SECURITIES AND EXCHANGE COMMISSION
(Address of principal executive offices) (Zip code)
c/o MetLife, Inc.
One MetLife Plaza
27-01 Queens Plaza North
Long Island City, NY 11101
(Name and address of agent for service)
Date of reporting period: June 30, 2005
The Travelers Series Trust: | |
Style Focus Series: | |
Small Cap Growth Portfolio | |
Small Cap Value Portfolio |
The Travelers Insurance Company
Semi-Annual Report for The Travelers Series Trust: Style Focus Series
Letter from the Chairman | 1 | ||
Fund at a Glance: | |||
Small Cap Growth Portfolio | 3 | ||
Small Cap Value Portfolio | 4 | ||
Fund Expenses | 5 | ||
Schedules of Investments | 7 | ||
Statements of Assets and Liabilities | 29 | ||
Statements of Operations | 30 | ||
Statements of Changes in Net Assets | 31 | ||
Financial Highlights | 33 | ||
Notes to Financial Statements | 35 | ||
Factors Considered by the Independent Trustees in Approving the Investment Advisory and the Subadvisory Agreements | 39 |
Dear Shareholder, The U.S. economy overcame a number of obstacles and continued to expand during the first six months of 2005. 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 past six months 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 since January 2005. All told, the Fed’s nine rate hikes brought the target for the federal funds rate from 1.00% to 3.25%. Since the New Year, the U.S. stock market was relatively flat, with the S&P 500 Indexiv 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 | R. JAY GERKEN, CFA Chairman, President and Chief Executive Officer* | |
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 2000vii Indexes returning 3.92%, 0.11%, and -1.25%, respectively. From a market style perspective, value-oriented stocks outperformed their growth counterparts. |
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. 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 Financial Statements included in this report.
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
July 25, 2005
* | Mr. Gerken resigned as Chairman, President and Chief Executive Officer of the Funds when the MetLife Transaction closed on July 1, 2005. |
1
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. |
2
3
4
Example
As a shareholder of the Fund, 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 May 2, 2005 and held for the period 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.”
Expenses | ||||||||||||||||||||
Beginning | Ending | Annualized | Paid | |||||||||||||||||
Actual Total | Account | Account | Expense | During the | ||||||||||||||||
Return(2) | Value | Value | Ratio | Period(3) | ||||||||||||||||
Small Cap Growth Portfolio | 7.30 | % | $ | 1,000.00 | $ | 1,073.00 | 1.10 | % | $ | 1.87 | ||||||||||
Small Cap Value Portfolio | 8.60 | 1,000.00 | 1,086.00 | 1.10 | 1.89 | |||||||||||||||
(1) | For the period May 2, 2005 (inception date) to June 30, 2005. |
(2) | Assumes reinvestment of dividends and capital gains 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 fee waiver and/or reimbursements) are equal to each Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days since inception, then divided by 365. |
5
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.
Hypothetical | ||||||||||||||||||||
Annualized | Beginning | Ending | Annualized | Expenses Paid | ||||||||||||||||
Total | Account | Account | Expense | During the | ||||||||||||||||
Return | Value | Value | Ratio | Period(2) | ||||||||||||||||
Small Cap Growth Portfolio | 5.00 | % | $ | 1,000.00 | $ | 1,006.41 | 1.10 | % | $ | 1.81 | ||||||||||
Small Cap Value Portfolio | 5.00 | 1,000.00 | 1,006.41 | 1.10 | 1.81 | |||||||||||||||
(1) | For the period May 2, 2005 (inception date) to June 30, 2005. |
(2) | Expenses (net of fee waiver and/or reimbursements) are equal to each Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days since inception, then divided by 365. |
6
Schedules of Investments (unaudited) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
COMMON STOCK — 93.4% | ||||||||
CONSUMER DISCRETIONARY — 16.1% | ||||||||
Automobiles — 0.2% | ||||||||
266 | Thor Industries, Inc. | $ | 8,360 | |||||
Distributors — 0.9% | ||||||||
675 | Beacon Roofing Supply, Inc.* | 17,753 | ||||||
252 | Spectrum Brands, Inc.* | 8,316 | ||||||
261 | WESCO International, Inc.* | 8,190 | ||||||
34,259 | ||||||||
Hotels, Restaurants & Leisure — 3.0% | ||||||||
341 | Alliance Gaming Corp.* | 4,781 | ||||||
59 | Boyd Gaming Corp. | 3,017 | ||||||
561 | CKE Restaurants, Inc. | 7,809 | ||||||
1,025 | Great Canadian Gaming Corp.* | 16,391 | ||||||
232 | Isle of Capri Casinos, Inc.* | 6,078 | ||||||
910 | Mikohn Gaming Corp.* | 13,400 | ||||||
661 | MTR Gaming Group, Inc.* | 7,694 | ||||||
309 | O’Charleys, Inc.* | 5,457 | ||||||
134 | Papa John’s International, Inc.* | 5,356 | ||||||
256 | Penn National Gaming, Inc.* | 9,344 | ||||||
822 | Shuffle Master, Inc.* | 23,041 | ||||||
548 | Sonic Corp.* | 16,730 | ||||||
119,098 | ||||||||
Household Durables — 1.4% | ||||||||
690 | Knoll, Inc. | 11,806 | ||||||
76 | Matthews International Corp., Class A Shares | 2,961 | ||||||
40 | Meritage Homes Corp.* | 3,180 | ||||||
152 | Stanley Furniture Co., Inc. | 3,733 | ||||||
440 | Tempur-Pedic International, Inc.* | 9,759 | ||||||
369 | Topps Co., Inc. | 3,701 | ||||||
238 | Toro Co. | 9,189 | ||||||
285 | WCI Communities, Inc.* | 9,129 | ||||||
53,458 | ||||||||
Internet & Catalog Retail — 0.6% | ||||||||
872 | Insight Enterprises, Inc.* | 17,597 | ||||||
177 | Priceline.com, Inc.* | 4,129 | ||||||
21,726 | ||||||||
Leisure Equipment & Products — 1.7% | ||||||||
580 | Build-A-Bear Workshop, Inc.* | 13,601 | ||||||
1,245 | K2, Inc.* | 15,787 | ||||||
1,070 | Marvel Enterprises, Inc.* | 21,100 | ||||||
463 | Oakley, Inc. | 7,885 | ||||||
211 | RC2 Corp.* | 7,927 | ||||||
66,300 | ||||||||
7
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
Media — 2.3% | ||||||||
2,745 | Harris Interactive, Inc.* | $ | 13,368 | |||||
3,555 | Lions Gate Entertainment Corp.* | 36,474 | ||||||
406 | LodgeNet Entertainment Corp.* | 6,736 | ||||||
452 | Playboy Enterprises, Inc., Class B Shares* | 5,849 | ||||||
243 | Reader’s Digest Association, Inc. | 4,009 | ||||||
771 | Regent Communications, Inc.* | 4,526 | ||||||
1,090 | Sonic Solutions, Inc.* | 20,274 | ||||||
91,236 | ||||||||
Multiline Retail — 0.6% | ||||||||
1,035 | Fred’s, Inc. | 17,160 | ||||||
343 | Retail Ventures, Inc.* | 4,679 | ||||||
21,839 | ||||||||
Specialty Retail — 3.4% | ||||||||
393 | Aaron Rents, Inc. | 9,782 | ||||||
386 | Aeropostale, Inc.* | 12,969 | ||||||
270 | America’s Car-Mart, Inc.* | 6,078 | ||||||
85 | Children’s Place Retail Stores, Inc.* | 3,967 | ||||||
481 | CSK Auto Corp.* | 8,023 | ||||||
569 | DSW, Inc., Class A Shares* | 14,196 | ||||||
190 | Electronics Boutique Holdings Corp.* | 12,063 | ||||||
252 | Gander Mountain Co.* | 2,873 | ||||||
126 | Guitar Center, Inc.* | 7,355 | ||||||
276 | Jos. A. Bank Clothiers, Inc.* | 11,951 | ||||||
421 | Restoration Hardware, Inc.* | 3,444 | ||||||
479 | Select Comfort Corp.* | 10,265 | ||||||
264 | Sports Authority, Inc.* | 8,395 | ||||||
765 | Zumiez, Inc.* | 22,300 | ||||||
133,661 | ||||||||
Textiles, Apparel & Luxury Goods — 2.0% | ||||||||
570 | Carter’s, Inc.* | 33,276 | ||||||
255 | Deckers Outdoor Corp.* | 6,273 | ||||||
240 | K-Swiss, Inc., Class A Shares | 7,762 | ||||||
155 | Oxford Industries, Inc. | 6,673 | ||||||
1,005 | Quiksilver, Inc.* | 16,060 | ||||||
290 | Volcom, Inc.* | 7,763 | ||||||
77,807 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 627,744 | |||||||
CONSUMER STAPLES — 1.4% | ||||||||
Food & Staples Retailing — 0.5% | ||||||||
287 | Performance Food Group Co.* | 8,670 | ||||||
253 | Provide Commerce, Inc.* | 5,462 | ||||||
217 | United Natural Foods, Inc.* | 6,591 | ||||||
20,723 | ||||||||
Household Products — 0.4% | ||||||||
860 | Prestige Brands Holdings, Inc.* | 16,770 | ||||||
8
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
Personal Products — 0.5% | ||||||||
325 | Elizabeth Arden, Inc.* | $ | 7,602 | |||||
528 | Inter Parfums, Inc. | 10,238 | ||||||
17,840 | ||||||||
TOTAL CONSUMER STAPLES | 55,333 | |||||||
ENERGY — 4.3% | ||||||||
Energy Equipment & Services — 1.7% | ||||||||
312 | Cal Dive International, Inc.* | 16,339 | ||||||
1,655 | Grey Wolf, Inc.* | 12,264 | ||||||
148 | GulfMark Offshore, Inc.* | 4,042 | ||||||
145 | Helmerich & Payne, Inc. | 6,803 | ||||||
715 | Key Energy Services, Inc.* | 8,652 | ||||||
390 | Maverick Tube Corp.* | 11,622 | ||||||
421 | Superior Energy Services, Inc.* | 7,494 | ||||||
67,216 | ||||||||
Oil, Gas & Consumable Fuels — 2.6% | ||||||||
285 | Bill Barrett Corp.* | 8,430 | ||||||
429 | Callon Petroleum Co.* | 6,341 | ||||||
276 | Clayton Williams Energy, Inc.* | 8,277 | ||||||
342 | Comstock Resources, Inc.* | 8,649 | ||||||
419 | Delta Petroleum Corp.* | 5,916 | ||||||
352 | Frontier Oil Corp. | 10,331 | ||||||
46 | Plains Exploration & Production Co.* | 1,635 | ||||||
150 | Quicksilver Resources, Inc.* | 9,590 | ||||||
236 | Remington Oil & Gas Corp.* | 8,425 | ||||||
1,623 | Western Oil Sands, Inc., Class A Shares* | 31,501 | ||||||
99,095 | ||||||||
TOTAL ENERGY | 166,311 | |||||||
FINANCIALS — 12.1% | ||||||||
Commercial Banks — 5.2% | ||||||||
90 | Accredited Home Lenders Holding Co.* | 3,960 | ||||||
211 | Bank of the Ozarks, Inc. | 6,929 | ||||||
860 | BankAtlantic Bancorp., Inc., Class A Shares | 16,297 | ||||||
140 | Cascade Bancorp | 2,946 | ||||||
234 | Cathay General Bancorp | 7,888 | ||||||
570 | Community Bancorp* | 17,681 | ||||||
625 | Fidelity Bankshares, Inc. | 16,575 | ||||||
404 | First Bancorp | 16,221 | ||||||
167 | Frontier Financial Corp. | 4,218 | ||||||
280 | Hanmi Financial Corp. | 4,676 | ||||||
224 | Independent Bank Corp. | 6,319 | ||||||
505 | iPayment Holdings, Inc.* | 18,443 | ||||||
165 | Pacific Capital Bancorp | 6,118 | ||||||
330 | Placer Sierra Bancshares | 8,999 | ||||||
390 | Preferred Bank | 15,483 | ||||||
236 | R&G Financial Corp., Class B Shares | 4,175 | ||||||
121 | Santander BanCorp | 3,032 | ||||||
248 | SVB Financial Group* | 11,879 |
9
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
960 | Western Alliance Bancorp* | $ | 21,120 | |||||
523 | Wilshire Bancorp, Inc. | 7,495 | ||||||
200,454 | ||||||||
Diversified Financial Services — 4.3% | ||||||||
204 | Affiliated Managers Group, Inc.* | 13,939 | ||||||
270 | Asset Acceptance Capital Corp.* | 6,996 | ||||||
530 | Calamos Asset Management, Inc., Class A Shares | 14,437 | ||||||
300 | Commercial Capital Bancorp, Inc. | 5,013 | ||||||
2,619 | Euronet Worldwide, Inc.* | 76,134 | ||||||
226 | Gladstone Capital Corp. | 5,289 | ||||||
123 | Greenhill & Co., Inc. | 4,983 | ||||||
585 | International Securities Exchange, Inc.* | 14,689 | ||||||
309 | Jackson Hewitt Tax Service, Inc. | 7,305 | ||||||
128 | Portfolio Recovery Associates, Inc.* | 5,379 | ||||||
147 | United PanAm Financial Corp.* | 4,029 | ||||||
266 | Walter Industries, Inc. | 10,693 | ||||||
168,886 | ||||||||
Insurance — 0.7% | ||||||||
540 | HealthExtras, Inc.* | 10,838 | ||||||
260 | Selective Insurance Group, Inc. | 12,883 | ||||||
374 | U.S.I. Holdings Corp* | 4,817 | ||||||
28,538 | ||||||||
Real Estate — 1.9% | ||||||||
40 | Alexandria Real Estate Equities, Inc. | 2,938 | ||||||
137 | American Home Mortgage Investment Corp. | 4,790 | ||||||
118 | Brookfield Homes Corp. | 5,381 | ||||||
276 | CB Richard Ellis Group, Inc., Class A Shares* | 12,105 | ||||||
64 | Corrections Corporation of America* | 2,512 | ||||||
548 | Equity One, Inc. | 12,440 | ||||||
405 | Jones Lang LaSalle, Inc.* | 17,913 | ||||||
170 | Sovran Self Storage, Inc. | 7,728 | ||||||
238 | Town & Country Trust | 6,785 | ||||||
72,592 | ||||||||
TOTAL FINANCIALS | 470,470 | |||||||
HEALTH CARE — 19.3% | ||||||||
Biotechnology — 4.4% | ||||||||
576 | Alexion Pharmaceuticals, Inc.* | 13,271 | ||||||
557 | BioMarin Pharmaceuticals, Inc.* | 4,172 | ||||||
497 | Cepheid, Inc.* | 3,648 | ||||||
441 | deCODE genetics, Inc.* | 4,141 | ||||||
612 | Exelixis, Inc.* | 4,547 | ||||||
238 | Kos Pharmaceuticals, Inc.* | 15,589 | ||||||
748 | LifeCell Corp.* | 11,826 | ||||||
381 | Myriad Genetics, Inc.* | 5,962 | ||||||
300 | Neurocrine Biosciences, Inc.* | 12,618 | ||||||
400 | OraSure Technologies, Inc.* | 3,996 | ||||||
605 | PRA International* | 16,202 |
10
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
352 | Progenics Pharmaceuticals, Inc.* | $ | 7,343 | |||||
238 | Serologicals Corp.* | 5,057 | ||||||
354 | Techne Corp.* | 16,252 | ||||||
205 | Telik, Inc.* | 3,333 | ||||||
384 | United Therapeutics Corp.* | 18,509 | ||||||
1,215 | ViaCell, Inc.* | 12,940 | ||||||
313 | Vicuron Pharmaceuticals, Inc.* | 8,733 | ||||||
240 | ZymoGenetics, Inc.* | 4,224 | ||||||
172,363 | ||||||||
Health Care Equipment & Supplies — 5.2% | ||||||||
131 | Advanced Medical Optics, Inc.* | 5,207 | ||||||
609 | American Medical Systems Holdings, Inc.* | 12,576 | ||||||
166 | Biosite, Inc.* | 9,128 | ||||||
1,321 | Bruker BioSciences Corp.* | 5,271 | ||||||
815 | Candela Corp.* | 8,517 | ||||||
1,050 | Conor Medsystems, Inc.* | 16,118 | ||||||
1,013 | Encore Medical Corp.* | 5,622 | ||||||
225 | Foxhollow Technologies, Inc.* | 8,611 | ||||||
1,050 | I-Flow Corp.* | 17,472 | ||||||
375 | Illumina, Inc.* | 4,526 | ||||||
175 | Intuitive Surgical, Inc.* | 8,162 | ||||||
370 | Laserscope* | 15,333 | ||||||
211 | Molecular Devices Corp.* | 4,564 | ||||||
342 | Palomar Medical Technologies, Inc.* | 8,181 | ||||||
990 | SeraCare Life Sciences, Inc.* | 13,850 | ||||||
255 | STERIS Corp. | 6,571 | ||||||
300 | Sybron Dental Specialties, Inc.* | 11,286 | ||||||
380 | Symmetry Medical, Inc.* | 8,945 | ||||||
791 | Thoratec Corp.* | 12,134 | ||||||
683 | TriPath Imaging, Inc.* | 5,846 | ||||||
595 | Wright Medical Group, Inc.* | 15,887 | ||||||
203,807 | ||||||||
Health Care Providers & Services — 7.4% | ||||||||
640 | Advisory Board Co.* | 31,194 | ||||||
281 | American Healthways, Inc.* | 11,878 | ||||||
385 | AMERIGROUP Corp.* | 15,477 | ||||||
956 | Beverly Enterprises, Inc.* | 12,179 | ||||||
1,209 | Centene Corp.* | 40,598 | ||||||
615 | ev3, Inc.* | 8,549 | ||||||
374 | First Horizon Pharmaceutical Corp.* | 7,121 | ||||||
1,000 | Hythiam, Inc.* | 5,600 | ||||||
450 | LabOne, Inc.* | 17,915 | ||||||
785 | LHC Group, Inc.* | 14,271 | ||||||
265 | Matria Healthcare, Inc.* | 8,541 | ||||||
78 | Owens & Minor, Inc. | 2,523 | ||||||
518 | Per-Se Technologies, Inc.* | 10,888 | ||||||
2,312 | PSS World Medical, Inc.* | 28,784 | ||||||
795 | Radiation Therapy Services, Inc.* | 21,107 | ||||||
154 | Sierra Health Services, Inc.* | 11,005 |
11
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
485 | United Surgical Partners International, Inc.* | $ | 25,259 | |||||
399 | Ventiv Health, Inc.* | 7,693 | ||||||
327 | VistaCare, Inc., Class A Shares* | 6,040 | ||||||
286,622 | ||||||||
Pharmaceuticals — 2.3% | ||||||||
260 | Bone Care International, Inc.* | 8,572 | ||||||
407 | Connetics Corp.* | 7,179 | ||||||
682 | Eyetech Pharmaceuticals, Inc.* | 8,621 | ||||||
850 | K-V Pharmaceutical Co., Class A Shares* | 14,238 | ||||||
1,850 | Ligand Pharmaceuticals, Inc., Class B Shares* | 12,858 | ||||||
1,015 | MGI Pharma, Inc.* | 22,086 | ||||||
524 | Pain Therapeutics, Inc.* | 3,537 | ||||||
262 | Perrigo Co. | 3,652 | ||||||
387 | Pharmion Corp.* | 8,982 | ||||||
89,725 | ||||||||
TOTAL HEALTH CARE | 752,517 | |||||||
INDUSTRIALS — 12.8% | ||||||||
Aerospace & Defense — 1.3% | ||||||||
249 | Armor Holdings, Inc.* | 9,863 | ||||||
224 | Engineered Support Systems, Inc. | 8,026 | ||||||
125 | Hawk Corp., Class A Shares* | 1,462 | ||||||
314 | Innovative Solutions & Support, Inc.* | 10,541 | ||||||
922 | World Fuel Services Corp. | 21,584 | ||||||
51,476 | ||||||||
Air Freight & Logistics — 0.3% | ||||||||
473 | Hub Group, Inc., Class A Shares* | 11,849 | ||||||
Airlines — 0.6% | ||||||||
216 | ACE Aviation Holdings, Inc.* | 7,023 | ||||||
406 | Pinnacle Airlines Corp.* | 3,488 | ||||||
479 | SkyWest, Inc. | 8,708 | ||||||
406 | WestJet Airlines Ltd* | 4,521 | ||||||
23,740 | ||||||||
Building Products — 0.3% | ||||||||
781 | Jacuzzi Brands, Inc.* | 8,380 | ||||||
131 | Simpson Manufacturing Co., Inc. | 4,002 | ||||||
12,382 | ||||||||
Commercial Services & Supplies — 6.3% | ||||||||
317 | Aleris International, Inc.* | 7,148 | ||||||
115 | Arbitron, Inc. | 4,934 | ||||||
174 | Bright Horizons Family Solutions, Inc.* | 7,085 | ||||||
425 | Cogent, Inc.* | 12,134 | ||||||
154 | Consolidated Graphics, Inc.* | 6,279 | ||||||
800 | CoStar Group, Inc.* | 34,880 | ||||||
87 | CRA International, Inc.* | 4,685 | ||||||
219 | DeVry, Inc.* | 4,358 | ||||||
310 | Duratek, Inc.* | 7,186 |
12
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
212 | Gevity HR, Inc. | $ | 4,246 | |||||
880 | Greenfield Online, Inc.* | 10,692 | ||||||
152 | Headwaters, Inc.* | 5,226 | ||||||
38 | Heidrick & Struggles International, Inc.* | 991 | ||||||
740 | Huron Consulting Group, Inc.* | 17,427 | ||||||
116 | John H. Harland Co. | 4,408 | ||||||
804 | Kforce, Inc.* | 6,802 | ||||||
846 | Korn/ Ferry International* | 15,016 | ||||||
625 | Labor Ready, Inc.* | 14,569 | ||||||
415 | LECG Corp.* | 8,823 | ||||||
117 | Mobile Mini, Inc.* | 4,034 | ||||||
715 | Navigant Consulting, Inc.* | 12,627 | ||||||
1,235 | Resources Connection, Inc.* | 28,689 | ||||||
20 | Team, Inc.* | 430 | ||||||
347 | Valassis Communications, Inc.* | 12,856 | ||||||
2,610 | Waste Services, Inc.* | 10,022 | ||||||
245,547 | ||||||||
Construction & Engineering — 0.2% | ||||||||
223 | Dycom Industries, Inc.* | 4,418 | ||||||
291 | Perini Corp.* | 4,778 | ||||||
9,196 | ||||||||
Electrical Equipment — 0.9% | ||||||||
184 | Baldor Electric Co. | 4,475 | ||||||
291 | Brady Corp., Class A Shares | 9,021 | ||||||
781 | Global Power Equipment Group, Inc.* | 6,209 | ||||||
262 | Paxar Corp.* | 4,650 | ||||||
607 | Vicor Corp. | 8,255 | ||||||
32,610 | ||||||||
Machinery — 1.4% | ||||||||
94 | Actuant Corp., Class A Shares* | 4,506 | ||||||
398 | Bucyrus International, Inc., Class A Shares | 15,116 | ||||||
197 | Dionex Corp.* | 8,591 | ||||||
286 | IDEX Corp. | 11,043 | ||||||
264 | Joy Global, Inc. | 8,868 | ||||||
172 | Terex Corp.* | 6,777 | ||||||
54,901 | ||||||||
Road & Rail — 1.5% | ||||||||
190 | Arkansas Best Corp. | 6,044 | ||||||
605 | Forward Air Corp. | 17,103 | ||||||
189 | Landstar System, Inc.* | 5,693 | ||||||
1,184 | Pacer International, Inc.* | 25,799 | ||||||
283 | U.S. Xpress Enterprises, Inc., Class A Shares* | 3,371 | ||||||
58,010 | ||||||||
TOTAL INDUSTRIALS | 499,711 | |||||||
13
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
INFORMATION TECHNOLOGY — 23.2% | ||||||||
Communications Equipment — 2.7% | ||||||||
668 | Arris Group, Inc.* | $ | 5,818 | |||||
3,085 | Axesstel, Inc.* | 10,582 | ||||||
135 | Bel Fuse, Inc., Class B Shares | 4,126 | ||||||
1,266 | Brocade Communications Systems, Inc.* | 4,912 | ||||||
501 | C-COR, Inc.* | 3,432 | ||||||
489 | Emulex Corp.* | 8,929 | ||||||
384 | F5 Networks, Inc.* | 18,138 | ||||||
644 | Harmonic, Inc.* | 3,110 | ||||||
1,015 | InPhonic, Inc.* | 15,611 | ||||||
749 | Ixia* | 14,561 | ||||||
359 | Tekelec* | 6,031 | ||||||
1,169 | Terremark Worldwide, Inc.* | 8,183 | ||||||
103,433 | ||||||||
Computers & Peripherals — 1.3% | ||||||||
650 | Dolby Laboratories, Inc., Class A Shares* | 14,339 | ||||||
309 | Intergraph Corp.* | 10,648 | ||||||
255 | Mercury Computer Systems, Inc.* | 6,979 | ||||||
229 | Presstek, Inc.* | 2,592 | ||||||
160 | Rackable Systems, Inc.* | 1,920 | ||||||
1,580 | TransAct Technologies, Inc.* | 13,383 | ||||||
49,861 | ||||||||
Electronic Equipment & Instruments — 1.5% | ||||||||
157 | Analogic Corp. | 7,900 | ||||||
605 | FLIR Systems, Inc.* | 18,053 | ||||||
1,045 | Identix, Inc.* | 5,256 | ||||||
117 | Itron, Inc.* | 5,228 | ||||||
160 | Keithley Instruments, Inc. | 2,466 | ||||||
569 | Newport Corp.* | 7,886 | ||||||
81 | ScanSource, Inc.* | 3,478 | ||||||
2,195 | ThermoGenesis Corp.* | 9,604 | ||||||
59,871 | ||||||||
Internet Software & Services — 3.9% | ||||||||
24 | Arbinet-thexchange, Inc.* | 161 | ||||||
241 | Blue Coat Systems, Inc.* | 7,201 | ||||||
355 | Digital Insight Corp.* | 8,492 | ||||||
236 | Digital River, Inc.* | 7,493 | ||||||
877 | Digitas, Inc.* | 10,007 | ||||||
497 | EarthLink, Inc.* | 4,304 | ||||||
309 | eCollege.com, Inc.* | 3,677 | ||||||
235 | Equinix, Inc.* | 10,185 | ||||||
860 | GSI Commerce, Inc.* | 14,405 | ||||||
2,539 | Infocrossing, Inc.* | 31,661 | ||||||
121 | InfoSpace, Inc.* | 3,985 | ||||||
3,830 | LivePerson, Inc.* | 11,950 | ||||||
667 | Stellent, Inc.* | 5,002 | ||||||
1,008 | SupportSoft, Inc.* | 5,231 | ||||||
765 | TechTeam Global, Inc.* | 9,976 |
14
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
351 | United Online, Inc. | $ | 3,811 | |||||
264 | WebEx Communications, Inc.* | 6,972 | ||||||
166 | Websense, Inc.* | 7,976 | ||||||
152,489 | ||||||||
IT Services — 1.7% | ||||||||
488 | Anteon International Corp.* | 22,263 | ||||||
100 | CACI International, Inc., Class A Shares* | 6,316 | ||||||
437 | Covansys Corp.* | 5,615 | ||||||
279 | MarketAxess Holdings, Inc.* | 3,153 | ||||||
384 | Perot Systems Corp., Class A Shares* | 5,460 | ||||||
166 | SRA International, Inc., Class A Shares* | 5,764 | ||||||
345 | Tier Technologies, Inc., Class B Shares* | 2,908 | ||||||
8,425 | Workstream, Inc.* | 15,148 | ||||||
66,627 | ||||||||
Semiconductors & Semiconductor Equipment — 3.4% | ||||||||
367 | ADE Corp.* | 10,294 | ||||||
128 | Axcelis Technologies, Inc.* | 878 | ||||||
241 | Diodes, Inc.* | 7,519 | ||||||
566 | FormFactor, Inc.* | 14,954 | ||||||
647 | Microsemi Corp.* | 12,163 | ||||||
518 | Microtune, Inc.* | 2,598 | ||||||
485 | MIPS Technologies, Inc.* | 3,492 | ||||||
248 | MKS Instruments, Inc.* | 4,189 | ||||||
628 | Mykrolis Corp.* | 8,924 | ||||||
539 | OmniVision Technologies, Inc.* | 7,325 | ||||||
1,706 | ON Semiconductor Corp.* | 7,848 | ||||||
671 | PLX Technology, Inc.* | 6,817 | ||||||
1,095 | Rudolph Technologies, Inc.* | 15,691 | ||||||
276 | Sigmatel, Inc.* | 4,736 | ||||||
545 | Silicon Image, Inc.* | 5,592 | ||||||
840 | Skyworks Solutions, Inc.* | 6,191 | ||||||
154 | Supertex, Inc.* | 2,720 | ||||||
255 | Varian Semiconductor Equipment Associates, Inc.* | 9,435 | ||||||
131,366 | ||||||||
Software — 8.7% | ||||||||
1,040 | American Reprographics Co.* | 16,734 | ||||||
282 | ANSYS, Inc.* | 10,014 | ||||||
1,435 | Blackbaud, Inc. | 19,372 | ||||||
217 | Cerner Corp.* | 14,749 | ||||||
571 | Dendrite International, Inc.* | 7,880 | ||||||
218 | FARO Technologies, Inc.* | 5,943 | ||||||
341 | Hyperion Solutions Corp.* | 13,722 | ||||||
397 | Inter-Tel, Inc. | 7,388 | ||||||
369 | Intervoice, Inc.* | 3,184 | ||||||
639 | MapInfo Corp.* | 6,716 | ||||||
683 | Mentor Graphics Corp.* | 7,001 | ||||||
352 | Merge Technologies, Inc.* | 6,600 | ||||||
777 | MICROS Systems, Inc.* | 34,771 | ||||||
137 | Microstrategy, Inc., Class A Shares* | 7,266 |
15
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
425 | MRO Software, Inc.* | $ | 6,209 | |||||
955 | Open Solutions, Inc.* | 19,396 | ||||||
1,010 | Parametric Technology Corp.* | 6,444 | ||||||
281 | Progress Software Corp.* | 8,472 | ||||||
725 | Quest Software, Inc.* | 9,882 | ||||||
313 | SafeNet, Inc.* | 10,661 | ||||||
479 | Secure Computing Corp.* | 5,211 | ||||||
1,358 | TALX Corp. | 39,260 | ||||||
257 | Ulticom, Inc.* | 2,727 | ||||||
2,345 | Ultimate Software Group, Inc.* | 38,458 | ||||||
1,920 | Wind River Systems, Inc.* | 30,106 | ||||||
338,166 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 901,813 | |||||||
MATERIALS — 2.9% | ||||||||
Chemicals — 0.3% | ||||||||
397 | Olin Corp. | 7,241 | ||||||
166 | Westlake Chemical Corp. | 4,067 | ||||||
11,308 | ||||||||
Construction Materials — 0.2% | ||||||||
92 | Eagle Materials, Inc. | 8,518 | ||||||
Containers & Packaging — 1.1% | ||||||||
776 | Jarden Corp.* | 41,842 | ||||||
Metals & Mining — 1.3% | ||||||||
475 | Allegheny Technologies, Inc. | 10,478 | ||||||
710 | Alpha Natural Resources, Inc.* | 16,955 | ||||||
940 | Aur Resources, Inc. | 5,177 | ||||||
325 | Century Aluminum Co.* | 6,630 | ||||||
340 | Royal Gold, Inc. | 6,841 | ||||||
201 | Steel Dynamics, Inc. | 5,276 | ||||||
51,357 | ||||||||
TOTAL MATERIALS | 113,025 | |||||||
TELECOMMUNICATION SERVICES — 1.3% | ||||||||
Diversified Telecommunication Services — 0.7% | ||||||||
46 | Commonwealth Telephone Enterprises, Inc. | 1,928 | ||||||
206 | Intrado, Inc.* | 3,082 | ||||||
525 | NeuStar, Inc.* | 13,440 | ||||||
892 | Premiere Global Services, Inc.* | 10,070 | ||||||
28,520 | ||||||||
16
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||||
Wireless Telecommunication Services — 0.6% | ||||||||
2,881 | UbiquiTel, Inc.* | $ | 23,509 | |||||
TOTAL TELECOMMUNICATION SERVICES | 52,029 | |||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $3,411,561) | 3,638,953 | |||||||
FACE | |||||||||
AMOUNT | |||||||||
SHORT-TERM INVESTMENT — 10.6% | |||||||||
Repurchase Agreement — 10.6% | |||||||||
$ | 414,000 | State Street Bank & Trust Co., dated 6/30/05, 2.550% due 7/1/05, Proceeds due at maturity — $414,029; (Fully collateralized by US Treasury Bonds, 7.125% to 7.250% due 8/15/22 to 2/15/23; Market value — $427,698) (Cost — $414,000) | 414,000 | ||||||
TOTAL INVESTMENTS — 104.0% (Cost — $3,825,561#) | 4,052,953 | ||||||||
Liabilities In Excess of Other Assets — (4.0)% | (157,719 | ) | |||||||
TOTAL NET ASSETS — 100.0% | $ | 3,895,234 | |||||||
* | Non-income producing security. |
# | Aggregate cost for Federal income tax purposes is substantially the same. |
17
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
COMMON STOCK — 97.4% | ||||||
CONSUMER DISCRETIONARY — 11.4% | ||||||
Auto Components — 0.7% | ||||||
285 | ArvinMeritor, Inc. | $ | 5,070 | |||
137 | Commercial Vehicle Group, Inc.* | 2,432 | ||||
662 | Goodyear Tire & Rubber Co.* | 9,864 | ||||
334 | Noble International Ltd. | 7,865 | ||||
25,231 | ||||||
Distributors — 0.4% | ||||||
537 | BlueLinx Holdings, Inc. | 5,682 | ||||
336 | LKQ Corp.* | 9,122 | ||||
14,804 | ||||||
Hotels, Restaurants & Leisure — 3.7% | ||||||
1,850 | Alliance Gaming Corp.* | 25,937 | ||||
111 | Ameristar Casinos, Inc. | 2,896 | ||||
171 | Argosy Gaming Co.* | 7,970 | ||||
1,000 | Isle of Capri Casinos, Inc.* | 26,200 | ||||
2,500 | Lakes Entertainment, Inc.* | 38,500 | ||||
269 | Lone Star Steakhouse & Saloon, Inc. | 8,180 | ||||
588 | MTR Gaming Group, Inc.* | 6,845 | ||||
370 | O’Charleys, Inc.* | 6,534 | ||||
464 | Sunterra Corp.* | 7,522 | ||||
130,584 | ||||||
Household Durables — 1.2% | ||||||
123 | Beazer Homes USA, Inc. | 7,030 | ||||
153 | Comstock Homebuilding Cos., Inc.* | 3,706 | ||||
600 | Helen of Troy Ltd.* | 15,276 | ||||
206 | La-Z-Boy, Inc. | 3,001 | ||||
206 | Stanley Furniture Co., Inc. | 5,059 | ||||
326 | WCI Communities, Inc.* | 10,442 | ||||
44,514 | ||||||
Leisure Equipment & Products — 0.5% | ||||||
69 | MarineMax, Inc.* | 2,156 | ||||
114 | Nautilus, Inc. | 3,249 | ||||
112 | RC2 Corp.* | 4,208 | ||||
264 | Steinway Musical Instruments, Inc.* | 7,751 | ||||
17,364 | ||||||
Media — 0.8% | ||||||
506 | Gray Television, Inc. | 6,102 | ||||
1,597 | Primedia, Inc.* | 6,468 | ||||
63 | R.H. Donnelley Corp.* | 3,905 | ||||
401 | Reader’s Digest Association, Inc. | 6,616 | ||||
1,200 | Regent Communications, Inc.* | 7,044 | ||||
30,135 | ||||||
18
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
Multiline Retail — 0.2% | ||||||
153 | Burlington Coat Factory Warehouse Corp. | $ | 6,524 | |||
Specialty Retail — 2.4% | ||||||
207 | Buckle, Inc. | 9,178 | ||||
372 | Conn’s, Inc.* | 9,103 | ||||
349 | Finish Line, Inc., Class A Shares | 6,603 | ||||
184 | Genesco. Inc.* | 6,825 | ||||
550 | Hughes Supply, Inc. | 15,455 | ||||
253 | Lithia Motors, Inc., Class A Shares | 7,299 | ||||
284 | Men’s Wearhouse, Inc.* | 9,761 | ||||
670 | Payless ShoeSource, Inc.* | 12,864 | ||||
179 | Shoe Carnival, Inc.* | 3,895 | ||||
137 | Sports Authority, Inc.* | 4,357 | ||||
86 | United Rentals, Inc.* | 1,738 | ||||
87,078 | ||||||
Textiles, Apparel & Luxury Goods — 1.5% | ||||||
2,100 | DHB Industries, Inc.* | 17,745 | ||||
72 | OshKosh B’Gosh, Inc., Class A Shares | 1,871 | ||||
176 | Phillips-Van Heusen Corp. | 5,753 | ||||
442 | Russell Corp. | 9,039 | ||||
579 | Stride Rite Corp. | 7,984 | ||||
85 | Unifirst Corp. | 3,446 | ||||
671 | Wellman, Inc. | 6,838 | ||||
52,676 | ||||||
TOTAL CONSUMER DISCRETIONARY | 408,910 | |||||
CONSUMER STAPLES — 3.7% | ||||||
Food & Staples Retailing — 1.3% | ||||||
2,000 | B&G Food, Inc., EIS | 29,280 | ||||
565 | Pathmark Stores, Inc.* | 4,949 | ||||
375 | Ruddick Corp. | 9,574 | ||||
236 | Terra Industries, Inc.* | 1,607 | ||||
45,410 | ||||||
Food Products — 1.5% | ||||||
132 | Central Garden and Pet Co.* | 6,484 | ||||
1,173 | Chiquita Brands International, Inc. | 32,210 | ||||
208 | Gold Kist, Inc.* | 4,489 | ||||
186 | John B. Sanfilippo & Son, Inc.* | 4,289 | ||||
172 | Sanderson Farms, Inc. | 7,816 | ||||
55,288 | ||||||
Personal Products — 0.3% | ||||||
376 | NBTY, Inc.* | 9,754 | ||||
19
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
Tobacco — 0.6% | ||||||
1,115 | Alliance One International, Inc. | $ | 6,701 | |||
900 | Vector Group Ltd. | 16,713 | ||||
23,414 | ||||||
TOTAL CONSUMER STAPLES | 133,866 | |||||
ENERGY — 8.7% | ||||||
Energy Equipment & Services — 4.5% | ||||||
1,000 | Grant Prideco, Inc.* | 26,450 | ||||
3,650 | Grey Wolf, Inc.* | 27,046 | ||||
89 | GulfMark Offshore, Inc.* | 2,431 | ||||
229 | Helmerich & Payne, Inc. | 10,745 | ||||
58 | Lufkin Industries, Inc. | 2,087 | ||||
600 | NS Group, Inc.* | 19,506 | ||||
800 | Oil States International, Inc.* | 20,136 | ||||
1,100 | Patterson-UTI Energy, Inc. | 30,613 | ||||
400 | Universal Compression Holdings, Inc.* | 14,496 | ||||
304 | Veritas DGC, Inc.* | 8,433 | ||||
161,943 | ||||||
Oil, Gas & Consumable Fuels — 4.2% | ||||||
400 | ATP Oil & Gas Corp.* | 9,360 | ||||
1,500 | Carrizo Oil & Gas, Inc.* | 25,590 | ||||
63 | Cimarex Energy Co.* | 2,451 | ||||
500 | Denbury Resources, Inc.* | 19,885 | ||||
136 | Forest Oil Corp.* | 5,712 | ||||
2,600 | Parallel Petroleum Corp.* | 23,010 | ||||
800 | Petrohawk Energy Corp.* | 8,626 | ||||
1,300 | Pioneer Drilling Co.* | 19,838 | ||||
192 | Stone Energy Corp.* | 9,389 | ||||
253 | Swift Energy Co.* | 9,062 | ||||
879 | TransMontaigne, Inc.* | 9,230 | ||||
330 | W&T Offshore, Inc. | 7,943 | ||||
150,096 | ||||||
TOTAL ENERGY | 312,039 | |||||
FINANCIALS — 27.2% | ||||||
Commercial Banks — 8.4% | ||||||
311 | Amegy Bancorporation, Inc. | 6,960 | ||||
295 | Anchor BanCorp Wisconsin, Inc. | 8,927 | ||||
506 | BankAtlantic Bancorp., Inc., Class A Shares | 9,589 | ||||
215 | Berkshire Hills Bancorp, Inc. | 7,164 | ||||
286 | Central Pacific Financial Corp. | 10,182 | ||||
239 | City Holding Co. | 8,728 | ||||
156 | Downey Financial Corp. | 11,419 | ||||
279 | First Bancorp | 11,202 | ||||
66 | First Citizens BancShares, Inc., Class A Shares | 9,540 | ||||
150 | First Community Bancorp of California | 7,125 | ||||
283 | First Financial Corp. | 8,131 | ||||
86 | First Republic Bank | 3,038 | ||||
153 | FirstFed Financial Corp.* | 9,120 |
20
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
Commercial Banks — 8.4% (continued) | ||||||
399 | Franklin Bank Corp.* | $ | 7,485 | |||
416 | Greater Bay Bancorp | 10,970 | ||||
440 | Hanmi Financial Corp. | 7,348 | ||||
260 | Independent Bank Corp. | 7,394 | ||||
363 | Irwin Financial Corp. | 8,055 | ||||
45 | ITLA Capital Corp.* | 2,425 | ||||
352 | MainSource Financial Group, Inc. | 6,368 | ||||
166 | Mercantile Bank Corp. | 7,299 | ||||
375 | Midwest Banc Holdings, Inc. | 7,234 | ||||
522 | Oriental Financial Group, Inc. | 7,966 | ||||
295 | Pacific Capital Bancorp | 10,939 | ||||
284 | Peoples Bancorp, Inc. | 7,597 | ||||
269 | PFF Bancorp, Inc. | 8,148 | ||||
259 | Placer Sierra Bancshares | 7,063 | ||||
325 | Prosperity Bancshares, Inc. | 9,298 | ||||
650 | R&G Financial Corp., Class B Shares | 11,498 | ||||
301 | Santander BanCorp | 7,543 | ||||
601 | Sterling Bancshares of Texas, Inc. | 9,352 | ||||
600 | Sterling Financial Corp. of Spokane* | 22,440 | ||||
149 | SVB Financial Group* | 7,137 | ||||
325 | TierOne Corp. | 8,817 | ||||
206 | Union Bankshares Corp. | 7,956 | ||||
301,457 | ||||||
Diversified Financial Services — 3.1% | ||||||
457 | Advance America Cash Advance Centers, Inc. | 7,312 | ||||
95 | ASTA Funding, Inc. | 2,639 | ||||
188 | CharterMac | 4,128 | ||||
203 | Collegiate Funding Services LLC* | 2,960 | ||||
459 | Communal Capital Bancorp, Inc. | 7,670 | ||||
161 | CompuCredit Corp.* | 5,519 | ||||
1,400 | Doral Financial Corp. | 23,156 | ||||
134 | Greenhill & Co., Inc. | 5,428 | ||||
86 | Jackson Hewitt Tax Service, Inc. | 2,033 | ||||
438 | Labranche & Co., Inc.* | 2,759 | ||||
144 | MCG Capital Corp. | 2,460 | ||||
1,450 | Prospect Energy Corp. | 18,270 | ||||
812 | Tortoise Energy Infrastructure Corp. | 25,627 | ||||
109,961 | ||||||
Insurance — 4.8% | ||||||
562 | Alfa Corp. | 8,273 | ||||
132 | American Equity Investment Life Holding Co. | 1,568 | ||||
87 | AmerUs Group Co. | 4,180 | ||||
110 | Commerce Group, Inc. | 6,832 | ||||
1,100 | Danielson Holdings Corp.* | 13,387 | ||||
185 | Delphi Financial Group, Class A Shares | 8,168 | ||||
650 | Endurance Specialty Holdings Ltd. | 24,583 | ||||
170 | Great American Financial Resources, Inc. | 3,368 | ||||
516 | Horace Mann Educators Corp. | 9,711 |
21
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
Insurance — 4.8% (continued) | ||||||
148 | Kansas City Life Insurance Co. | $ | 7,111 | |||
279 | Ohio Casualty Corp. | 6,746 | ||||
46 | Philadelphia Consolidated Holding Corp.* | 3,899 | ||||
844 | Phoenix, Cos., Inc. | 10,044 | ||||
32 | ProAssurance Corp.* | 1,336 | ||||
120 | RLI Corp. | 5,352 | ||||
450 | Safety Insurance Group, Inc. | 15,192 | ||||
2,000 | Specialty Underwriters’ Alliance, Inc.* | 18,260 | ||||
500 | Triad Guaranty, Inc.* | 25,195 | ||||
173,205 | ||||||
Real Estate — 10.9% | ||||||
2,900 | Aames Investment Corp. | 28,188 | ||||
256 | American Home Mortgage Investment Corp. | 8,950 | ||||
271 | Arbor Realty Trust, Inc. | 7,778 | ||||
78 | BioMed Realty Trust, Inc. | 1,860 | ||||
121 | Brookfield Homes Corp. | 5,518 | ||||
296 | Capital Automotive Real Estate Investment Trust | 11,298 | ||||
222 | Capital Trust, Inc., Class A Shares | 7,417 | ||||
483 | Commercial Net Lease Realty, Inc. | 9,887 | ||||
369 | CRT Properties, Inc. | 10,074 | ||||
218 | Entertainment Properties Trust | 10,028 | ||||
723 | Equity Inns, Inc. | 9,616 | ||||
43 | Equity Lifestyle Properties, Inc. | 1,710 | ||||
75 | Equity One, Inc. | 1,702 | ||||
704 | Government Properties Trust, Inc. | 6,843 | ||||
353 | Gramercy Capital Corp. | 8,634 | ||||
286 | Heritage Property Investment Trust | 10,016 | ||||
384 | Highwoods Properties, Inc. | 11,428 | ||||
1,100 | KKR Financial Corp.* | 27,500 | ||||
294 | LaSalle Hotel Properties | 9,646 | ||||
800 | Levitt Corp., Class A Shares | 23,936 | ||||
416 | Lexington Corporate Properties Trust | 10,113 | ||||
738 | Luminent Mortgage Capital, Inc. | 7,963 | ||||
348 | Maguire Properties, Inc. | 9,862 | ||||
1,191 | MeriStar Hospitality Corp.* | 10,243 | ||||
416 | Mission West Properties | 4,272 | ||||
250 | New Century Financial Corp. | 12,862 | ||||
900 | Newcastle Investment Corp. | 27,135 | ||||
1,300 | Novastar Financial, Inc. | 50,895 | ||||
301 | OMEGA Healthcare Investors, Inc. | 3,871 | ||||
240 | Pennsylvania Real Estate Investment Trust | 11,400 | ||||
305 | RAIT Investment Trust | 9,135 | ||||
72 | Sovran Self Storage, Inc. | 3,273 | ||||
355 | Sunstone Hotel Investors, Inc. | 8,612 | ||||
606 | Winston Hotels, Inc. | 6,824 | ||||
388,489 | ||||||
TOTAL FINANCIALS | 973,112 | |||||
22
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
HEALTH CARE — 4.7% | ||||||
Biotechnology — 0.8% | ||||||
350 | Charles River Laboratories International, Inc.* | $ | 16,887 | |||
106 | Serologicals Corp.* | 2,253 | ||||
39 | Techne Corp.* | 1,790 | ||||
272 | Vicuron Pharmaceuticals, Inc.* | 7,589 | ||||
28,519 | ||||||
Health Care Equipment & Supplies — 1.7% | ||||||
1,200 | Adeza Biomedical Corp.* | 20,376 | ||||
256 | DJ Orthopedics, Inc.* | 7,022 | ||||
1,700 | Hanger Orthopedic Group, Inc.* | 8,568 | ||||
268 | Molecular Devices Corp.* | 5,797 | ||||
291 | STERIS Corp. | 7,499 | ||||
370 | Symmetry Medical, Inc.* | 8,710 | ||||
122 | West Pharmaceutical Services, Inc. | 3,422 | ||||
61,394 | ||||||
Health Care Providers & Services — 1.7% | ||||||
52 | Genesis HealthCare Corp.* | 2,407 | ||||
421 | Kindred Healthcare, Inc.* | 16,676 | ||||
250 | LifePoint Hospitals, Inc.* | 12,630 | ||||
100 | Pediatrix Medical Group, Inc.* | 7,354 | ||||
230 | Radiation Therapy Services, Inc.* | 6,106 | ||||
93 | RehabCare Group, Inc.* | 2,486 | ||||
250 | Triad Hospitals, Inc.* | 13,660 | ||||
61,319 | ||||||
Pharmaceuticals — 0.5% | ||||||
450 | Par Pharmaceutical Cos., Inc.* | 14,314 | ||||
133 | Valeant Pharmaceuticals International | 2,345 | ||||
16,659 | ||||||
TOTAL HEALTH CARE | 167,891 | |||||
INDUSTRIALS — 21.8% | ||||||
Aerospace & Defense — 3.5% | ||||||
508 | AAR Corp.* | 7,981 | ||||
2,300 | Aeroflex, Inc.* | 19,320 | ||||
1,050 | Applied Signal Technology, Inc. | 19,992 | ||||
350 | Curtiss-Wright Corp. | 18,883 | ||||
562 | DRS Technologies, Inc. | 28,819 | ||||
125 | Esterline Technologies Corp.* | 5,010 | ||||
300 | Precision Castparts Corp. | 23,370 | ||||
123,375 | ||||||
Airlines — 0.4% | ||||||
1,201 | Mesa Air Group, Inc.* | 8,059 | ||||
387 | Republic Airways Holdings, Inc.* | 5,592 | ||||
13,651 | ||||||
23
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
Building Products — 0.5% | ||||||
897 | Jacuzzi Brands, Inc.* | $ | 9,625 | |||
450 | Lennox International, Inc. | 9,526 | ||||
19,151 | ||||||
Commercial Services & Supplies — 7.0% | ||||||
1,000 | Aleris Intlernational, Inc.* | 22,550 | ||||
1,176 | Aviall, Inc.* | 37,150 | ||||
275 | CDI Corp. | 6,028 | ||||
721 | Century Business Services, Inc.* | 2,920 | ||||
259 | Clark, Inc. | 3,711 | ||||
148 | Consolidated Graphics, Inc.* | 6,034 | ||||
1,250 | Duratek, Inc.* | 28,975 | ||||
579 | Electro Rent Corp.* | 8,419 | ||||
184 | Geo Group, Inc.* | 4,609 | ||||
450 | Headwaters, Inc.* | 15,471 | ||||
5,650 | HMS Holdings Corp.* | 37,629 | ||||
260 | MAXIMUS, Inc. | 9,175 | ||||
3,600 | Nobel Learning Communities, Inc.* | 31,212 | ||||
369 | SOURCECORP, Inc.* | 7,314 | ||||
514 | Tetra Technology, Inc.* | 6,954 | ||||
2,450 | WCA Waste Corp.* | 21,438 | ||||
249,589 | ||||||
Construction & Engineering — 1.5% | ||||||
98 | Shaw Group, Inc.* | 2,108 | ||||
1,099 | URS Corp.* | 41,048 | ||||
224 | Washington Group International, Inc.* | 11,451 | ||||
54,607 | ||||||
Electrical Equipment — 2.6% | ||||||
271 | AO Smith Corp. | 7,238 | ||||
434 | Belden CDT, Inc. | 9,201 | ||||
4,100 | General Cable Corp.* | 60,803 | ||||
295 | Regal-Beloit Corp. | 8,602 | ||||
262 | Thomas & Betts Corp.* | 7,399 | ||||
93,243 | ||||||
Industrial Conglomerates — 0.2% | ||||||
190 | Chemed Corp. | 7,767 | ||||
Machinery — 5.0% | ||||||
1,950 | AGCO Corp.* | 37,284 | ||||
108 | Applied Industrial Technologies, Inc. | 3,487 | ||||
257 | Barnes Group, Inc. | 8,507 | ||||
402 | Bucyrus International, Inc., Class A Shares | 15,268 | ||||
293 | CIRCOR International, Inc. | 7,228 | ||||
77 | Gardner Denver, Inc.* | 2,701 | ||||
247 | JLG Industries, Inc. | 6,788 | ||||
27 | NACCO Industries Inc., Class A Shares | 2,895 | ||||
350 | Oshkosh Truck Corp. | 27,398 | ||||
187 | Reliance Steel & Aluminum Co. | 6,932 |
24
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
Machinery — 5.0% (continued) | ||||||
273 | Terex Corp.* | $ | 10,756 | |||
284 | Valmont Industries, Inc. | 7,327 | ||||
284 | Wabash National Corp. | 6,882 | ||||
1,100 | Watts Water Technologies, Inc., Class A Shares | 36,839 | ||||
180,292 | ||||||
Marine — 0.2% | ||||||
130 | Overseas Shipholding Group, Inc. | 7,754 | ||||
Road & Rail — 0.9% | ||||||
52 | Dollar Thrifty Automotive Group* | 1,975 | ||||
200 | Laidlaw International, Inc.* | 4,820 | ||||
356 | Marten Transport Ltd.* | 7,473 | ||||
55 | Overnite Corp. | 2,364 | ||||
329 | Pacer International, Inc.* | 7,169 | ||||
317 | RailAmerica, Inc.* | 3,772 | ||||
128 | Swift Transportation Co., Inc.* | 2,981 | ||||
30,554 | ||||||
TOTAL INDUSTRIALS | 779,983 | |||||
INFORMATION TECHNOLOGY — 7.6% | ||||||
Communications Equipment — 0.7% | ||||||
1,495 | Ciena Corp.* | 3,125 | ||||
615 | Ditech Communications Corp.* | 3,991 | ||||
583 | Emulex Corp.* | 10,646 | ||||
188 | InPhonic, Inc.* | 2,891 | ||||
545 | UTStarcom, Inc.* | 4,082 | ||||
24,735 | ||||||
Computers & Peripherals — 1.7% | ||||||
132 | Hutchinson Technology, Inc.* | 5,083 | ||||
286 | Imation Corp. | 11,094 | ||||
233 | Intergraph Corp.* | 8,029 | ||||
1,309 | Komag, Inc.* | 37,137 | ||||
61,343 | ||||||
Electronic Equipment & Instruments — 2.5% | ||||||
193 | Anixter International, Inc.* | 7,174 | ||||
250 | Checkpoint Systems, Inc.* | 4,425 | ||||
246 | Coherent, Inc.* | 8,858 | ||||
631 | Merix Corp.* | 3,691 | ||||
88 | MTS System Corp. | 2,955 | ||||
333 | Park Electrochemical Corp. | 8,392 | ||||
1,650 | PerkinElmer, Inc. | 31,185 | ||||
500 | ScanSource, Inc.* | 21,470 | ||||
88,150 | ||||||
25
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
Internet Software & Services — 0.3% | ||||||
193 | MPS Group, Inc.* | $ | 1,818 | |||
1,188 | SonicWALL, Inc.* | 6,403 | ||||
316 | United Online, Inc. | 3,432 | ||||
11,653 | ||||||
Semiconductors & Semiconductor Equipment — 1.4% | ||||||
318 | Cohu, Inc. | 6,376 | ||||
2,069 | Conexant System, Inc.* | 3,331 | ||||
852 | Credence Systems Corp.* | 7,710 | ||||
522 | Entegris, Inc.* | 5,168 | ||||
909 | Integrated Silicon Solutions, Inc.* | 6,736 | ||||
1,713 | Lattice Semiconductor Corp.* | 7,606 | ||||
503 | MKS Instruments, Inc.* | 8,496 | ||||
136 | Portalplayer, Inc.* | 2,831 | ||||
166 | Standard Microsystems Corp.* | 3,881 | ||||
52,135 | ||||||
Software — 1.0% | ||||||
950 | Mediware Information System, Inc.* | 9,471 | ||||
71 | Progress Software Corp.* | 2,141 | ||||
1,484 | ScanSoft, Inc.* | 5,610 | ||||
289 | Take-Two Interactive Software, Inc.* | 7,355 | ||||
294 | TALX Corp. | 8,500 | ||||
68 | THQ, Inc.* | 1,990 | ||||
35,067 | ||||||
TOTAL INFORMATION TECHNOLOGY | 273,083 | |||||
MATERIALS — 6.0% | ||||||
Chemicals — 1.8% | ||||||
1,500 | Agrium, Inc. | 29,415 | ||||
107 | Cytec Industries, Inc. | 4,258 | ||||
176 | FMC Corp.* | 9,881 | ||||
390 | Octel Corp. | 7,020 | ||||
434 | Olin Corp. | 7,916 | ||||
1,114 | PolyOne Corp.* | 7,375 | ||||
65,865 | ||||||
Construction Materials — 0.3% | ||||||
196 | Texas Industries, Inc. | 11,021 | ||||
Containers & Packaging — 0.6% | ||||||
153 | Crown Holdings, Inc.* | 2,177 | ||||
149 | Jarden Corp.* | 8,034 | ||||
659 | Myers Industrials, Inc. | 8,238 | ||||
26 | Silgan Holdings, Inc. | 1,462 | ||||
19,911 | ||||||
26
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
Metals & Mining — 3.1% | ||||||
750 | Cameco Corp. | $ | 33,562 | |||
97 | Carpenter Technology Corp. | 5,025 | ||||
124 | Commercial Metals Co. | 2,954 | ||||
1,450 | Goldcorp, Inc. | 22,881 | ||||
700 | Northwest Pipe Co.* | 16,275 | ||||
98 | Quanex Corp. | 5,195 | ||||
466 | Ryerson Tull, Inc. | 6,650 | ||||
314 | Schnitzer Steel Industries, Inc., Class A Shares | 7,442 | ||||
613 | USEC, Inc. | 8,974 | ||||
108,958 | ||||||
Paper & Forest Products — 0.2% | ||||||
450 | Glatfelter | 5,580 | ||||
267 | Pope & Talbot, Inc. | 2,964 | ||||
8,544 | ||||||
TOTAL MATERIALS | 214,299 | |||||
TELECOMMUNICATION SERVICES — 0.7% | ||||||
Diversified Telecommunication Services — 0.4% | ||||||
1,159 | Broadwing Corp.* | 5,355 | ||||
1,895 | Cincinnati Bell, Inc.* | 8,148 | ||||
126 | Iowa Telecommunications Services, Inc. | 2,362 | ||||
15,865 | ||||||
Wireless Telecommunication Services — 0.3% | ||||||
820 | Dobson Communications Corp., Class A Shares* | 3,493 | ||||
206 | Price Communications Corp.* | 3,564 | ||||
130 | USA Mobility, Inc.* | 3,817 | ||||
10,874 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 26,739 | |||||
UTILITIES — 5.6% | ||||||
Electric Utilities — 3.5% | ||||||
1,300 | Allegheny Energy, Inc.* | 32,786 | ||||
111 | ALLETE, Inc. | 5,539 | ||||
278 | Black Hills Corp. | 10,244 | ||||
202 | Cleco Corp. | 4,357 | ||||
1,057 | CMS Energy Corp.* | 15,918 | ||||
1,000 | NGP Capital Resources Co. | 14,930 | ||||
247 | Otter Tail Corp. | 6,751 | ||||
401 | PNM Resources, Inc. | 11,553 | ||||
1,250 | TECO Energy, Inc. | 23,637 | ||||
125,715 | ||||||
27
Schedules of Investments (unaudited) (continued) | June 30, 2005 |
SHARES | SECURITY | VALUE | ||||
Gas Utilities — 2.1% | ||||||
147 | Energen Corp. | $ | 5,152 | |||
50 | Northwest Natural Gas Co. | 1,912 | ||||
156 | South Jersey Industries, Inc. | 9,535 | ||||
1,812 | Southern Union Co.* | 44,485 | ||||
350 | WGL Holdings, Inc. | 11,774 | ||||
72,858 | ||||||
TOTAL UTILITIES | 198,573 | |||||
TOTAL INVESTMENTS — 97.4% (Cost — $3,242,001#) | 3,488,495 | |||||
Other Assets In Excess of Liabilities — 2.6% | 91,399 | |||||
TOTAL NET ASSETS — 100.0% | $ | 3,579,894 | ||||
* | Non-income producing security. |
# | Aggregate cost for Federal income tax purposes is substantially the same. |
Abbreviation used in this schedule:
EIS — | Enhanced Income Security. Units are comprised of one share of class A common stock and $7.15 principal amount of 12% senior subordinated notes due 10/30/16. |
28
Statements of Assets and Liabilities (unaudited) | June 30, 2005 |
Small Cap | Small Cap | ||||||||
Growth | Value | ||||||||
Portfolio | Portfolio | ||||||||
ASSETS: | |||||||||
Investments, at cost | $ | 3,411,561 | $ | 3,242,001 | |||||
Repurchase agreement, at cost | 414,000 | — | |||||||
Investments, at value | $ | 3,638,953 | $ | 3,488,495 | |||||
Repurchase agreement, at value | 414,000 | — | |||||||
Cash | — | 179,845 | |||||||
Other assets | 9,343 | 9,280 | |||||||
Receivable from manager | 6,740 | 6,941 | |||||||
Receivable for securities sold | 4,036 | — | |||||||
Receivable for Fund shares sold | 2,789 | 1,083 | |||||||
Dividends and interest receivable | 507 | 4,333 | |||||||
Total Assets | 4,076,368 | 3,689,977 | |||||||
LIABILITIES: | |||||||||
Payable for securities purchased | 161,997 | 92,310 | |||||||
Trustees’ fees payable | 1,633 | 1,633 | |||||||
Due to custodian | 1,354 | — | |||||||
Administration fee payable | 178 | 167 | |||||||
Accrued expenses | 15,972 | 15,973 | |||||||
Total Liabilities | 181,134 | 110,083 | |||||||
Total Net Assets | $ | 3,895,234 | $ | 3,579,894 | |||||
NET ASSETS: | |||||||||
Paid-in capital (Note 4) | $ | 3,664,977 | $ | 3,318,438 | |||||
Undistributed net investment income | — | 5,902 | |||||||
Accumulated net investment loss | (848 | ) | — | ||||||
Accumulated net realized gain on investments | 3,713 | 9,060 | |||||||
Net unrealized appreciation of investments | 227,392 | 246,494 | |||||||
Total Net Assets | $ | 3,895,234 | $ | 3,579,894 | |||||
Shares Outstanding | 363,040 | 329,660 | |||||||
Net Asset Value | $ | 10.73 | $ | 10.86 | |||||
29
Statements of Operations (unaudited) | For the Period Ended June 30, 2005* |
Small Cap | Small Cap | ||||||||
Growth | Value | ||||||||
Portfolio | Portfolio | ||||||||
INVESTMENT INCOME: | |||||||||
Dividends | $ | 1,420 | $ | 10,329 | |||||
Interest | 3,813 | 1,436 | |||||||
Total Investment Income | 5,233 | 11,765 | |||||||
EXPENSES: | |||||||||
Custody | 5,877 | 5,878 | |||||||
Audit and tax | 4,898 | 4,898 | |||||||
Management fee (Note 2) | 4,699 | 4,397 | |||||||
Legal fees | 3,698 | 3,698 | |||||||
Shareholder reports | 2,939 | 2,939 | |||||||
Trustees’ fees | 1,633 | 1,633 | |||||||
Administration fees (Note 2) | 332 | 320 | |||||||
Miscellaneous expenses | 612 | 612 | |||||||
Total Expenses | 24,688 | 24,375 | |||||||
Less: Management fee waiver and reimbursements (Note 2) | (18,607 | ) | (18,512 | ) | |||||
Net Expenses | 6,081 | 5,863 | |||||||
Net Investment Income (Loss) | (848 | ) | 5,902 | ||||||
REALIZED AND UNREALIZED GAIN ON INVESTMENTS (NOTES 1 AND 3): | |||||||||
Net Realized Gain From Investment Transactions | 3,713 | 9,060 | |||||||
Change in Net Unrealized Appreciation/Depreciation From Investments | 227,392 | 246,494 | |||||||
Net Gain on Investments | 231,105 | 255,554 | |||||||
Increase in Net Assets From Operations | $ | 230,257 | $ | 261,456 | |||||
* For the period May 2, 2005 (inception date) to June 30, 2005. |
30
Statements of Changes in Net Assets (unaudited) | For the Period Ended June 30, |
Small Cap Growth Portfolio | 2005(1) | ||||
OPERATIONS: | |||||
Net investment loss | $ | (848 | ) | ||
Net realized gain | 3,713 | ||||
Change in net unrealized appreciation/depreciation | 227,392 | ||||
Increase in Net Assets From Operations | 230,257 | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | |||||
Net proceeds from sale of shares | 3,665,360 | ||||
Cost of shares repurchased | (383 | ) | |||
Increase in Net Assets From Fund Share Transactions | 3,664,977 | ||||
Increase in Net Assets | 3,895,234 | ||||
NET ASSETS: | |||||
Beginning of period | — | ||||
End of period* | $ | 3,895,234 | |||
* Includes accumulated net investment loss of: | $(848 | ) | |||
(1) | For the period May 2, 2005 (inception date) to June 30, 2005. |
31
Statements of Changes in Net Assets (unaudited) (continued) | For the Period Ended June 30, |
Small Cap Value Portfolio | 2005(1) | ||||
OPERATIONS: | |||||
Net investment income | $ | 5,902 | |||
Net realized gain | 9,060 | ||||
Change in net unrealized appreciation/depreciation | 246,494 | ||||
Increase in Net Assets From Operations | 261,456 | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | |||||
Net proceeds from sale of shares | 3,318,625 | ||||
Cost of shares repurchased | (187 | ) | |||
Increase in Net Assets From Fund Share Transactions | 3,318,438 | ||||
Increase in Net Assets | 3,579,894 | ||||
NET ASSETS: | |||||
Beginning of period | — | ||||
End of period* | $ | 3,579,894 | |||
* Includes undistributed net investment income of: | $5,902 | ||||
(1) | For the period May 2, 2005 (inception date) to June 30, 2005. |
32
For a share of beneficial interest outstanding throughout the period ended June 30:
SMALL CAP GROWTH PORTFOLIO | 2005(1) | ||||
Net Asset Value, Beginning of Period | $10.00 | ||||
Income (Loss) From Operations: | |||||
Net investment loss | (0.00 | )(2) | |||
Net realized and unrealized gain | 0.73 | ||||
Total Income From Operations | 0.73 | ||||
Net Asset Value, End of Period | $10.73 | ||||
Total Return(3) | 7.30 | % | |||
Net Assets, End of Period (000s) | $3,895 | ||||
Ratios to Average Net Assets(4): | |||||
Gross expenses | 4.47 | % | |||
Net expenses(5)(6) | 1.10 | ||||
Net investment loss | (0.15 | ) | |||
Portfolio Turnover Rate | 6 | % | |||
(1) | For the period May 2, 2005 (inception date) to June 30, 2005. |
(2) | Amount is less than $0.01. |
(3) | 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 the period shown. Total returns for periods of less than one year are not annualized. |
(4) | Annualized. |
(5) | As a result of a contractual expense limitation, the ratio of expenses to average net assets of the fund will not exceed 1.10%, which will be in effect until at least May 1, 2006. |
(6) | The investment adviser has contractually waived a portion of its fees, which waiver and/or reimbursement will be in effect until May 1, 2006. |
33
For a share of beneficial interest outstanding throughout the period ended June 30:
SMALL CAP VALUE PORTFOLIO | 2005(1) | ||||
Net Asset Value, Beginning of Period | $10.00 | ||||
Income From Operations: | |||||
Net investment income | 0.02 | ||||
Net realized and unrealized gain | 0.84 | ||||
Total Income From Operations | 0.86 | ||||
Net Asset Value, End of Period | $10.86 | ||||
Total Return(2) | 8.60 | % | |||
Net Assets, End of Period (000s) | $3,580 | ||||
Ratios to Average Net Assets:(3) | |||||
Gross expenses | 4.57 | % | |||
Net expenses(4)(5) | 1.10 | ||||
Net investment income | 1.11 | ||||
Portfolio Turnover Rate | 12 | % | |||
(1) | For the period May 2, 2005 (inception date) to June 30, 2005. |
(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 the period shown. Total returns for periods of less than one year are not annualized. |
(3) | Annualized. |
(4) | As a result of a contractual expense limitation, the ratio of expenses to average net assets of the fund will not exceed 1.10%, which will be in effect until at least May 1, 2006. |
(5) | The investment adviser has contractually waived a portion of its fees, which waiver and/or reimbursement will be in effect until May 1, 2006. |
34
1. | Organization and Significant Accounting Policies |
Small Cap Growth Portfolio (“SCG”) and Small Cap Value Portfolio (“SCV”) (“Funds”) are separate diversified investment funds of The Travelers Series Trust (“Trust”), 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 its 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 Directors. 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 its 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) 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.
(d) Distributions to Shareholders. Distributions from net investment income and distributions of 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.
(e) 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 its 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.
35
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. As compensation for its services, the Funds pay a fee calculated at the following annual rates:
Investment | ||||
SCG | Adviser Fee | |||
Average Daily Net Assets | ||||
First $100 million | 0.850 | % | ||
Next $150 million | 0.800 | |||
Next $250 million | 0.775 | |||
Next $250 million | 0.750 | |||
Next $250 million | 0.725 | |||
Over $1 billion | 0.700 | |||
Investment | ||||
SCV | Adviser Fee | |||
Average Daily Net Assets | ||||
First $50 million | 0.825 | % | ||
Next $50 million | 0.800 | |||
Next $400 million | 0.775 | |||
Next $500 million | 0.750 | |||
Over $1 billion | 0.725 | |||
These fees are calculated daily and paid monthly.
TAMIC has entered into a sub-advisory agreement with TIMCO Asset Management, Inc. (formerly Travelers Investment Management Company) (“TIMCO”), Dreman Value Management L.L.C. (“Dreman”) and Janus Capital Management LLC (“Janus”). Pursuant to the sub-advisory agreement, TIMCO and Janus are responsible for the day-to-day fund operations and investment decisions for SCG. TIMCO and Dreman are responsible for the day-to-day fund operations and investment decisions for SCV. TAMIC pays the sub-advisers a fee for its services at no additional expense to the Fund.
The Travelers Insurance Company (“TIC”), another indirect wholly-owned subsidiary of Citigroup, acts as the Fund’s administrator. As compensation for its services, the Funds pay TIC an administration fee calculated at the annual rate of 0.06% of the Fund’s average daily net assets. This fee is calculated daily and paid monthly.
During the period ended June 30, 2005, the Funds had contractual expense limitations in place of 1.10% for each Fund. This expense limitation is in effect through May 1, 2006.
For the period ended June 30, 2005, TAMIC waived a portion of its management fees in the amount of $18,607 and $18,512 for SCG and SCV, respectively.
Citicorp Trust Bank, fsb. (“CTB”), another subsidiary of Citigroup, acts as the Funds’ transfer agent.
All officers and one trustee 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) were as follows:
Purchases | Sales | |||||||
SCG | $ | 3,598,474 | $ | 190,695 | ||||
SCV | 3,616,789 | 383,848 | ||||||
36
At June 30, 2005, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
Gross unrealized | Gross unrealized | Net unrealized | ||||||||||
appreciation | depreciation | appreciation | ||||||||||
SCG | $ | 288,142 | $ | (60,750 | ) | $ | 227,392 | |||||
SCV | 273,628 | (27,134 | ) | 246,494 | ||||||||
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:
Period Ended | ||||
June 30, 2005* | ||||
SCG | ||||
Shares sold | 363,076 | |||
Shares repurchased | (36 | ) | ||
Net Increase | 363,040 | |||
SCV | ||||
Shares sold | 329,678 | |||
Shares repurchased | (18 | ) | ||
Net Increase | 329,660 | |||
* | For the period May 2, 2005 (inception date) to June 30, 2005. |
5. | 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, 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 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
37
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.
6. | 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, TIMCO, currently an indirect wholly owned subsidiary of Citigroup, would become an indirect wholly owned subsidiary of Legg Mason. TIMCO is the sub-adviser to the Funds.
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.
7. | Subsequent Events |
On July 1, 2005, MetLife, Inc., (“MetLife”), a Delaware corporation, acquired all of the outstanding shares of capital stock of certain indirect subsidiaries held by Citigroup, Inc. (“Citigroup”) including The Travelers Insurance Company (“TIC”), The Travelers Life and Annuity Company, a wholly owned subsidiary of TIC and certain other domestic insurance companies Citigroup and substantially all of the Citigroup’s international businesses for $11.8 billion. The sale also included TIC’s affiliated investment adviser, Travelers Asset Management International Company, LLC, which serves as the investment adviser to these portfolios.
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.
Also effective July 1, 2005, PFPC Inc. replaced Citicorp Trust Bank as transfer agent for the Funds; and State Street Bank and Trust Company replaced SBFM as sub-administrator for the Funds.
8. | 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 7, 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.
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.
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Factors Considered by the Independent Trustees in Approving the Investment Advisory and Subadvisory
Agreements for the Style Focus Series: Small Cap Growth Portfolio and Style Focus Series: Small Cap
Value Portfolio of The Travelers Series Trust: (unaudited)
Beginning at in person meeting on January 19, 2005 and a telephonic meeting on March 17, 2005, and at in person meetings on March 29 and 30, 2005, the Independent Trustees of the Travelers Series Trust approved investment advisory agreements (the “Agreements”) between TAMIC and each of the Style Focus Series: Small Cap Growth Portfolio (the “Growth Portfolio”) and Style Focus Series: Small Cap Value Portfolio (the “Value Portfolio” and, together with the Growth Portfolio, the “Portfolios”). In addition, the Independent Trustees approved at such meetings subadvisory agreements (the “Subadvisory Agreements”) between TAMIC and TIMCO with respect to each Portfolio, between TAMIC and Janus with respect to the Growth Portfolio, and between TAMIC and Dreman and (together with TIMCO and Janus, the “Subadvisers” for the Value Portfolio).
The Portfolios became operational on May 2, 2005. In addition, on July 1, 2005, Citigroup Inc. (“Citigroup”) sold The Travelers Insurance Company (“TIC”) and certain of TIC’s affiliates, including TAMIC, to MetLife, Inc. (“MetLife” and the “MetLife Transaction”). The change in control of TAMIC resulted in the termination of the Agreements and Subadvisory Agreements on the closing of the MetLife Transaction. Therefore, it was necessary under the 1940 Act for the Independent Trustees to consider and approve Agreements and Subadvisory Agreements for the Portfolios to be dated May 2, 2005 (the “Initial Agreements” and “Initial Subadvisory Agreements”), as well as substantially identical Agreements and Subadvisory Agreements to be dated on the date of the closing of the MetLife Tranaction (the “New Agreements” and “New Subadvisory Agreements”).
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 to be 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 proposal to approve 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 approval 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.
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 Timco, Dreman, and Janus (the “subadvisers”) under the Agreements and the Subadvisory Agreements; (b) the investment performance of the Portfolio, TAMIC and the subadvisers; (c) the cost of services to be provided and the profit realized by TAMIC and the subadvisers 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 Initial Agreements |
As part of the process, legal counsel to the Portfolios 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, TAMIC’s representations about the expected demand for the new Portfolios, and TAMIC’s plans to allocate assets equally between the two subadvisers to each Portfolio. Because the Portfolios had not commenced operations, the Independent Trustees could not consider the performance of the Portfolios. 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 Portfolios were reasonable and below the average
39
Agreements for the Style Focus Series: Small Cap Growth Portfolio and Style Focus Series: Small Cap
Value Portfolio of The Travelers Series Trust: (unaudited) (continued)
for the group of comparable funds. 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 proposed investment advisory fees for the Portfolios included breakpoints that reduced fees payable at the higher asset levels.
The New Agreements |
With respect to the New Agreements, 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, 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 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. |
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.
The Initial Subadvisory Agreements |
TAMIC recommended and the Independent Trustees approved the retention of TIMCO and Janus as subadvisers for the Growth Portfolio and TIMCO and Dreman as subadvisers for the Value Portfolio under the Initial Subadvisory Agreements. The Independent Trustees considered the substantial experience of each of the Subadvisers in managing portfolios comparable to the Portfolios, and their experience with TIMCO and Janus as advisers or subadvisers of other portfolios overseen by the Independent Trustees. Because the Portfolios had not commenced operations, the Independent Trustees could not consider the performance of the Portfolios or the profits realized by each Subadviser from its relationship with the Portfolios, although they considered the performance that Janus and Dreman has generated as advisers to comparable funds. The Independent Trustees were provided with information as to the subadvisory fees of certain comparable funds, and concluded that the proposed subadvisory fees appeared to be reasonable. The Board noted that the investment subadvisory fees were paid by TAMIC out of its investment advisory fees. 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 the proposed subadvisory fees for the Portfolios included breakpoints that reduced fees payable at the higher asset levels.
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Agreements for the Style Focus Series: Small Cap Growth Portfolio and Style Focus Series: Small Cap
Value Portfolio of The Travelers Series Trust: (unaudited) (continued)
The New Subadvisory Agreements |
Also, MetLife recommended and the Independent Trustees approved the New Subadvisory Agreements for the Portfolios. 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 Agreements as a legal matter, the MetLife Transaction was not expected to affect the subadvisers or their services including the day-to-day portfolio management of the Portfolios. Therefore, the Independent Trustees considered the same factors in approving the New Subadvisory Agreements as it did in approving the Initial Subadvisory Agreements. The Independent Trustees also noted that the subadvisory fees would not change as a result of the MetLife Transaction.
Other Business Relationships |
Finally, the Independent Trustees considered other business relationships that MetLife and TAMIC would enter into with Citigroup. 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 mutual funds as investment options 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 Initial and New Agreements and the Initial and New Subadvisory Agreements are fair and reasonable; (b) the fees are reasonable in light of the services TAMIC and the subadvisers provided to the Portfolios and their shareholders; (d) TAMIC and the subadvisers possess the capabilities to perform the duties required of them under the Initial and New Agreements and the Initial and New Subadvisory Agreements; and (e) the Initial and New Agreements and the Initial and New Subadvisory Agreements are approved.
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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 Anti-Money Laundering Compliance Officer and Chief Compliance Officer Paul G. Cellupica Secretary Jack P. Huntington Assistant Secretary * As of July 1, 2005. | INVESTMENT ADVISER* Travelers Asset Management International Company LLC ADMINISTRATOR* The Travelers Insurance Company CUSTODIAN* State Street Bank and Trust Company TRANSFER AGENT* PFPC Inc. |
The Funds are separate investment funds of The Travelers Series Trust, a Massachusetts business trust.
This report is prepared for the general information of variable annuity and life contract owners and is not an offer of shares of The Travelers Series Trust: Small Cap Growth and Small Cap Value Portfolios. 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 schedule 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.
Series Trust (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) CERT Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | ||||
By: | /s/ Elizabeth M. Forget | |
Elizabeth M. Forget | ||
Chief Executive Officer of | ||
The Travelers Series Trust | ||
Date: | September 7, 2005 |
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 |