Utilities — 0.1%
	2,149	Kinder Morgan, Inc.			178,797
	4,151	National Fuel Gas Co.			120,005
					298,802
Independent Power Producers & Energy Traders — 0.4%
	15,867	Constellation Energy Group, Inc.			915,367
		TOTAL UTILITIES			5,783,250
		TOTAL COMMON STOCK (Cost — $150,386,111)			169,744,075
CONVERTIBLE PREFERRED STOCK — 2.0%
CONSUMER DISCRETIONARY — 1.4%
Automobiles — 0.7%
	16,000	Ford Motor Co. Capital Trust II, Cumulative Trust Preferred Securities, 6.500%			645,280
		General Motors Corp., Senior Debentures:
	37,000		Series B, 5.250%		686,720
	33,000		Series C, 6.250%		696,300
					2,028,300
Containers & Packaging — 0.1%
	4,000	Amcor Ltd., PRIDESSM, 7.250%			210,500
Household Durables — 0.3%
	21,000	Newell Financial Trust I, Cumulative QUIPSSM, 5.250%			913,500

See Notes to Financial Statements.

24

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

SHARES		SECURITY		VALUE
Media — 0.3%
	10,500	Tribune Co., Subordinated Debentures, PHONESSM, 2.000%		$	897,750
		TOTAL CONSUMER DISCRETIONARY			4,050,050
FINANCIALS — 0.6%
Commercial Banks — 0.3%
		Washington Mutual Capital Trust I:
	3,000		Cumulative, 5.375%		159,000
	13,000		Cumulative, 5.375% (b)		688,818
					847,818
Diversified Financial Services — 0.2%
	10,000	CalEnergy Capital Trust II, Trust Preferred Securities, 6.250%			490,000
Real Estate — 0.1%
	7,000	Equity Office Properties Trust, Series B, 5.250%			358,610
		TOTAL FINANCIALS			1,696,428
		TOTAL CONVERTIBLE PREFERRED STOCK (Cost — $6,028,467)			5,746,478
		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $250,273,025)			274,268,077

FACE
AMOUNT
SHORT-TERM INVESTMENT — 1.9%
Repurchase Agreement — 1.9%
$	5,314,000	State Street Bank & Trust Co., dated 6/30/05, 2.550% due 7/1/05; Proceeds at maturity — $5,314,376; (Fully collateralized by U.S. Treasury Bond, 7.125% due 2/15/23; Market value — $5,425,112) (Cost — $5,314,000)		5,314,000
		TOTAL INVESTMENTS — 99.5% (Cost — $255,587,025#)		279,582,077
		Other Assets in Excess of Liabilities — 0.5%		1,504,696
		TOTAL NET ASSETS — 100.0%	$	281,086,773

See Notes to Financial Statements.

25

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Managed Assets Trust

‡	All ratings are by Standard & Poor’s Ratings Service, unless otherwise footnoted.
*	Non-income producing security.
(a)	Variable rate securities. Coupon rates disclosed are those which are in effect at June 30, 2005. Maturity date shown is the date of the next coupon rate reset or actual maturity.
(b)	Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.
(c)	Rating by Moody’s Investors Service.
#	Aggregate cost for Federal income tax purposes is substantially the same.

Abbreviations used in this schedule:

FHLMC	—	Federal Home Loan Mortgage Corporation
FNMA	—	Federal National Mortgage Association
GNMA	—	Government National Mortgage Association
LYOTM Ns	—	Liquid Yield OptionTM Notes — Trademark of Merrill Lynch & Co. Inc.
PHONES SM	—	Participation Hybrid Option Note Exchangeable Securities SM — Service Mark of Merrill Lynch & Co. Inc.
PRIDES SM	—	Perpetual Redeemable Income Debt, Exchangeable for Stock SM — Service Mark of Merrill Lynch & Co. Inc.
QUIPSSM	—	Quarterly Income Preferred SecuritiesSM — Service Mark of Goldman Sachs & Co.

See pages 42 and 43 for definitions of ratings.

See Notes to Financial Statements.

26

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

FACE
AMOUNT†		RATING‡	SECURITY	VALUE
CORPORATE BONDS & NOTES — 85.3%
Aerospace/Defense — 0.5%
$	75,000	B	Argo-Tech Corp., Senior Notes, 9.250% due 6/1/11	$	81,750
	475,000	B-	BE Aerospace, Inc., Senior Subordinated Notes, Series B, 8.875% due 5/1/11		498,750
					580,500
Airlines — 0.1%
	150,000	BB+	JetBlue Airways Corp., Pass Through Certificates, Series 2004-2C, 6.368% due 11/15/08 (a)		150,308
Apparel — 0.2%
	225,000	B-	Broder Brothers, Senior Notes, Series B, 11.250% due 10/15/10		228,375
Auto Parts & Equipment — 1.9%
	475,000	B-	Accuride Corp., 8.500% due 2/1/15		466,687
	175,000	B	Cooper-Standard Automotive Inc., 7.000% due 12/15/12		159,250
	550,000	B-	Dura Operating Corp., Series B, 8.625% due 4/15/12		497,750
	925,000	B-	Goodyear Tire & Rubber Co., Notes, 7.857% due 8/15/11		904,187
	275,000	CCC+	Metaldyne Corp., 11.000% due 6/15/12		179,438
					2,207,312
Building Materials — 0.9%
	250,000	NR	Armstrong World Industries, Inc., Senior Notes, 6.500% due 8/15/05 (b)		192,500
			Goodman Global Holding Co., Inc.:
	125,000	B-	Senior Notes, 6.410% due 6/15/12 (a)(c)		123,750
	290,000	B-	Senior Subordinated Notes, 7.875% due 12/15/12 (c)		269,700
	275,000	CCC+	Nortek, Inc., Senior Subordinated Notes, 8.500% due 9/1/14		257,125
	225,000	B-	Ply Gem Industries, Inc., Senior Subordinated Notes, 9.000% due 2/15/12		191,250
					1,034,325
Chemicals — 7.0%
	163,000	B-	Crystal U.S. Holdings 3 LLC, Senior Discount Notes, Series B, step bond to yield 10.235% due 10/1/14		114,100
	1,090,000	BBB-	Georgia Gulf Corp., Secured Notes, 7.625% due 11/15/05		1,106,350
			Huntsman International LLC:
	450,000	B+	Senior Notes, 9.875% due 3/1/09		483,750
	289,000	B	Senior Subordinated Notes, 10.125% due 7/1/09		298,754
	53,000	BB	IMC Global, Inc., Series B, 10.875% due 6/1/08		59,890
	100,000	CCC+	Innophos, Inc., Senior Subordinated Notes, 8.875% due 8/15/14 (c)		102,500
			Lyondell Chemical Co.:
	90,000	BB-	Senior Secured Notes, Series B, 9.875% due 5/1/07		92,700
	1,325,000	B	Senior Subordinated Notes, 10.875% due 5/1/09		1,381,312
			Millennium America, Inc., Senior Notes:
	1,175,000	BB-	7.000% due 11/15/06		1,207,312
	603,000	BB-	9.250% due 6/15/08		655,762
			Nalco Co.:
	75,000	B-	Senior Notes, 7.750% due 11/15/11		80,250
	125,000	B-	Senior Subordinated Notes, 8.875% due 11/15/13		134,688
	125,000	BB+	NOVA Chemicals Corp., Senior Notes, 6.500% due 1/15/12		121,875

See Notes to Financial Statements.

27

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

FACE
AMOUNT†			RATING‡	SECURITY	VALUE
Chemicals — 7.0% (continued)
				PolyOne Corp., Senior Notes:
$	200,000		B+	10.625% due 5/15/10	$	212,500
	175,000		B+	8.875% due 5/1/12		173,687
	325,000		B+	Resolution Performance Products LLC, Secured Notes, 8.000% due 12/15/09		339,625
	325,000		B-	Resolution Performance Products LLC/ RPP Capital Corp., Secured Notes, 9.500% due 4/15/10		336,375
				Rhodia SA:
	950,000		CCC+	Senior Notes, 7.625% due 6/1/10		926,250
	175,000		CCC+	Senior Subordinated Notes, 8.875% due 6/1/11		169,313
	50,000	EUR	B-	Rockwood Specialties Group, Inc., Subordinated Notes, 7.625% due 11/15/14 (c)		61,249
						8,058,242
Commercial Services — 3.5%
	850,000		B	Alderwoods Group, Inc., Senior Notes, 7.750% due 9/15/12 (c)		906,312
	125,000		B-	Carriage Services, Inc., Notes, 7.875% due 1/15/15 (c)		132,500
	150,000		BB-	NationsRent, Inc., Secured Notes, 9.500% due 10/15/10		164,250
	1,500,000		BB-	United Rentals North America, Inc., Senior Notes, 6.500% due 2/15/12		1,483,125
				Williams Scotsman, Inc.:
	1,075,000		B-	Senior Notes, 9.875% due 6/1/07		1,080,375
	200,000		B	Senior Secured Notes, 10.000% due 8/15/08		221,026
						3,987,588
Computers — 0.5%
	525,000		BB+	Unisys Corp., Senior Notes, 8.125% due 6/1/06		539,438
Diversified Financial Services — 5.2%
	50,000		B-	AAC Group Holding Corp., Senior Discount Notes, step bond to yield 11.167% due 10/1/12 (c)		34,000
	574,000		CCC+	Alamosa Delaware, Inc., Senior Discount Notes, step bond to yield 11.101% due 7/31/09		635,705
	439,000		B-	Crystal U.S. Holdings Corp., Senior Subordinated Notes, 9.625% due 6/15/14		493,875
	350,000		B-	Harvest Operations Corp., Senior Notes, 7.875% due 10/15/11		335,125
	4,196,231		BB-	Targeted Return Index Sector, TRAINS HY-2004-1, Senior Secured Notes, 8.211% due 8/1/15 (a)(c)		4,439,898
						5,938,603
Electric — 1.3%
				Allegheny Energy Supply Statutory Trust:
	158,293		BB	Secured Notes, Series A, 10.250% due 11/15/07 (c)		174,914
	16,706		BB	Secured Notes, Series B, 13.000% due 11/15/07 (c)		18,523
	375,000		B	Calpine Generating Co. LLC, Secured Notes, 7.090% due 4/1/09 (a)		380,625
				Reliant Energy, Inc.:
				Secured Notes:
	150,000		B+	9.250% due 7/15/10		164,250
	425,000		B+	9.500% due 7/15/13		473,875
	300,000		B+	Senior Secured Notes, 6.750% due 12/15/14		294,750
						1,506,937

See Notes to Financial Statements.

28

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

FACE
AMOUNT†		RATING‡	SECURITY		VALUE
Electronics — 0.3%
$	150,000	B	Sanmina-SCI Corp., 6.750% due 3/1/13		$	143,625
	175,000	BBB-	Thomas & Betts Corp., Senior Notes, 7.250% due 6/1/13			192,765
						336,390
Entertainment — 2.0%
			AMC Entertainment, Inc.:
	225,000	B-	7.518% due 8/15/10 (a)			233,719
			Senior Subordinated Notes:
	360,000	CCC+	9.500% due 2/1/11			355,050
	250,000	CCC+	8.000% due 3/1/14			223,125
	175,000	B-	Series B, 8.625% due 8/15/12			180,250
	250,000	B+	Argosy Gaming Co., Senior Subordinated Notes, 7.000% due 1/15/14			276,562
	325,000	B-	Cinemark, Inc., Senior Discount Notes, step bond to yield 9.739% due 3/15/14			217,750
	550,000	B	Isle of Capri Casinos, Inc., Senior Subordinated Notes, 7.000% due 3/1/14			555,500
	175,000	B+	Mohegan Tribal Gaming Authority, Senior Subordinated Notes, 7.125% due 8/15/14			184,188
	100,000	B+	Steinway Musical Instruments, Inc., Senior Notes, 8.750% due 4/15/11			105,250
						2,331,394
Environmental Control — 1.0%
	25,000	B-	Aleris International, Inc., Senior Secured Notes, 9.000% due 11/15/14			26,000
			Allied Waste North America, Inc.:	��
			Secured Notes:
	825,000	BB-	6.500% due 11/15/10			816,750
	225,000	BB-	6.125% due 2/15/14			210,094
	83,000	BB-	Series B, Senior Secured Notes, 9.250% due 9/1/12			90,055
						1,142,899
Food — 3.0%
	300,000	B	B&G Foods, Inc., Senior Notes, 8.000% due 10/1/11			311,625
	125,000	B	Del Monte Corp., Senior Subordinated Notes, 6.750% due 2/15/15 (c)			128,125
	425,000	BB+	Delhaize America, Inc., 9.000% due 4/15/31			532,729
	19,000	B+	Dole Food Co., Inc., Senior Notes, 8.875% due 3/15/11			20,378
			Great Atlantic & Pacific Tea Company, Inc.:
	725,000	B-	Notes, 7.750% due 4/15/07			744,937
	250,000	B-	Senior Notes, 9.125% due 12/15/11			264,375
	50,000	B	Land O’ Lakes, Inc., Senior Secured Notes, 9.000% due 12/15/10			54,125
	375,000	B	Roundy’s, Inc., Senior Subordinated Notes, Series B, 8.875% due 6/15/12			388,125
	475,000	BB	Smithfield Foods, Inc., Senior Notes, 7.000% due 8/1/11			502,312
	275,000	BB-	Stater Brothers Holdings, Inc., Senior Notes, 8.125% due 6/15/12			269,500
	50,000	B+	Swift & Co., Senior Notes, 10.125% due 10/1/09			54,750
	150,000	B+	Wornick Co., Secured Notes, 10.875% due 7/15/11			153,000
						3,423,981
Forest Products & Paper — 2.3%
	50,000	B+	Boise Cascade LLC, Senior Notes, 6.016% due 10/15/12 (a)(c)			50,750
	750,000	BB+	Fort James Corp., Senior Notes, 6.875% due 9/15/07			783,750
	300,000	BB+	Georgia-Pacific Corp., Senior Notes, 9.375% due 2/1/13			340,875
	50,000	B+	Neenah Paper, Inc., Senior Notes, 7.375% due 11/15/14 (c)			48,750

See Notes to Financial Statements.

29

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

FACE
AMOUNT†		RATING‡	SECURITY	VALUE
Forest Products & Paper — 2.3% (continued)
$	75,000	BB-	Norske Skog Canada Ltd., Senior Notes, 7.375% due 3/1/14	$	73,875
	175,000	BB-	Sino-Forest Corp., Senior Notes, 9.125% due 8/17/11 (c)		192,062
	1,600,000	B	Tembec Industries, Inc., Senior Notes, 7.750% due 3/15/12		1,184,000
					2,674,062
Health Care – Services — 3.0%
	150,000	B	Community Health Systems, Inc., Senior Subordinated Notes, 6.500% due 12/15/12		153,375
			HEALTHSOUTH Corp.:
	550,000	NR	Notes, 7.625% due 6/1/12		536,250
	100,000	NR	Senior Notes, 7.000% due 6/15/08		101,000
	525,000	B	Radiologix, Inc., Senior Notes, Series B, 10.500% due 12/15/08		553,875
	425,000	B-	Select Medical Corp., Senior Subordinated Notes, 7.625% due 2/1/15 (c)		422,875
			Tenet Healthcare Corp., Senior Notes:
	275,000	B	7.375% due 2/1/13		272,937
	1,650,000	B	6.875% due 11/15/31		1,394,250
					3,434,562
Home Builders — 3.5%
	1,175,000	BB+	D.R. Horton, Inc., Notes, 6.125% due 1/15/14		1,221,092
	1,150,000	B+	K Hovnanian Enterprises, Inc., 6.000% due 1/15/10		1,137,062
			KB HOME, Senior Subordinated Notes:
	125,000	BB-	8.625% due 12/15/08		136,140
	325,000	BB-	9.500% due 2/15/11		349,213
	425,000	BB+	6.375% due 8/15/11		444,403
			William Lyon Homes, Inc., Senior Notes:
	300,000	B	7.625% due 12/15/12		288,000
	350,000	B	10.750% due 4/1/13		381,500
					3,957,410
Home Furnishings — 0.5%
	75,000	B-	Norcraft Holdings LP/ Norcraft Capital Corp., Senior Discount Notes, step bond to yield 9.740% due 9/1/12		52,125
	475,000	B-	Sealy Mattress Co., Senior Subordinated Notes, 8.250% due 6/15/14		482,125
					534,250
Household Products/Wares — 1.4%
	75,000	B-	American Achievement Corp., Senior Subordinated Notes, 8.250% due 4/1/12		75,750
	125,000	B+	Church & Dwight Co., Inc., Senior Subordinated Notes, 6.000% due 12/15/12 (c)		126,875
	150,000	CCC-	Home Products International, Inc., Senior Subordinated Notes, 9.625% due 5/15/08		132,000
	525,000	CCC+	Playtex Products, Inc., Senior Subordinated Notes, 9.375% due 6/1/11		555,188
	775,000	B-	Spectrum Brands, Inc., Senior Subordinated Notes, 7.375% due 2/1/15 (c)		753,687
					1,643,500
Iron-Steel — 2.0%
	1,475,000	B+	AK Steel Corp., Senior Notes, 7.750% due 6/15/12 (d)		1,253,750
	300,000	BB	IPSCO, Inc., Senior Notes, 8.750% due 6/1/13		336,375

See Notes to Financial Statements.

30

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

FACE
AMOUNT†		RATING‡	SECURITY	VALUE
Iron-Steel — 2.0% (continued)
$	175,000	BB	Steel Dynamics, Inc., Secured Notes, 9.500% due 3/15/09	$	186,812
	504,000	BB	United States Steel LLC, Senior Notes, 10.750% due 8/1/08		561,960
					2,338,897
Leisure Time — 1.4%
	450,000	CCC	Bally Total Fitness Holding Corp., Senior Notes, 10.500% due 7/15/11		451,687
	1,050,000	BB+	Royal Caribbean Cruises Ltd., Senior Debentures, 7.500% due 10/15/27		1,155,000
					1,606,687
Lodging — 6.4%
	250,000	B+	Aztar Corp., Senior Subordinated Notes, 7.875% due 6/15/14		265,625
	725,000	B+	Boyd Gaming Corp., Senior Subordinated Notes, 6.750% due 4/15/14		746,750
			Caesars Entertainment, Inc., Senior Subordinated Notes:
	800,000	BB+	7.875% due 3/15/10		900,000
	325,000	BB+	Series A, 7.875% due 12/15/05		330,687
	550,000	BB+	Harrah’s Operating Co., Inc., Senior Subordinated Notes, 7.875% due 12/15/05		559,625
	71,000	B+	HMH Properties, Inc., Senior Secured Notes, Series B, 7.875% due 8/1/08		72,420
	650,000	BB+	ITT Corp., Notes, 6.750% due 11/15/05		657,312
	100,000	B	Kerzner International Ltd., Senior Subordinated Notes, 8.875% due 8/15/11		107,500
	53,197	B+	Mandalay Resort Group, Senior Subordinated Notes, 9.375% due 2/15/10		59,714
			MGM MIRAGE, Inc.:
	750,000	BB	Senior Notes, 6.750% due 9/1/12		776,250
	375,000	B+	Senior Subordinated Notes, 8.375% due 2/1/11		410,625
	525,000	B	Resorts International Hotel & Casino, Inc., Senior Notes, 11.500% due 3/15/09		600,469
			Station Casinos, Inc.:
	850,000	BB-	Senior Notes, 6.000% due 4/1/12		867,000
	175,000	B+	Senior Subordinated Notes, 6.500% due 2/1/14		179,375
	800,000	B+	Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp., First Mortgage, 6.625% due 12/1/14 (c)		782,000
					7,315,352
Machinery – Diversified — 0.6%
	375,000	BB-	Case New Holland, Inc., Senior Notes, 9.250% due 8/1/11		395,625
	225,000	B-	Dresser-Rand Group, Inc., Senior Subordinated Notes, 7.375% due 11/1/14 (c)		235,125
					630,750
Media — 8.1%
	725,000	NR	Adelphia Communications Corp., Senior Notes, Series B, 8.375% due 2/1/08 (b)		634,375
	200,000	BBB-	AMFM, Inc., Senior Notes, 8.000% due 11/1/08		215,190
			CCO Holdings LLC/ CCO Holdings Capital Corp., Senior Notes:
	300,000	CCC-	7.535% due 12/15/10 (a)(c)		293,250
	75,000	CCC-	8.750% due 11/15/13		74,250
	75,000	NR	Century Communications Corp., Senior Notes, 9.500% due 3/1/49		77,625
	500,000	CCC-	Charter Communications Holdings LLC, Senior Discount Notes, 9.920% due 4/1/11		367,500
	300,000	B-	Charter Communications Holdings LLC/ Charter Communications Holdings Capital Corp., Senior Notes, 8.375% due 4/30/14 (c)		300,000
	1,200,000	BB-	CSC Holdings, Inc., Senior Notes, Series B, 7.625% due 4/1/11		1,191,000

See Notes to Financial Statements.

31

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

FACE
AMOUNT†			RATING‡	SECURITY	VALUE
Media — 8.1% (continued)
				Dex Media, Inc.:
$	575,000		B	Discount Notes, step bond to yield 8.628% due 11/15/13	$	465,750
	625,000		B	Notes, 8.000% due 11/15/13		667,187
	81,000		BB-	DirecTV Holdings LLC/ DirecTV Financing Co., Senior Notes, 8.375% due 3/15/13		90,113
	100,000		NR	Frontiervision Holdings LP, Senior Discount Notes, 11.875% due 9/15/07 (b)		138,000
				Houghton Mifflin Co.:
	1,125,000		BB-	Notes, 7.200% due 3/15/11		1,154,531
	175,000		B-	Senior Notes, 8.250% due 2/1/11		182,438
	1,025,000		B	Mediacom LLC/ Mediacom Capital Corp., Senior Notes, 9.500% due 1/15/13		1,027,562
	550,000		B	PRIMEDIA, Inc., Senior Notes, 8.875% due 5/15/11		578,875
	75,000		BB+	Rogers Cable, Inc., Senior Secured Second Priority Notes, 6.750% due 3/15/15		76,875
	375,000		BB+	Shaw Communications, Inc., Senior Notes, 7.250% due 4/6/11		409,688
	1,000,000		B	Sinclair Broadcast Group, Inc., Senior Subordinated Notes, 8.000% due 3/15/12		1,030,000
	175,000	EUR	B-	Telenet Communications NV, Senior Notes, 9.000% due 12/15/13 (c)		240,836
						9,215,045
Metal Fabricate – Hardware — 0.2%
	75,000		B	Hawk Corp., Senior Notes, 8.750% due 11/1/14		76,500
	125,000		NR	Intermet Corp., 9.750% due 6/15/09 (b)		54,688
	100,000		B	Wolverine Tube, Inc., Senior Notes, 10.500% due 4/1/09		95,500
						226,688
Mining — 0.7%
	775,000		B	USEC, Inc., Senior Notes, 6.625% due 1/20/06		771,125
Miscellaneous Manufacturing — 1.1%
	275,000		CCC-	BGF Industries, Inc., Senior Subordinated Notes, Series B, 10.250% due 1/15/09		281,188
	250,000		CCC+	Foamex LP, Senior Subordinated Notes, 13.500% due 8/15/05		213,750
	350,000		B-	Hexcel Corp., Senior Subordinated Notes, 6.750% due 2/1/15		351,750
	325,000		CCC+	MAXX Corp., Senior Subordinated Notes, 9.750% due 6/15/12		288,437
	175,000		CCC+	MAXX Holdings, Inc., Senior Discount Notes, step bond to yield 11.254% due 12/15/12 (c)		77,000
						1,212,125
Office/Business Equipment — 0.4%
	525,000		B	Danka Business Systems PLC, Senior Notes, 11.000% due 6/15/10		422,625
Oil & Gas — 2.1%
	275,000		B-	Belden & Blake Corp., Secured Notes, 8.750% due 7/15/12		270,875
	62,930		B-	El Paso CGP Co., Senior Debentures, 6.700% due 2/15/27		63,765
	650,000		B	El Paso Production Holding Co., Senior Notes, 7.750% due 6/1/13		697,125
	50,000		BBB-	Evergreen Resources, Inc., Senior Notes, 5.875% due 3/15/12		49,746
	150,000		BB-	Forest Oil Corp., Senior Notes, 8.000% due 12/15/11		166,125
	225,000		BB-	Newfield Exploration Co., Senior Subordinated Notes, 6.625% due 9/1/14		236,813
	325,000		BB	Pogo Producing Co., Senior Subordinated Notes, Series B, 8.250% due 4/15/11		346,937
	125,000		BB-	Pride International, Inc., Senior Notes, 7.375% due 7/15/14		137,813

See Notes to Financial Statements.

32

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

FACE
AMOUNT†			RATING‡	SECURITY	VALUE
Oil & Gas — 2.1% (continued)
				Tesoro Corp.:
$	125,000		BBB-	Secured Notes, 8.000% due 4/15/08	$	132,500
	225,000		BB-	Senior Subordinated Notes, 9.625% due 4/1/12		250,031
						2,351,730
Oil & Gas Services — 0.5%
				Key Energy Services, Inc.:
	100,000		B-	Senior Notes, 6.375% due 5/1/13		101,000
	300,000		B-	Senior Notes, Series C, 8.375% due 3/1/08		311,250
	175,000		B-	Seitel, Inc., Senior Notes, 11.750% due 7/15/11		192,500
						604,750
Packaging & Containers — 3.8%
	850,000		B	Crown Cork & Seal Co., Inc., Debentures, 7.375% due 12/15/26		784,125
	75,000		B	Crown Cork & Seal Finance PLC, 7.000% due 12/15/06		77,250
				Crown European Holdings SA:
	300,000	EUR	BB	6.250% due 9/1/11		383,825
	150,000		B	Senior Secured Notes, 10.875% due 3/1/13		177,000
	350,000		B	Jefferson Smurfit Corp., Senior Notes, 8.250% due 10/1/12		353,500
				Owens-Brockway Glass Container, Inc.:
	225,000		B	6.750% due 12/1/14		228,656
	575,000		BB-	Secured Notes, 8.875% due 2/15/09		613,813
	300,000		BB-	Senior Secured Notes, 7.750% due 5/15/11		320,250
	1,000,000		B	Smurfit-Stone Container Enterprises, Inc., Senior Notes, 8.375% due 7/1/12		1,015,000
	400,000		B-	Solo Cup Co., Senior Subordinated Notes, 8.500% due 2/15/14		376,000
						4,329,419
Pharmaceuticals — 0.1%
	175,000		CCC+	Warner Chilcott Corp., 8.750% due 2/1/15 (c)		171,063
Pipelines — 2.6%
				Dynegy Holdings, Inc.:
	400,000		CCC+	Senior Debentures, 7.125% due 5/15/18		383,000
	325,000		B-	Senior Secured Notes, 10.125% due 7/15/13 (c)		368,875
	275,000		B-	Sonat, Inc., Notes, 6.625% due 2/1/08		272,250
	575,000		B	Southern Natural Gas Co., Notes, 7.350% due 2/15/31		614,550
	375,000		B+	Transcontinental Gas Pipe Line Corp., Senior Notes, Series B, 8.875% due 7/15/12		448,125
	850,000		B+	Williams Cos., Inc., Notes, 7.125% due 9/1/11		922,250
						3,009,050
REITs — 1.2%
	200,000		B-	Felcor Lodging LP, Senior Notes, 9.000% due 6/1/11		219,500
				Host Marriott LP:
	100,000		B+	Senior Notes, 7.125% due 11/1/13		104,750
	100,000		B+	Senior Notes, Series M, 7.000% due 8/15/12		104,250
	75,000		BB-	La Quinta Properties, Inc., Senior Notes, 7.000% due 8/15/12		77,906

See Notes to Financial Statements.

33

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

FACE
AMOUNT†		RATING‡	SECURITY	VALUE
REITs — 1.2% (continued)
			MeriStar Hospitality Corp., Senior Notes:
$	125,000	CCC+	9.000% due 1/15/08	$	131,250
	725,000	CCC+	9.125% due 1/15/11		764,875
					1,402,531
Retail — 2.9%
	100,000	B	Blockbuster, Inc., Senior Subordinated Notes, 9.000% due 9/1/12 (c)		94,000
	500,000	CCC+	Denny’s Corp., Senior Notes, 1.000% due 9/21/10 (c)		515,000
	175,000	CCC+	Duane Reade, Inc., Secured Notes, 7.910% due 12/15/10 (a)(c)		171,500
	175,000	B-	El Pollo Loco, Inc., Secured Notes, 9.250% due 12/15/09		183,750
	325,000	B-	Friendly Ice Cream Corp., Senior Notes, 8.375% due 6/15/12		316,875
	380,000	BB+	J.C. Penney Co., Inc., Debentures, 8.125% due 4/1/27		402,800
	100,000	B	Jean Coutu Group (PJC) Inc., Senior Notes, 7.625% due 8/1/12		103,750
	275,000	B	Jean Coutu Group (PJC) Inc., Senior Subordinated Notes, 8.500% due 8/1/14		272,937
	250,000	B-	Pantry, Inc., Senior Subordinated Notes, 7.750% due 2/15/14		256,250
	250,000	B+	Rite Aid Corp., Senior Secured Second Lien Notes, 8.125% due 5/1/10		258,750
	700,000	CCC+	Saks, Inc., Senior Notes, 7.500% due 12/1/10		703,500
					3,279,112
Semiconductors — 0.8%
			Amkor Technology, Inc., Senior Notes:
	500,000	B-	7.125% due 3/15/11		435,000
	100,000	B-	7.750% due 5/15/13		86,500
	375,000	BB+	Freescale Semiconductor, Inc., Senior Notes, 5.891% due 7/15/09 (a)		391,406
					912,906
Telecommunications — 11.1%
	300,000	CCC+	American Tower Escrow Corp., Discount Notes, zero coupon bond to yield 10.240% due 8/1/08		231,750
	402,000	BB+	AT&T Corp., Senior Notes, 8.050% due 11/15/11		465,315
	87,879	Caa2 (e)	Calpoint Receivable Structured Trust, Notes, 7.440% due 12/10/06 (c)		88,758
	700,000	CCC	Centennial Communications Corp./ Cellular Operating Co. LLC, Senior Notes, 10.125% due 6/15/13		794,500
			Cincinnati Bell, Inc.:
	650,000	B-	Senior Notes, 7.000% due 2/15/15 (c)		638,625
			Senior Subordinated Notes:
	650,000	B-	8.375% due 1/15/14		669,500
	375,000	B-	8.375% due 1/15/14 (c)		386,250
	500,000	BB+	Citizens Communications Co., Senior Notes, 6.250% due 1/15/13		486,250
	275,000	B-	Dobson Cellular Systems, Secured Notes, 8.375% due 11/1/11 (c)		290,125
	100,000	CCC+	Inmarsat Finance II PLC, step bond to yield 10.372% due 11/15/12		79,000
	725,000	B	Insight Midwest LP/ Insight Capital, Inc., Senior Notes, 9.750% due 10/1/09		754,782
			Intelsat Bermuda Ltd., Senior Notes:
	175,000	B+	7.805% due 1/15/12 (a)(c)		178,938
	675,000	B+	8.250% due 1/15/13 (c)		700,312
			IWO Holdings, Inc.:
	100,000	CCC+	Secured Notes, 6.891% due 1/15/12 (a)(c)		99,750
	400,000	CCC-	Senior Discount Notes, step bond to yield 10.265% due 1/15/15 (c)		264,000

See Notes to Financial Statements.

34

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

FACE
AMOUNT†			RATING‡	SECURITY	VALUE
Telecommunications — 11.1% (continued)
$	1,325,000		B	Lucent Technologies, Inc., Debentures, 6.450% due 3/15/29	$	1,192,500
				MCI, Inc., Senior Notes:
	951,000		B+	6.908% due 5/1/07 (a)		966,454
	176,000		B+	7.688% due 5/1/09 (a)		183,700
	225,000		B+	8.735% due 5/1/14 (a)		252,844
	650,000		BB	Nextel Communications, Inc., Senior Notes, 5.950% due 3/15/14		678,437
	175,000	EUR	B-	NTL Cable PLC, 8.750% due 4/15/14		223,898
	325,000		B+	PanAmSat Corp., Senior Notes, 9.000% due 8/15/14		356,281
	125,000		B	Qwest Capital Funding, Inc., 6.250% due 7/15/05		125,000
	550,000		BB-	Qwest Corp., Senior Notes, 7.875% due 9/1/11 (c)		576,125
	150,000		B	Qwest Services Corp., Secured Notes, 13.500% due 12/15/10		174,000
				Rogers Wireless Communications, Inc.:
	475,000		BB	Secured Notes, 7.250% due 12/15/12		515,375
	450,000		B+	Senior Subordinated Notes, 8.000% due 12/15/12		487,125
	700,000		B-	Rural Cellular Corp., Secured Notes, 8.250% due 3/15/12		735,000
	124,000		B-	Syniverse Technologies, Inc., Senior Subordinated Notes, Series B, 12.750% due 2/1/09		138,105
						12,732,699
Textiles — 0.5%
	275,000		B+	INVISTA, Notes, 9.250% due 5/1/12 (c)		301,813
				Simmons Co.:
	175,000		B-	Senior Discount Notes, step bond to yield 10.002% due 12/15/14 (c)		79,625
	250,000		B-	Senior Subordinated Notes, 7.875% due 1/15/14		216,250
						597,688
Transportation — 0.7%
	200,000		B	CHC Helicopter Corp., Senior Subordinated Notes, 7.375% due 5/1/14		200,500
	475,000		B+	Grupo Transportacion Ferroviaria Mexicana, SA de CV, Senior Notes, 12.500% due 6/15/12		558,125
						758,625
				TOTAL CORPORATE BONDS & NOTES (Cost — $94,229,949)		97,598,943

SHARES
COMMON STOCK — 0.7%
CONSUMER DISCRETIONARY — 0.0%
Media — 0.0%
	1,057	Classic Holdco LLC (f)(g)*	34,500
INDUSTRIALS — 0.0%
Air Freight & Logistics — 0.0%
	41	Atlas Air Worldwide Holdings Inc.*	1,332

See Notes to Financial Statements.

35

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

SHARES		SECURITY	VALUE
TELECOMMUNICATION SERVICES — 0.2%
Diversified Telecommunication Services — 0.1%
	5,159	MCI, Inc.	$	132,638
Wireless Telecommunication Services — 0.1%
	19,195	Dobson Communications Corp., Class A Shares*		81,771
	1,240	Horizon PCS Inc., Class A Shares*		31,620
				113,391
		TOTAL TELECOMMUNICATION SERVICES		246,029
UTILITIES — 0.5%
Electric Utilities — 0.5%
	17,382	NorthWestern Corp.		547,881
		TOTAL COMMON STOCK (Cost — $986,159)		829,742
PREFERRED STOCK — 0.1%
CONSUMER DISCRETIONARY — 0.1%
Media — 0.1%
	100	Granite Broadcasting Corp., Cumulative Exchangeable*, 12.750%		30,750
	11	Paxson Communications Corp., Cumulative Jr. Exchangeable*, 14.250%		70,978
		TOTAL PREFERRED STOCK (Cost — $179,706)		101,728
CONVERTIBLE PREFERRED STOCK — 0.3%
CONSUMER DISCRETIONARY — 0.0%
Auto Components — 0.0%
	40	HLI Operating Co., Inc., Cumulative Exchangeable, Series A, 8.000%		1,940
TELECOMMUNICATION SERVICES — 0.3%
Communications Equipment — 0.0%
	400	Dobson Communications Corp., Cumulative Exchangeable, Series F, 6.000% (c)(g)		50,200
Wireless Telecommunication Services — 0.3%
	284	Alamosa Holdings, Inc., Cumulative Exchangeable, Series B, 7.500%		293,194
		TOTAL TELECOMMUNICATION SERVICES		343,394
		TOTAL CONVERTIBLE PREFERRED STOCK (Cost — $163,181)		345,334
WARRANTS
WARRANTS — 0.0% (e)(g)
Diversified Telecommunication Services — 0.0%
	275	Horizon PCS, Inc., expires 10/1/10*		0
Electronic Equipment & Instruments — 0.0%
	9,411	Viasystems Group, Inc., expires 1/31/10*		0
		TOTAL WARRANTS (Cost — $147,600)		0
		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $95,706,595)		98,875,747

See Notes to Financial Statements.

36

 Schedules of Investments (unaudited) (continued) June 30, 2005 

High Yield Bond Trust

FACE
AMOUNT		SECURITY	VALUE
SHORT-TERM INVESTMENT — 12.1%
Repurchase Agreement — 12.1%
$	13,803,000	State Street Bank & Trust Co., dated 6/30/05, 2.550% due 7/1/05; Proceeds at maturity — $13,803,978; (Fully collateralized by U.S. Treasury Bond, 7.125% due 2/15/23; Market value — $14,084,689) (Cost — $13,803,000)	$	13,803,000
		TOTAL INVESTMENTS — 98.5% (Cost — $109,509,595#)		112,678,747
		Other Assets in Excess of Liabilities — 1.5%		1,754,396
		TOTAL NET ASSETS — 100.0%	$	114,433,143

†	Face amount denominated in U.S. dollars, unless otherwise indicated.
‡	All ratings are by Standard & Poor’s Ratings Service, unless otherwise footnoted.
*	Non-income producing security.
(a)	Variable rate securities. Coupon rates disclosed are those which are in effect at June 30, 2005. Maturity date shown is the date of the next coupon rate reset or actual maturity.
(b)	Security is currently in default.
(c)	Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.
(d)	All or a portion of this security is held as collateral for open forward foreign currency contracts.

(e)	Rating by Moody’s Investors Service.
(f)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(g) Illiquid security.

# Aggregate cost for Federal income tax purposes is substantially the same.

See pages 42 and 43 for definitions of ratings.

See Notes to Financial Statements.

37

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Capital Appreciation Fund

SHARES	SECURITY	VALUE
COMMON STOCK — 90.4%
CONSUMER DISCRETIONARY — 21.2%
Internet & Catalog Retail — 3.4%
1,077,870	eBay, Inc.*	$	35,580,488
Media — 5.0%
1,568,785	XM Satellite Radio Holdings, Inc., Class A Shares*		52,805,303
Multi-Line Retail — 2.5%
232,800	J.C. Penney Co., Inc.		12,240,624
241,580	Kohl’s Corp.*		13,506,738
			25,747,362
Specialty Retail — 5.4%
549,945	Advance Auto Parts*		35,498,950
266,285	Lowe’s Cos., Inc.		15,503,113
236,670	Staples, Inc.		5,045,804
			56,047,867
Textiles, Apparel & Luxury Goods — 4.9%
590,325	NIKE, Inc., Class B Shares		51,122,145
	TOTAL CONSUMER DISCRETIONARY		221,303,165
ENERGY — 6.8%
Oil, Gas & Consumable Fuels — 6.8%
1,004,130	Murphy Oil Corp.		52,445,710
397,580	Suncor Energy, Inc.		18,813,485
	TOTAL ENERGY		71,259,195
FINANCIALS — 13.5%
Commercial Banks — 7.8%
824,390	Bank of America Corp.		37,600,428
709,220	Wells Fargo & Co.		43,673,767
			81,274,195
Diversified Financial Services — 4.1%
285,470	American Express Co.		15,195,568
172,875	Goldman Sachs Group, Inc.		17,636,708
183,095	SLM Corp.		9,301,226
			42,133,502
Insurance — 1.6%
100,000	Allstate Corp.		5,975,000
3,901	Berkshire Hathaway, Inc., Class B Shares*		10,858,434
			16,833,434
	TOTAL FINANCIALS		140,241,131

See Notes to Financial Statements.

38

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Capital Appreciation Fund

SHARES	SECURITY	VALUE
HEALTH CARE — 26.4%
Biotechnology — 12.7%
1,024,775	Genentech, Inc.*	$	82,268,937
714,505	Gilead Sciences, Inc.*		31,431,075
224,045	Invitrogen Corp.*		18,660,708
			132,360,720
Health Care Providers & Services — 11.2%
2,245,345	UnitedHealth Group, Inc.		117,072,288
Pharmaceuticals — 2.5%
203,785	Roche Holding AG		25,769,024
	TOTAL HEALTH CARE		275,202,032
INDUSTRIALS — 5.8%
Aerospace & Defense — 3.3%
532,790	Lockheed Martin Corp.		34,562,087
Electrical Equipment — 2.5%
422,060	Energizer Holdings, Inc.*		26,239,470
	TOTAL INDUSTRIALS		60,801,557
INFORMATION TECHNOLOGY — 15.7%
Communications Equipment — 0.9%
287,440	QUALCOMM, Inc.		9,488,394
Computers & Peripherals — 6.6%
1,882,840	Apple Computer, Inc.*		69,307,341
Internet Software & Services — 2.2%
646,300	Yahoo!, Inc.*		22,394,295
Semiconductors & Semiconductor Equipment — 1.1%
403,450	Texas Instruments, Inc.		11,324,842
Software — 4.9%
904,725	Electronic Arts, Inc.*		51,216,482
	TOTAL INFORMATION TECHNOLOGY		163,731,354
UTILITIES — 1.0%
Independent Power Producers & Energy Traders — 1.0%
643,070	AES Corp.*		10,533,487
	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $570,015,884)		943,071,921

See Notes to Financial Statements.

39

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Capital Appreciation Fund

FACE
AMOUNT	SECURITY	VALUE
SHORT-TERM INVESTMENT — 9.5%
Repurchase Agreement — 9.5%
$99,695,000	State Street Bank & Trust Co., dated 6/30/05, 2.550% due 7/1/05; Proceeds at maturity — $99,702,062; (Fully collateralized by U.S. Treasury Bonds, 8.000% to 8.875% due 2/15/19 to 11/15/21; Market value — $101,690,852) (Cost — $99,695,000)	$	99,695,000
	TOTAL INVESTMENTS — 99.9% (Cost — $669,710,884#)		1,042,766,921
	Other Assets in Excess of Liabilities — 0.1%		683,070
	TOTAL NET ASSETS — 100.0%	$	1,043,449,991

*	Non-income producing security.
#	Aggregate cost for Federal income tax purposes is substantially the same.

See Notes to Financial Statements.

40

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Money Market Portfolio

FACE
AMOUNT	SECURITY	VALUE
SHORT-TERM INVESTMENTS — 100.1%
CERTIFICATES OF DEPOSIT — 5.0%
$16,200,000	Wells Fargo Bank NA, 4.650% due 7/12/05 (Cost — $16,200,000)	$	16,200,000
COMMERCIAL PAPER — 95.1%
15,000,000	Atomium Funding Corp., Credit Enhanced by KBC Bank N.V., 3.150% due 7/5/05 (a)		14,994,833
15,000,000	Canadian Imperial Bank of Commerce, 4.180% due 7/13/05		14,984,600
15,000,000	Caterpillar Financial Services Corp., 3.140% due 7/7/05		14,992,275
16,000,000	Cobbler Funding LLC, 3.330% due 7/25/05 (a)		15,964,587
16,100,000	Coca-Cola Co., 3.310% due 7/26/05		16,063,551
16,422,000	Coca-Cola Enterprises, Inc., 3.100% due 7/11/05 (a)		16,408,087
6,000,000	Gannett Co., Inc., 3.250% due 7/22/05		5,988,800
16,100,000	General Electric Capital Corp., 3.300% due 7/19/05		16,073,837
16,500,000	Goldman Sachs Group, Inc., 4.280% due 7/14/05		16,481,529
10,293,000	HSBC Finance Corp., 3.160% due 7/15/05		10,280,551
16,300,000	ING U.S. Funding LLC, 3.110% due 7/6/05		16,293,072
15,900,000	Nestle Capital Corp., 4.960% due 7/20/05 (a)		15,873,315
16,305,000	Park Avenue Receivables Corp., Credit Enhanced By JPMorgan Chase Bank, 3.120% due 7/8/05 (a)		16,295,267
15,000,000	Polonius, Inc., Credit Enhanced by Danske Bank A/S, 3.270% due 7/18/05 (a)		14,977,192
15,900,000	Royal Bank of Scotland PLC, 4.780% due 7/15/05		15,880,090
12,000,000	Societe Generale NA, 4.080% due 7/15/05		11,985,347
16,400,000	Toronto Dominion Holdings USA, 5.480% due 7/6/05		16,393,076
15,976,000	Toyota Motor Credit Corp., 3.090% due 7/7/05 (a)		15,967,905
11,124,000	UBS Finance Delaware LLC, 4.740% due 7/1/05		11,124,000
16,100,000	USAA Capital Corp., 3.290% due 7/13/05		16,082,612
15,900,000	Victory Receivable Corp., Credit Enhanced by Banks Rated A-1/ P-1, 5.290% due 7/21/05 (a)		15,871,027
	TOTAL COMMERCIAL PAPER (Cost — $308,975,553)		308,975,553
	TOTAL INVESTMENTS — 100.1% (Cost — $325,175,553#)		325,175,553
	Liabilities in Excess of Other Assets — (0.1)%		(367,384)
	TOTAL NET ASSETS — 100.0%	$	324,808,169

(a)	Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.
#	Aggregate cost for Federal income tax purposes is substantially the same.

See Notes to Financial Statements.

41

 Bond Ratings (unaudited)

The definitions of the applicable rating symbols are set forth below:

Standard & Poor’s Ratings Service (“Standard & Poor’s”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (–) sign to show relative standings within the major rating categories.

AAA	—	Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong.
AA	—	Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A	—	Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB	—	Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.
BB, B, CCC and CC	—	Bonds rated “BB”, “B”, “CCC” and “CC” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents a lower degree of speculation than “B”, and “CC” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
D	—	Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears.

Moody’s Investors Service (“Moody’s”) — Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Ca,” where 1 is the highest and 3 the lowest ranking within its generic category.

Aaa	—	Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues.
Aa	—	Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities.
A	—	Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future.
Baa	—	Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well.
Ba	—	Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class.
B	—	Bonds rated “B” are generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small.
Caa	—	Bonds rated “Caa” are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest.
Ca	—	Bonds rated “Ca” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked short-comings.

42

 Bond Ratings (unaudited) (continued)

Fitch Rating Service (“Fitch”) — Ratings from “AAA” to “CC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories

AAA	—	Bonds rated “AAA” have the highest rating assigned by Fitch. Capacity to pay interest and repay principal is extremely strong.
AA	—	Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A	—	Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB	—	Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.
BB, B, CCC and CC	—	Bonds rated “BB”, “B”, “CCC” and “CC” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents a lower degree of speculation than “B”, and “CC” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
NR	—	Indicates that the bond is not rated by Standard & Poor’s, Moody’s, or Fitch.

 Short-Term Security Ratings (unaudited)

SP-1	—	Standard & Poor’s highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
A-1	—	Standard & Poor’s highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
VMIG 1	—	Moody’s highest rating for issues having a demand feature — VRDO.
P-1	—	Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating.
F-1	—	Fitch’s highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+) sign.

43

 Statements of Assets and Liabilities (unaudited) June 30, 2005 

		Managed		High Yield		Capital			Money
		Assets		Bond		Appreciation			Market
		Trust		Trust		Fund			Portfolio
ASSETS:
	Investments, at cost	$	250,273,025	$	95,706,595	$	570,015,884			—
	Short-term investments, at cost		5,314,000		13,803,000		99,695,000		$	325,175,553
	Foreign currency, at cost		9		—		—			—
	Investments, at value	$	274,268,077	$	98,875,747	$	943,071,921			—
	Short-term investments, at value		5,314,000		13,803,000		99,695,000		$	325,175,553
	Foreign currency, at value		11		—		—			—
	Dividends and interest receivable		1,198,195		1,850,544		340,172			33,372
	Receivable for securities sold		566,326		153,534		2,523,003			—
	Receivable for Fund shares sold		1,364		6,699		46,371			167,241
	Unrealized appreciation on forward foreign currency contracts (Notes 1 and 3)		—		11,920		—			—
	Prepaid expenses		1,295		—		—			—
	Total Assets		281,349,268		114,701,444		1,045,676,467			325,376,166
LIABILITIES:
	Investment advisory fees payable		116,768		41,405		603,581			79,673
	Payable for Fund shares repurchased		66,268		24,547		1,434,622			63,162
	Administration fees payable		14,012		5,594		51,261			15,972
	Due to custodian		10,530		5,811		10,107			9,798
	Payable for securities purchased		—		153,534		—			—
	Dividends payable		—		—		—			337,907
	Accrued expenses		54,917		37,410		126,905			61,485
	Total Liabilities		262,495		268,301		2,226,476			567,997
Total Net Assets		$	281,086,773	$	114,433,143	$	1,043,449,991		$	324,808,169
NET ASSETS:
	Par value (Note 4)		—		—		—		$	32,480,803
	Paid-in capital	$	251,446,945	$	107,126,178	$	1,037,062,151			292,327,225
	Undistributed net investment income		3,017,571		3,671,522		343,991			7,965
	Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		2,627,203		454,715		(367,007,317	)		(7,824	)
	Net unrealized appreciation on investments and foreign currencies		23,995,054		3,180,728		373,051,166			—
Total Net Assets		$	281,086,773	$	114,433,143	$	1,043,449,991		$	324,808,169
Shares Outstanding			17,009,471		11,542,636		15,015,184			324,808,028
Net Asset Value		$	16.53	$	9.91	$	69.49		$	1.00

See Notes to Financial Statements.

44

 Statements of Operations (unaudited) For the Six Months Ended June 30, 2005 

			Managed			High Yield			Capital			Money
			Assets			Bond			Appreciation			Market
			Trust			Trust			Fund			Portfolio
INVESTMENT INCOME:
	Interest		$	2,253,899		$	4,023,894		$	1,067,842		$	4,394,933
	Dividends			1,628,849			15,814			3,303,120			—
	Less: Foreign taxes withheld			—			—			(59,012	)		—
	Total Investment Income			3,882,748			4,039,708			4,311,950			4,394,933
EXPENSES:
	Investment advisory fees (Note 2)			709,727			243,172			3,539,726			517,236
	Administration fees (Note 2)			85,167			32,757			303,405			95,992
	Custody			23,243			25,505			29,438			14,183
	Shareholder reports			15,472			6,934			60,076			21,741
	Legal fees			12,462			11,332			11,155			13,258
	Audit and tax			12,743			8,972			15,050			8,980
	Trustees’ fees			5,598			4,284			2,500			2,700
	Insurance			2,595			737			4,806			876
	Miscellaneous expenses			1,221			381			1,803			354
	Total Expenses			868,228			334,074			3,967,959			675,320
	Less: Expense reimbursement (Note 2)			—			—			—			(35,435	)
	Net Expenses			868,228			334,074			3,967,959			639,885
Net Investment Income				3,014,520			3,705,634			343,991			3,755,048
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 1 AND 3):
	Net Realized Gain (Loss) From:
		Investment transactions		2,965,759			755,538			62,048,188			(19	)
		Futures contracts		(94,393	)		—			—			—
		Foreign currency transactions		—			78,918			(6,867	)		—
	Net Realized Gain (Loss)			2,871,366			834,456			62,041,321			(19	)
	Change in Net Unrealized Appreciation/ Depreciation From:
		Investments		(6,727,037	)		(4,444,574	)		(13,427,738	)		—
		Futures contracts		2,680			—			—			—
		Foreign currencies		—			11,591			(12,406	)		—
	Change in Net Unrealized Appreciation/ Depreciation			(6,724,357	)		(4,432,983	)		(13,440,144	)		—
Net Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions				(3,852,991	)		(3,598,527	)		48,601,177			(19	)
Increase (Decrease) in Net Assets From Operations			$	(838,471	)	$	107,107		$	48,945,168		$	3,755,029

See Notes to Financial Statements.

45

 Statements of Changes in Net Assets

For the Six Months Ended June 30, 2005 (unaudited)

and the Year Ended December 31, 2004

MANAGED ASSETS TRUST		2005			2004
OPERATIONS:
	Net investment income	$	3,014,520		$	6,677,914
	Net realized gain		2,871,366			11,807,350
	Change in net unrealized appreciation/depreciation		(6,724,357	)		7,564,971
	Increase (Decrease) in Net Assets From Operations		(838,471	)		26,050,235
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
	Net investment income		(45,070	)		(6,765,497	)
	Net realized gains		(1,756,536	)		(2,452,309	)
	Decrease in Net Assets From Distributions to Shareholders		(1,801,606	)		(9,217,806	)
FUND SHARE TRANSACTIONS (NOTE 4):
	Net proceeds from sale of shares		3,024,022			7,924,859
	Reinvestment of distributions		1,801,606			9,217,806
	Cost of shares repurchased		(18,347,729	)		(26,600,443	)
	Decrease in Net Assets From Fund Share Transactions		(13,522,101	)		(9,457,778	)
Increase (Decrease) in Net Assets			(16,162,178	)		7,374,651
NET ASSETS:
	Beginning of period		297,248,951			289,874,300
	End of period*	$	281,086,773		$	297,248,951
* Includes undistributed net investment income of:			$3,017,571			$48,121

See Notes to Financial Statements.

46

 Statements of Changes in Net Assets (continued)

For the Six Months Ended June 30, 2005 (unaudited)

and the Year Ended December 31, 2004

HIGH YIELD BOND TRUST		2005			2004
OPERATIONS:
	Net investment income	$	3,705,634		$	6,907,148
	Net realized gain (loss)		834,456			(362,305	)
	Change in net unrealized appreciation/depreciation		(4,432,983	)		1,617,958
	Net increase from payment by affiliates (Note 2)		—			75,068
	Increase in Net Assets From Operations		107,107			8,237,869
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
	Net investment income		(5,879	)		(6,987,891	)
	Net realized gains		—			(65,843	)
	Decrease in Net Assets From Distributions to Shareholders		(5,879	)		(7,053,734	)
FUND SHARE TRANSACTIONS (NOTE 4):
	Net proceeds from sale of shares		13,175,243			19,629,157
	Reinvestment of distributions		5,879			7,053,734
	Cost of shares repurchased		(5,388,166	)		(17,180,397	)
	Increase in Net Assets From Fund Share Transactions		7,792,956			9,502,494
Increase in Net Assets			7,894,184			10,686,629
NET ASSETS:
	Beginning of period		106,538,959			95,852,330
	End of period*	$	114,433,143		$	106,538,959
* Includes undistributed net investment income and overdistributed net investment income, respectively, of:		$	3,671,522		$	(28,233	)

See Notes to Financial Statements.

47

 Statements of Changes in Net Assets (continued)

For the Six Months Ended June 30, 2005 (unaudited)

and the Year Ended December 31, 2004

CAPITAL APPRECIATION FUND		2005			2004
OPERATIONS:
	Net investment income (loss)	$	343,991		$	(1,463,757	)
	Net realized gain (loss)		62,041,321			(47,038,979	)
	Change in net unrealized appreciation/depreciation		(13,440,144	)		223,220,300
	Increase in Net Assets From Operations		48,945,168			174,717,564
FUND SHARE TRANSACTIONS (NOTE 4):
	Net proceeds from sale of shares		5,643,308			4,387,734
	Cost of shares repurchased		(53,482,158	)		(122,503,664	)
	Decrease in Net Assets From Fund Share Transactions		(47,838,850	)		(118,115,930	)
Increase in Net Assets			1,106,318			56,601,634
NET ASSETS:
	Beginning of period		1,042,343,673			985,742,039
	End of period*	$	1,043,449,991		$	1,042,343,673
* Includes undistributed net investment income of:		$	343,991			—

See Notes to Financial Statements.

48

 Statements of Changes in Net Assets (continued)

For the Six Months Ended June 30, 2005 (unaudited)

and the Year Ended December 31, 2004

MONEY MARKET PORTFOLIO		2005			2004
OPERATIONS:
	Net investment income	$	3,755,048		$	3,375,116
	Net realized gain (loss)		(19	)		16
	Increase in Net Assets From Operations		3,755,029			3,375,132
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
	Net investment income		(3,755,048	)		(3,375,116	)
	Decrease in Net Assets From Distributions to Shareholders		(3,755,048	)		(3,375,116	)
FUND SHARE TRANSACTIONS (NOTE 4):
	Net proceeds from sale of shares		106,374,346			183,076,228
	Reinvestment of distributions		3,651,372			3,223,605
	Cost of shares repurchased		(88,164,226	)		(229,178,505	)
	Increase (Decrease) in Net Assets From Fund Share Transactions		21,861,492			(42,878,672	)
Increase (Decrease) in Net Assets			21,861,473			(42,878,656	)
NET ASSETS:
	Beginning of period		302,946,696			345,825,352
	End of period*	$	324,808,169		$	302,946,696
* Includes undistributed net investment income of:		$	7,965		$	7,965

See Notes to Financial Statements.

49

 Financial Highlights

For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:

MANAGED ASSETS TRUST		2005(1)			2004(2)			2003			2002			2001(2)			2000(2)
Net Asset Value, Beginning of Period			$16.67			$15.72			$13.20			$15.55			$17.94			$21.12
Income (Loss) From Operations:
	Net investment income		0.18			0.37			0.39			0.45			0.49			0.48
	Net realized and unrealized gain (loss)		(0.22	)		1.11			2.51			(1.79	)		(1.40	)		(0.71	)
Total Income (Loss) From Operations			(0.04	)		1.48			2.90			(1.34	)		(0.91	)		(0.23	)
Less Distributions From:
	Net investment income		(0.00	)(3)		(0.39	)		(0.38	)		(0.92	)		(0.46	)		(0.41	)
	Net realized gains(4)		(0.10	)		(0.14	)		—			(0.09	)		(1.02	)		(2.54	)
Total Distributions			(0.10	)		(0.53	)		(0.38	)		(1.01	)		(1.48	)		(2.95	)
Net Asset Value, End of Period			$16.53			$16.67			$15.72			$13.20			$15.55			$17.94
Total Return(5)			(0.20	)%		9.44	%		21.98	%		(8.60	)%		(5.08	)%		(1.62	)%
Net Assets, End of Period (000s)			$281,087			$297,249			$289,874			$250,910			$307,520			$342,834
Ratios to Average Net Assets:
	Gross expenses		0.61	%(6)		0.61	%		0.59	%		0.61	%		0.59	%		0.59	%
	Net expenses(7)		0.61	(6)		0.60	(8)		0.59			0.61			0.59			0.59
	Net investment income		2.12	(6)		2.31			2.64			2.80			2.95			2.47
Portfolio Turnover Rate			21	%		64	%		84	%		39	%		59	%		56	%

(1)	For the six months ended June 30, 2005 (unaudited).
(2)	Per share amounts have been calculated using the average shares method.
(3)	Amount is less than $0.01.
(4)	Distributions from realized gains include both net realized short-term and long-term capital gains.
(5)	Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Total returns for periods of less than one year are not annualized.
(6)	Annualized.
(7)	As a result of an expense limitation, the ratio of expenses to average net assets of the Fund will not exceed 1.25%.
(8)	The sub-administrator waived a portion of its fees.

See Notes to Financial Statements.

50

 Financial Highlights (continued)

For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:

HIGH YIELD BOND TRUST(1)		2005(2)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period			$9.91			$9.76			$8.11			$9.04			$8.77			$9.47
Income (Loss) From Operations:
	Net investment income		0.32			0.70			0.77			0.78			0.80			0.79
	Net realized and unrealized gain (loss)		(0.32	)		0.16			1.59			(0.40	)		0.04			(0.70	)
Total Income From Operations			0.00	(3)		0.86			2.36			0.38			0.84			0.09
Less Distributions From:
	Net investment income		(0.00	)(3)		(0.70	)		(0.71	)		(1.31	)		(0.57	)		(0.79	)
	Net realized gains(4)		—			(0.01	)		—			—			—			—
Total Distributions			(0.00	)(3)		(0.71	)		(0.71	)		(1.31	)		(0.57	)		(0.79	)
Net Asset Value, End of Period			$9.91			$9.91			$9.76			$8.11			$9.04			$8.77
Total Return(5)			0.01	%		8.75	% (6)		29.15	%		4.57	%		9.55	%		0.97	%
Net Assets, End of Period (000s)			$114,433			$106,539			$95,852			$60,818			$50,016			$34,678
Ratios to Average Net Assets:
	Gross expenses		0.61	%(7)		0.63	%		0.65	%		0.71	%		0.73	%		0.83	%
	Net expenses(8)		0.61	(7)		0.60	(9)		0.65			0.71			0.73			0.83
	Net investment income		6.79	(7)		7.08			8.28			8.81			8.79			8.74
Portfolio Turnover Rate			31	%		79	%		80	%		100	%		110	%		80	%

(1)	Per share amounts have been calculated using the average shares method.
(2)	For the six months ended June 30, 2005 (unaudited).
(3)	Amount is less than $0.01.
(4)	Distributions from realized gains include both net realized short-term and long-term capital gains.
(5)	Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Total returns for periods of less than one year are not annualized.
(6)	The adviser fully reimbursed the Fund for losses incurred resulting from violations of the Fund’s investment restrictions. Without this reimbursement, the Fund’s total return would have been 8.64%.
(7)	Annualized.
(8)	As a result of an expense limitation, the ratio of expenses to average net assets of the Fund will not exceed 1.25%.
(9)	The sub-administrator waived a portion of its fees.

See Notes to Financial Statements.

51

 Financial Highlights (continued)

For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:

CAPITAL APPRECIATION FUND		2005(1)			2004(2)			2003(2)			2002(2)
Net Asset Value, Beginning of Period			$66.23			$55.41			$44.38			$60.30
Income (Loss) From Operations:
	Net investment income (loss)		0.02			(0.09	)		0.07			0.14
	Net realized and unrealized gain (loss)		3.24			10.91			10.99			(15.24	)
Total Income (Loss) From Operations			3.26			10.82			11.06			(15.10	)
Less Distributions From:
	Net investment income		—			—			(0.03	)		(0.81	)
	Net realized gains(3)		—			—			—			—
	Return of capital		—			—			(0.00	)(4)		(0.01	)
Total Distributions			—			—			(0.03	)		(0.82	)
Net Asset Value, End of Period			$69.49			$66.23			$55.41			$44.38
Total Return(5)			4.92	%		19.53	%		24.91	%		(25.09	)%
Net Assets, End of Period (millions)			$1,043			$1,042			$986			$864
Ratios to Average Net Assets:
	Gross expenses		0.78	%(6)		0.82	%		0.82	%		0.84	%
	Net expenses(7)		0.78	(6)		0.81	(8)		0.82			0.84
	Net investment income (loss)		0.07	(6)		(0.15	)		0.14			0.27
Portfolio Turnover Rate			12	%		16	%		59	%		52	%

[Additional columns below]

[Continued from above table, first column(s) repeated]

CAPITAL APPRECIATION FUND		2001(2)			2000
Net Asset Value, Beginning of Period			$82.01			$108.80
Income (Loss) From Operations:
	Net investment income (loss)		0.61			0.29
	Net realized and unrealized gain (loss)		(22.01	)		(23.29	)
Total Income (Loss) From Operations			(21.40	)		(23.00	)
Less Distributions From:
	Net investment income		(0.31	)		(0.04	)
	Net realized gains(3)		—			(3.75	)
	Return of capital		—			—
Total Distributions			(0.31	)		(3.79	)
Net Asset Value, End of Period			$60.30			$82.01
Total Return(5)			(26.09	)%		(21.88	)%
Net Assets, End of Period (millions)			$1,300			$1,797
Ratios to Average Net Assets:
	Gross expenses		0.84	%		0.83	%
	Net expenses(7)		0.84			0.83
	Net investment income (loss)		0.91			0.30
Portfolio Turnover Rate			47	%		30	%

(1)	For the six months ended June 30, 2005 (unaudited).
(2)	Per share amounts have been calculated using the average shares method.
(3)	Distributions from realized gains include both net realized short-term and long-term capital gains.
(4)	Amount is less than $0.01.
(5)	Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Total returns for periods of less than one year are not annualized.
(6)	Annualized.
(7)	As a result of an expense limitation, the ratio of expenses to average net assets of the Fund will not exceed 1.25%.
(8)	The sub-administrator waived a portion of its fees.

See Notes to Financial Statements.

52

 Financial Highlights (continued)

For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:

MONEY MARKET PORTFOLIO		2005(1)			2004			2003			2002			2001			2000
Net Asset Value, Beginning of Period			$1.00			$1.00			$1.00			$1.00			$1.00			$1.00
Income (Loss) From Operations:
	Net investment income		0.012			0.01			0.008			0.014			0.036			0.06
	Distributions from net investment income		(0.012	)		(0.01	)		(0.008	)		(0.014	)		(0.036	)		(0.06	)
Net Asset Value, End of Period			$1.00			$1.00			$1.00			$1.00			$1.00			$1.00
Total Return(2)			1.17	%		1.01	%		0.78	%		1.39	%		3.71	%		6.18	%
Net Assets, End of Period (000s)			$324,808			$302,947			$345,825			$393,244			$353,269			$147,117
Ratios to Average Net Assets:
	Gross expenses		0.42	%(5)		0.42	%		0.42	%		0.42	%		0.42	%		0.44	%
	Net expenses(3)(4)		0.40	(5)		0.40			0.40			0.40			0.40			0.40
	Net investment income		2.35	(5)		1.00			0.78			1.38			3.46			6.04

(1)	For the six months ended June 30, 2005 (unaudited).
(2)	Performance figures may reflect voluntary fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Total returns for periods of less than one year are not annualized.
(3)	The administrator waived its fees and reimbursed the Fund for certain expenses for the six months ended June 30, 2005 and the years ended December 31, 2004, 2003, 2002, 2001 and 2000. In addition, the sub-administrator waived a portion of its fees for the year ended December 31, 2004.
(4)	As a result of an expense limitation, the ratio of expenses to average net assets of the Fund will not exceed 0.40%.
(5)	Annualized.

See Notes to Financial Statements.

53

 Notes to Financial Statements (unaudited)

     1.  Organization and Significant Accounting Policies

      The Managed Assets Trust (“MAT”), High Yield Bond Trust (“HYBT”), Capital Appreciation Fund (“CAF”) and Money Market Portfolio (“MMP”) (collectively, “Funds”) are each a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as diversified, open-end management investment companies. Shares of the Funds are offered exclusively for use with certain variable annuity and variable life insurance contracts offered through the separate accounts of various affiliated life insurance companies.

      The following are significant accounting policies consistently followed by the Funds. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ.

      (a) Investment Valuation. Equity securities for which market quotations are available are valued at the last sale price or official closing price on the primary market or exchange on which they trade. Debt securities are valued at the mean between the bid and asked prices provided by an independent pricing service that are based on transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and various relationships between securities. When prices are not readily available, or are determined not to reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Funds calculate their net asset value, the Funds may value these investments at fair value as determined in accordance with the procedures approved by the Funds’ Board of Trustees. For MAT, HYBT and CAF, short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates market value. For MMP, money market instruments are valued at amortized cost, in accordance with Rule 2a-7 under the 1940 Act, which approximates market value. This method involves valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. MMP’s use of amortized cost is subject to its compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act.

      (b) Repurchase Agreements. When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian takes possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.

      (c) Financial Futures Contracts. The Funds may enter into financial futures contracts typically to hedge a portion of the portfolios. Upon entering into a financial futures contract, the Funds are required to deposit cash or securities as initial margin. Additional securities are also segregated up to the current market value of the financial futures contracts. Subsequent payments, known as variation margin, are made or received by the Funds each day, depending on the daily fluctuation in the value of the underlying financial instruments. The Funds recognize an unrealized gain or loss equal to the daily variation margin. When the financial futures contracts are closed, a realized gain or loss is recognized equal to the difference between the proceeds from (or cost of) the closing transactions and the Funds’ basis in the contracts.

      The risks associated with entering into financial futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in financial futures contracts involves the risk that the Funds could lose more than the original margin deposit and subsequent payments required for a futures transaction. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

      (d) Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on its non-US dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by the Funds as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain

54

 Notes to Financial Statements (unaudited) (continued)

or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.

      Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Funds bear the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

      (e) Credit and Market Risk. HYBT invests in high-yield instruments that are subject to certain credit and market risks. The yields of high-yield instruments reflect, among other things, perceived credit risk. The Fund’s investment in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.

      (f) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after the Funds determine the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method.

      (g) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

      The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.

      Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, 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 Funds’ 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 fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.

      Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

      (h) Distributions to Shareholders. Distributions from net investment income for MAT , HYBT and CAF , if any, are declared at least annually. Distributions from net investment income on shares of MMP are declared each business day to shareholders of record that day, and are paid on the last business day of the month. Distributions of net realized gains to shareholders of the Funds, if any, are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.

      (i) Federal and Other Taxes. It is the Funds’ policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, the Funds intend to distribute substantially all of their taxable income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

      (j) Reclassification. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.

55

 Notes to Financial Statements (unaudited) (continued)

     2.  Investment Advisory Agreement, Administration Agreement and Other Transactions with Affiliates

      Travelers Asset Management International Company LLC (“TAMIC”), an indirect wholly-owned subsidiary of Citigroup Inc. (“Citigroup”), acts as investment adviser to the Funds. MAT and MMP pay TAMIC an investment advisory fee calculated at the annual rate of 0.50% and 0.3233%, respectively, of their average daily net assets of the respective Fund. HYBT and CAF pay TAMIC an investment advisory fee calculated daily and paid monthly at the annual rate of their respective Fund’s average daily net assets as follows:

	Investment
Average Daily Net Assets	Advisory Fee
HYBT
First $50.0 million		0.500%
Next $100.0 million		0.400%
Next $100.0 million		0.300%
Over $250.0 million		0.250%
CAF
First $1.5 billion		0.700%
Over $1.5 billion		0.650%

      TAMIC has entered into a sub-advisory agreement with TIMCO Asset Management, Inc. (“TIMCO”) (formerly The Travelers Investment Management Company), another indirect wholly-owned subsidiary of Citigroup. Pursuant to the sub-advisory agreement, TIMCO is responsible for the day-to-day portfolio operations and investment decisions for MAT and is compensated for such services by TAMIC at an annual rate of 0.25% of the average daily net assets of MAT.

      TAMIC has also entered into a sub-advisory agreement with Janus Capital Management LLC (“Janus”). Pursuant to the sub-advisory agreement, Janus is responsible for the day-to-day portfolio operations and investment decisions for CAF and is compensated for such services by TAMIC at an annual rate of the Fund’s average daily net assets as follows:

	Sub Advisory
Average Daily Net Assets	Fee
First $100 million		0.500%
Next $400 million		0.450%
Next $1 billion		0.400%
Over $1.5 billion		0.350%

      The Travelers Insurance Company (“TIC”), another indirect wholly-owned subsidiary of Citigroup, acts as the Funds’ administrator. As compensation for its services, the Funds pays TIC an administration fee calculated at the annual rate of 0.06% of each respective Fund’s average daily net assets. This fee is calculated daily and paid monthly.

      TIC has entered into a sub-administrative services agreement with Smith Barney Fund Management LLC (“SBFM”), another indirect wholly-owned subsidiary of Citigroup. TIC pays SBFM, as sub-administrator, a fee calculated at an annual rate of 0.02% of the respective average daily net assets of each Fund, plus $30,000 per Fund, subject to a maximum of 0.06% of each respective Fund’s average daily net assets.

      During the six months ended June 30, 2005, the Funds had a contractual expense limitation in place of 1.25% for MAT, HYBT and CAF and 0.40% for MMP. As a result, TIC has agreed to reimburse MMP for certain expenses in the amount of $35,435. This expense limitation is renewed annually and can be terminated at any time by TIC with 60 days’ notice.

      During the year ended December 31, 2004, TAMIC reimbursed HYBT in the amount of $75,068 for losses incurred resulting from violations of the Fund’s investment restrictions.

      Citigroup Trust Bank, fsb. (“CTB”), another subsidiary of Citigroup, acts as the Funds’ transfer agent. For the six months ended June 30, 2005, the Funds did not pay transfer agent fees to CTB.

56

 Notes to Financial Statements (unaudited) (continued)

      All officers and one Trustee of the Funds are employees of Citigroup or its affiliates and do not receive compensation from the Funds.

     3.  Investments

      During the six months ended June 30, 2005, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) and U.S. Government & Agency Obligations were as follows:

	MAT		HYBT		CAF
Investments
Purchases		$58,610,994	$	34,872,830	$	116,564,744
Sales		70,920,832		30,058,092		220,341,275
U.S. Government & Agency Obligations
Purchases		20,415,553		—		—
Sales		14,477,044		—		—

      At June 30, 2005, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

	MAT			HYBT			CAF
Gross unrealized appreciation	$	36,675,455		$	5,216,101		$	374,049,340
Gross unrealized depreciation		(12,680,403	)		(2,046,949	)		(993,303	)
Net unrealized appreciation	$	23,995,052		$	3,169,152		$	373,056,037

      At June 30, 2005, HYBT had open forward foreign currency contracts as described below. The unrealized gain on the open contracts reflected in the accompanying financial statements were as follows:

	Local		Market		Settlement		Unrealized
Foreign Currency	Currency		Value		Date		Gain
Contracts to Sell:
Euro		712,650	$	864,497		9/9/05	$	11,920

     4.  Shares of Beneficial Interest

      The Declaration of Trust authorizes the issuance of an unlimited number of shares of beneficial interest. The shares of the Funds, with the exception of MMP, are authorized and issued without par value. MMP shares are authorized and issued with a par value of $0.10 per share. Transactions in shares of each Fund were as follows:

	Six Months Ended			Year Ended
	June 30, 2005			December 31, 2004
Managed Assets Trust
Shares sold		183,372			494,356
Shares issued on reinvestment		108,990			553,631
Shares repurchased		(1,115,451	)		(1,652,149	)
Net Decrease		(823,089	)		(604,162	)
High Yield Bond Trust
Shares sold		1,339,370			1,945,067
Shares issued on reinvestment		595			712,609
Shares repurchased		(548,877	)		(1,725,432	)
Net Increase		791,088			932,244

57

 Notes to Financial Statements (unaudited) (continued)

	Six Months Ended			Year Ended
	June 30, 2005			December 31, 2004
Capital Appreciation Fund
Shares sold		84,882			76,603
Shares repurchased		(808,131	)		(2,128,640	)
Net Decrease		(723,249	)		(2,052,037	)
Money Market Portfolio
Shares sold		106,374,346			183,076,228
Shares issued on reinvestment		3,651,372			3,223,605
Shares repurchased		(88,164,226	)		(229,178,505	)
Net Increase (Decrease)		21,861,492			(42,878,672	)

     5.  Capital Loss Carryforward

      As of December 31, 2004 the Funds had net capital loss carryforwards as follows:

Year of Expiration	HYBT		CAF		MMP
12/31/2008		—	$	41,615,373		—
12/31/2009		—		151,852,985		—
12/31/2010		—		74,123,366	$	7,645
12/31/2011		—		104,924,615		146
12/31/2012	$	306,393		52,569,301		—
	$	306,393	$	425,085,640	$	7,791

      These amounts will be available to offset any future taxable capital gains.

     6.  Additional Information

      On May 31, 2005, the U.S. Securities and Exchange Commission (“SEC”) issued an order in connection with the settlement of an administrative proceeding against Smith Barney Fund Management LLC (“SBFM”) and Citigroup Global Markets Inc. (“CGMI”) relating to the appointment of an affiliated transfer agent for the Smith Barney family of mutual funds (the “Funds”), which includes the Funds (“TL&A Funds”).

      The SEC order finds that SBFM and CGMI willfully violated Section 206(1) of the Investment Advisers Act of 1940 (“Advisers Act”). Specifically, the order finds that SBFM and CGMI knowingly or recklessly failed to disclose to the boards of the Funds in 1999 when proposing a new transfer agent arrangement with an affiliated transfer agent that First Data Investors Services Group (“First Data”), the Funds’ then-existing transfer agent, had offered to continue as transfer agent and do the same work for substantially less money than before. Additionally, the SEC order finds that Citigroup Asset Management (“CAM”), the Citigroup business unit that includes each Fund’s sub-administrator, SBFM, had entered into a side letter with First Data under which CAM agreed to recommend the appointment of First Data as sub-transfer agent to the affiliated transfer agent in exchange, among other things, for a guarantee by First Data of specified amounts of asset management and investment banking fees to CAM and CGMI. The order also finds that SBFM and CGMI willfully violated Section 206(2) of the Advisers Act by virtue of the omissions discussed above and other misrepresentations and omissions in the materials provided to the Funds’ boards, including the failure to make clear that the affiliated transfer agent would earn a high profit for performing limited functions while First Data continued to perform almost all of the transfer agent functions, and the suggestion that the proposed arrangement was in the Funds’ best interests and that no viable alternatives existed. SBFM and CGMI do not admit or deny any wrongdoing or liability. The settlement does not establish wrongdoing or liability for purposes of any other proceeding.

      The SEC censured SBFM and CGMI and ordered them to cease and desist from violations of Sections 206(1) and 206(2) of the Advisers Act. The order requires Citigroup to pay $208.1 million, including $109 million in disgorgement of profits, $19.1 million in interest, and a civil money penalty of $80 million. Approximately $24.4 million has already been

58

 Notes to Financial Statements (unaudited) (continued)

paid to the Funds, primarily through fee waivers. In addition, Travelers Life & Annuity and CAM reviewed the adequacy and accuracy of the disclosure provided to the TL&A Fund boards at the time the revised transfer agency arrangement was discussed with the boards and concluded that the transfer agency fees paid to CTB, for the period from June 1, 1999 to August 23, 2004, by the TL&A Funds that did not have expense caps in effect should be reimbursed with interest to the TL&A Funds. The reimbursement occurred on November 1, 2004.

      The remaining $183.7 million to be paid under the SEC order, including the penalty, has been paid to the U.S. Treasury and will be distributed pursuant to a plan to be prepared by Citigroup and submitted within 90 days of the entry of the order for approval by the SEC. The order also requires that transfer agency fees received from the Funds since December 1, 2004 less certain expenses be placed in escrow and provides that a portion of such fees may be subsequently distributed in accordance with the terms of the order.

      The order requires SBFM to recommend a new transfer agent contract to the Fund boards within 180 days of the entry of the order.

      At this time, there is no certainty as to how the proceeds of the settlement will be distributed, to whom such distributions will be made, the methodology by which such distributions will be allocated, and when such distributions will be made. Although there can be no assurance, Citigroup does not believe that this matter will have a material adverse effect on the Funds.

     7.  Other Matters

      On June 24, 2005, Citigroup announced that it has signed a definitive agreement under which Citigroup will sell substantially all of its worldwide asset management business to Legg Mason, Inc. (“Legg Mason”).

      As part of this transaction, Salomon Brothers Asset Management, Inc., (“Salomon”) a subadviser effective July 1, 2005, for MAT, HYBT, MMP, and TIMCO, a subadviser of MAT, both currently indirect wholly owned subsidiaries of Citigroup, would become indirect wholly owned subsidiaries of Legg Mason.

      The transaction is subject to certain regulatory approvals, as well as other customary conditions to closing. Subject to such approvals and the satisfaction of the other conditions, Citigroup expects the transaction to be completed later this year.

     8.  Subsequent Events

      On July 1, 2005, MetLife, Inc., a Delaware corporation (“MetLife”), acquired all of the outstanding shares of capital stock of certain indirect subsidiaries held by Citigroup, including TIC, The Travelers Life and Annuity Company, a wholly owned subsidiary of TIC and certain other domestic insurance companies of Citigroup and substantially all of Citigroup’s international insurance businesses for $11.8 billion. The sale also included TIC’s affiliated investment adviser, TAMIC, which serves as the investment adviser to the Funds.

      TIC filed a Form 8-K Current Report with The United States Securities and Exchange Commission on July 8, 2005, with additional information about the transaction.

      On July 1, 2005, Salomon began to perform subadvisory services under a Subadvisory Agreement between TAMIC and Salomon for MAT, HYBT and MMP.

      Also effective July 1, 2005, PFPC Inc. replaced CTB as transfer agent for the Funds; and State Street Bank and Trust Company replaced SBFM as sub-administrator for the Funds.

     9.  Change in Independent Registered Public Accounting Firm

      KPMG LLP was previously the independent registered public accounting firm for the Funds. In connection with the transaction described in Note 8, the decision to change the independent registered public accounting firm was approved by the Audit Committee and by the Board of Trustees, resulting in Deloitte and Touche LLP’s appointment as independent registered public accounting firm.

      The reports on the financial statements of the Funds audited by KPMG LLP through the year ended December 31, 2004 did not contain an adverse opinion or disclaimer of opinion, and were not qualified or modified as to uncertainty, audit scope or accounting principles. There were no disagreements between the Funds and KPMG LLP on any matters of accounting principles or practices, financial statement disclosure, or auditing scope or procedures.

59

 Fund at a Glance — U.S. Government Securities Portfolio (unaudited)

60

 Fund at a Glance — Pioneer Fund Portfolio (unaudited)

61

 Fund at a Glance — Pioneer Mid Cap Value Portfolio (unaudited)

62

 Fund Expenses (unaudited)

          Example

      As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

      This example is based on an investment of $1,000 invested on January 1, 2005 and held for the six months ended June 30, 2005, unless otherwise noted.

          Actual Expenses

      The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.

 Based on Actual Total Return⁽¹⁾

											Expenses
				Beginning		Ending		Annualized			Paid
	Actual Total			Account		Account		Expense			During the
	Return(2)			Value		Value		Ratio			Period(3)
U.S. Government Securities Portfolio		5.51	%	$	1,000.00	$	1,055.10		0.43	%	$	2.19
Pioneer Fund Portfolio		(1.16	)		1,000.00		988.40		1.01			4.98
Pioneer Mid Cap Value Portfolio(4)		6.20			1,000.00		1,062.00		1.00			1.69

(1)	For the six months ended June 30, 2005.
(2)	Assumes reinvestment of dividends and capital gain distributions, if any, at net asset value. Total return is not annualized, as it may not be representative of the total return for the year. Total returns do not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the total returns. Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower.
(3)	Expenses (net of any fee waiver and/or expense reimbursements) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period, then divided by 365.
(4)	From the period May 2, 2005 (inception date) to June 30, 2005.

63

 Fund Expenses (unaudited) (continued)

          Hypothetical Example for Comparison Purposes

      The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

      Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

 Based on Hypothetical Total Return⁽¹⁾

	Hypothetical										Expenses
	Annualized			Beginning		Ending		Annualized			Paid
	Total			Account		Account		Expense			During the
	Return			Value		Value		Ratio			Period(2)
U.S. Government Securities Portfolio		5.00	%	$	1,000.00	$	1,022.66		0.43	%	$	2.16
Pioneer Fund Portfolio		5.00			1,000.00		1,019.79		1.01			5.06
Pioneer Mid Cap Value Portfolio(3)		5.00			1,000.00		1,006.58		1.00			1.65

(1)	For the six months ended June 30, 2005.
(2)	Expenses (net of any fee waiver and/or expense reimbursements) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period, then divided by 365.
(3)	From the period May 2, 2005 (inception date) to June 30, 2005.

64

 Schedules of Investments (unaudited) June 30, 2005 

U.S. Government Securities Portfolio

FACE
AMOUNT		SECURITY		VALUE
MORTGAGE-BACKED SECURITIES — 38.4%
FHLMC — 3.3%
		FHLMC:
$	217,076		4.000% due 5/1/19 (a)	$	212,421
	3,402,597		5.000% due 8/1/19 (a)		3,443,680
	44,903		8.000% due 9/1/30 (a)		48,368
	458,189		7.500% due 5/1/32 (a)		490,754
	4,440,770		4.500% due 4/1/33-4/1/35 (a)		4,345,924
					8,541,147
FNMA — 31.0%
		FNMA:
	3,948,653		4.000% due 8/1/13-5/1/33 (a)		3,880,742
	358,199		7.500% due 2/1/16-11/1/29 (a)		380,852
	5,539,233		4.500% due 5/1/19-9/1/19 (a)		5,520,085
	1,476,494		4.000% due 7/1/20 (b)(c)		1,446,503
	650,000		4.500% due 7/1/20 (b)(c)		647,156
	29,976,378		5.000% due 7/1/20 (b)(c)		30,017,998
	5,317,504		5.500% due 9/1/24 (a)		5,428,173
	879,612		6.500% due 12/1/27-5/1/32 (a)		912,050
	19,748,956		5.500% due 7/1/35 (b)(c)		20,020,504
	12,400,000		6.000% due 7/1/35 (b)(c)		12,713,869
					80,967,932
GNMA — 4.1%
		GNMA:
	254,054		9.000% due 8/15/08-9/15/09 (a)		268,134
	57,116		8.500% due 3/15/18-5/15/18		62,527
	10,000,000		5.500% due 7/1/35 (b)(c)		10,212,500
					10,543,161
		TOTAL MORTGAGE-BACKED SECURITIES (Cost — $99,600,576)			100,052,240
COLLATERALIZED MORTGAGE OBLIGATIONS — 8.3%
	2,680,000	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C5, Class AJ, 4.889% due 11/15/37 (a)			2,728,745
	360,881	FHLMC, Series 1103, Class J, 8.500% due 6/15/21 (a)			361,696
	6,350,000	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, 4.826% due 6/10/48			6,433,730
	4,950,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CBX, Class AJ, 4.951% due 1/12/37			5,062,096
	5,500,000	LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class AJ, 4.858% due 12/15/39			5,591,037
	1,530,000	Morgan Stanley Capital I, Inc., Series 2005-IQ9, Class A4, 4.660% due 7/15/56			1,543,034
		TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $21,472,761)			21,720,338

See Notes to Financial Statements.

65

 Schedules of Investments (unaudited) (continued) June 30, 2005 

U.S. Government Securities Portfolio

FACE
AMOUNT		SECURITY		VALUE
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 50.0%
U.S. GOVERNMENT AGENCIES — 14.9%
$	3,000,000	FNMA, 6.250% due 5/15/29 (a)		$	3,725,106
	13,949,000	Financing Corp. (FICO) Strips, Series 13, zero coupon bond to yield 6.373% due 6/27/11 (a)			10,963,189
	5,542,881	National Archives Facility Trust, COP, 8.500% due 9/1/19			6,842,287
	10,000,000	Resolution Funding Corp. Strips, zero coupon bond to yield 5.030% due 1/15/21			5,000,640
	9,000,000	Tennessee Valley Authority, Global Power Bonds 2000, Series G, 7.125% due 5/1/30			12,384,891
					38,916,113
U.S. GOVERNMENT OBLIGATIONS — 35.1%
		U.S. Treasury Bonds:
	8,000,000		8.875% due 8/15/17		11,629,688
	7,500,000		6.000% due 2/15/26		9,243,165
	13,000,000		6.375% due 8/15/27 (a)		16,858,868
	1,000,000		5.250% due 2/15/29		1,144,024
	33,650,000	U.S. Treasury Notes, 4.125% due 5/15/15 (a)			34,152,125
		U.S. Treasury Strips:
	7,500,000		zero coupon bond to yield 4.137% due 11/15/09		6,366,615
	28,000,000		zero coupon bond to yield 5.660% due 2/15/27		10,995,516
	3,000,000		zero coupon bond to yield 4.920% due 11/15/27		1,143,009
					91,533,010
		TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $118,454,374)			130,449,123
		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $239,527,711)			252,221,701
SHORT-TERM INVESTMENT — 31.5%
Repurchase Agreement — 31.5%
	82,172,000	State Street Bank & Trust Co., dated 6/30/05, 2.550% due 7/1/05; Proceeds at maturity — $82,177,821; (Fully collateralized by U.S. Treasury Bonds, 7.125% to 7.250% due 8/15/22; Market value — $83,819,170) (Cost — $82,172,000)			82,172,000
		TOTAL INVESTMENTS — 128.2% (Cost — $321,699,711#)			334,393,701
		Liabilities in Excess of Other Assets — (28.2)%			(73,507,408	)
		TOTAL NET ASSETS — 100.0%		$	260,886,293

(a)	All or a portion of this security is segregated for “to be announced” securities.
(b)	This security is traded on a “to-be-announced” basis.
(c)	All or a portion of this security is acquired under mortgage dollar roll agreement.
#	Aggregate cost for Federal income tax purposes is substantially the same.
	Abbreviations used in this schedule: COP — Certificate of Participation FHLMC — Federal Home Loan Mortgage Corporation FNMA — Federal National Mortgage Association GNMA — Government National Mortgage Association

See Notes to Financial Statements.

66

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Fund Portfolio

SHARES	SECURITY	VALUE
COMMON STOCK — 94.3%
CONSUMER DISCRETIONARY — 14.1%
Auto Components — 0.9%
6,078	Johnson Controls, Inc.	$	342,374
Automobiles — 0.8%
30,225	Ford Motor Co.		309,504
Media — 6.0%
5,423	Gannett Co., Inc.		385,738
16,390	McGraw-Hill Cos., Inc.		725,258
4,802	Omnicom Group, Inc.		383,488
20,881	Reed Elsevier NV, Sponsored ADR		582,371
5,741	Walt Disney Co.		144,558
			2,221,413
Multi-Line Retail — 4.1%
1,597	Costco Wholesale Corp.		71,578
3,774	Family Dollar Stores, Inc.		98,501
9,938	May Department Stores Co.		399,110
2,144	Nordstrom, Inc.		145,728
14,747	Target Corp.		802,384
			1,517,301
Specialty Retail — 2.0%
3,277	Barnes & Noble, Inc.*		127,148
1,391	GameStop Corp., Class B Shares*		41,591
6,524	Gap, Inc.		128,849
1,916	Home Depot, Inc.		74,532
5,428	Lowe’s Cos., Inc.		316,018
3,194	Staples, Inc.		68,096
			756,234
Textiles, Apparel & Luxury Goods — 0.3%
2,661	Liz Claiborne, Inc.		105,801
	TOTAL CONSUMER DISCRETIONARY		5,252,627
CONSUMER STAPLES — 9.4%
Beverages — 1.2%
8,300	PepsiCo, Inc.		447,619
Food & Staples Retailing — 3.0%
4,556	CVS Corp.		132,443
9,376	Sysco Corp.		339,317
14,523	Walgreen Co.		667,913
			1,139,673

See Notes to Financial Statements.

67

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Fund Portfolio

SHARES	SECURITY	VALUE
Food Products — 3.7%
9,514	Campbell Soup Co.	$	292,746
5,158	General Mills, Inc.		241,343
8,105	H.J. Heinz Co.		287,079
5,916	Hershey Co.		367,384
857	Kellogg Co.		38,085
8,483	Sara Lee Corp.		168,048
			1,394,685
Household Products — 1.2%
1,586	Clorox Co.		88,372
7,352	Colgate-Palmolive Co.		366,938
			455,310
Personal Products — 0.3%
2,442	Estee Lauder Cos., Inc., Class A Shares		95,555
	TOTAL CONSUMER STAPLES		3,532,842
ENERGY — 8.2%
Energy Equipment & Services — 0.5%
1,602	Schlumberger Ltd.		121,656
1,384	Weatherford International Ltd.*		80,244
			201,900
Oil, Gas & Consumable Fuels — 7.7%
3,176	Apache Corp.		205,170
13,634	Chevron Corp.		762,413
7,218	ConocoPhillips		414,963
14,373	ExxonMobil Corp.		826,016
4,699	Occidental Petroleum Corp.		361,494
6,914	Pioneer Natural Resources Co.		290,941
			2,860,997
	TOTAL ENERGY		3,062,897
FINANCIALS — 16.3%
Commercial Banks — 7.8%
7,771	Bank of America Corp.		354,435
4,090	First Horizon National Corp.		172,598
15,507	National City Corp.		529,099
6,205	SunTrust Banks, Inc.		448,249
11,931	U.S. Bancorp		348,385
4,017	Wachovia Corp.		199,243
8,394	Washington Mutual, Inc.		341,552
5,749	Wells Fargo & Co.		354,024
2,390	Zions Bancorp		175,737
			2,923,322

See Notes to Financial Statements.

68

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Fund Portfolio

SHARES	SECURITY	VALUE
Diversified Financial Services — 5.7%
5,790	American Express Co.	$	308,202
4,552	Bank of New York Co., Inc.		131,007
5,507	Federated Investors, Inc., Class B Shares		165,265
6,758	Merrill Lynch & Co., Inc.		371,758
8,765	State Street Corp.		422,911
11,344	T. Rowe Price Group, Inc.		710,134
			2,109,277
Insurance — 2.8%
1,544	ACE Ltd.		69,248
3,076	Axis Capital Holdings Ltd.		87,051
6,379	Chubb Corp.		546,106
992	Hartford Financial Services Group, Inc.		74,182
2,075	Montpelier Re Holdings Ltd.		71,753
3,561	SAFECO Corp.		193,505
			1,041,845
	TOTAL FINANCIALS		6,074,444
HEALTH CARE — 11.5%
Biotechnology — 0.2%
891	Amgen, Inc.*		53,870
Health Care Equipment & Supplies — 2.8%
8,317	Becton, Dickinson, & Co.		436,393
4,090	Biomet, Inc.		141,678
3,472	Guidant Corp.		233,666
2,555	Medtronic, Inc.		132,323
2,476	Stryker Corp.		117,758
			1,061,818
Pharmaceuticals — 8.5%
7,992	Abbott Laboratories		391,688
6,111	Barr Pharmaceuticals, Inc.*		297,850
6,068	Bristol-Myers Squibb Co.		151,579
5,190	Eli Lilly & Co.		289,135
10,319	Johnson & Johnson		670,735
7,057	Merck & Co., Inc.		217,356
9,209	Mylan Laboratories, Inc.		177,181
6,510	Novartis AG, ADR		308,834
4,148	Roche Holding AG, Sponsored ADR		262,589
20,579	Schering-Plough Corp.		392,236
661	Teva Pharmaceutical Industries Ltd., Sponsored ADR		20,583
			3,179,766
	TOTAL HEALTH CARE		4,295,454

See Notes to Financial Statements.

69

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Fund Portfolio

SHARES	SECURITY	VALUE
INDUSTRIALS — 10.7%
Aerospace & Defense — 2.2%
3,421	General Dynamics Corp.	$	374,736
8,605	United Technologies Corp.		441,867
			816,603
Airlines — 0.4%
12,377	Southwest Airlines Co.		172,412
Commercial Services & Supplies — 0.9%
5,478	Automatic Data Processing, Inc.		229,912
2,970	Fiserv, Inc.*		127,561
			357,473
Electrical Equipment — 0.6%
2,426	Emerson Electric Co.		151,940
1,300	Rockwell Automation, Inc.		63,323
			215,263
Industrial Conglomerates — 0.9%
9,581	General Electric Co.		331,982
Machinery — 3.4%
3,554	Caterpillar, Inc.		338,732
7,057	Deere & Co.		462,163
6,708	PACCAR, Inc.		456,144
			1,257,039
Road & Rail — 2.3%
5,753	Burlington Northern Santa Fe Corp.		270,851
19,105	Norfolk Southern Corp.		591,491
			862,342
	TOTAL INDUSTRIALS		4,013,114
INFORMATION TECHNOLOGY — 12.5%
Communications Equipment — 2.0%
23,915	Motorola, Inc.		436,688
19,611	Nokia Oyj, Sponsored ADR		326,327
			763,015
Computers & Peripherals — 2.4%
9,855	Dell, Inc.*		389,371
2,981	EMC Corp.*		40,870
13,599	Hewlett-Packard Co.		319,712
35,160	Sun Microsystems, Inc.*		131,147
			881,100
Electronic Equipment & Instruments — 0.4%
2,960	Diebold, Inc.		133,526

See Notes to Financial Statements.

70

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Fund Portfolio

SHARES	SECURITY	VALUE
IT Services — 1.3%
3,057	Computer Sciences Corp.*	$	133,591
3,057	DST Systems, Inc.*		143,068
5,407	SunGard Data Systems, Inc.*		190,164
			466,823
Office Electronics — 0.9%
6,731	Canon, Inc., Sponsored ADR		354,252
Semiconductors & Semiconductor Equipment — 2.9%
9,301	Applied Materials, Inc.		150,490
2,639	Freescale Semiconductor, Inc., Class B Shares*		55,894
17,568	Intel Corp.		457,822
15,561	Texas Instruments, Inc.		436,798
			1,101,004
Software — 2.6%
9,954	Adobe Systems, Inc.		284,883
16,684	Microsoft Corp.		414,431
7,523	Symantec Corp.*		163,550
5,176	VERITAS Software Corp.*		126,294
			989,158
	TOTAL INFORMATION TECHNOLOGY		4,688,878
MATERIALS — 6.5%
Chemicals — 1.9%
2,669	Air Products & Chemicals, Inc.		160,941
5,009	E.I. du Pont de Nemours & Co.		215,437
3,541	Ecolab, Inc.		114,587
2,167	PPG Industries, Inc.		136,001
1,595	Praxair, Inc.		74,327
			701,293
Metals & Mining — 4.2%
5,729	Alcoa, Inc.		149,699
2,746	BHP Billiton Ltd., Sponsored ADR		74,966
6,584	Inco Ltd.		248,546
1,304	Newmont Mining Corp.		50,895
4,254	Phelps Dodge Corp.		393,495
5,393	Rio Tinto PLC, Sponsored ADR		657,514
			1,575,115
Paper & Forest Products — 0.4%
4,880	MeadWestvaco Corp.		136,835
	TOTAL MATERIALS		2,413,243

See Notes to Financial Statements.

71

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Fund Portfolio

SHARES	SECURITY	VALUE
TELECOMMUNICATION SERVICES — 3.4%
Diversified Telecommunication Services — 3.4%
2,738	ALLTEL Corp.	$	170,523
16,566	BellSouth Corp.		440,158
24,444	SBC Communications, Inc.		580,545
2,038	Verizon Communications, Inc.		70,413
	TOTAL TELECOMMUNICATION SERVICES		1,261,639
UTILITIES — 1.7%
Electric Utilities — 1.2%
4,034	Consolidated Edison, Inc.		188,953
797	Exelon Corp.		40,910
6,450	Southern Co.		223,621
			453,484
Gas Utilities — 0.3%
3,001	KeySpan Corp.		122,141
Water Utilities — 0.2%
1,997	Aqua America, Inc.		59,391
	TOTAL UTILITIES		635,016
	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $29,031,212)		35,230,154

FACE
AMOUNT
SHORT-TERM INVESTMENT — 5.7%
Repurchase Agreement — 5.7%
$2,104,000	State Street Bank & Trust Co., dated 6/30/05, 2.550% due 7/1/05; Proceeds at maturity — $2,104,149; (Fully collateralized by U.S. Treasury Bond, 7.125% due 2/15/23; Market value — $2,149,443) (Cost — $2,104,000)		2,104,000
	TOTAL INVESTMENTS — 100.0% (Cost — $31,135,212#)		37,334,154
	Other Assets in Excess of Liabilities — 0.0%		12,342
	TOTAL NET ASSETS — 100.0%	$	37,346,496

*	Non-income producing security.
#	Aggregate cost for Federal income tax purposes is substantially the same.
	Abbreviation used in this schedule: ADR — American Depositary Receipt

See Notes to Financial Statements.

72

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Mid Cap Value Portfolio

SHARES		SECURITY	VALUE
COMMON STOCK — 94.5%
CONSUMER DISCRETIONARY — 17.1%
Hotels, Restaurants & Leisure — 0.9%
	1,280	Ruby Tuesday, Inc.	$	33,152
Household Durables — 2.3%
	850	American Greetings Corp., Class A Shares		22,525
	530	Whirlpool Corp.		37,158
	750	Yankee Candle Co., Inc.		24,075
				83,758
Leisure Equipment & Products — 2.7%
	1,490	Eastman Kodak Co.		40,006
	3,190	Mattel, Inc.		58,377
				98,383
Media — 4.2%
	1,405	Entercom Communications Corp.*		46,773
	3,600	Interpublic Group of Cos., Inc.*		43,848
	1,540	Regal Entertainment Group, Class A Shares		29,075
	890	Tribune Co.		31,310
				151,006
Multi-Line Retail — 1.7%
	850	Federated Department Stores, Inc.		62,288
Specialty Retail — 4.2%
	4,170	Blockbuster, Inc.		38,030
	2,945	Foot Locker, Inc.		80,163
	1,060	Tiffany & Co.		34,726
				152,919
Textiles, Apparel & Luxury Goods — 1.1%
	960	Liz Claiborne, Inc.		38,170
		TOTAL CONSUMER DISCRETIONARY		619,676
CONSUMER STAPLES — 4.8%
Beverages — 0.7%
	400	Molson Coors Brewing Co., Class B Shares		24,800
Food & Staples Retailing — 3.2%
	2,020	BJ’s Wholesale Club, Inc.*		65,630
	1,755	CVS Corp.		51,018
				116,648
Food Products — 0.9%
	70	ConAgra Foods, Inc.		1,621
	850	Dean Foods Co.*		29,954
				31,575
		TOTAL CONSUMER STAPLES		173,023

See Notes to Financial Statements.

73

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Mid Cap Value Portfolio

SHARES		SECURITY	VALUE
ENERGY — 6.5%
Energy Equipment & Services — 2.3%
	625	ENSCO International, Inc.	$	22,344
	345	Nabors Industries Ltd.*		20,914
	405	Transocean, Inc.*		21,858
	340	Weatherford International Ltd.*		19,713
				84,829
Oil, Gas & Consumable Fuels — 4.2%
	420	Ashland, Inc.*		30,185
	750	Devon Energy Corp.		38,010
	630	Occidental Petroleum Corp.		48,466
	850	Pioneer Natural Resources Co.		35,768
				152,429
		TOTAL ENERGY		237,258
FINANCIALS — 17.6%
Commercial Banks — 5.5%
	530	City National Corp.		38,006
	1,830	Hudson City Bancorp, Inc.		20,880
	880	KeyCorp		29,172
	750	Marshall & Ilsley Corp.		33,338
	755	North Fork Bancorporation, Inc.		21,208
	825	Sovereign Bancorp, Inc.		18,431
	530	Zions Bancorporation		38,971
				200,006
Diversified Financial Services — 5.4%
	1,180	A.G. Edwards, Inc.		53,277
	1,950	Federated Investors, Inc., Class B Shares		58,519
	1,200	Investment Technology Group, Inc.*		25,224
	3,230	Providian Financial Corp.*		56,945
				193,965
Insurance — 6.7%
	735	Assurant, Inc.		26,534
	1,180	Platinum Underwriters Holdings Ltd.		37,548
	630	SAFECO Corp.		34,234
	2,450	UnumProvident Corp.		44,884
	100	White Mountains Insurance Group Ltd.		63,090
	1,120	Willis Group Holdings Ltd.		36,646
				242,936
		TOTAL FINANCIALS		636,907

See Notes to Financial Statements.

74

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Mid Cap Value Portfolio

SHARES		SECURITY	VALUE
HEALTH CARE — 9.8%
Health Care Equipment & Supplies — 1.0%
	1,375	Boston Scientific Corp.*	$	37,125
Health Care Providers & Services — 5.4%
	415	CIGNA Corp.		44,417
	430	Laboratory Corp. of America Holdings*		21,457
	530	McKesson Corp.		23,739
	4,260	Tenet Healthcare Corp.*		52,142
	975	Triad Hospitals, Inc.*		53,274
				195,029
Pharmaceuticals — 3.4%
	2,770	IVAX Corp.*		59,555
	1,155	Mylan Laboratories, Inc.		22,222
	670	Par Pharmaceutical Cos., Inc.*		21,313
	1,400	Perrigo Co.		19,516
				122,606
		TOTAL HEALTH CARE		354,760
INDUSTRIALS — 13.5%
Airlines — 0.5%
	1,280	Southwest Airlines Co.		17,830
Building Products — 1.0%
	925	American Standard Cos., Inc.		38,776
Commercial Services & Supplies — 6.6%
	2,800	BISYS Group, Inc.*		41,832
	530	Dun & Bradstreet Corp.*		32,675
	765	H&R Block, Inc.		44,638
	1,595	R.R. Donnelley & Sons Co.		55,043
	1,810	Republic Services, Inc.		65,178
				239,366
Industrial Conglomerates — 1.8%
	2,900	Safeway, Inc.		65,511
Machinery — 1.9%
	1,110	Flowserve Corp.*		33,589
	370	ITT Industries, Inc.		36,123
				69,712
Road & Rail — 0.7%
	430	Canadian National Railway Co.		24,790
Trading Companies & Distributors — 1.0%
	655	W. W. Grainger, Inc.		35,887
		TOTAL INDUSTRIALS		491,872

See Notes to Financial Statements.

75

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Mid Cap Value Portfolio

SHARES		SECURITY	VALUE
INFORMATION TECHNOLOGY — 8.1%
Communications Equipment — 1.3%
	775	Scientific-Atlanta, Inc.	$	25,784
	2,550	Tellabs, Inc.*		22,185
				47,969
Computers & Peripherals — 2.4%
	1,180	Imation Corp.		45,772
	1,175	Storage Technology Corp.*		42,641
				88,413
Electronic Equipment & Instruments — 1.0%
	3,475	Symbol Technologies, Inc.		34,298
Internet Software & Services — 1.5%
	2,240	IAC/InterActiveCorp*		53,872
IT Services — 0.5%
	2,650	Unisys Corp.*		16,775
Software — 1.4%
	960	Symantec Corp.*		20,870
	1,280	VERITAS Software Corp.*		31,232
				52,102
		TOTAL INFORMATION TECHNOLOGY		293,429
MATERIALS — 7.0%
Chemicals — 3.0%
	900	Air Products & Chemicals, Inc.		54,270
	850	PPG Industries, Inc.		53,346
				107,616
Containers & Packaging — 1.5%
	1,550	Ball Corp.		55,738
Metals & Mining — 1.3%
	750	Freeport-McMoRan Copper & Gold, Inc., Class B Shares		28,080
	210	Phelps Dodge Corp.		19,425
				47,505
Paper & Forest Products — 1.2%
	1,490	MeadWestvaco Corp.		41,780
		TOTAL MATERIALS		252,639
TELECOMMUNICATION SERVICES — 1.7%
Diversified Telecommunication Services — 1.7%
	1,440	CenturyTel, Inc.		49,867
	2,700	Cincinnati Bell, Inc.*		11,610
		TOTAL TELECOMMUNICATION SERVICES		61,477

See Notes to Financial Statements.

76

 Schedules of Investments (unaudited) (continued) June 30, 2005 

Pioneer Mid Cap Value Portfolio

SHARES		SECURITY	VALUE
UTILITIES — 8.4%
Electric Utilities — 6.2%
	705	Edison International	$	28,588
	530	Entergy Corp.		40,041
	490	NRG Energy, Inc.*		18,424
	1,270	NSTAR		39,154
	1,280	PG&E Corp.		48,051
	4,100	Reliant Energy, Inc.*		50,758
				225,016
Gas Utilities — 0.4%
	530	Atmos Energy Corp.		15,264
Independent Power Producers & Energy Traders — 1.8%
	750	Constellation Energy Group, Inc.		43,268
	270	TXU Corp.		22,434
				65,702
		TOTAL UTILITIES		305,982
		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $3,243,557)		3,427,023

FACE
AMOUNT
SHORT-TERM INVESTMENT — 6.0%
Repurchase Agreement — 6.0%
$	218,000	State Street Bank & Trust Co., dated 6/30/05, 2.550% due 7/1/05; Proceeds at maturity — $218,015; (Fully collateralized by U.S. Treasury Bonds, 7.125% due 2/15/23; Market value — $226,619) (Cost — $218,000)		218,000
		TOTAL INVESTMENTS — 100.5% (Cost — $3,461,557#)		3,645,023
		Liabilities in Excess of Other Assets — (0.5)%		(19,541	)
		TOTAL NET ASSETS — 100.0%	$	3,625,482

*	Non-income producing security.
#	Aggregate cost for Federal income tax purposes is substantially the same.

See Notes to Financial Statements.

77

 Statements of Assets and Liabilities (unaudited) June 30, 2005 

							Pioneer
		U.S. Government		Pioneer			Mid Cap
		Securities		Fund			Value
		Portfolio		Portfolio			Portfolio
ASSETS:
	Investments, at cost	$	239,527,711	$	29,031,212		$	3,243,557
	Short-term investment, at cost		82,172,000		2,104,000			218,000
	Investments, at value	$	252,221,701	$	35,230,154		$	3,427,023
	Short-term investment, at value		82,172,000		2,104,000			218,000
	Dividends and interest receivable		1,576,206		43,338			3,276
	Receivable for Fund shares sold		316,149		28,722			2,604
	Receivable for securities sold		—		—			46,001
	Prepaid expenses		724		83			—
	Receivable from investment adviser		—		—			5,698
	Total Assets		336,286,780		37,406,297			3,702,602
LIABILITIES:
	Payable for securities purchased		75,039,609		—			61,037
	Payable for Fund shares repurchased		146,033		—			—
	Deferred dollar roll income		75,929		—			—
	Investment advisory fees payable		68,417		22,743			—
	Administration fees payable		12,702		1,819			170
	Audit fees		12,315		14,834			4,898
	Due to custodian		9,898		9,731			1,362
	Trustees’ fees payable		—		—			1,633
	Accrued expenses		35,584		10,674			8,020
	Total Liabilities		75,400,487		59,801			77,120
Total Net Assets		$	260,886,293	$	37,346,496		$	3,625,482
NET ASSETS:
	Paid-in capital (Note 4)	$	241,602,176	$	44,831,128		$	3,430,778
	Undistributed net investment income		5,044,645		173,512			3,837
	Accumulated net realized gain (loss) on investment transactions		1,545,482		(13,857,086	)		7,401
	Net unrealized appreciation on investments		12,693,990		6,198,942			183,466
Total Net Assets		$	260,886,293	$	37,346,496		$	3,625,482
Shares Outstanding			19,414,041		3,141,865			341,468
Net Asset Value			$13.44		$11.89			$10.62

See Notes to Financial Statements.

78

 Statements of Operations (unaudited) For the Six Months or Period Ended June 30, 2005 

							Pioneer
		U.S. Government		Pioneer			Mid Cap
		Securities		Fund			Value
		Portfolio		Portfolio			Portfolio*
INVESTMENT INCOME:
	Interest	$	5,554,018	$	15,609		$	1,385
	Dividends		—		333,800			7,868
	Less: Foreign taxes withheld		—		(5,586	)		(13	)
	Total Investment Income		5,554,018		343,823			9,240
EXPENSES:
	Investment advisory fees (Note 2)		386,184		125,852			4,052
	Administration fees (Note 2)		71,671		10,068			324
	Legal fees		14,180		9,995			3,698
	Custody		13,976		8,470			2,939
	Audit and tax		10,215		9,743			4,898
	Shareholder reports		8,412		1,518			2,939
	Trustees’ fees		2,300		4,060			1,633
	Insurance		1,507		230			—
	Miscellaneous expenses		920		375			612
	Total Expenses		509,365		170,311			21,095
	Less: Investment advisory fee waiver/expense reimbursement (Note 2)		—		—			(15,692	)
	Net Expenses		509,365		170,311			5,403
Net Investment Income			5,044,653		173,512			3,837
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTES 1 AND 3):
	Net Realized Gain		1,545,642		188,409			7,401
	Change in Net Unrealized Appreciation/ Depreciation		6,371,311		(745,286	)		183,466
Net Gain (Loss) on Investments			7,916,953		(556,877	)		190,867
Increase (Decrease) in Net Assets From Operations		$	12,961,606	$	(383,365	)	$	194,704

* For the period May 2, 2005 (inception date) to June 30, 2005.

See Notes to Financial Statements.

79

 Statements of Changes in Net Assets

For the Six Months Ended June 30, 2005 (unaudited)

and the Year Ended December 31, 2004

U.S. GOVERNMENT SECURITIES PORTFOLIO		2005			2004
OPERATIONS:
	Net investment income	$	5,044,653		$	9,421,050
	Net realized gain		1,545,642			409,444
	Change in net unrealized appreciation/depreciation		6,371,311			3,571,197
	Increase in Net Assets From Operations		12,961,606			13,401,691
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
	Net investment income		(194	)		(9,496,007	)
	Net realized gains		(239,219	)		(413,800	)
	Decrease in Net Assets From Distributions to Shareholders		(239,413	)		(9,909,807	)
FUND SHARE TRANSACTIONS (NOTE 4):
	Net proceeds from sale of shares		44,231,173			33,869,285
	Reinvestment of distributions		239,413			9,909,807
	Cost of shares repurchased		(12,627,405	)		(40,832,013	)
	Increase in Net Assets From Fund Share Transactions		31,843,181			2,947,079
Increase in Net Assets			44,565,374			6,438,963
NET ASSETS:
	Beginning of period		216,320,919			209,881,956
	End of period*	$	260,886,293		$	216,320,919
* Includes undistributed net investment income of:			$5,044,645			$186

See Notes to Financial Statements.

80

 Statements of Changes in Net Assets (continued)

For the Six Months Ended June 30, 2005 (unaudited)

and the Year Ended December 31, 2004

PIONEER FUND PORTFOLIO		2005			2004
OPERATIONS:
	Net investment income	$	173,512		$	284,182
	Net realized gain		188,409			655,645
	Change in net unrealized appreciation/depreciation		(745,286	)		2,315,841
	Increase (Decrease) in Net Assets From Operations		(383,365	)		3,255,668
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
	Net investment income		—			(285,115	)
	Decrease in Net Assets From Distributions to Shareholders		—			(285,115	)
FUND SHARE TRANSACTIONS (NOTE 4):
	Net proceeds from sale of shares		6,286,251			5,455,069
	Reinvestment of distributions		—			285,115
	Cost of shares repurchased		(1,189,645	)		(3,478,475	)
	Increase in Net Assets From Fund Share Transactions		5,096,606			2,261,709
Increase in Net Assets			4,713,241			5,232,262
NET ASSETS:
	Beginning of period		32,633,255			27,400,993
	End of period*	$	37,346,496		$	32,633,255
* Includes undistributed net investment income of:		$	173,512			—

See Notes to Financial Statements.

81

 Statements of Changes in Net Assets (continued)

For the Period May 2, 2005 (Inception date)

to June 30, 2005 (unaudited)

PIONEER MID CAP VALUE PORTFOLIO		2005
OPERATIONS:
	Net investment income	$	3,837
	Net realized gain		7,401
	Change in net unrealized appreciation/depreciation		183,466
	Increase in Net Assets From Operations		194,704
FUND SHARE TRANSACTIONS (NOTE 4):
	Net proceeds from sale of shares		3,458,829
	Cost of shares repurchased		(28,051	)
	Increase in Net Assets From Fund Share Transactions		3,430,778
Increase in Net Assets			3,625,482
NET ASSETS:
	Beginning of period		—
	End of period*	$	3,625,482
* Includes undistributed net investment income of:			$3,837

See Notes to Financial Statements.

82

 Financial Highlights

For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:

U.S. GOVERNMENT SECURITIES
PORTFOLIO		2005(1)(2)			2004			2003(2)			2002(2)			2001(2)			2000(2)
Net Asset Value, Beginning of Period			$12.75			$12.59			$13.14			$12.44			$12.22			$11.30
Income (Loss) From Operations:
	Net investment income		0.29			0.58			0.56			0.63			0.69			0.74
	Net realized and unrealized gain (loss)		0.41			0.18			(0.20	)		1.05			0.02			0.84
Total Income From Operations			0.70			0.76			0.36			1.68			0.71			1.58
Less Distributions From:
	Net investment income		(0.00	)(3)		(0.58	)		(0.68	)		(0.89	)		(0.49	)		(0.66	)
	Net realized gains(4)		(0.01	)		(0.02	)		(0.23	)		(0.09	)		—			—
Total Distributions			(0.01	)		(0.60	)		(0.91	)		(0.98	)		(0.49	)		(0.66	)
Net Asset Value, End of Period			$13.44			$12.75			$12.59			$13.14			$12.44			$12.22
Total Return(5)			5.51	%		6.13	%		2.75	%		13.63	%		5.82	%		14.53	%
Net Assets, End of Period (000s)			$260,886			$216,321			$209,882			$243,871			$126,491			$90,970
Ratios to Average Net Assets:
	Gross expenses		0.43	%(6)		0.43	%		0.42	%		0.44	%		0.45	%		0.48	%
	Net expenses(7)		0.43	(6)		0.42	(8)		0.42			0.44			0.45			0.48
	Net investment income		4.22	(6)		4.47			4.23			4.82			5.55			6.46
Portfolio Turnover Rate			75	%(9)		150	% (9)		143	%(9)		165	%		327	%		289	%

(1)	For the six months ended June 30, 2005 (unaudited).
(2)	Per share amounts have been calculated using the average shares method.
(3)	Amount is less than $0.01.
(4)	Distributions from net realized gains include both net realized short-term and long-term capital gains.
(5)	Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Total returns for periods of less than one year are not annualized.
(6)	Annualized.
(7)	As a result of an expense limitation, the ratio of expenses to average net assets of the Fund will not exceed 1.25%.
(8)	The sub-administrator waived a portion of its fees.
(9)	Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 185%, 276% and 168% for the six months ended June 30, 2005, and the years ended December 31, 2004 and 2003, respectively.

See Notes to Financial Statements.

83

 Financial Highlights (continued)

For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:

PIONEER FUND PORTFOLIO		2005(1)			2004(2)			2003(2)			2002(2)			2001(2)			2000(2)
Net Asset Value, Beginning of Period			$12.03			$10.92			$8.94			$13.87			$19.22			$15.91
Income (Loss) From Operations:
	Net investment income		0.06			0.11			0.15			0.32			0.37			0.43
	Net realized and unrealized gain (loss)		(0.20	)		1.11			1.98			(4.47	)		(4.65	)		3.36
Total Income (Loss) From Operations			(0.14	)		1.22			2.13			(4.15	)		(4.28	)		3.79
Less Distributions From:
	Net investment income		—			(0.11	)		(0.15	)		(0.78	)		(0.30	)		(0.45	)
	Net realized gains(3)		—			—			—			—			(0.77	)		(0.03	)
Total Distributions			—			(0.11	)		(0.15	)		(0.78	)		(1.07	)		(0.48	)
Net Asset Value, End of Period			$11.89			$12.03			$10.92			$8.94			$13.87			$19.22
Total Return(4)			(1.16	)%		11.13	%		23.78	%		(30.21	)%		(23.00	)%		24.26	%
Net Assets, End of Period (000s)			$37,346			$32,633			$27,401			$21,561			$39,433			$48,456
Ratios to Average Net Assets:
	Gross expenses		1.01	%(5)		1.12	%		1.12	%		0.90	%		0.81	%		0.84	%
	Net expenses(6)		1.01	(5)		0.99	(7)		1.12			0.90			0.81			0.84
	Net investment income		1.03	(5)		0.98			1.56			2.88			2.18			2.47
Portfolio Turnover Rate			9	%		19	%		98	%		25	%		20	%		22	%

(1)	For the six months ended June 30, 2005 (unaudited).
(2)	Per share amounts have been calculated using the monthly average shares method.
(3)	Distributions from net realized gains include both net realized short-term and long-term capital gains.
(4)	Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Total returns for periods of less than one year are not annualized.
(5)	Annualized.
(6)	As a result of an expense limitation, the ratio of expenses to average net assets of the Fund will not exceed 1.25%.
(7)	The sub-administrator waived a portion of its fees.

See Notes to Financial Statements.

84

 Financial Highlights (continued)

For a share of beneficial interest outstanding throughout the period ended June 30, 2005:

PIONEER MID CAP VALUE PORTFOLIO(1)		2005
Net Asset Value, Beginning of Period			$10.00
Income From Operations:
	Net investment income		0.01
	Net realized and unrealized gain		0.61
Total Income From Operations			0.62
Net Asset Value, End of Period			$10.62
Total Return(2)			6.20	%
Net Assets, End of Period (000s)			$3,625
Ratios to Average Net Assets(3):
	Gross expenses		3.90	%
	Net expenses(4)(5)		1.00
	Net investment income		0.71
Portfolio Turnover Rate			4	%

(1)	For the period May 2, 2005 (inception date) to June 30, 2005 (unaudited).
(2)	Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Total returns for periods of less than one year are not annualized.
(3)	Annualized.
(4)	The investment adviser waived its fees and reimbursed certain expenses.
(5)	As a result of an expense limitation, the ratio of expenses to average net assets of the Fund will not exceed 1.00%. (Expense limitation is contractual through May 1, 2006.)

See Notes to Financial Statements.

85

 Notes to Financial Statements (unaudited)

          1.     Organization and Significant Accounting Policies

      The U.S. Government Securities Portfolio (“USGS”), Pioneer Fund Portfolio (“PFP”) and Pioneer Mid Cap Value Portfolio (“PMCV”) (collectively, “Funds”) are separate diversified investment funds of The Travelers Series Trust (“Trust”). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. Shares of the Trust are offered exclusively for use with certain variable annuity and variable life insurance contracts offered through the separate accounts of various affiliated life insurance companies.

      The following are significant accounting policies consistently followed by the Funds. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ.

      (a) Investment Valuation. Equity securities for which market quotations are available are valued at the last sale price or official closing price on the primary market or exchange on which they trade. Debt securities are valued at the mean between the bid and asked prices provided by an independent pricing service that are based on transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and various relationships between securities. When prices are not readily available, or are determined not to reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Funds calculate their net asset value, the Funds may value these investments at fair value as determined in accordance with the procedures approved by the Funds’ Board of Trustees. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates market value.

      (b) Repurchase Agreements. When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian takes possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.

      (c) Securities Traded on a To-Be-Announced Basis. The Funds may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, the Funds commit to purchasing or selling securities, which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Funds, normally 15 to 45 days later. Beginning on the date the Funds enter into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are subject to market fluctuations and their current value is determined in the same manner as for other securities.

      (d) Mortgage Dollar Rolls. The Funds may enter into dollar rolls in which the Funds sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specified future date. During the roll period, the Funds forgo principal and interest paid on the securities. The Funds are compensated by a fee paid by the counterparty, often in the form of a drop in the repurchase price of the securities. Dollar rolls are accounted for as financing arrangements; the fee is accrued into interest income ratably over the term of the dollar roll and any gain or loss on the roll is deferred and realized upon disposition of the rolled security.

      The risk of entering into a mortgage dollar roll is that the market value of the securities the Funds are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Funds’ use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Funds’ obligation to repurchase the securities.

      (e) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend

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 Notes to Financial Statements (unaudited) (continued)

income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after the Funds determine the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method.

      (f) Distributions to Shareholders. Distributions from net investment income and net realized gains, if any, are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.

      (g) Federal and Other Taxes. It is the Funds’ policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, the Funds intend to distribute substantially all of their taxable income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

      (h) Reclassification. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.

          2.     Investment Advisory Agreement, Administration Agreement and Other Transactions with Affiliates

      Travelers Asset Management International Company, (“TAMIC”), an indirect wholly-owned subsidiary of Citigroup Inc. (“Citigroup”), acts as investment adviser to the Funds. USGS pays TAMIC an investment advisory fee calculated at the annual rate of 0.3233% of its average daily net assets. This fee is calculated daily and paid monthly. PFP and PMCV pay TAMIC an investment advisory fee calculated daily and paid monthly at the annual rate of the Fund’s average daily net assets as follows:

	Investment
Average Daily Net Assets	Advisory Fee
First $250 million		0.750%
Next $250 million		0.700%
Next $500 million		0.675%
Next $1 billion		0.650%
Over $2 billion		0.600%

      TAMIC has entered into a sub-advisory agreement with Pioneer Investment Management, Inc. (“Pioneer”). Pursuant to the sub-advisory agreement, Pioneer is responsible for the day-to-day fund operations and investment decisions for PFP and PMCV and is compensated by TAMIC for such service at the following annual rates:

	Sub-Advisory
Average Daily Net Assets	Fee
First $250 million		0.375%
Next $250 million		0.325%
Next $500 million		0.300%
Next $1 billion		0.275%
Over $2 billion		0.225%

      The Travelers Insurance Company (“TIC”), another indirect wholly-owned subsidiary of Citigroup, acts as the Funds’ administrator. As compensation for its services, the Funds pay TIC an administration fee calculated at the annual rate of 0.06% of each respective Fund’s average daily net assets. This fee is calculated daily and paid monthly.

      TIC has entered into a sub-administrative services agreement with Smith Barney Fund Management LLC (“SBFM”), another indirect wholly-owned subsidiary of Citigroup. TIC pays SBFM, as sub-administrator, a fee calculated at an annual

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 Notes to Financial Statements (unaudited) (continued)

rate of 0.02% of the respective average daily net assets of each Fund, plus $30,000 per Fund, subject to a maximum of 0.06% of each respective Fund’s average daily net assets.

      During the six months ended June 30, 2005, the Funds had contractual expense limitations in place of 1.25% for USGS and PFP, and 1.00% contractual through May 1, 2006 for PMCV. The expense limitation for USGS is renewed annually and can be terminated at any time by TIC with 60 days’ notice.

      For the period ended June 30, 2005, TAMIC waived all of its investment advisory fee in the amount of $4,052 for PMCV. In addition, TAMIC reimbursed a portion of PMCV’s expenses in the amount of $11,640.

      Citicorp Trust Bank, fsb. (“CTB”), another subsidiary of Citigroup, acts as the Funds’ transfer agent. For the six months ended June 30, 2005, the Funds did not pay transfer agent fees to CTB.

      During the period ended June 30, 2005, Citigroup Global Markets Inc., another wholly-owned subsidiary of Citigroup, and its affiliate received brokerage commissions in the amount of $16 from PMCV.

      One Trustee and all officers of the Trust are employees of Citigroup or its affiliates and do not receive compensation from the Trust.

          3.     Investments

      During the period ended June 30, 2005, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) and U.S. Government & Agency Obligations were as follows:

	USGS		PFP		PMCV
Investments
Purchases	$	—	$	6,974,696	$	3,370,329
Sales		10,200,781		2,884,308		134,172
U.S. Government & Agency Obligations
Purchases		213,067,711		—		—
Sales		161,155,912		—		—

      At June 30, 2005, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

	USGS			PFP			PMCV
Gross unrealized appreciation	$	13,127,588		$	6,726,145		$	224,915
Gross unrealized depreciation		(433,598	)		(527,203	)		(41,449	)
Net unrealized appreciation	$	12,693,990		$	6,198,942		$	183,466

      During the six months ended June 30, 2005, USGS entered into mortgage dollar roll transactions in the aggregate amount of $251,629,718. For the six months ended June 30, 2005, USGS recorded interest income of $523,184 related to such transactions. PFP and PMCV did not have any outstanding mortgage dollar rolls.

      At June 30, 2005, USGS had outstanding mortgage dollar rolls with a total cost of $74,788,237 for scheduled settlements on July 14, 2005, July 19, 2005 and July 21, 2005.

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 Notes to Financial Statements (unaudited) (continued)

          4.     Shares of Beneficial Interest

      The Declaration of Trust authorizes the issuance of an unlimited number of shares of beneficial interest without par value. Transactions in shares of each Fund were as follows:

	Six Months Ended			Year Ended
	June 30, 2005			December 31, 2004
USGS
Shares sold		3,406,503			2,694,130
Shares issued in reinvestment		17,800			782,509
Shares repurchased		(971,496	)		(3,182,023	)
Net Increase		2,452,807			294,616
PFP
Shares sold		529,138			490,843
Shares issued in reinvestment		—			23,720
Shares repurchased		(100,507	)		(309,976	)
Net Increase		428,631			204,587
PMCV†
Shares sold		344,163			—
Shares repurchased		(2,695	)		—
Net Increase		341,468			—

† For the period May 2, 2005 (inception date) to June 30, 2005.

          5.     Capital Loss Carryforward

      As of December 31, 2004 the Funds had net capital loss carryforwards as follows:

Year of Expiration	SAS		PFP
12/31/2009	$	1,710,995	$	389,670
12/31/2010		8,136,777		12,362,910
12/31/2011		1,560,614		1,284,282
	$	11,408,386	$	14,036,862

These amounts will be available to offset any future taxable capital gains.

          6.     Additional Information

      On May 31, 2005, the U.S. Securities and Exchange Commission (“SEC”) issued an order in connection with the settlement of an administrative proceeding against Smith Barney Fund Management LLC (“SBFM”) and Citigroup Global Markets Inc. (“CGMI”) relating to the appointment of an affiliated transfer agent for the Smith Barney family of mutual funds (the “Funds”), which includes the Funds (“TL&A Funds”).

      The SEC order finds that SBFM and CGMI willfully violated Section 206(1) of the Investment Advisers Act of 1940 (“Advisers Act”). Specifically, the order finds that SBFM and CGMI knowingly or recklessly failed to disclose to the boards of the Funds in 1999 when proposing a new transfer agent arrangement with an affiliated transfer agent that First Data Investors Services Group (“First Data”), the Funds’ then-existing transfer agent, had offered to continue as transfer agent and do the same work for substantially less money than before. Additionally, the SEC order finds that Citigroup Asset Management (“CAM”), the Citigroup business unit that includes each Fund’s sub-administrator, SBFM, had entered into a side letter with First Data under which CAM agreed to recommend the appointment of First Data as sub-transfer agent to the affiliated transfer agent in exchange, among other things, for a guarantee by First Data of specified amounts of asset

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 Notes to Financial Statements (unaudited) (continued)

management and investment banking fees to CAM and CGMI. The order also finds that SBFM and CGMI willfully violated Section 206(2) of the Advisers Act by virtue of the omissions discussed above and other misrepresentations and omissions in the materials provided to the Funds’ boards, including the failure to make clear that the affiliated transfer agent would earn a high profit for performing limited functions while First Data continued to perform almost all of the transfer agent functions, and the suggestion that the proposed arrangement was in the Funds’ best interests and that no viable alternatives existed. SBFM and CGMI do not admit or deny any wrongdoing or liability. The settlement does not establish wrongdoing or liability for purposes of any other proceeding.

      The SEC censured SBFM and CGMI and ordered them to cease and desist from violations of Sections 206(1) and 206(2) of the Advisers Act. The order requires Citigroup to pay $208.1 million, including $109 million in disgorgement of profits, $19.1 million in interest, and a civil money penalty of $80 million. Approximately $24.4 million has already been paid to the Funds, primarily through fee waivers. In addition, Travelers Life & Annuity and CAM reviewed the adequacy and accuracy of the disclosure provided to the TL&A Fund boards at the time the revised transfer agency arrangement was discussed with the boards and concluded that the transfer agency fees paid to CTB, for the period from June 1, 1999 to August 23, 2004, by the TL&A Funds that did not have expense caps in effect should be reimbursed with interest to the TL&A Funds. The reimbursement occurred on November 1, 2004.

      The remaining $183.7 million to be paid under the SEC order, including the penalty, has been paid to the U.S. Treasury and will be distributed pursuant to a plan to be prepared by Citigroup and submitted within 90 days of the entry of the order for approval by the SEC. The order also requires that transfer agency fees received from the Funds since December 1, 2004 less certain expenses be placed in escrow and provides that a portion of such fees may be subsequently distributed in accordance with the terms of the order.

      The order requires SBFM to recommend a new transfer agent contract to the Fund boards within 180 days of the entry of the order.

      At this time, there is no certainty as to how the proceeds of the settlement will be distributed, to whom such distributions will be made, the methodology by which such distributions will be allocated, and when such distributions will be made. Although there can be no assurance, Citigroup does not believe that this matter will have a material adverse effect on the Funds.

          7.     Other Matters

      On June 24, 2005, Citigroup announced that it has signed a definitive agreement under which Citigroup will sell substantially all of its worldwide asset management business to Legg Mason, Inc. (“Legg Mason”).

      As part of this transaction, Salomon Brothers Asset Management, Inc. (“Salomon”) the sub-adviser for USGS effective July 1, 2005, currently an indirect wholly owned subsidiary of Citigroup, would become an indirect wholly owned subsidiary of Legg Mason.

      The transaction is subject to certain regulatory approvals, as well as other customary conditions to closing. Subject to such approvals and the satisfaction of the other conditions, Citigroup expects the transaction to be completed later this year.

          8.     Subsequent Events

      On July 1, 2005, MetLife, Inc., a Delaware corporation (“MetLife”), acquired all of the outstanding shares of capital stock of certain indirect subsidiaries held by Citigroup, including TIC, The Travelers Life and Annuity Company, a wholly owned subsidiary of TIC and certain other domestic insurance companies of Citigroup and substantially all of Citigroup’s international insurance businesses for $11.8 billion. The sale also included TIC’s affiliated investment adviser, TAMIC, which serves as the investment adviser to the Funds.

      TIC filed a Form 8-K Current Report with The United States Securities and Exchange Commission on July 8, 2005, with additional information about the transaction.

      On July 1, 2005, Salomon began to perform subadvisory services under a Subadvisory Agreement between TAMIC and Salomon for USGS.

      Also effective July 1, 2005, PFPC Inc. replaced CTB as transfer agent for the Funds and State Street Bank and Trust Company replaced SBFM as sub-administrator for the Funds.

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 Notes to Financial Statements (unaudited) (continued)

          9.     Change in Independent Registered Public Accounting Firm

      KPMG LLP was previously the independent registered public accounting firm for the Funds. In connection with the transaction described in Note 8, the decision to change the independent registered public accounting firm was approved by the Audit Committee and by the Board of Trustees, resulting in Deloitte and Touche LLP’s appointment as independent registered public accounting firm.

      The reports on the financial statements of the Funds audited by KPMG LLP through the year ended December 31, 2004 did not contain an adverse opinion or disclaimer of opinion, and were not qualified or modified as to uncertainty, audit scope or accounting principles. There were no disagreements between the Funds and KPMG LLP on any matters of accounting principles or practices, financial statement disclosure, or auditing scope or procedures.

91

 Factors Considered by the Independent Trustees in Approving The Investment Advisory and
 The Subadvisory Agreements (unaudited)

      Beginning at a telephonic meeting on March 17, 2005 and in person meetings on March 29 and 30, 2005, the Independent Trustees for the Managed Assets Trust, the High Yield Bond Trust, the Capital Appreciation Fund, the Money Market Portfolio and the Travelers Series Trust: U.S. Government Securities Portfolio, the Pioneer Fund Portfolio, and the Pioneer Mid Cap Value Portfolio (together the “Portfolios”) approved the investment advisory Agreements (the “Agreements”) between TAMIC and the Portfolios. In addition, at the in-person meetings on March 29 and 30, 2005 and April 27 and 28, 2005, the Independent Trustees approved investment subadvisory agreements (“Subadvisory Agreements”) between TAMIC and Salomon Brothers Asset Management Inc. (“Salomon”) for the Managed Assets Trust, the High Yield Bond Trust, the Money Market Portfolio and the Travelers Series Trust: U.S. Government Securities Portfolio, between TAMIC and TIMCO for the Managed Assets Trust, between TAMIC and Janus for the Capital Appreciation Fund, and between TAMIC and Pioneer for the Travelers Series Trust: the Pioneer Fund Portfolio. At an in-person meeting on January 19, 2005, and on March 29 and 30, 2005 the Independent Trustees approved the Agreements and the Subadvisory Agreements for the Pioneer Mid Cap Value Portfolio. In voting to approve the Agreements and the Subadvisory Agreements, the Independent Trustees considered whether the approval of the Agreements and the Subadvisory Agreements would be in the best interests of the Portfolios and their shareholders, an evaluation largely based on the nature and quality of the services provided under the Agreements and the Subadvisory Agreements and the overall fairness of the Agreements and the Subadvisory Agreements to the shareholders.

      The Independent Trustees did not identify any one factor, piece of information or written document as all important or controlling, and each Independent Trustee attributed different weight to different factors. Prior to voting, the Independent Trustees reviewed the proposed continuance of the Agreements and the Subadvisory Agreements with management and with experienced independent and fund counsel and received materials from counsel discussing the legal standards for their consideration of the proposed continuation of the Agreements and the Subadvisory Agreements. The Independent Trustees also reviewed the proposed continuation of the Agreements and the Subadvisory Agreements in private sessions alone and with their independent counsel at which no representatives of management were present. Based on an evaluation of all material factors including those described below, the Independent Trustees concluded that the Agreements and the Subadvisory Agreements were reasonable and fair and in the best interest of the Portfolios and their shareholders.

      As background, MetLife Inc. (“MetLife”) and Citigroup Inc. (“Citigroup”) announced an agreement for the sale of The Travelers Insurance Company and certain affiliates by Citigroup to MetLife (the “MetLife Transaction”). The MetLife Transaction included the acquisition of TAMIC, a subsidiary of The Travelers Insurance Company and the investment adviser to the Portfolios, by MetLife. The MetLife Transaction closed on July 1, 2005. The approval of the Agreements and the TIMCO, Janus and Pioneer Subadvisory Agreements was necessary because under the 1940 Act, the change in control of TAMIC resulted in the termination of the then current investment advisory and subadvisory agreements for the Portfolios on the closing of the MetLife Transaction. The approval of the Salomon Subadvisory Agreements was necessary because there were no Salomon Subadvisory Agreements in place prior to the closing of the MetLife Transaction. The Agreements and the Subadvisory Agreements for the Portfolios were approved by the Independent Trustees and the Agreements were submitted to a vote of the shareholders.

      The Independent Trustees met in executive session and considered: (a) the nature, extent and quality of the services to be provided by TAMIC and by Salomon, TIMCO, Pioneer, and Janus (the “subadvisors”) under the Agreements and the Subadvisory Agreements; (b) the investment performance of the Portfolio, TAMIC and the subadvisors; (c) the cost of services to be provided and the profit realized by TAMIC and the subadvisors and their affiliates, which information was to be reviewed in depth at the July, 2005 Board meeting; (d) the extent to which TAMIC realizes economies of scale as each Portfolio grows; and (e) whether the fee levels reflect these economies of scale for the benefit of the shareholders.

The Agreements (except the Agreement for the Pioneer Mid Cap Value Portfolio)

      As part of the process, legal counsel to the Portfolios requested certain information from MetLife and in response MetLife provided certain written and oral information that addressed certain factors designed to inform the Independent Trustees regarding their consideration of the Agreements. In making their determination, the Independent Trustees were provided with information about MetLife and its purchase of The Travelers Insurance Company from Citigroup. At the various meetings, MetLife representatives discussed MetLife’s intentions regarding the preservation and strengthening of TAMIC’s business and MetLife’s intentions regarding staffing changes and executive leadership changes at TAMIC. The MetLife representatives also discussed and provided certain written information on MetLife’s business and products,

92

 Factors Considered by the Independent Trustees in Approving The Investment Advisory and
 The Subadvisory Agreements (unaudited) (continued)

including MetLife’s advisory subsidiaries and their experience in overseeing subadvised mutual funds. The Independent Trustees also discussed the plans and anticipated role and responsibilities of certain of the employees and officers after the MetLife Transaction.

      With respect to the nature, scope and quality of the services to be provided by TAMIC after the MetLife Transaction, the Board considered the experience of MetLife’s advisory subsidiaries and the mutual funds advised by them and also MetLife’s efforts to build and maintain a strong investment team in TAMIC. The Board also considered the level and depth of knowledge of TAMIC, including the professional experience and qualifications of its personnel as well as current staffing levels. The Independent Trustees also considered:

•  the ability of TAMIC to continue the oversight of both the investment and compliance operations of the subadvisers after the MetLife transaction,

•  the intention of MetLife to integrate The Travelers Insurance Company and its affiliates, including TAMIC, into MetLife’s current businesses to create a single business operation,

•  MetLife’s compliance with certain conditions set forth in Section 15(f) of the 1940 Act regarding placing unfair burdens on the Portfolios,

•  anticipated changes to back office operations to the Portfolios, including the provision of administrative and transfer agency services, after the MetLife Transaction, and

•  the fact that the Agreements including the investment advisory fees would be identical to the current Agreements, except for the inception date and the express authority for TAMIC to retain subadvisers.

      In addition, the Independent Trustees noted that the performance of the Portfolios, which the Independent Trustees receive and review on a quarterly basis, had generally been satisfactory. As to the profits realized by TAMIC from its relationship with the Portfolios, the Board noted that it was satisfied that TAMIC’s profits were not excessive in the past, and that it was not possible to predict how the MetLife Transaction would affect such profits at this time, but would reconsider this factor in connection with its annual review of the Agreements under Section 15(c) of the 1940 Act in July 2005. As to whether economies of scale would be realized as the Portfolios grow and whether fee levels reflect any such economies of scale, the Board noted that investment advisory fees for certain Portfolios included breakpoints that reduced fees payable at the higher asset levels and noted its intention to explore the possibility of instituting breakpoints for the other Portfolios. Finally, the Independent Trustees considered the level of service expected to be provided by TAMIC after the MetLife Transaction.

      The Independent Trustees considered their plans to perform the annual review of the Agreements pursuant to Section 15(c) of the 1940 Act at their regularly scheduled Board meeting which was scheduled to occur three weeks after the closing of the MetLife Transaction. In light of the continuity of investment management under the Agreements, the short period between the effective date of those Agreements and the upcoming annual review, the information provided by MetLife, and MetLife’s plans to conduct a search for a subadviser for the Portfolios for which Salomon would serve as subadviser, the Board considered the information provided to it sufficient for their consideration of the Agreements at this time.

The Subadvisory Agreements

     a. Managed Assets Trust, High Yield Bond Trust, Money Market Portfolio and U.S. Government Securities Portfolio

      MetLife recommended and the Independent Trustees approved the retention of Salomon, which was an affiliate of TAMIC before the MetLife Transaction, as a subadviser for the Portfolios that had been managed directly by TAMIC without a subadviser, effective on or about the date of the MetLife Transaction. For the Managed Assets Trust, Money Market Portfolio and the Travelers Series Trust: U.S. Government Securities Portfolio, the portfolio manager employed by Salomon was also an employee of TAMIC and the then current portfolio manager. With respect to these Portfolios, there would be no change in the day-to-day portfolio management. For the High Yield Bond Trust, the retention of Salomon would result in a change in portfolio manager responsible for the day-to-day management of the High Yield Bond Trust after the closing of the MetLife Transaction. The new Salomon manager made a presentation to the Independent Trustees and answered their questions about his experience and qualifications to manage the High Yield Bond Trust. The Independent Trustees noted that

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 Factors Considered by the Independent Trustees in Approving The Investment Advisory and
 The Subadvisory Agreements (unaudited) (continued)

MetLife may in the future recommend to the Independent Trustees such additional changes to any Portfolios, including changes to the investment objectives, policies and restrictions of the Portfolios or merging one or more Portfolios into other MetLife-sponsored funds, as it determines are appropriate and as permitted by applicable law.

      As part of the process, legal counsel to the Portfolios requested certain information from Salomon and in response Salomon provided certain written and oral information that addressed certain factors designed to inform the Independent Trustees regarding their consideration of the Subadvisory Agreements. With respect to the nature, scope and quality of the services to be provided by Salomon after the MetLife Transaction, the Board considered the experience and commitment of Salomon’s personnel and its nature and quality of its investment process. The Independent Trustees noted that the performance of the Portfolios had been satisfactory. In determining whether the terms of the Subadvisory Agreements are reasonable and fair the Board considered the terms and structure of the Agreements. The Board reviewed information about the fee schedule for the Subadvisory Agreements. In evaluating the subadvisory fees, the Independent Trustees considered that the investment subadvisory fees were paid by TAMIC out of the investment advisory fees it received under the Agreements. So, the cost of the services to be provided by Salomon, the profitability to Salomon with regard to the Portfolios along with the economies of scale in its management of the Portfolios were not material to the consideration of the Subadvisory Agreement by the Independent Trustees. The Independent Trustees noted that the overall investment advisory fee was not changing. The Independent Trustees considered their plans to perform the annual review of the Subadvisory Agreements pursuant to Section 15(c) of the 1940 Act at their regularly scheduled Board meeting which was scheduled to occur three weeks after the MetLife Transaction. In light of the continuity of portfolio management under the Subadvisory Agreements (except for the High Yield Bond Trust) and with respect to the High Yield Bond Trust, the Independent Trustees opportunity to interview the new Salomon portfolio manager, the short period between the effective date of those Agreements and the upcoming annual review, the information provided by Salomon, and MetLife’s plans to conduct a search for a sub advisor for the Portfolios for which Salomon would serve as temporary sub adviser, the Board considered the information provided to it sufficient for their consideration of the Subadvisory Agreements at this time.

b. Managed Assets Trust, Capital Appreciation Fund, and the Pioneer Fund Portfolio

      MetLife recommended and the Independent Trustees approved the Subadvisory Agreements for the Portfolios. As discussed above, the change in control of TAMIC resulted in the termination of TAMIC’s previous subadvisory agreements with the subadvisers on the closing of the MetLife Transaction. With respect to the nature, scope and quality of the services to be provided by the subadvisers after the MetLife Transaction, the Board considered that the MetLife Transaction was not expected to affect the subadvisers or their services. The Independent Trustees also noted that the subadvisory fees would not change under the Subadvisory Agreement. In evaluating the subadvisory fees, the Independent Trustees considered that the investment subadvisory fees were paid by TAMIC out of the investment advisory fees it received under the Agreements. So, the cost of services to be provided by the subadvisers the profitability of the subadvisers with regard to the Portfolios along with the economies of scale in their management of the Portfolios were not material to the consideration of the Subadvisory Agreement by the Independent Trustees. The Board also considered that it had received quarterly performance information regarding the Portfolio. The Independent Trustees considered their plans to perform the annual review of the Subadvisory Agreement pursuant to Section 15(c) of the 1940 Act at its regularly scheduled Board meeting which was scheduled to occur three weeks after the closing of the MetLife Transaction. In light of the continuity of portfolio management under the Subadvisory Agreement, the performance of the Portfolio, the short period between the effective date of the Subadvisory Agreement and the upcoming annual review, the Board considered the information provided to it sufficient for its consideration of the Subadvisory Agreement at that time.

The Agreements and Subadvisory Agreements for the Pioneer Mid Cap Value Portfolio

      The Portfolio became operational on May 2, 2005.

      As stated above, on July 1, 2005, Citigroup sold The Travelers Insurance Company and certain of its affiliates, including TAMIC, to MetLife. The change in control of TAMIC resulted in the termination of the Agreement and Subadvisory Agreement on the closing of the MetLife Transaction. Therefore, it was necessary for the Independent Trustees to consider and approve the Agreement and Subadvisory Agreement for the Portfolio dated May 2, 2005 (the “Initial Agreements” and “Initial Subadvisory Agreements”), as well as substantially identical Agreements and Subadvisory Agreements to be dated July 1, 2005 (the “New Agreements” and “New Subadvisory Agreements”).

94

 Factors Considered by the Independent Trustees in Approving The Investment Advisory and
 The Subadvisory Agreements (unaudited) (continued)

The Initial Agreement

      As part of the process, legal counsel to the Portfolio requested certain information from TAMIC and in response TAMIC provided certain written and oral information that addressed certain factors designed to inform the Independent Trustees regarding their consideration of the Initial Agreements. In making their determination, the Independent Trustees were provided with information about the Portfolios and their proposed investment objectives and policies and the proposed fees and expenses of the Portfolios.

      The Independent Trustees considered TAMIC’s substantial experience in overseeing subadvised portfolios and TAMIC’s representations about the expected demand for the new Portfolio. Because the Portfolio had not commenced operations, the Independent Trustees could not consider the performance of the Portfolio. They also could not consider information regarding the profit realized by TAMIC from its relationship with the Portfolios in the past, but noted that it was satisfied that TAMIC’s profits were not excessive generally. The Independent Trustees were provided with information as to the advisory fees and total expenses of other comparable funds, and concluded that the proposed advisory fees for the Portfolio were reasonable and below the average for the group of comparable funds. As to whether economies of scale would be realized as the Portfolio grows and whether fee levels reflect any such economies of scale, the Board noted that proposed investment advisory fees for the Portfolio included breakpoints that reduced fees payable at the higher asset levels.

The New Agreement

      With respect to the New Agreement, legal counsel to the Portfolio requested certain information from MetLife and in response MetLife provided certain written and oral information that addressed certain factors designed to inform the Independent Trustees regarding their consideration of the Agreements. In making their determination, the Independent Trustees were provided with information about MetLife and its purchase of The Travelers Insurance Company from Citigroup. At the various meetings, MetLife representatives discussed MetLife’s intentions regarding the preservation and strengthening of TAMIC’s business and MetLife’s intentions regarding staffing changes and executive leadership changes at TAMIC. The MetLife representatives also discussed and provided certain written information on MetLife’s business and products, including MetLife’s advisory subsidiaries and their experience in overseeing subadvised mutual funds. The Independent Trustees also discussed the plans and anticipated role and responsibilities of certain of the employees and officers after the MetLife Transaction.

      With respect to the nature, scope and quality of the services to be provided by TAMIC after the MetLife Transaction, the Board considered the experience of MetLife’s advisory subsidiaries and the mutual funds advised by them and also MetLife’s efforts to build and maintain a strong investment team in TAMIC. The Board also considered the level and depth of knowledge of TAMIC, including the professional experience and qualifications of its personnel as well as current staffing levels. The Independent Trustees also considered

•  the ability of TAMIC to continue the oversight of both the investment and compliance operations of Pioneer after the MetLife Transaction,

•  the intention of MetLife to integrate The Travelers Insurance Company and its affiliates, including TAMIC, into MetLife’s current businesses to create a single business operation,

•  MetLife’s compliance with certain conditions set forth in Section 15(f) of the 1940 Act regarding placing unfair burdens on the Portfolios,

•  anticipated changes to back office operations to the Portfolios, including the provision of administrative and transfer agency services, after the MetLife Transaction, and

•  the fact that the Agreement including the investment advisory fees would be identical to the current Agreements, except for the inception date.

      The Independent Trustees’ consideration of the New Agreements in terms of Portfolio performance and fees, TAMIC’s profitability, and the realization of economies of scale was substantially the same as its consideration of the Initial Agreements. In addition, as to TAMIC’s profitability, the Board noted that it was not possible to predict how the MetLife Transaction would affect such profits at this time, but that it would reconsider this factor in connection with future reviews. The Independent Trustees considered the level of service expected to be provided by TAMIC after the MetLife Transaction.

95

 Factors Considered by the Independent Trustees in Approving The Investment Advisory and
 The Subadvisory Agreements (unaudited) (continued)

The Initial Subadvisory Agreement

      TAMIC recommended and the Independent Trustees approved the retention of Pioneer as the subadviser for the Portfolio under the Initial Subadvisory Agreement. The Independent Trustees considered the substantial experience of the Subadviser in managing portfolios comparable to the Portfolio, and their favorable experience with Pioneer as an adviser of another portfolio overseen by the Independent Trustees. Because the Portfolio had not commenced operations, the Independent Trustees could not consider the performance of the Portfolio or the profits realized by Pioneer from its relationship with the Portfolio, although they considered the performance that Pioneer has generated as an adviser to comparable funds. The Independent Trustees were provided with information as to the subadvisory fees of a limited number of other comparable funds, and concluded that the proposed subadvisory fees appeared to be reasonable. As to whether economies of scale would be realized as the Portfolio grows and whether fee levels reflect any such economies of scale, the Board noted that the proposed subadvisory fees for the Portfolios included breakpoints that reduced fees payable at the higher asset levels. The Board also noted that the investment subadvisory fees were paid by TAMIC out of its investment advisory fees.

The New Subadvisory Agreement

      Also, MetLife recommended and the Independent Trustees approved the New Subadvisory Agreement for the Portfolio. As discussed above, a change in control of TAMIC resulted in the termination of TAMIC’s previous subadvisory contracts with the subadvisers on the closing of the MetLife Transaction. The Board considered that, notwithstanding the termination of the Initial Subadvisory Agreement as a legal matter, the MetLife Transaction was not expected to affect Pioneer or its services including its day-to-day management of the Portfolios. Therefore, the Independent Trustees considered the same factors in approving the New Subadvisory Agreement as it did in approving the Initial Subadvisory Agreement. The Independent Trustees also noted that the subadvisory fees would not change as a result of the MetLife Transaction.

Other Business Relationships

      The Independent Trustees considered other business relationships that MetLife and TAMIC would enter into with Citigroup, including its affiliate Salomon. In connection with the closing of the MetLife Transaction, MetLife, Citigroup and certain of their affiliates entered into a Distribution Agreements under which Citigroup-affiliated broker-dealers will continue to offer certain TIC and MetLife insurance contracts until July 1, 2015. In addition, MetLife, Citigroup and certain of their affiliates entered into an Investment Products Agreements under which certain TIC and MetLife insurance products will include certain Citigroup-sponsored funds as investment options including Salomon advised mutual funds until July 1, 2010.

Conclusion

      Based on the deliberations of the Independent Trustees and their evaluation of the information described above, the Independent Trustees unanimously concluded that (a) the terms of the Agreements and the Subadvisory Agreements are fair and reasonable; (b) the fees are reasonable in light of the services TAMIC and the subadvisors provided to the Portfolios and their shareholders; (d) TAMIC and the subadvisors possess the capabilities to perform the duties required of them under the Agreements and the Subadvisory Agreements; (e) the investment performance of the Portfolios is satisfactory; and (f) the Agreements and the Subadvisory Agreements are approved.

96

 Combined Special Shareholder Meeting (unaudited)

      Combined Special Meeting of the Funds were held on June 23 and adjourned to June 30, 2005.

      There were three proposals submitted to shareholders. Proposal 1 was the approval of the investment advisory contracts between the Funds and TAMIC. The agreements terminated as a matter of law at the closing of the MetLife Transaction. Proposal 2 was the approval of future subadvisory agreements without a shareholder vote. Proposal 3 was the election of a new member of the Board of Trustees, Elizabeth Forget, who is affiliated with MetLife.

      The shareholders approved all proposals.

      The following table sets forth the number of shares voted for, against and withheld as to each Proposal.

Proposal 1

	Number
Managed Assets Trust	of Shares
For		15,133,968.018
Against		773,140.578
Withhold		1,397,718.404
Total		17,304,827.000
High Yield Bond Trust
For		9,795,164.247
Against		477,645.694
Withhold		1,040,717.059
Total		11,313,527.000
Capital Appreciation Fund
For		13,080,368.710
Against		1,078,649.438
Withhold		1,196,266.852
Total		15,355,285.000
Money Market Portfolio
For		273,344,976.606
Against		15,694,479.591
Withhold		35,059,438.803
Total		324,098,895.000
U.S. Government Securities Portfolio
For		16,215,832.073
Against		1,201,142.186
Withhold		1,667,585.741
Total		19,084,560.000

97

 Combined Special Shareholder Meeting (unaudited) (continued)

	Number
Pioneer Fund Portfolio	of Shares
For		2,569,641.486
Against		81,401.508
Withhold		190,170.006
Total		2,841,213.000
Proposal 2
Managed Assets Trust
For		13,798,361.759
Against		2,007,286.196
Withhold		1,499,179.045
Total		17,304,827.000
High Yield Bond Trust
For		9,225,479.118
Against		1,278,770.819
Withhold		809,277.063
Total		11,313,527.000
Capital Appreciation Fund
For		11,904,217.758
Against		2,350,946.878
Withhold		1,100,120.364
Total		15,355,285.000
Money Market Portfolio
For		244,010,811.224
Against		39,303,627.915
Withhold		40,784,455.861
Total		324,098,895.000
U.S. Government Securities Portfolio
For		14,776,618.761
Against		2,448,236.500
Withhold		1,859,704.739
Total		19,084,560.000

98

 Combined Special Shareholder Meeting (unaudited) (continued)

	Number
Pioneer Fund Portfolio	of Shares
For		2,407,828.582
Against		237,505.637
Withhold		195,878.781
Total		2,841,213.000
Proposal 3
Managed Assets Trust
For		16,380,162.951
Against		924,664.049
Total		17,304,827.000
High Yield Bond Trust
For		11,001,074.515
Against		312,452.485
Total		11,313,527.000
Capital Appreciation Fund
For		14,126,980.221
Against		1,228,304.779
Total		15,355,285.000
Money Market Portfolio
For		289,179,058.880
Against		34,919,836.120
Total		324,098,895.000
U.S. Government Securities Portfolio
For		17,844,635.488
Against		1,239,924.512
Total		19,084,560.000
Pioneer Fund Portfolio
For		2,755,950.755
Against		85,262.245
Total		2,841,213.000

99

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Managed Assets Trust, High Yield Bond Trust, Capital Appreciation Fund, Money Market Portfolio and The Travelers Series Trust

________________________________________________________________________________

TRUSTEES*

Elizabeth M. Forget
  Chairperson
Frances M. Hawk, CFA, CFP
Lewis Mandell
Robert E. McGill, III

OFFICERS*

Elizabeth M. Forget
President and Chief
Executive Officer

Peter H. Duffy
Chief Financial Officer and Treasurer

Leonard M. Bakal
Chief Compliance Officer and
Chief Anti-Money Laundering
Compliance Officer

Paul G. Cellupica
Secretary

Jack P. Huntington
Assistant Secretary

* As of July 1, 2005 INVESTMENT MANAGER*
AND ADVISERS

Travelers Asset Management International
 Company LLC

ADMINISTRATOR*

The Travelers Insurance Company

CUSTODIAN*

State Street Bank and Trust Company

TRANSFER AGENT*

PFPC Inc.

Managed Assets Trust, High Yield Bond Trust, Capital Appreciation Fund and Money Market Portfolio are each a Massachusetts business trust. U.S. Government Securities Portfolio, Pioneer Fund Portfolio and Pioneer Mid Cap Value Portfolio are separate investment funds of The Travelers Series Trust, a Massachusetts business trust.

This report is prepared for the general information of variable annuity or life contract owners and is not an offer of shares of Managed Assets Trust, High Yield Bond Trust, Capital Appreciation Fund, Money Market Portfolio, The Travelers Series Trust: U.S. Government Securities Portfolio, Pioneer Fund Portfolio and Pioneer Mid Cap Value Portfolio and is not for use with the general public. All the funds contained in this report may not be available under your variable annuity or life contract.

This report must be preceded or accompanied by a free prospectus. Investors should consider the Funds’ investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other information about the Funds. Please read the prospectus carefully before investing.

The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the Commission’s website at www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form N-Q from the Funds, shareholders can call 1-800-842-9406.

Information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 and a description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling 1-800-842-9406 and (2) on the SEC’s website at www.sec.gov.

VG-181 (Semi-Annual) (8-05) Printed in U.S.A.

ITEM 2. CODE OF ETHICS.

     Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

     Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

     Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

     Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

     Included in reports to stockholders under Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

     Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT COMPANIES.

     Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

     Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

     Not applicable.

ITEM 11. CONTROLS AND PROCEDURES.

(a)	The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.
(b)	There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.
	Effective July 1, 2005, certain changes were made to the registrant’s internal controls over financial reporting in connection with the acquisition of the registrant’s investment adviser by MetLife, Inc. Such changes will be reported in the registrant’s Form N-Q for the fiscal quarter ending September 30, 2005 to be filed, which covers the effective date of such changes.

     ITEM 12. EXHIBITS.

(a)	(1)	Not applicable.
	(2)	Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002.
	(3)	Not applicable.
(b)	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

SIGNATURES

     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.

The Travelers Series Trust
By:	/s/ Elizabeth M. Forget Elizabeth M. Forget Chief Executive Officer of The Travelers Series Trust
Date: September 7, 2005

     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Elizabeth M. Forget Elizabeth M. Forget Chief Executive Officer of The Travelers Series Trust
Date: September 7, 2005
By:	/s/ Peter H. Duffy Peter H. Duffy Chief Financial Officer of The Travelers Series Trust

Date: September 7, 2005