UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6310
GREENWICH STREET SERIES FUND
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
Christina T. Sydor, Esq.
300 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant's telephone number, including area code:
(800)-725-6666
Date of fiscal year end: DECEMBER 31
Date of reporting period: JUNE 30, 2003
ITEM 1. REPORT TO STOCKHOLDERS.
The SEMI-ANNUAL Report to Stockholders is filed herewith.
Greenwich Street Series Fund Semi-Annual Report
Appreciation Portfolio
Fundamental Value Portfolio
Intermediate High Grade Portfolio
June 30, 2003
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
WHAT'S INSIDE
<Table>
Letter from the Chairman.................................... 1
Schedules of Investments:
Intermediate High Grade Portfolio.................... 2
Appreciation Portfolio............................... 4
Fundamental Value Portfolio.......................... 9
Statements of Assets and Liabilities........................ 15
Statements of Operations.................................... 16
Statements of Changes in Net Assets......................... 17
Notes to Financial Statements............................... 19
Financial Highlights........................................ 23
</Table>
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
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- --------------------------------------------------------------------------------
LETTER FROM THE CHAIRMAN
[PHOTO R. JAY GERKEN]
R. JAY GERKEN, CFA
Chairman, President and
Chief Executive Officer
DEAR SHAREHOLDER,
The philosopher Bertrand Russell famously remarked that,
"Change is one thing, progress is another." You will
notice in the following pages that we have begun to
implement some changes to your shareholder report and we
will be reflecting other changes in future reports. Our
aim is to make meaningful improvements in reporting on
the management of your Fund and its performance, not
just to enact change for change's sake. Please bear with
us during this transition period.
We invite you to read this report in full. Please take
the opportunity to talk to your financial adviser about
this report or any other questions or concerns you have
about your Fund and your financial future. As always,
thank you for entrusting your assets to us. We look
forward to helping you continue to meet your financial
goals.
Sincerely,
/s/ R. Jay Gerken
R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer
July 23, 2003
1
SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2003
INTERMEDIATE HIGH GRADE PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 51.5%
U.S. Treasury Notes:
$ 225,000 2.125% due 8/31/04........................................ $ 227,822
100,000 7.875% due 11/15/04....................................... 109,168
200,000 6.750% due 5/15/05........................................ 220,320
150,000 6.500% due 10/15/06....................................... 172,383
150,000 6.125% due 8/15/07........................................ 173,561
200,000 Federal Home Loan Bank, 5.125% due 3/6/06................... 217,880
Federal Home Loan Mortgage Corp.:
175,000 Debentures, 5.000% due 1/15/04............................ 178,718
450,000 Notes, 6.875% due 9/15/10................................. 551,215
- ------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost -- $1,667,771)........................................ 1,851,067
- ------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------
FACE
AMOUNT RATING(a) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 31.3%
- ------------------------------------------------------------------------------------------------------------
BANKS/SAVINGS AND LOANS -- 6.5%
100,000 A Bank of America Corp., Notes, 7.800% due 2/15/10............ 123,457
100,000 A+ Wells Fargo & Co., Notes, 5.125% due 2/15/07................ 109,489
- ------------------------------------------------------------------------------------------------------------
232,946
- ------------------------------------------------------------------------------------------------------------
COMPUTERS -- 3.1%
100,000 A+ IBM Corp., Notes, 5.400% due 10/1/08........................ 111,847
- ------------------------------------------------------------------------------------------------------------
COSMETICS AND TOILETRIES -- 3.4%
100,000 AA- The Procter & Gamble Co., 6.875% due 9/15/09................ 121,427
- ------------------------------------------------------------------------------------------------------------
FINANCE COMPANIES/CONSUMER CREDIT -- 12.0%
100,000 BBB Ford Motor Credit Co., Notes, 7.600% due 8/1/05............. 107,421
100,000 AAA General Electric Capital Corp., Notes, 5.450% due 1/15/13... 108,517
100,000 A+ Merrill Lynch & Co., Notes, 5.350% due 6/15/04.............. 103,907
100,000 A+ Morgan Stanley, Notes, 6.100% due 4/15/06................... 110,160
- ------------------------------------------------------------------------------------------------------------
430,005
- ------------------------------------------------------------------------------------------------------------
FOOD AND BEVERAGE -- 3.2%
100,000 A PepsiCo Inc., Notes, 5.700% due 11/1/08..................... 115,254
- ------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT -- 3.1%
100,000 AAA Quebec Province, Notes, 8.625% due 1/19/05.................. 110,794
- ------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $1,046,111)........ 1,122,273
- ------------------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 12.8%
Federal National Mortgage Association (FNMA):
137,763 7.000% due 1/1/13......................................... 146,655
298,993 6.000% due 6/1/13......................................... 312,874
- ------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost -- $436,705)......... 459,529
- ------------------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $3,150,587).................. 3,432,869
- ------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
2
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
INTERMEDIATE HIGH GRADE PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.4%
$157,000 Merrill Lynch & Co., 1.050% due 7/1/03; Proceeds at
maturity -- $157,005; (Fully collateralized by
various U.S. government and agency obligations,
3.500% to 11.250% due 11/15/04 to 2/15/26; Market
value -- $160,140) (Cost -- $157,000)............................... $ 157,000
- ------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $3,307,587**).............................................. $3,589,869
- ------------------------------------------------------------------------------------------------------------
</Table>
(a) All ratings are by Standard & Poor's Ratings Service, except for those
identified by an asterisk (*), which are rated by Moody's Investors Service.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 14 for definitions of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
3
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
APPRECIATION PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMMON STOCK -- 88.7%
- ---------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.2%
80,500 Lockheed Martin Corp. ...................................... $ 3,829,385
47,000 United Technologies Corp. .................................. 3,329,010
- ---------------------------------------------------------------------------------------
7,158,395
- ---------------------------------------------------------------------------------------
AUTO COMPONENTS -- 0.2%
118,000 Delphi Corp. ............................................... 1,018,340
- ---------------------------------------------------------------------------------------
BANKS -- 3.8%
162,000 Bank One Corp. ............................................. 6,023,160
67,000 Fifth Third Bancorp......................................... 3,841,780
41,000 M&T Bank Corp. ............................................. 3,453,020
40,000 U.S. Bancorp................................................ 980,000
107,500 Washington Mutual, Inc. .................................... 4,439,750
80,700 Wells Fargo & Co. .......................................... 4,067,280
- ---------------------------------------------------------------------------------------
22,804,990
- ---------------------------------------------------------------------------------------
BEVERAGES -- 2.1%
53,000 The Coca-Cola Co. .......................................... 2,459,730
228,380 PepsiCo, Inc. .............................................. 10,162,910
- ---------------------------------------------------------------------------------------
12,622,640
- ---------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 1.3%
107,650 Amgen, Inc.+................................................ 7,152,266
25,345 Vicuron Pharmaceuticals, Inc.+.............................. 359,392
- ---------------------------------------------------------------------------------------
7,511,658
- ---------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 0.6%
164,000 Masco Corp. ................................................ 3,911,400
- ---------------------------------------------------------------------------------------
CHEMICALS -- 2.5%
201,000 E.I. du Pont de Nemours & Co. .............................. 8,369,640
135,800 PPG Industries, Inc. ....................................... 6,890,492
- ---------------------------------------------------------------------------------------
15,260,132
- ---------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 2.1%
67,000 Automatic Data Processing Inc. ............................. 2,268,620
27,000 ChoicePoint Inc.+........................................... 932,040
80,600 First Data Corp. ........................................... 3,340,064
248,900 Waste Management, Inc. ..................................... 5,996,001
- ---------------------------------------------------------------------------------------
12,536,725
- ---------------------------------------------------------------------------------------
COMMINGLED FUND -- 0.1%
100,000 iShares MSCI Japan Index Fund+.............................. 727,000
- ---------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.7%
105,000 3Com Corp.+................................................. 491,400
202,450 Cisco Systems, Inc.+........................................ 3,378,891
202,126 Corning, Inc.+.............................................. 1,493,711
537,000 Motorola, Inc. ............................................. 5,063,910
- ---------------------------------------------------------------------------------------
10,427,912
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
4
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
APPRECIATION PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 1.3%
268,000 Gateway, Inc.+.............................................. $ 978,200
73,850 International Business Machines Corp. ...................... 6,092,625
134,000 Maxtor Corp.+............................................... 1,006,340
- ---------------------------------------------------------------------------------------
8,077,165
- ---------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.6%
202,476 SBC Communications Inc. .................................... 5,173,262
107,000 Verizon Communications Inc. ................................ 4,221,150
- ---------------------------------------------------------------------------------------
9,394,412
- ---------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 1.1%
107,000 Cinergy Corp. .............................................. 3,936,530
27,000 Public Service Enterprise Group Inc. ....................... 1,140,750
40,000 The Southern Co. ........................................... 1,246,400
- ---------------------------------------------------------------------------------------
6,323,680
- ---------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 1.2%
190,000 American Power Conversion Corp.+............................ 2,962,100
175,000 Molex Inc., Class A Shares.................................. 4,056,325
- ---------------------------------------------------------------------------------------
7,018,425
- ---------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 1.7%
238,000 AVX Corp. .................................................. 2,615,620
85,731 Mettler-Toledo International Inc.+.......................... 3,142,041
428,000 Solectron Corp.+............................................ 1,600,720
203,500.... Vishay Intertechnology, Inc.+............................... 2,686,200
- ---------------------------------------------------------------------------------------
10,044,581
- ---------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 1.4%
80,000 Global Santa Fe Corp. ...................................... 1,867,200
133,400 Schlumberger Ltd. .......................................... 6,345,838
- ---------------------------------------------------------------------------------------
8,213,038
- ---------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 0.8%
164,400 Walgreen Co. ............................................... 4,948,440
- ---------------------------------------------------------------------------------------
FOOD PRODUCTS -- 4.1%
103,000 General Mills, Inc. ........................................ 4,883,230
161,000 H.J. Heinz Co. ............................................. 5,309,780
67,050 Hershey Foods Corp. ........................................ 4,670,703
94,000 Kraft Foods, Inc. .......................................... 3,059,700
18,600..... Tejon Ranch Co.+............................................ 559,860
108,200 Wm. Wrigley Jr. Co. ........................................ 6,084,086
- ---------------------------------------------------------------------------------------
24,567,359
- ---------------------------------------------------------------------------------------
GAS UTILITIES -- 0.2%
40,000 KeySpan Corp................................................ 1,418,000
- ---------------------------------------------------------------------------------------
HEALTHCARE - EQUIPMENT AND SUPPLIES -- 0.3%
14,000 C.R. Bard, Inc. ............................................ 998,340
40,000 Dade Behring Holdings Inc.+................................. 918,800
- ---------------------------------------------------------------------------------------
1,917,140
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
APPRECIATION PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 0.6%
163,675 Fairmont Hotels & Resorts Inc. ............................. $ 3,829,995
- ---------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 3.1%
240,900 Kimberly-Clark Corp. ....................................... 12,560,526
68,000 The Procter & Gamble Co. ................................... 6,064,240
- ---------------------------------------------------------------------------------------
18,624,766
- ---------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 5.1%
118,600 3M Co. ..................................................... 15,297,028
121,350 Canadian Pacific Ltd. ...................................... 2,742,510
429,719 General Electric Co. ....................................... 12,324,341
- ---------------------------------------------------------------------------------------
30,363,879
- ---------------------------------------------------------------------------------------
INSURANCE -- 11.7%
80,395 American International Group, Inc. ......................... 4,436,196
595 Berkshire Hathaway Inc., Class A Shares+.................... 43,137,500
67,100 The Chubb Corp. ............................................ 4,026,000
137,500 Old Republic International Corp. ........................... 4,712,125
376,500 The St. Paul Cos., Inc. .................................... 13,746,015
- ---------------------------------------------------------------------------------------
70,057,836
- ---------------------------------------------------------------------------------------
MEDIA -- 8.5%
309,825 AOL Time Warner, Inc.+...................................... 4,985,084
173,938 Cablevision Systems Corp. -- New York Group, Class A
Shares+..................................................... 3,610,953
267,900 Comcast Corp., Class A Shares+.............................. 7,723,557
87,700 Gannett Co., Inc. .......................................... 6,736,237
80,500 InterActiveCorp.+........................................... 3,185,385
400,000 Liberty Media Corp., Class A Shares+........................ 4,624,000
96,300 Meredith Corp. ............................................. 4,237,200
150,400 SBS Broadcasting S.A.+...................................... 2,684,640
124,500 Shaw Communications Inc., Class B Shares.................... 1,674,525
81,157 Viacom Inc., Class B Shares+................................ 3,543,315
404,100 The Walt Disney Co. ........................................ 7,980,975
- ---------------------------------------------------------------------------------------
50,985,871
- ---------------------------------------------------------------------------------------
METALS AND MINING -- 1.8%
108,700 Alcoa Inc. ................................................. 2,771,850
121,000 Newmont Mining Corp. ....................................... 3,927,660
80,500 Nucor Corp. ................................................ 3,932,425
- ---------------------------------------------------------------------------------------
10,631,935
- ---------------------------------------------------------------------------------------
MULTILINE RETAIL -- 3.2%
230,500 Costco Wholesale Corp.+..................................... 8,436,300
40,000 Kohl's Corp.+............................................... 2,055,200
160,748 Wal-Mart Stores Inc. ....................................... 8,627,345
- ---------------------------------------------------------------------------------------
19,118,845
- ---------------------------------------------------------------------------------------
OIL AND GAS -- 6.0%
147,100 BP PLC, Sponsored ADR....................................... 6,181,142
40,500 Canadian Natural Resources Ltd. ............................ 1,616,355
383,582 EnCana Corp. ............................................... 14,718,041
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
APPRECIATION PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
OIL AND GAS -- 6.0% (CONTINUED)
336,718 Exxon Mobil Corp. .......................................... $ 12,091,543
84,500 Suncor Energy, Inc. ........................................ 1,584,375
- ---------------------------------------------------------------------------------------
36,191,456
- ---------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 1.0%
40,000 International Paper Co. .................................... 1,429,200
80,500 Weyerhaeuser Co. ........................................... 4,347,000
- ---------------------------------------------------------------------------------------
5,776,200
- ---------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 1.9%
349,980 The Gillette Co. ........................................... 11,150,363
- ---------------------------------------------------------------------------------------
PHARMACEUTICALS -- 6.8%
13,400 Atherogenics, Inc.+......................................... 200,062
33,377 Eli Lilly & Co. ............................................ 2,302,012
213,308 Johnson & Johnson........................................... 11,028,024
116,660 Merck & Co., Inc. .......................................... 7,063,763
521,636 Pfizer Inc. ................................................ 17,813,869
54,975 Wyeth....................................................... 2,504,111
- ---------------------------------------------------------------------------------------
40,911,841
- ---------------------------------------------------------------------------------------
REAL ESTATE -- 2.0%
174,550 Forest City Enterprises, Inc., Class A Shares............... 7,235,098
150,400 The St. Joe Co. ............................................ 4,692,480
- ---------------------------------------------------------------------------------------
11,927,578
- ---------------------------------------------------------------------------------------
ROAD AND RAIL -- 1.5%
156,500 Burlington Northern Santa Fe Corp. ......................... 4,450,860
Florida East Coast Industries, Inc.:
136,800 Class A Shares............................................ 3,495,240
31,869 Class B Shares............................................ 793,538
- ---------------------------------------------------------------------------------------
8,739,638
- ---------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 1.9%
825,962 Agere Systems Inc., Class A Shares+......................... 1,924,491
139,500 Cirrus Logic, Inc.+......................................... 560,790
269,029 Intel Corp. ................................................ 5,591,499
201,600 Texas Instruments Inc. ..................................... 3,548,160
- ---------------------------------------------------------------------------------------
11,624,940
- ---------------------------------------------------------------------------------------
SOFTWARE -- 4.0%
807,736 Microsoft Corp. ............................................ 20,686,119
78,000 ScanSoft, Inc.+............................................. 423,540
205,000 Sybase, Inc.+............................................... 2,851,550
- ---------------------------------------------------------------------------------------
23,961,209
- ---------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 0.3%
14,000 The Home Depot, Inc. ....................................... 463,680
80,000 The TJX Cos., Inc. ......................................... 1,507,200
- ---------------------------------------------------------------------------------------
1,970,880
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $470,143,370)................... 531,768,664
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
APPRECIATION PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 0.0%
- ---------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 0.0%
$ 40,000 Pemex Finance Ltd., Notes, 9.030% due 2/15/11
(Cost -- $42,362)........................................... $ 49,328
- ---------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS
(Cost -- $470,185,732)...................................... 531,817,992
- ---------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 11.3%
67,509,000 Morgan Stanley, 1.050% due 7/1/03; Proceeds at
maturity -- $67,510,969;
(Fully collateralized by U.S. Treasury Strips, 0.000% due
8/15/03 to 11/15/28; Market value -- $69,534,627)
(Cost -- $67,509,000)..................................... 67,509,000
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $537,694,732*)..................................... $599,326,992
- ---------------------------------------------------------------------------------------
</Table>
<Table>
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is
substantially the same.
Abbreviation used in this schedule:
------------------------------------------------------------
ADR -- American Depositary Receipt
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
COMMON STOCK -- 93.6%
- --------------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 2.3%
126,300 Goodrich Corp. ............................................. $ 2,652,300
200,000 Honeywell International Inc. ............................... 5,370,000
150,000 Raytheon Co. ............................................... 4,926,000
- --------------------------------------------------------------------------------------------------
12,948,300
- --------------------------------------------------------------------------------------------------
AUTO COMPONENTS -- 0.3%
174,000 Delphi Automotive Systems Corp. ............................ 1,501,620
- --------------------------------------------------------------------------------------------------
BANKS -- 2.3%
180,600 The Bank of New York Co., Inc. ............................. 5,192,250
200,000 Bank One Corp. ............................................. 7,436,000
100 Mellon Financial Corp. ..................................... 2,775
- --------------------------------------------------------------------------------------------------
12,631,025
- --------------------------------------------------------------------------------------------------
BEVERAGES -- 1.2%
144,500 PepsiCo, Inc. .............................................. 6,430,250
- --------------------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 1.4%
441,200 Aphton Corp. (a)............................................ 3,635,488
183,750 Enzo Biochem, Inc. (a)(b)................................... 3,954,300
- --------------------------------------------------------------------------------------------------
7,589,788
- --------------------------------------------------------------------------------------------------
CHEMICALS -- 3.2%
217,900 Cabot Corp. ................................................ 6,253,730
200,000 The Dow Chemical Co. ....................................... 6,192,000
291,200 IMC Global Inc. ............................................ 1,953,952
5,970 Monsanto Co. ............................................... 129,191
95,000 Rohm & Hass Co. ............................................ 2,947,850
- --------------------------------------------------------------------------------------------------
17,476,723
- --------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 2.2%
51,700 NDCHealth Corp. (b)......................................... 948,695
152,400 Sabre Holdings Corp. (a).................................... 3,756,660
300,000 Waste Management, Inc. ..................................... 7,227,000
- --------------------------------------------------------------------------------------------------
11,932,355
- --------------------------------------------------------------------------------------------------
COMMINGLED FUND -- 1.0%
252,300 Utilities Select Sector SPDR Fund (b) ...................... 5,580,876
- --------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 3.6%
548,000 3Com Corp. (a) ............................................. 2,564,640
146,000 Corning Inc. (a) ........................................... 1,078,940
1,500,000 Lucent Technologies Inc. (a)(b) ............................ 3,045,000
800,000 Motorola, Inc. ............................................. 7,544,000
350,000 Nokia Oyj, Sponsored ADR.................................... 5,750,500
- --------------------------------------------------------------------------------------------------
19,983,080
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 1.7%
100,000 Electronics for Imaging, Inc. (a)(b)........................ $ 2,029,000
250,000 Hewlett-Packard Co. ........................................ 5,325,000
300,000 Maxtor Corp. (a)............................................ 2,253,000
- --------------------------------------------------------------------------------------------------
9,607,000
- --------------------------------------------------------------------------------------------------
CONSTRUCTION AND ENGINEERING -- 0.1%
16,900 Fluor Corp. ................................................ 568,516
- --------------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.6%
242,000 Smurfit-Stone Container Corp. (a)........................... 3,153,260
- --------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 4.3%
200,000 American Express Co. ....................................... 8,362,000
150,400 Countrywide Financial Corp. ................................ 10,463,328
123,900 State Street Corp. ......................................... 4,881,660
- --------------------------------------------------------------------------------------------------
23,706,988
- --------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.8%
227,380 Ericsson (LM), Sponsored ADR (a)(b)......................... 2,417,049
285,000 Nippon Telegraph & Telephone Corp., Sponsored ADR (b)....... 5,643,000
300,000 SBC Communications, Inc. ................................... 7,665,000
- --------------------------------------------------------------------------------------------------
15,725,049
- --------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.5%
50,000 Emerson Electric Co. ....................................... 2,555,000
- --------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 3.1%
396,000 Agilent Technologies, Inc. (a).............................. 7,741,800
160,000 Flextronics International Ltd. (a).......................... 1,662,400
2,000,000 Solectron Corp. (a)(b)...................................... 7,480,000
- --------------------------------------------------------------------------------------------------
16,884,200
- --------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 1.6%
254,100 GlobalSantaFe Corp. ........................................ 5,930,694
132,500 Transocean Inc. (b)......................................... 2,911,025
- --------------------------------------------------------------------------------------------------
8,841,719
- --------------------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 0.8%
212,600 Safeway, Inc. .............................................. 4,349,796
- --------------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 0.8%
330,750 Archer-Daniels-Midland Co. ................................. 4,256,753
- --------------------------------------------------------------------------------------------------
HEALTHCARE - PROVIDERS AND SERVICES -- 5.0%
300,000 Health Net, Inc. (a)........................................ 9,885,000
150,000 IMS Health, Inc. ........................................... 2,698,500
138,000 McKesson Corp. ............................................. 4,932,120
200,000 UnitedHealth Group Inc. .................................... 10,050,000
- --------------------------------------------------------------------------------------------------
27,565,620
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 4.0%
350,000 Carnival Corp. ............................................. $ 11,378,500
350,000 McDonald's Corp. ........................................... 7,721,000
125,000 Royal Caribbean Cruises Ltd. (b)............................ 2,895,000
- --------------------------------------------------------------------------------------------------
21,994,500
- --------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.4%
310,000 Fleetwood Enterprises, Inc. (a)(b).......................... 2,294,000
- --------------------------------------------------------------------------------------------------
INSURANCE -- 9.4%
167,800 The Allstate Corp. ......................................... 5,982,070
134,000 Ambac Financial Group, Inc. ................................ 8,877,500
115,200 The Chubb Corp. ............................................ 6,912,000
101,300 The Hartford Financial Services Group, Inc. ................ 5,101,468
173,150 MBIA, Inc. ................................................. 8,441,063
135,500 MGIC Investment Corp. (b)................................... 6,319,720
212,700 Radian Group, Inc. ......................................... 7,795,455
185,000 UnumProvident Corp. ........................................ 2,480,850
- --------------------------------------------------------------------------------------------------
51,910,126
- --------------------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 0.6%
485,000 RealNetworks, Inc. (a)(b)................................... 3,288,300
- --------------------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 1.3%
600,000 Unisys Corp. (a)............................................ 7,368,000
- --------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 4.2%
175,000 Callaway Golf Co. (b)....................................... 2,313,500
156,300 Eastman Kodak Co. .......................................... 4,274,805
662,500 Hasbro, Inc. (b)............................................ 11,587,125
250,000 Mattel, Inc. ............................................... 4,730,000
- --------------------------------------------------------------------------------------------------
22,905,430
- --------------------------------------------------------------------------------------------------
MACHINERY -- 2.6%
50,000 Caterpillar Inc. ........................................... 2,783,000
64,000 Deere & Co. ................................................ 2,924,800
63,200 Ingersoll-Rand Co., Class A Shares (b)...................... 2,990,624
39,000 PACCAR Inc. ................................................ 2,634,840
135,000 Pall Corp................................................... 3,037,500
- --------------------------------------------------------------------------------------------------
14,370,764
- --------------------------------------------------------------------------------------------------
MEDIA -- 8.2%
830,700 AOL Time Warner, Inc. (a)................................... 13,365,963
169,400 Comcast Corp., Class A Shares (a)........................... 4,883,802
625,000 Liberty Media Corp., Class A Shares (a)..................... 7,225,000
470,800 Metro-Goldwyn-Mayer Inc. (a)................................ 5,847,336
225,000 The News Corp., Ltd., Sponsored ADR (b)..................... 6,810,750
350,000 The Walt Disney Co. ........................................ 6,912,500
- --------------------------------------------------------------------------------------------------
45,045,351
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
METALS AND MINING -- 3.4%
300,000 Alcoa Inc. ................................................. $ 7,650,000
132,500 Allegheny Technologies, Inc. ............................... 874,500
350,000 Brush Engineered Materials Inc. (a)......................... 2,922,500
136,900 Kaiser Aluminum Corp. (a)(b)................................ 5,476
172,100 Newmont Mining Corp. (b).................................... 5,586,366
180,000 RTI International Metals, Inc. (a).......................... 1,949,400
- --------------------------------------------------------------------------------------------------
18,988,242
- --------------------------------------------------------------------------------------------------
MULTILINE RETAIL -- 0.2%
30,000 Federated Department Stores, Inc. (a)....................... 1,105,500
- --------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.1%
63,300 IKON Office Solutions, Inc. (b)............................. 563,370
- --------------------------------------------------------------------------------------------------
OIL AND GAS -- 4.2%
38,800 Amerada Hess Corp. ......................................... 1,908,184
115,000 Anadarko Petroleum Corp. ................................... 5,114,050
115,000 ChevronTexaco Corp. ........................................ 8,303,000
82,800 Devon Energy Corp. ......................................... 4,421,520
60,000 Murphy Oil Corp. ........................................... 3,156,000
- --------------------------------------------------------------------------------------------------
22,902,754
- --------------------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 2.0%
155,200 Georgia Pacific Corp. ...................................... 2,941,040
145,700 Weyerhaeuser Co. ........................................... 7,867,800
- --------------------------------------------------------------------------------------------------
10,808,840
- --------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 6.8%
135,000 Abbott Laboratories......................................... 5,907,600
174,400 Bentley Pharmaceuticals, Inc. (a)(b)........................ 2,293,360
179,000 Bristol-Myers Squibb Co. ................................... 4,859,850
800,000 Elan Corp. PLC, Sponsored ADR (a)(b)........................ 4,512,000
100,000 Johnson & Johnson........................................... 5,170,000
244,000 Pfizer Inc. ................................................ 8,332,600
135,000 Wyeth....................................................... 6,149,250
- --------------------------------------------------------------------------------------------------
37,224,660
- --------------------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 3.4%
253,000 Intel Corp. ................................................ 5,258,352
250,000 Lattice Semiconductor Corp. (a)(b).......................... 2,057,500
355,000 LSI Logic Corp. (a)......................................... 2,513,400
520,700 Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored ADR
(a)(b)...................................................... 5,248,656
215,000 Texas Instruments Inc. ..................................... 3,784,000
- --------------------------------------------------------------------------------------------------
18,861,908
- --------------------------------------------------------------------------------------------------
SOFTWARE -- 1.7%
150,000 Adobe Systems, Inc. ........................................ 4,810,500
556,000 Micromuse Inc. (a)(b)....................................... 4,442,440
- --------------------------------------------------------------------------------------------------
9,252,940
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.5%
148,000 The Gap, Inc. .............................................. $ 2,776,480
172,900 The Home Depot, Inc. ....................................... 5,726,448
- --------------------------------------------------------------------------------------------------
8,502,928
- --------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.8%
35,000 Mobile Telesystems, Sponsored ADR (a)(b).................... 2,065,000
125,000 Vodafone Group PLC, Sponsored ADR (b)....................... 2,456,250
- --------------------------------------------------------------------------------------------------
4,521,250
- --------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $477,235,899)................... 515,196,781
- --------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.9%
417,734 Solectron Corp., Exchangeable 7.250% (Cost -- $8,184,016)... 4,904,197
- --------------------------------------------------------------------------------------------------
FOREIGN STOCK -- 0.8%
150,000 SONY CORP. (Cost -- $5,637,035)............................. 4,230,111
- --------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $491,056,950)................ 524,331,089
- --------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.7%
$25,745,000 Merrill Lynch & Co., 1.050% due 7/1/03; Proceeds at
maturity -- $25,745,751;
(Fully collateralized by various U.S. government and
agency obligations,
3.500% to 11.250% due 11/15/04 to 2/15/26; Market
value -- $26,259,903) (Cost -- $25,745,000)............... 25,745,000
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $516,801,950*)..................................... $550,076,089
- --------------------------------------------------------------------------------------------------
</Table>
(a) Non-income producing security.
(b) All or a portion of this security is on loan (See Note 7).
* Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviations used in this schedule:
ADR -- American Depositary Receipt
SPDR -- Standard & Poor's Depositary Receipt
LOANED SECURITIES COLLATERAL (UNAUDITED) JUNE 30, 2003
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
$ 61,589,004 State Street Navigator Securities Lending Trust Prime
Portfolio
(Cost -- $61,589,004)....................................... $61,589,004
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
- --------------------------------------------------------------------------------
BOND RATINGS (UNAUDITED)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA" to
"CCC" may be modified by the addition of a plus (+) or minus (-) sign to show
relative standings within the major rating categories.
<Table>
AAA -- Bonds rated "AAA" have the highest rating assigned by
Standard & Poor's. Capacity to pay interest and repay
principal is extremely strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest
and repay principal and differ from the highest rated issue
only in a small degree.
A -- Bonds rated "A" have a strong capacity to pay interest and
repay principal although they are somewhat more susceptible
to the adverse effects of changes in circumstances and
economic conditions than bonds in higher rated categories.
BB, B, -- Bonds rated BB, B, CCC, CC and C are regarded, on balance,
CCC, as predominantly speculative with respect to the issuer's
CC and C capacity to pay interest and repay principal in accordance
with the terms of the obligation. BB indicates the lowest
degree of speculation and C the highest degree of
speculation. While such bonds will likely have some quality
and protective characteristics, these are outweighted by
large uncertainties or major risk exposures to adverse
conditions.
Moody's Investors Service ("Moody's") -- Numerical modifiers 1, 2, and 3 may
be applied to each generic rating from "Aa" to "Ba" where 1 is the highest and
3 the lowest rating within its generic category.
Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They
carry the smallest degree of investment risk and are
generally referred to as "gilt edge." Interest payments are
protected by a large or by an exceptionally stable margin
and principal is secure. While the various protective
elements are likely to change, such changes as can be
visualized are most unlikely to impair the fundamentally
strong position of such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what
are generally known as high grade bonds. They are rated
lower than the best bonds because margins of protection may
not be as large as in "Aaa" securities or fluctuation of
protective elements may be of greater amplitude or there may
be other elements present which make the long-term risks
appear somewhat larger than in "Aaa" securities.
A -- Bonds rated "A" possess many favorable investment attributes
and are to be considered as upper medium grade obligations.
Factors giving security to principal and interest are
considered adequate but elements may be present which
suggest a susceptibility to impairment some time in the
future.
Baa -- Bonds rated "Baa" are considered to be medium grade
obligations, i.e., they are neither highly protected nor
poorly secured. Interest payments and principal security
appear adequate for the present but certain protective
elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack
outstanding investment characteristics and in fact have
speculative characteristics as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements:
their future cannot be considered as well assured. Often the
protection of interest and principal payments may be very
moderate, and thereby not well safeguarded during both good
and bad times over the future. Uncertainty of position
characterizes bonds in this class.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
</Table>
14
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2003
<Table>
<Caption>
INTERMEDIATE FUNDAMENTAL
HIGH GRADE APPRECIATION VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost..................................... $3,150,587 $470,185,732 $491,056,950
Repurchase agreements, at cost........................... 157,000 67,509,000 25,745,000
Loaned securities collateral, at cost (Note 7)........... -- -- 61,589,004
Foreign currency, at cost................................ -- -- 98,409
- ----------------------------------------------------------------------------------------------------------
Investments, at value.................................... $3,432,869 $531,817,992 $524,331,089
Repurchase agreements, at value.......................... 157,000 67,509,000 25,745,000
Loaned securities collateral, at value (Note 7).......... -- -- 61,589,004
Foreign currency, at value............................... -- -- 98,766
Cash..................................................... 43 653 934
Receivable for securities sold........................... -- 9,656,208 --
Receivable for Fund shares sold.......................... -- 533,180 365,884
Dividends and interest receivable........................ 49,335 674,455 633,680
- ----------------------------------------------------------------------------------------------------------
TOTAL ASSETS............................................. 3,639,247 610,191,488 612,764,357
- ----------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for Fund shares purchased........................ 5,523 99,588 43,904
Investment advisory fees payable......................... 1,126 276,611 359,694
Administration fees payable.............................. 652 100,544 91,722
Payable for loaned securities collateral (Note 7)........ -- -- 61,589,004
Payable for securities purchased......................... -- 1,893,475 --
Accrued expenses......................................... 13,721 62,006 36,172
- ----------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES........................................ 21,022 2,432,224 62,120,496
- ----------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS........................................... $3,618,225 $607,759,264 $550,643,861
- ----------------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of beneficial interest............... $ 382 $ 31,466 $ 32,919
Capital paid in excess of par value...................... 3,796,944 615,148,869 544,262,476
Undistributed net investment income...................... 25,754 1,903,229 1,989,341
Accumulated net realized loss from investment
transactions, futures contracts and options........... (487,137) (70,956,399) (28,915,371)
Net unrealized appreciation of investments and foreign
currencies............................................ 282,282 61,632,099 33,274,496
- ----------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS........................................... $3,618,225 $607,759,264 $550,643,861
- ----------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING......................................... 382,001 31,465,839 32,918,757
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE................................. $9.47 $19.31 $16.73
- ----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2003
<Table>
<Caption>
INTERMEDIATE FUNDAMENTAL
HIGH GRADE APPRECIATION VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest.................................................. $86,625 $ 275,686 $ 194,806
Dividends................................................. -- 3,654,947 3,534,629
Less: Foreign withholding tax............................. -- (35,136) (27,624)
- -----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................... 86,625 3,895,497 3,701,811
- -----------------------------------------------------------------------------------------------------------
EXPENSES:
Audit and legal........................................... 9,296 13,145 13,425
Investment advisory fees (Note 2)......................... 7,202 1,527,311 1,324,565
Custody................................................... 5,402 16,508 15,678
Administration fees (Note 2).............................. 3,601 555,386 481,660
Shareholder servicing fees................................ 2,486 2,486 2,486
Trustees' fees............................................ 710 6,125 6,005
Shareholder communications................................ 636 20,344 21,802
Other..................................................... 1,652 4,513 3,446
- -----------------------------------------------------------------------------------------------------------
TOTAL EXPENSES............................................ 30,985 2,145,818 1,869,067
- -----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME....................................... 55,640 1,749,679 1,832,744
- -----------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS, OPTIONS AND FOREIGN CURRENCIES (NOTES 3, 4 AND
5):
Realized Gain (Loss) From:
Investment transactions................................ 2,914 (7,582,469) 1,320,899
Futures contracts...................................... -- (301,641) --
Options written........................................ -- -- (422,287)
Foreign currency transactions.......................... -- (1,018) 7,310
- -----------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS).................................. 2,914 (7,885,128) 905,922
- -----------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation From:
Investments............................................ 30,315 59,611,113 67,315,587
Foreign currencies..................................... -- 503 (1,177)
- -----------------------------------------------------------------------------------------------------------
INCREASE IN NET UNREALIZED APPRECIATION................... 30,315 59,611,616 67,314,410
- -----------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS AND
FOREIGN CURRENCIES........................................ 33,229 51,726,488 68,220,332
- -----------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS...................... $88,869 $53,476,167 $70,053,076
- -----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE
30, 2003
<Table>
<Caption>
INTERMEDIATE FUNDAMENTAL
HIGH GRADE APPRECIATION VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income................................... $ 55,640 $ 1,749,679 $ 1,832,744
Net realized gain (loss)................................ 2,914 (7,885,128) 905,922
Increase in net unrealized appreciation................. 30,315 59,611,616 67,314,410
- ----------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................. 88,869 53,476,167 70,053,076
- ----------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 8):
Net proceeds from sale of shares........................ 46,070 25,358,341 22,092,882
Cost of shares reacquired............................... (182,550) (19,729,892) (14,448,555)
- ----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
FUND SHARE TRANSACTIONS.............................. (136,480) 5,628,449 7,644,327
- ----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS......................... (47,611) 59,104,616 77,697,403
NET ASSETS:
Beginning of period..................................... 3,665,836 548,654,648 472,946,458
- ----------------------------------------------------------------------------------------------------------
END OF PERIOD*.......................................... $3,618,225 $607,759,264 $550,643,861
- ----------------------------------------------------------------------------------------------------------
* Includes undistributed net investment income of:....... $25,754 $1,903,229 $1,989,341
- ----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2002
<Table>
<Caption>
INTERMEDIATE FUNDAMENTAL
HIGH GRADE APPRECIATION VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 122,600 $ 3,987,824 $ 3,405,120
Net realized gain (loss).................................. 55,029 (36,158,067) (28,730,241)
Changes in net unrealized appreciation (depreciation)..... 126,152 (87,943,946) (100,096,746)
- ----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS......... 303,781 (120,114,189) (125,421,867)
- ----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (426,903) (8,932,946) (5,637,699)
Net realized gains........................................ -- -- (8,995,184)
- ----------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (426,903) (8,932,946) (14,632,883)
- ----------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 8):
Net proceeds from sale of shares.......................... 343,720 84,985,993 159,834,889
Net asset value of shares issued for reinvestment of
dividends.............................................. 426,903 8,932,946 14,632,883
Cost of shares reacquired................................. (1,552,861) (54,648,490) (34,881,801)
- ----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... (782,238) 39,270,449 139,585,971
- ----------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS...................................... (905,360) (89,776,686) (468,779)
NET ASSETS:
Beginning of year......................................... 4,571,196 638,431,334 473,415,237
- ----------------------------------------------------------------------------------------------------------
END OF YEAR*.............................................. $ 3,665,836 $ 548,654,648 $ 472,946,458
- ----------------------------------------------------------------------------------------------------------
* Includes undistributed (overdistributed) net investment
income of:................................................ $(29,886) $154,568 $149,287
- ----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Intermediate High Grade, Appreciation and Fundamental Value Portfolios
("Funds") are separate investment funds of the Greenwich Street Series Fund
("Trust"). The Trust, a Massachusetts business trust, is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. Shares of the Trust can be acquired through
investing in an individual flexible premium deferred combination fixed and
variable annuity contract or a certificate evidencing interest in a master group
flexible premium deferred annuity offered by certain insurance companies. The
Trust offers seven other separate investment funds: Salomon Brothers Variable
Money Market Fund, Diversified Strategic Income Portfolio, Salomon Brothers
Variable All Cap Value Fund, Equity Index Portfolio, Salomon Brothers Variable
Growth & Income Fund, Salomon Brothers Variable Emerging Growth Fund and Salomon
Brothers Variable International Equity Fund. The financial statements and
financial highlights for the other funds are presented in a separate shareholder
report. The Funds and the other investment funds of the Trust are offered
exclusively for use with certain variable annuity and variable life insurance
contracts offered through the separate accounts of various life insurance
companies, including the affiliates of the investment manager.
The significant accounting policies consistently followed by the Funds are:
(a) security transactions are accounted for on trade date; (b) securities traded
on national securities markets are valued at the closing prices on such markets
or, if there were no sales during the day, at current quoted bid price;
securities primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
except that when a significant occurrence subsequent to the time a value was so
established is likely to have significantly changed the value then the fair
value of those securities will be determined by consideration of other factors
by or under the direction of the Board of Trustees or its delegates;
over-the-counter securities are valued on the basis of the bid price at the
close of business on each day; U.S. government and agency obligations are valued
at the average between the bid and the asked prices; securities listed on the
NASDAQ National Market System for which market quotations are available are
valued at the official closing price or, if there is no official closing price
on that day, at the last sale price; (c) securities maturing within 60 days are
valued at cost plus accreted discount, or minus amortized premium, which
approximates value; (d) interest income, adjusted for amortization of premium
and accretion of discount, is recorded on an accrual basis; (e) 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; (f) gains
or losses on the sale of securities are calculated by using the specific
identification method; (g) dividends and distributions to shareholders are
recorded by the Funds on the ex-dividend date; the Funds distribute dividends
and capital gains, if any, at least annually; (h) the accounting records of the
Funds are maintained in U.S. dollars. All assets and liabilities denominated in
foreign currencies are translated into U.S. dollars based on the rate of
exchange of such currencies against U.S. dollars on the date of valuation.
Purchases and sales of securities, and income and expenses are translated at the
rate of exchange quoted on the respective date that such transactions are
recorded. Differences between income and expense amounts recorded and collected
or paid are adjusted when reported by the custodian bank; (i) each Fund intends
to comply with the requirements of the Internal Revenue Code of 1986, as
amended, pertaining to regulated investment companies and to make distributions
of taxable income sufficient to relieve it from substantially all federal income
and excise tax; (j) the character of income and gains to be distributed are
determined in accordance with income tax regulations which may differ from
accounting principles generally accepted in the United States of America; and
(k) 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.
2. INVESTMENT ADVISORY AGREEMENT, ADMINISTRATION AGREEMENT AND OTHER
TRANSACTIONS
The Trust, on behalf of the Funds, has entered into an investment advisory
agreement ("Advisory Agreement") with Smith Barney Fund Management LLC ("SBFM"),
an indirect wholly-owned subsidiary of Citigroup Inc. ("Citigroup"). Under the
Advisory Agreement, the Intermediate High Grade, Appreciation and Fundamental
Value Portfolios each pay an investment advisory fee calculated at the annual
rates of 0.40%, 0.55% and 0.55%, respectively, of the value of their average
daily net assets. These fees are calculated daily and paid monthly.
The Trust, on behalf of the Funds, has entered into an administration
agreement with SBFM. Under the agreement, each Fund pays an administration fee
calculated at the annual rate of 0.20% of the value of their average daily net
assets. These fees are calculated daily and paid monthly.
19
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
For the six months ended June 30, 2003, Citigroup Global Markets Inc.
("CGM"), formerly known as Salomon Smith Barney Inc., another indirect
wholly-owned subsidiary of Citigroup, received brokerage commissions of $32,667.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as
the Funds' transfer agent. PFPC Global Fund Services ("PFPC") acts as the Funds'
sub-transfer agent. CTB receives account fees and asset-based fees that vary
according to the size and type of account. PFPC is responsible for shareholder
recordkeeping and financial processing for all shareholder accounts and is paid
by CTB. For the six months ended June 30, 2003, each Fund paid transfer agent
fees of $2,500 to CTB.
No officer, Trustee or employee of Citigroup or its affiliates receives any
compensation from the Trust for serving as a Trustee or officer of the Trust.
All officers and one Trustee of the Trust are employees of Citigroup or its
affiliates.
3. INVESTMENTS
During the six months ended June 30, 2003, the aggregate cost of purchases
and proceeds from sales of investments (including maturities of long-term
investments, but excluding short-term investments) were as follows:
<Table>
<Caption>
PURCHASES SALES
- -----------------------------------------------------------------------------------------
Intermediate High Grade Portfolio........................... $ 108,113 $ 106,504
Appreciation Portfolio...................................... 128,536,386 139,691,175
Fundamental Value Portfolio................................. 57,130,402 41,464,242
- -----------------------------------------------------------------------------------------
</Table>
At June 30, 2003, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<Table>
<Caption>
NET UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
- ---------------------------------------------------------------------------------------------------------
Intermediate High Grade Portfolio.......................... $ 284,366 $ (2,084) $ 282,282
Appreciation Portfolio..................................... 77,453,274 (15,821,014) 61,632,260
Fundamental Value Portfolio................................ 81,183,868 (47,909,729) 33,274,139
- ---------------------------------------------------------------------------------------------------------
</Table>
4. FUTURES CONTRACTS
The Funds may from time to time enter into futures contracts.
Securities or cash equal to the initial margin amount are either deposited
with the broker or segregated by the custodian upon entering into the futures
contract. Additional securities are also segregated up to the current market
value of the futures contracts. During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
received or made and recognized as assets due from or liabilities due to broker,
depending upon whether unrealized gains or losses are incurred. When the
contract is closed, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contract.
The Fund enters into such contracts typically to hedge a portion of its
portfolio. The Fund bears the market risk that arises from changes in the value
of the financial instruments and securities indices.
At June 30, 2003, the Funds did not hold any open futures contracts.
20
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
5. OPTION CONTRACTS
The Intermediate High Grade and Fundamental Value Portfolios may from time
to time enter into options contracts.
Premiums paid when put or call options are purchased by the Fund, represent
investments, which are "marked to market" daily. When a purchased option
expires, the Fund will realize a loss in the amount of the premium paid. When
the Fund enters into a closing sales transaction, the Fund will realize a gain
or loss depending on whether the sales proceeds from the closing sales
transaction are greater or less than the premium paid for the option. When the
Fund exercises a put option, it will realize a gain or loss from the sale of the
underlying security and the proceeds from such sale will be decreased by the
premium originally paid. When the Fund exercises a call option, the cost of the
security which the Fund purchases upon exercise will be increased by the premium
originally paid.
At June 30, 2003, the Intermediate High Grade and the Fundamental Value
Portfolios did not hold any purchased call or put option contracts.
When a Fund writes a call option or a put option, an amount equal to the
premium received by the Fund is recorded as a liability, the value of which is
marked-to-market daily. When a written option expires, the Fund realizes a gain
equal to the amount of the premium received. When the Fund enters into a closing
purchase transaction, the Fund realizes a gain or loss depending upon whether
the cost of the closing transaction is greater or less than the premium
originally received, without regard to any unrealized gain or loss on the
underlying security, and the liability related to such option is eliminated.
When a written call option is exercised, the Fund realizes a gain or loss from
the sale of the underlying security and the proceeds from such sale are
increased by the premium originally received. When a written put option is
exercised, the amount of the premium originally received will reduce the cost of
the security which the Fund purchased upon exercise. When written index options
are exercised, settlement is made in cash.
The risk associated with purchasing options is limited to the premium
originally paid. The Fund enters into options for hedging purposes. The risk in
writing a covered call option is that the Fund gives up the opportunity to
participate in any increase in the price of the underlying security beyond the
exercise price. The risk in writing a put option is that the Fund is exposed to
the risk of loss if the market price of the underlying security declines. The
risk in writing a call option is that the Fund is exposed to the risk of loss if
the market price of the underlying security increases.
The following covered written call option transactions occurred in the
Fundamental Value Portfolio during the six months ended June 30, 2003:
<Table>
<Caption>
NUMBER OF
CONTRACTS PREMIUMS
- -----------------------------------------------------------------------------------------
Options written, outstanding at December 31, 2002........... 2,500 $ 545,243
Options cancelled in closing purchase transactions.......... (2,500) (545,243)
- -----------------------------------------------------------------------------------------
Options written, outstanding at June 30, 2003............... -- $ 0
- -----------------------------------------------------------------------------------------
</Table>
During the six months ended June 30, 2003, the Intermediate High Grade
Portfolio did not enter into any written call or put option contracts.
21
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
6. REPURCHASE AGREEMENTS
The Funds purchase (and the custodian takes possession of) U.S. government
securities from securities dealers subject to agreements to resell the
securities to the sellers at a future date (generally, the next business day) at
an agreed upon higher repurchase price. The Fund requires continual maintenance
of the market value (plus accrued interest) of the collateral in amounts at
least equal to the repurchase price.
7. LENDING OF SECURITIES
The Funds have an agreement with the custodian whereby the custodian may
lend securities owned by the Funds to brokers, dealers and other financial
organizations, and receive a lenders fee. Fees earned by the Funds on securities
lending are recorded in interest income. Loans of securities by the Funds are
collateralized by cash, U.S. Government securities or high quality money market
instruments that are maintained at all times in an amount at least equal to the
current market value of the loaned securities, plus a margin which may vary
depending on the type of securities loaned. The custodian establishes and
maintains the collateral in a segregated account. The Funds maintain exposure
for the risk of any losses in the investment of amounts received as collateral.
At June 30, 2003, the Fundamental Value Portfolio loaned securities having
a market value of $60,624,856 and received cash collateral amounting to
$61,589,004 which was invested in the State Street Navigator Securities Lending
Trust Prime Portfolio.
Income earned by the Appreciation and Fundamental Value Portfolios from
securities loaned during the six months ended June 30, 2003 were $16,205 and
$45,657, respectively.
At June 30, 2003, the Intermediate High Grade and Appreciation Portfolios
did not have any securities on loan.
8. SHARES OF BENEFICIAL INTEREST
At June 30, 2003, the Trust had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. Transactions in shares
for each Fund were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
- ---------------------------------------------------------------------------------------------------
INTERMEDIATE HIGH GRADE PORTFOLIO
Shares sold................................................. 4,946 35,706
Shares issued on reinvestment............................... -- 45,710
Shares reacquired........................................... (19,574) (160,430)
- ---------------------------------------------------------------------------------------------------
Net Decrease................................................ (14,628) (79,014)
- ---------------------------------------------------------------------------------------------------
APPRECIATION PORTFOLIO
Shares sold................................................. 1,375,830 4,190,186
Shares issued on reinvestment............................... -- 497,784
Shares reacquired........................................... (1,118,941) (2,949,823)
- ---------------------------------------------------------------------------------------------------
Net Increase................................................ 256,889 1,738,147
- ---------------------------------------------------------------------------------------------------
FUNDAMENTAL VALUE PORTFOLIO
Shares sold................................................. 1,439,236 8,930,932
Shares issued on reinvestment............................... -- 964,168
Shares reacquired........................................... (998,167) (2,226,233)
- ---------------------------------------------------------------------------------------------------
Net Increase................................................ 441,069 7,668,867
- ---------------------------------------------------------------------------------------------------
</Table>
22
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
INTERMEDIATE HIGH GRADE PORTFOLIO 2003(1) 2002(2) 2001(2) 2000(2) 1999 1998(2)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $9.24 $9.61 $9.74 $9.69 $10.90 $10.89
- -----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income(3)......... 0.14 0.30 0.46 0.54 0.77 0.65
Net realized and unrealized
gain (loss)(3)................ 0.09 0.48 0.23 0.35 (1.17) 0.07
- -----------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... 0.23 0.78 0.69 0.89 (0.40) 0.72
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............ -- (1.15) (0.82) (0.84) (0.81) (0.71)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions................ -- (1.15) (0.82) (0.84) (0.81) (0.71)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $9.47 $9.24 $9.61 $9.74 $9.69 $10.90
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN....................... 2.49%++ 8.35% 7.39% 9.83% (3.69)% 6.79%
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S)... $3,618 $3,666 $4,571 $6,558 $8,821 $13,242
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses......................... 1.72%+ 2.02% 1.19% 0.98% 1.22% 0.93%
Net investment income(3)......... 3.09+ 3.14 4.63 5.72 5.46 5.82
- -----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 3% 27% 57% 42% 71% 60%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
APPRECIATION PORTFOLIO 2003(1) 2002(2) 2001(2) 2000(2) 1999 1998(2)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $17.58 $21.66 $22.81 $23.39 $21.16 $18.73
- -----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............ 0.06 0.13 0.18 0.27 0.13 0.27
Net realized and unrealized gain
(loss)........................ 1.67 (3.92) (1.09) (0.37) 2.62 3.24
- -----------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... 1.73 (3.79) (0.91) (0.10) 2.75 3.51
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............ -- (0.29) (0.24) (0.17) (0.16) (0.22)
Net realized gains............... -- -- -- (0.31) (0.36) (0.86)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions................ -- (0.29) (0.24) (0.48) (0.52) (1.08)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $19.31 $17.58 $21.66 $22.81 $23.39 $21.16
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN....................... 9.84%++ (17.53)% (3.97)% (0.41)% 13.12% 19.15%
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(MILLIONS)....................... $608 $549 $638 $611 $529 $246
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses......................... 0.77%+ 0.77% 0.77% 0.78% 0.79% 0.80%
Net investment income............ 0.63+ 0.67 0.83 1.18 1.18 1.36
- -----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 25% 71% 59% 64% 53% 22%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the six months ended June 30, 2003 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) Effective January 1, 2001, the Fund adopted a change in the accounting
method that requires the Fund to amortize premiums and accrete all
discounts. Without the adoption of this change, for the year ended December
31, 2001, the net investment income, net realized and unrealized gain and
the ratio of net investment income to average net assets would have been
$0.50, $0.19 and 5.06%, respectively. Per share information, ratios and
supplemental data for the periods prior to January 1, 2001 have not been
restated to reflect this change in presentation.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
23
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
FUNDAMENTAL VALUE PORTFOLIO 2003(1) 2002(2) 2001 2000 1999 1998(2)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $14.56 $19.08 $22.55 $20.14 $17.55 $17.62
- ----------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............ 0.06 0.11 0.08 0.20 0.42 0.49
Net realized and unrealized gain
(loss)........................ 2.11 (4.16) (1.22) 3.73 3.37 0.38
- ----------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... 2.17 (4.05) (1.14) 3.93 3.79 0.87
- ----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............ -- (0.18) (0.15) (0.39) (0.48) (0.43)
Net realized gains............... -- (0.29) (2.18) (1.13) (0.72) (0.51)
- ----------------------------------------------------------------------------------------------------------
Total Distributions................ -- (0.47) (2.33) (1.52) (1.20) (0.94)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $16.73 $14.56 $19.08 $22.55 $20.14 $17.55
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN....................... 14.90%++ (21.30)% (5.27)% 20.47% 22.02% 4.97%
- ----------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(MILLIONS)....................... $551 $473 $473 $358 $330 $298
- ----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses......................... 0.78%+ 0.78% 0.77% 0.79% 0.79% 0.79%
Net investment income............ 0.76+ 0.68 0.64 0.83 2.07 2.79
- ----------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 9% 20% 32% 36% 41% 72%
- ----------------------------------------------------------------------------------------------------------
</Table>
(1) For the six months ended June 30, 2003 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
24
GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
<Table>
TRUSTEES INVESTMENT ADVISER AND
ADMINISTRATOR
Herbert Barg
Dwight B. Crane Smith Barney Fund Management LLC
Burt N. Dorsett
R. Jay Gerken, CFA CUSTODIAN
Chairman
Elliot S. Jaffe State Street Bank and Trust Company
Stephen E. Kaufman
Joseph J. McCann TRANSFER AGENT
Cornelius C. Rose, Jr.
Citicorp Trust Bank, fsb.
OFFICERS
R. Jay Gerken, CFA
President and
Chief Executive Officer
Lewis E. Daidone
Senior Vice President and
Chief Administrative Officer
Richard L. Peteka
Chief Financial Officer and Treasurer
Harry D. Cohen
Vice President and
Investment Officer
Scott Glasser
Vice President and
Investment Officer
John G. Goode
Vice President and
Investment Officer
Eugene J. Kirkwood
Vice President and
Investment Officer
Kaprel Ozsolak
Controller
Christina T. Sydor
Secretary
</Table>
GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
APPRECIATION PORTFOLIO
FUNDAMENTAL VALUE PORTFOLIO
INTERMEDIATE HIGH GRADE PORTFOLIO
The Funds are separate investment funds of the Greenwich Street Series Fund, a
Massachusetts business trust.
This report is submitted for the general
information of the owners of the
Greenwich Street Series Fund. It is not
authorized for distribution to
prospective investors unless accompanied
or preceded by a current Prospectus for
the Trust, which contains information
concerning the Trust's investment
policies, fees and expenses, as well as
other pertinent information.
S-6225-1 N (8/03) 03-4964
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. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) 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-2(c)
under the Investment Company Act of 1940, as amended) are
effective based on their evaluation of the disclosure controls
and procedures as of a date within 90 days of the filing date of
this document.
(b) In the last 90 days, there have been no significant changes in
the Registrant's internal controls or in other factors that
could significantly affect these controls.
ITEM 10. EXHIBITS.
(a) Not applicable.
(b) Attached hereto.
Exhibit 99.CERT Certifications pursuant to section 302 of the
Sarbanes-Oxley Act of 2002
Exhibit 99.906CERT Certifications pursuant to Section 906 of the
Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this Report
to be signed on its behalf by the undersigned, there unto duly authorized.
GREENWICH STREET SERIES FUND
By: /s/ R. Jay Gerken
R. Jay Gerken
Chief Executive Officer of
Greenwich Street Series Fund
Date: August 28, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ R. Jay Gerken
(R. Jay Gerken)
Chief Executive Officer of
Greenwich Street Series Fund
Date: August 28, 2003
By: /s/ Richard Peteka
(Richard Peteka)
Chief Financial Officer of
Greenwich Street Series Fund
Date: August 28, 2003