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 811-3568
MANAGED ASSETS TRUST
(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) 451-2010
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.
SEMI-ANNUAL REPORT
JUNE 30, 2003
[UMBRELLA ART TOP]
[UMBRELLA ART BOTTOM]
MANAGED ASSETS TRUST
HIGH YIELD BOND TRUST
CAPITAL APPRECIATION FUND
MONEY MARKET PORTFOLIO
THE TRAVELERS SERIES TRUST:
U.S. GOVERNMENT SECURITIES PORTFOLIO
SOCIAL AWARENESS STOCK PORTFOLIO
PIONEER FUND PORTFOLIO
[TRAVELERS LOGO]
The Travelers Insurance Company
The Travelers Life and Annuity Company
One Cityplace
Hartford, CT 06103
SEMI-ANNUAL REPORT FOR MANAGED ASSETS TRUST, HIGH YIELD BOND TRUST, CAPITAL
APPRECIATION FUND, MONEY MARKET PORTFOLIO AND THE TRAVELERS SERIES TRUST
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
WHAT'S INSIDE
<Table>
Letter from the Chairman.................................... 1
MANAGED ASSETS TRUST, HIGH YIELD BOND TRUST, CAPITAL
APPRECIATION FUND AND MONEY MARKET PORTFOLIO:
Schedules of Investments:
Managed Assets Trust.................................. 2
High Yield Bond Trust................................. 14
Capital Appreciation Fund............................. 23
Money Market Portfolio................................ 25
Statements of Assets and Liabilities........................ 27
Statements of Operations.................................... 28
Statements of Changes in Net Assets......................... 29
Notes to Financial Statements............................... 31
Financial Highlights........................................ 35
THE TRAVELERS SERIES TRUST:
Schedules of Investments:
U.S. Government Securities Portfolio.................. 37
Social Awareness Stock Portfolio...................... 39
Pioneer Fund Portfolio................................ 43
Statements of Assets and Liabilities........................ 48
Statements of Operations.................................... 49
Statements of Changes in Net Assets......................... 50
Notes to Financial Statements............................... 52
Financial Highlights........................................ 55
Additional Information...................................... 57
</Table>
SEMI-ANNUAL REPORT FOR MANAGED ASSETS TRUST, HIGH YIELD BOND TRUST, CAPITAL
APPRECIATION FUND, MONEY MARKET PORTFOLIO AND THE TRAVELERS SERIES TRUST
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LETTER FROM THE CHAIRMAN
[R. JAY GERKEN PHOTO]
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.
Please note that the Utilities Portfolio has changed its
name to Pioneer Fund Portfolio and modified its
investment objective and strategy. Now sub-advised by
Pioneer Investment Management, Inc., the Fund's revised
investment objective is to seek reasonable income and
capital growth and it invests substantially in equity
securities, primarily those of U.S. issuers.
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 24, 2003
1
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
COMMON STOCK -- 57.5%
- -----------------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.4%
33,249 The Boeing Co. ............................................. $ 1,141,106
3,187 Goodrich Corp. ............................................. 66,927
10,625 Lockheed Martin Corp. ...................................... 505,431
809 Northrop Grumman Corp. ..................................... 69,809
22,184 Raytheon Co. ............................................... 728,523
15,694 United Technologies Corp. .................................. 1,111,606
- -----------------------------------------------------------------------------------------------------
3,623,402
- -----------------------------------------------------------------------------------------------------
AIR FREIGHT AND COURIERS -- 0.5%
19,243 United Parcel Service, Inc., Class B Shares................. 1,225,779
- -----------------------------------------------------------------------------------------------------
AUTO COMPONENTS -- 0.0%
4,633 Dana Corp. ................................................. 53,557
- -----------------------------------------------------------------------------------------------------
AUTOMOBILES -- 0.4%
27,387 Ford Motor Co. ............................................. 300,983
22,840 General Motors Corp. ....................................... 822,240
- -----------------------------------------------------------------------------------------------------
1,123,223
- -----------------------------------------------------------------------------------------------------
BANKS -- 4.3%
33,449 Bank of America Corp. ...................................... 2,643,474
6,537 Bank One Corp. ............................................. 243,046
12,321 BB&T Corp. ................................................. 422,610
5,684 Commerce Bancorp, Inc. ..................................... 210,876
69 First Tennessee National Corp. ............................. 3,030
23,462 FleetBoston Financial Corp. ................................ 697,056
9,230 Golden West Financial Corp. ................................ 738,492
8,192 HSBC Holdings PLC........................................... 484,229
3,912 Marshall & Ilsley Corp. .................................... 119,629
7,072 Mellon Financial Corp. ..................................... 196,248
17,713 National City Corp. ........................................ 579,392
4,400 Regions Financial Corp. .................................... 148,632
25,845 U.S. Bancorp................................................ 633,203
37,249 Wachovia Corp. ............................................. 1,488,470
18,005 Washington Mutual, Inc. .................................... 743,607
36,111 Wells Fargo & Co. .......................................... 1,819,994
3,656 Zion Bancorporation......................................... 185,030
- -----------------------------------------------------------------------------------------------------
11,357,018
- -----------------------------------------------------------------------------------------------------
BEVERAGES -- 1.6%
19,888 Anheuser-Busch Co., Inc. ................................... 1,015,282
30,833 The Coca-Cola Co. .......................................... 1,430,960
7,994 Coca-Cola Enterprises Inc. ................................. 145,091
34,384 PepsiCo, Inc. .............................................. 1,530,088
- -----------------------------------------------------------------------------------------------------
4,121,421
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
2
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 1.4%
31,241 Amgen, Inc.+................................................ $ 2,075,652
9,761 Biogen, Inc.+............................................... 370,918
10,432 Chiron Corp.+............................................... 456,087
10,032 Genzyme Corp. -- General Division+.......................... 419,338
12,992 MedImmune, Inc.+............................................ 472,519
- -----------------------------------------------------------------------------------------------------
3,794,514
- -----------------------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 0.1%
12,565 Masco Corp. ................................................ 299,675
- -----------------------------------------------------------------------------------------------------
CHEMICALS -- 0.9%
3,835 Air Products & Chemicals, Inc. ............................. 159,536
15,042 The Dow Chemical Co. ....................................... 465,700
16,422 E.I. du Pont de Nemours & Co. .............................. 683,812
3,800 Eastman Chemical Co. ....................................... 120,346
17,589 International Flavors & Fragrances, Inc. ................... 561,617
3,610 Monsanto Co. ............................................... 78,120
3,020 PPG Industries, Inc. ....................................... 153,235
2,600 Praxair, Inc. .............................................. 156,260
3,500 Rohm & Hass Co. ............................................ 108,605
- -----------------------------------------------------------------------------------------------------
2,487,231
- -----------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 0.4%
4,600 Avery Dennison Corp. ....................................... 230,920
18,666 Cendant Corp.+.............................................. 341,961
6,050 Paychex, Inc. .............................................. 177,325
11,907 Total System Services, Inc. ................................ 265,526
- -----------------------------------------------------------------------------------------------------
1,015,732
- -----------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.9%
88,509 Avaya Inc.+................................................. 571,768
144,058 Cisco Systems, Inc.+........................................ 2,404,328
29,606 Comverse Technology, Inc.+.................................. 444,978
62,154 Motorola, Inc. ............................................. 586,112
18,526 QUALCOMM, Inc. ............................................. 662,305
17,927 Scientific-Atlanta, Inc. ................................... 427,380
- -----------------------------------------------------------------------------------------------------
5,096,871
- -----------------------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 2.2%
50,852 Dell Computer Corp.+++...................................... 1,625,230
22,555 EMC Corp.+.................................................. 236,151
52,352 Hewlett-Packard Co. ........................................ 1,115,098
29,505 International Business Machines Corp. ...................... 2,434,162
81,792 Sun Microsystems, Inc.+..................................... 376,243
- -----------------------------------------------------------------------------------------------------
5,786,884
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
3
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.1%
3,858 Ball Corp. ................................................. $ 175,578
2,326 Sealed Air Corp.+........................................... 110,857
- -----------------------------------------------------------------------------------------------------
286,435
- -----------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 4.4%
37,820 American Express Co. (a)(b)................................. 1,581,254
4,172 The Bear Stearns Cos. Inc. ................................. 302,136
8,341 Capital One Financial Corp. ................................ 410,210
40,831 The Charles Schwab Corp. ................................... 411,985
10,264 Countrywide Credit Industries, Inc. ........................ 714,066
23,134 Fannie Mae.................................................. 1,560,157
7,705 Freddie Mac................................................. 391,183
10,528 The Goldman Sachs Group, Inc. .............................. 881,720
27,806 J.P. Morgan Chase & Co. .................................... 950,409
38,983 MBNA Corp. ................................................. 812,406
26,445 Merrill Lynch & Co., Inc. .................................. 1,234,453
23,469 Morgan Stanley.............................................. 1,003,300
17,537 Principal Financial Group, Inc. ............................ 565,568
21,880 Providian Financial Corp.+.................................. 202,609
18,831 SLM Corp. .................................................. 737,610
- -----------------------------------------------------------------------------------------------------
11,759,066
- -----------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.5%
41,464 AT&T Corp. ................................................. 798,182
11,500 BellSouth Corp. ............................................ 306,245
19,758 CenturyTel, Inc. ........................................... 688,566
34,041 SBC Communications, Inc. ................................... 869,748
35,196 Verizon Communications Inc. ................................ 1,388,482
- -----------------------------------------------------------------------------------------------------
4,051,223
- -----------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 1.3%
9,729 Dominion Resources, Inc. ................................... 625,283
16,862 Edison International+....................................... 277,043
14,015 Entergy Corp. .............................................. 739,712
15,216 Exelon Corp. ............................................... 910,069
14,935 Public Service Enterprise Group Inc. ....................... 631,004
9,894 The Southern Co. ........................................... 308,297
- -----------------------------------------------------------------------------------------------------
3,491,408
- -----------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.4%
18,522 American Power Conversion Corp. ............................ 288,758
4,685 Emerson Electric Co. ....................................... 239,403
15,248 Molex, Inc. ................................................ 411,544
5,804 Thomas & Betts Corp.+....................................... 83,868
- -----------------------------------------------------------------------------------------------------
1,023,573
- -----------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.1%
15,716 PerkinElmer, Inc. .......................................... 217,038
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
4
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 0.5%
6,020 Baker Hughes, Inc. ......................................... $ 202,091
17,893 Halliburton Co. ............................................ 411,539
8,938 Schlumberger Ltd. .......................................... 425,181
7,657 Transocean Inc.+............................................ 168,224
- -----------------------------------------------------------------------------------------------------
1,207,035
- -----------------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 0.6%
4,795 Dean Foods Co.+............................................. 151,043
18,212 General Mills, Inc. ........................................ 863,431
12,598 Kellogg Co. ................................................ 432,993
6,333 McCormick & Co., Inc. ...................................... 172,258
- -----------------------------------------------------------------------------------------------------
1,619,725
- -----------------------------------------------------------------------------------------------------
GAS UTILITIES -- 0.2%
16,388 National Fuel Gas Co. ...................................... 426,907
- -----------------------------------------------------------------------------------------------------
HEALTHCARE - EQUIPMENT AND SUPPLIES -- 1.3%
15,458 Bausch & Lomb, Inc. ........................................ 579,675
15,471 Becton Dickinson & Co. ..................................... 601,048
18,748 Boston Scientific Corp.+.................................... 1,145,503
10,893 Medtronic, Inc. ............................................ 522,537
12,602 St. Jude Medical, Inc.+..................................... 724,615
- -----------------------------------------------------------------------------------------------------
3,573,378
- -----------------------------------------------------------------------------------------------------
HEALTHCARE - PROVIDERS AND SERVICES -- 1.2%
14,424 AETNA, Inc. ................................................ 868,325
7,928 Anthem, Inc.+............................................... 611,645
12,370 CIGNA Corp. ................................................ 580,648
22,062 Quintiles Transnational Corp.+.............................. 313,060
10,762 UnitedHealth Group Inc. .................................... 540,791
2,473 WellPoint Health Networks, Inc.+............................ 208,474
- -----------------------------------------------------------------------------------------------------
3,122,943
- -----------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 0.4%
1,537 International Game Technology............................... 157,281
9,078 Marriott International Inc., Class A Shares................. 348,777
30,670 McDonald's Corp. ........................................... 676,580
- -----------------------------------------------------------------------------------------------------
1,182,638
- -----------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.4%
4,979 Black & Decker Corp. ....................................... 216,338
13,380 Fortune Brands, Inc. ....................................... 698,436
1,600 KB HOME..................................................... 99,168
1,554 Pulte Homes, Inc. .......................................... 95,820
- -----------------------------------------------------------------------------------------------------
1,109,762
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 1.5%
16,138 Colgate-Palmolive Co. ...................................... $ 935,197
15,505 Kimberly-Clark Corp.+....................................... 808,431
25,682 The Procter & Gamble Co. ................................... 2,290,321
- -----------------------------------------------------------------------------------------------------
4,033,949
- -----------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 2.5%
6,004 3M Co. ..................................................... 774,396
179,878 General Electric Co. ....................................... 5,158,901
35,733 Tyco International Ltd. .................................... 678,212
- -----------------------------------------------------------------------------------------------------
6,611,509
- -----------------------------------------------------------------------------------------------------
INSURANCE -- 2.7%
9,150 AFLAC, Inc. ................................................ 281,362
25,368 Allstate Corp. ............................................. 904,369
12,134 Ambac Financial Group, Inc. ................................ 803,877
41,323 American International Group, Inc. ......................... 2,280,203
11,365 The Chubb Corp. ............................................ 681,900
6,383 MBIA, Inc. ................................................. 311,171
6,675 MetLife, Inc. .............................................. 189,036
6,337 MGIC Investment Corp. ...................................... 295,558
9,174 The Progressive Corp. ...................................... 670,619
10,246 Prudential Financial, Inc. ................................. 344,778
2,286 SAFECO Corp. ............................................... 80,650
10,464 Torchmark Corp. ............................................ 389,784
- -----------------------------------------------------------------------------------------------------
7,233,307
- -----------------------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 0.4%
10,132 eBay Inc.+.................................................. 1,055,552
- -----------------------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 0.2%
13,019 Yahoo! Inc.+................................................ 426,502
- -----------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.3%
25,083 Hasbro, Inc. ............................................... 438,702
24,471 Mattel, Inc. ............................................... 462,991
- -----------------------------------------------------------------------------------------------------
901,693
- -----------------------------------------------------------------------------------------------------
MACHINERY -- 0.6%
6,388 Deere & Co. ................................................ 291,932
7,776 Eaton Corp. ................................................ 611,271
9,831 Ingersoll-Rand Co. ......................................... 465,203
1,728 ITT Industries, Inc. ....................................... 113,115
2,830 PACCAR Inc. ................................................ 191,195
- -----------------------------------------------------------------------------------------------------
1,672,716
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
MEDIA -- 2.6%
77,413 AOL Time Warner, Inc.+...................................... $ 1,245,575
49,503 Comcast Corp., Class A Shares+.............................. 1,494,001
13,506 Emmis Communications Corp.+................................. 309,963
20,086 Fox Entertainment Group Inc., Class A Shares+............... 578,075
1,377 Gannett Co., Inc. .......................................... 105,767
10,490 Interactive Corp. .......................................... 415,089
3,396 Meredith Corp. ............................................. 149,424
16,335 Tribune Co. ................................................ 788,981
37,342 Viacom Inc., Class B Shares+................................ 1,630,352
11,516 The Walt Disney Co. ........................................ 227,441
- -----------------------------------------------------------------------------------------------------
6,944,668
- -----------------------------------------------------------------------------------------------------
METALS AND MINING -- 0.3%
15,940 Alcoa Inc. ................................................. 406,470
7,010 Newmont Mining Corp. ....................................... 227,545
2,270 Nucor Corp. ................................................ 110,889
- -----------------------------------------------------------------------------------------------------
744,904
- -----------------------------------------------------------------------------------------------------
MULTI-UTILITIES -- 0.2%
14,998 CenterPoint Energy, Inc. ................................... 122,234
13,004 Questar Corp. .............................................. 435,244
- -----------------------------------------------------------------------------------------------------
557,478
- -----------------------------------------------------------------------------------------------------
MULTILINE RETAIL -- 2.2%
25,075 Dollar General Corp. ....................................... 457,869
6,547 J.C. Penney Co., Inc. ...................................... 110,317
6,349 Kohl's Corp.+............................................... 326,212
11,647 Sears Roebuck & Co. ........................................ 391,805
14,085 Target Corp. ............................................... 532,976
76,260 Wal-Mart Stores Inc. ....................................... 4,092,874
- -----------------------------------------------------------------------------------------------------
5,912,053
- -----------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.1%
23,088 Xerox Corp.+................................................ 244,502
- -----------------------------------------------------------------------------------------------------
OIL AND GAS -- 3.0%
1,835 Amerada Hess Corp. ......................................... 90,245
5,200 Anadarko Petroleum Corp. ................................... 231,244
3,234 Apache Corp. ............................................... 210,404
7,500 Burlington Resources, Inc. ................................. 405,525
18,414 ChevronTexaco Corp. ........................................ 1,329,491
11,958 ConocoPhillips.............................................. 655,298
2,798 Devon Energy Corp. ......................................... 149,413
119,802 Exxon Mobil Corp. .......................................... 4,302,090
6,224 Marathon Oil Corp. ......................................... 164,002
6,700 Occidental Petroleum Corp. ................................. 224,785
7,200 Unocal Corp. ............................................... 206,568
- -----------------------------------------------------------------------------------------------------
7,969,065
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.1%
6,300 Georgia Pacific Corp. ...................................... $ 119,385
3,635 Weyerhaeuser Co. ........................................... 196,290
- -----------------------------------------------------------------------------------------------------
315,675
- -----------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 0.1%
4,735 Alberto Culver Co., Class B Shares.......................... 241,958
1,561 The Gillette Co. ........................................... 49,733
- -----------------------------------------------------------------------------------------------------
291,691
- -----------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 5.1%
15,033 Abbott Laboratories......................................... 657,844
32,103 Bristol-Myers Squibb Co. ................................... 871,596
15,248 Eli Lilly & Co. ............................................ 1,051,655
52,707 Johnson & Johnson........................................... 2,724,952
40,009 Merck & Co. Inc. ........................................... 2,422,545
140,350 Pfizer Inc. ................................................ 4,792,953
15,357 Schering-Plough Corp. ...................................... 285,640
19,440 Wyeth....................................................... 885,492
- -----------------------------------------------------------------------------------------------------
13,692,677
- -----------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
8,403 Equity Office Properties Trust.............................. 226,965
6,066 Equity Residential Properties Trust......................... 157,413
- -----------------------------------------------------------------------------------------------------
384,378
- -----------------------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.2%
6,405 Burlington Northern Santa Fe Corp. ......................... 182,158
20,450 Norfolk Southern Corp. ..................................... 392,640
- -----------------------------------------------------------------------------------------------------
574,798
- -----------------------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 2.3%
19,981 Altera Corp.+............................................... 327,688
17,549 Analog Devices, Inc.+....................................... 611,056
89,950 Applied Micro Circuits Corp.+............................... 544,197
99,054 Intel Corp. ................................................ 2,058,738
10,758 KLA-Tencor Corp.+........................................... 500,139
5,688 Linear Technology Corp. .................................... 183,210
36,516 Micron Technology, Inc.+.................................... 424,681
15,174 National Semiconductor Corp.+............................... 299,231
21,049 NVIDIA Corp.+............................................... 484,337
4,012 QLogic Corp.+............................................... 193,900
22,785 Texas Instruments Inc. ..................................... 401,016
- -----------------------------------------------------------------------------------------------------
6,028,193
- -----------------------------------------------------------------------------------------------------
SOFTWARE -- 2.7%
21,468 Citrix Systems, Inc.+....................................... 437,088
26,453 Computer Associates International, Inc. .................... 589,373
2,443 Electronic Arts Inc.+....................................... 180,758
3,659 Intuit Inc.+................................................ 162,935
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
SOFTWARE -- 2.7% (CONTINUED)
185,393 Microsoft Corp. ............................................ $ 4,747,915
80,978 Oracle Corp.+............................................... 973,356
- -----------------------------------------------------------------------------------------------------
7,091,425
- -----------------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.5%
11,079 Best Buy Co., Inc.+......................................... 486,590
46,733 The Gap, Inc. .............................................. 876,711
52,811 The Home Depot, Inc. ....................................... 1,749,100
6,799 Lowe's Cos., Inc. .......................................... 292,017
35,910 Staples, Inc.+.............................................. 658,949
- -----------------------------------------------------------------------------------------------------
4,063,367
- -----------------------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 0.3%
2,525 Jones Apparel Group, Inc.+.................................. 73,881
8,847 Liz Claiborne, Inc. ........................................ 311,857
4,638 NIKE Inc., Class B Shares................................... 248,087
2,809 Reebok International Ltd.+.................................. 94,467
- -----------------------------------------------------------------------------------------------------
728,292
- -----------------------------------------------------------------------------------------------------
TOBACCO -- 0.6%
36,507 Altria Group, Inc. ......................................... 1,658,878
- -----------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.4%
81,535 AT&T Wireless Services Inc.+................................ 669,402
17,337 Nextel Communications, Inc.+................................ 313,453
- -----------------------------------------------------------------------------------------------------
982,855
- -----------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $156,303,044)................... 153,176,565
- -----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK -- 4.1%
- -----------------------------------------------------------------------------------------------------
AUTOMOBILES -- 1.2%
36,000 Ford Motor Co. Capital Trust II, 6.500% Cumulative Trust
Preferred Securities...................................... 1,564,200
General Motors Corp., Sr. Debentures:
37,000 5.250%, Series B.......................................... 828,800
33,000 6.250%, Series C.......................................... 821,700
- -----------------------------------------------------------------------------------------------------
3,214,700
- -----------------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.1%
4,000 Amcor Ltd., 7.250% PRIDES(SM)............................... 234,000
- -----------------------------------------------------------------------------------------------------
FINANCIAL -- 1.0%
21,000 Newell Financial Trust I, 5.250% Cumulative QUIPS(SM)....... 1,000,125
25,000 Washington Mutual Capital Trust I, 5.375% Cumulative
(c)(d).................................................... 1,481,250
3,000 Washington Mutual Inc., 5.375% Cumulative (d)............... 177,750
- -----------------------------------------------------------------------------------------------------
2,659,125
- -----------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 0.1%
6,000 Omnicare Capital Trust I, 4.000% Trust PIERS(SM)............ 328,800
- -----------------------------------------------------------------------------------------------------
PUBLISHING -- 0.6%
17,000 Tribune Co., PHONES(SM), 2.000% due 5/15/29................. 1,435,650
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
7,000 Equity Office Properties Trust, 5.250% Cumulative, Series
B......................................................... $ 347,900
21,764 Equity Residential Properties Trust, 7.250% Cumulative,
Series G.................................................. 554,764
9,000 Reckson Associates Realty Corp., 7.625% Cumulative, Series
A......................................................... 218,700
- -----------------------------------------------------------------------------------------------------
1,121,364
- -----------------------------------------------------------------------------------------------------
UTILITIES -- 0.7%
10,000 CalEnergy Capital Trust II, 6.250% Trust Preferred
Securities................................................ 470,000
Calpine Capital Trust III, HIGH TIDES(SM):
24,000 5.000%.................................................... 903,000
2,000 5.000% (c)................................................ 75,250
15,200 El Paso Energy Capital Trust I, 4.750% Trust Preferred
Securities................................................ 439,280
- -----------------------------------------------------------------------------------------------------
1,887,530
- -----------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE PREFERRED STOCK (Cost -- $11,172,476)..... 10,881,169
- -----------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 15.8%
U.S. Treasury Notes:
$ 1,480 3.625% due 1/15/08.............................................. 1,661
2,500,000 3.000% due 2/15/08.............................................. 2,573,340
10,000,000 5.750% due 8/15/10.............................................. 11,708,210
6,200 3.500% due 1/15/11.............................................. 7,044
15,500,000 5.000% due 2/15/11.............................................. 17,402,997
20,250,000 U.S. Treasury Strips, zero coupon due 2/15/18..................... 10,399,124
- --------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost -- $42,786,565)........... 42,092,376
- --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES -- 1.7%
Federal National Mortgage Association (FNMA):
6,023 8.500% due 3/1/05............................................... 6,353
1,134,878 6.000% due 1/1/13............................................... 1,187,973
187,837 6.500% due 12/1/27.............................................. 196,328
364,791 6.000% due 3/1/28............................................... 379,893
116,607 6.000% due 4/1/28............................................... 121,471
250,946 6.000% due 5/1/28............................................... 261,335
241,195 6.000% due 6/1/28............................................... 251,181
247,401 6.000% due 7/1/28............................................... 257,645
606,959 5.500% due 8/1/28............................................... 629,968
514,485 6.000% due 8/1/28............................................... 535,786
500,000 5.500% due 12/31/99 (e)......................................... 516,875
Government National Mortgage Association (GNMA):
46,288 9.000% due 11/15/19............................................. 51,681
7,536 9.500% due 1/15/20.............................................. 8,506
51,509 7.500% due 5/15/23.............................................. 55,159
8,638 9.500% due 3/15/20.............................................. 9,750
- --------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES (Cost -- $4,244,385)............... 4,469,904
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(f) SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 11.2%
- -------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 1.6%
$3,000,000 B1* Calpine Corp., Sr. Notes, 8.500% due 2/15/11 (a)(b)......... $ 2,265,000
2,000,000 BBB- PSE&G Energy Holdings Inc., Sr. Notes, 8.500% due 6/15/11... 2,153,754
- -------------------------------------------------------------------------------------------------------
4,418,754
- -------------------------------------------------------------------------------------------------------
FINANCE -- 1.2%
1,000,000 A1* Fleet National Bank, Sub. Notes, 5.750% due 1/15/09......... 1,122,569
2,000,000 A3* Ford Motor Credit Co., GlobLS(TM), 7.250% due 10/25/11...... 2,059,340
- -------------------------------------------------------------------------------------------------------
3,181,909
- -------------------------------------------------------------------------------------------------------
MEDIA -- 6.4%
2,000,000 BBB+ AOL Time Warner, Inc., Debentures, 7.625% due 4/15/31....... 2,316,882
4,000,000 BBB- Clear Channel Communications, Inc., Sr. Notes, 6.625% due
6/15/08 (a)(b)............................................ 4,564,484
2,000,000 BBB Comcast Cable Communications, Inc., Notes, 8.875% due
5/1/17.................................................... 2,682,494
5,000,000 BBB France Telecom S.A., Sr. Notes, 8.500% due 3/1/31........... 6,943,170
2,000,000 NR WorldCom Inc., Notes, 8.250% due 5/15/31 (g)................ 595,000
- -------------------------------------------------------------------------------------------------------
17,102,030
- -------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 2.0%
5,000,000 BBB- Nationwide Health Properties, Inc., Medium-Term Notes,
Series C, 6.900% due 10/1/37.............................. 5,259,160
- -------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $24,724,553)....... 29,961,853
- -------------------------------------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS -- 5.6%
- -------------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.4%
Lear Corp., Sr. Notes:
1,000,000 BB+ Zero coupon due 2/20/22................................... 471,250
1,150,000 BB+ Zero coupon due 2/20/22 (c)............................... 541,938
- -------------------------------------------------------------------------------------------------------
1,013,188
- -------------------------------------------------------------------------------------------------------
BROADCASTING AND CABLE TELEVISION -- 0.0%
350,000 BBB- Cox Communications, Inc., Exchangeable Sub. Discount
Debentures, 1.000% due 4/19/20.............................. 176,313
- -------------------------------------------------------------------------------------------------------
COMPUTER SERVICES -- 0.1%
250,000 BBB Electronic Data Systems Corp, Sr. Notes, 3.875% due 7/15/23
(c)......................................................... 257,813
- -------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -- 0.9%
2,150,000 AAA American International Group Inc., Sr. Debentures, zero
coupon due 11/9/31........................................ 1,413,625
1,662,000 Aa3* Merrill Lynch & Co., Inc., Sr. LYO(TM)Ns, zero coupon due
5/23/31................................................... 909,945
- -------------------------------------------------------------------------------------------------------
2,323,570
- -------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 0.2%
200,000 B1* Calpine Corp., Sr. Notes, 4.000% due 12/26/06 (c)........... 181,000
818,000 B El Paso Corp., Debentures, zero coupon due 2/28/21.......... 361,965
- -------------------------------------------------------------------------------------------------------
542,965
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(f) SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
ELECTRONIC INSTRUMENTS AND CONTROLS -- 0.4%
$1,951,000 BB+ Anixter International Inc., Sr. LYO(TM)Ns, zero coupon due
6/28/20................................................... $ 631,636
440,000 BBB- Arrow Electronics, Inc., Sr. Debentures, zero coupon due
2/21/21................................................... 216,700
250,000 BBB PPL Energy Supply, LLC, Sr. Notes, 2.625% due 5/15/23 (c)... 261,250
- -------------------------------------------------------------------------------------------------------
1,109,586
- -------------------------------------------------------------------------------------------------------
ENERGY -- 0.7%
Diamond Offshore Drilling, Inc., Sr. Debentures:
915,000 A 1.500% due 4/15/31........................................ 861,244
300,000 A 1.500% due 4/15/31 (c).................................... 282,375
Global Marine Inc., Debentures:
1,000,000 A- Zero coupon due 6/23/20................................... 573,750
300,000 A- Zero coupon due 6/23/20 (c)............................... 172,125
100,000 B Hanover Compress Co., Sr. Notes, 4.750% due 3/15/08......... 90,125
- -------------------------------------------------------------------------------------------------------
1,979,619
- -------------------------------------------------------------------------------------------------------
LEISURE -- 0.2%
1,050,000 BB+ Royal Caribbean Cruises Ltd., Sr. LYO(TM)Ns, zero coupon due
2/2/21.................................................... 455,438
- -------------------------------------------------------------------------------------------------------
MEDIA -- 1.2%
Liberty Media Corp., Sr. Exchangeable Debentures:
500,000 BBB-.. 0.750% due 3/30/23........................................ 568,750
650,000 BBB-.. 4.000% due 11/15/29....................................... 423,313
650,000 BBB-.. 3.500% due 1/15/31........................................ 492,375
100,000 BBB-.. 3.500% due 1/15/31 (c).................................... 75,750
1,500,000 BBB+ The Walt Disney Co., Sr. Notes, 2.125% due 4/15/23.......... 1,565,625
- -------------------------------------------------------------------------------------------------------
3,125,813
- -------------------------------------------------------------------------------------------------------
MEDICAL -- 0.2%
300,000 NR Lincare Holdings Inc., Sr. Notes, 3.000% due 6/15/33 (c).... 306,000
140,000 BBB- Watson Pharmaceuticals, Inc., Sr. Debentures, 1.751% due
3/15/23 (c)............................................... 169,925
- -------------------------------------------------------------------------------------------------------
475,925
- -------------------------------------------------------------------------------------------------------
OIL AND GAS -- 0.2%
500,000 BBB Halliburton Co., Sr. Notes, 3.125% due 7/15/23 (c).......... 506,250
- -------------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 0.1%
250,000 A Allergan, Inc., Sr. Notes, zero coupon due 11/6/22 (c)...... 244,063
- -------------------------------------------------------------------------------------------------------
RETAIL -- 1.0%
200,000 BB+ Best Buy Co., Inc., Sub. Debentures, 2.250% due 1/15/22
(c)........................................................ 208,000
1,000,000 BB+ The Gap, Inc., Sr. Notes, 5.750% due 3/15/09................ 1,348,750
J.C. Penney Co., Inc., Sub. Notes:
550,000 BB-... 5.000% due 10/15/08....................................... 538,313
650,000 BB-... 5.000% due 10/15/08 (c)................................... 636,188
- -------------------------------------------------------------------------------------------------------
2,731,251
- -------------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE CORPORATE BONDS (Cost -- $14,325,512)..... 14,941,794
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MANAGED ASSETS TRUST
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 2.3%
$ 5,000,000 PP&L Transition Bond Co. LLC, Series 1991-1, Class A7,
7.050% due 6/25/09........................................ $ 5,779,025
444,956 Wilmington Trust, Notes, 9.250% due 1/2/07.................. 271,423
- --------------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES (Cost -- $5,444,701).......... 6,050,448
- --------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS
(Cost -- $259,001,236)...................................... 261,574,109
- --------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.8%
- --------------------------------------------------------------------------------------------------
U.S. TREASURY BILLS -- 0.2%
630,000 U.S. Treasury Bills, 0.900% due 9/11/03 (Cost -- $628,866)
(h)....................................................... 628,959
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.6%
4,196,000 State Street Bank and Trust Co., 1.000% due 7/1/03; Proceeds
at maturity -- $4,196,117; (Fully collateralized by
Federal National Mortgage Association Notes, 5.500% due
2/15/06; Market value -- $4,282,614)
(Cost -- $4,196,000)...................................... 4,196,000
- --------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (Cost -- $4,824,866)........... 4,824,959
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $263,826,102**)........ $266,399,068
- --------------------------------------------------------------------------------------------------
</Table>
<Table>
(a) All or a portion of this security is segregated for open
futures contracts commitments (See Note 6).
(b) All or a portion of this security is segregated for
to-be-announced ("TBA") securities (See Note 9).
(c) Security is exempt from registration under Rule 144A of the
Securities Act of 1933. This security may be resold in
transactions that are exempt from registration, normally to
qualified institutional buyers.
(d) Security issued with attached warrants.
(e) Security is traded on a TBA basis (See Note 9).
(f) All ratings are by Standard & Poor's Ratings Service, except
for those identified by an asterisk (*), which are rated by
Moody's Investors Service.
(g) Security is currently in default.
(h) All or a portion of this security is held as collateral for
open futures contracts commitments (See Note 6).
+ Non-income producing security.
++ Subsequent to the reporting period, the company changed its
name to Dell Inc.
** Aggregate cost for Federal income tax purposes is
substantially the same.
Abbreviations used in this schedule:
</Table>
<Table>
GlobLS(TM) -- Global Landmark Securities(TM) -- Trademark of Ford Motor
Co.
HIGH -- Remarketable Term Income Deferrable Equity
TIDES(SM) Securities(SM) -- Service Mark of CS First Boston Corp.
LYO(TM)Ns -- Liquid Yield Option(TM) Notes -- Trademark of Merrill Lynch
& Co., Inc.
PHONES(SM) -- Participation Hybrid Option Note Exchangeable
Securities(SM) -- Service Mark of Merrill Lynch & Co., Inc.
PIERS(SM) -- Preferred Income Equity Redeemable Securities(SM) -- Service
Mark of Lehman Brothers Inc.
PRIDES(SM) -- Perpetual Redeemable Income Debt, Exchangeable for
Stock(SM) -- Service Mark of Merrill Lynch & Co., Inc.
QUIPS(SM) -- Quarterly Income Preferred Securities(SM) -- Service Mark of
Goldman Sachs & Co.
See page 26 for definitions of ratings.
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 82.2%
- --------------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.2%
$ 50,000 BB Aviall Inc., Sr. Notes, 7.625% due 7/1/11 (b)............... $ 50,937
700,000 B- BE Aerospace, Inc., Sr. Sub. Notes, Series B, 8.875% due
5/1/11.................................................... 553,000
400,000 CCC+ Hexcel Corp., Sr. Sub. Notes, 9.750% due 1/15/09............ 400,000
- --------------------------------------------------------------------------------------------------
1,003,937
- --------------------------------------------------------------------------------------------------
AIRLINES -- 1.0%
75,000 CCC+ Continental Airlines, Inc., Notes, 8.000% due 12/15/05...... 67,500
1,000,000 B Delta Air Lines, Inc., Notes, 8.300% due 12/15/29........... 710,000
- --------------------------------------------------------------------------------------------------
777,500
- --------------------------------------------------------------------------------------------------
ALTERNATIVE VIDEO PROVIDERS -- 0.7%
200,000 B1* DIRECTV, Inc., Sr. Notes, 8.375% due 3/15/13 (b)............ 224,000
300,000 BB- EchoStar DBS Corp., Sr. Notes, 9.375% due 2/1/09............ 321,375
- --------------------------------------------------------------------------------------------------
545,375
- --------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 4.2%
Collins & Aikman Products Co., Sr. Sub. Notes:
775,000 B 11.500% due 4/15/06....................................... 612,250
325,000 B1* 10.750% due 12/31/11 (b).................................. 287,625
550,000 B+ Intermet Corp., Sr. Notes, 9.750% due 6/15/09 (b)........... 530,750
61,000 Caa1* MascoTech, Inc., Sub. Debentures, 4.500% due 12/15/03 (c)... 59,780
800,000 B Metaldyne Corp., Sr. Sub. Notes, 11.000% due 6/15/12 (b).... 668,000
325,000 B1* RJ Tower Corp., Sr. Notes, 12.000% due 6/1/13 (b)........... 313,625
Tenneco Automotive Inc.:
150,000 B2* Secured Notes, 10.250% due 7/15/13 (b).................... 152,625
425,000 CCC+ Sr. Notes, 11.625% due 10/15/09........................... 378,250
TRW Automotive Inc.:
125,000 B+ Sr. Notes, 9.375% due 2/15/13 (b)......................... 136,250
250,000 B+ Sr. Sub. Notes, 11.000% due 2/15/13 (b)................... 273,750
- --------------------------------------------------------------------------------------------------
3,412,905
- --------------------------------------------------------------------------------------------------
BROADBAND ACCESS AND INTERNET SERVICES -- 0.6%
475,000 B- TSI Telecommunications Services, Inc., Sr. Sub. Notes,
12.750% due 2/1/09 (b).................................... 472,625
- --------------------------------------------------------------------------------------------------
BUILDING MATERIALS -- 0.1%
Armstrong World Industries, Inc., Sr. Notes:
50,000 NR 6.500% due 8/15/05 (d).................................... 31,750
125,000 NR 7.450% due 5/15/29 (d).................................... 79,375
- --------------------------------------------------------------------------------------------------
111,125
- --------------------------------------------------------------------------------------------------
BUSINESS SERVICES -- 0.4%
325,000 B+ Danka Business Systems PLC, Sr. Notes, 11.000% due 6/15/10
(b)....................................................... 321,750
- --------------------------------------------------------------------------------------------------
CABLE -- 5.2%
Adelphia Communications Corp., Sr. Notes:
675,000 Caa2* 10.250% due 6/15/11 (d)................................... 435,375
Series B:
250,000 Caa2* 8.125% due 7/15/03 (d)................................. 156,250
725,000 Caa2* 8.375% due 2/1/08 (d).................................. 453,125
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
CABLE -- 5.2% (CONTINUED)
Charter Communications Holdings, LLC, Sr. Discount Notes:
$ 550,000 CCC- Step bond to yield 10.736% due 4/1/11..................... $ 364,375
1,250,000 CCC- Step bond to yield 18.487% due 5/15/11.................... 637,500
Classic Cable Inc., Series B:
275,000 Ca* Sr. Sub. Notes, 9.375% due 8/1/09 (d)..................... 23,719
125,000 Ca* Sub. Notes, 10.500% due 3/1/10 (d)........................ 10,781
750,000 BB- CSC Holdings Inc., Sr. Notes, Series B, 7.625% due 4/1/11... 761,250
100,000 Caa1* Frontiervision Holdings L.P., Sr. Discount Notes, 11.875%
due 9/15/07 (d)........................................... 80,500
450,000 B+ Insight Midwest, L.P., Sr. Notes, 9.750% due 10/1/09 (b).... 478,125
400,000 B+ Mediacom LLC/Mediacom Capital Corp., Sr. Notes, 9.500% due
1/15/13................................................... 425,000
375,000 BB+ Shaw Communications Inc., Sr. Notes, 7.250% due 4/6/11...... 405,938
- --------------------------------------------------------------------------------------------------
4,231,938
- --------------------------------------------------------------------------------------------------
CELLULAR -- 2.5%
625,000 Caa3* American Cellular Corp., Sr. Sub. Notes, 9.500% due
10/15/09.................................................. 315,625
Centennial Cellular Corp.:
275,000 Caa1* Sr. Notes, 10.125% due 6/15/03 (b)........................ 273,625
200,000 CCC Sr. Sub. Notes, 10.750% due 12/15/08...................... 185,000
425,000 B3* Dobson Communications Corp., Sr. Notes, 10.875% due
7/1/10.................................................... 461,125
200,000 BB+ Rogers Wireless Inc., Sr. Secured Notes, 9.625% due
5/1/11.................................................... 231,000
650,000 CCC+ Rural Cellular Corp., Sr. Sub. Notes, 9.750% due 1/15/10.... 578,500
- --------------------------------------------------------------------------------------------------
2,044,875
- --------------------------------------------------------------------------------------------------
CHEMICALS -- 4.5%
325,000 BB+ Equistar Chemical, L.P., Sr. Notes, 10.125% due 9/1/08
(b)....................................................... 336,375
325,000 BBB- Georgia Gulf Corp., Notes, 7.625% due 11/15/05.............. 339,625
75,000 B Huntsman Advanced Materials, Sr. Secured Notes, 11.000% due
7/15/10 (b)............................................... 78,375
375,000 B- Huntsman ICI Chemicals LLC, Sr. Sub. Notes, 10.125% due
7/1/09.................................................... 361,875
375,000 B Huntsman International LLC, Sr. Notes, 9.875% due 3/1/09
(b)....................................................... 391,875
150,000 BB- ISP Chemco, Inc., Sr. Sub. Notes, 10.250% due 7/1/11 (b).... 170,250
Lyondell Chemical Co.:
375,000 BB Sr. Notes, Series B, 9.875% due 5/1/07.................... 369,375
750,000 B+ Sr. Sub. Notes, 10.875% due 5/1/09........................ 701,250
Millennium America Inc., Sr. Notes:
550,000 BB+ 7.000% due 11/15/06....................................... 558,250
100,000 BB+ 9.250% due 6/15/08........................................ 108,000
Rhodia S.A.:
125,000 BB Sr. Notes, 7.625% due 6/1/10 (b).......................... 132,813
100,000 BB- Sr. Sub. Notes, 8.875% due 6/1/11 (b)..................... 104,000
- --------------------------------------------------------------------------------------------------
3,652,063
- --------------------------------------------------------------------------------------------------
CONVENIENCE AND DRUG RETAILERS -- 0.9%
675,000 B- The Pantry, Inc., Sr. Sub. Notes, 10.250% due 10/15/07...... 698,625
- --------------------------------------------------------------------------------------------------
EMITTING SERVICES MOBILE RADIO AND PERSONAL COMMUNICATIONS SYSTEMS -- 2.2%
250,000 CCC- Alamosa PCS Holdings, Inc., Sr. Discount Notes, step bond to
yield
22.361% due 2/15/10....................................... 146,250
300,000 C Horizon PCS, Inc., Sr. Discount Notes, step bond to yield
22.052% due 10/1/10....................................... 40,500
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
EMITTING SERVICES MOBILE RADIO AND PERSONAL COMMUNICATIONS SYSTEMS -- 2.2%
(CONTINUED)
$ 50,000 B Nextel Communications, Inc., Sr. Notes, 9.375% due
11/15/09.................................................. $ 53,937
800,000 BBB TeleCorp PCS, Inc., Sr. Sub. Discount Notes, step bond to
yield
11.553% due 4/15/09....................................... 832,000
675,000 B- Triton PCS, Inc., Sr. Sub. Notes, 8.750% due 11/15/11 (b)... 676,688
- --------------------------------------------------------------------------------------------------
1,749,375
- --------------------------------------------------------------------------------------------------
EQUIPMENT RENTAL -- 1.3%
375,000 BB- United Rentals (North America), Inc., Sr. Notes, 10.750% due
4/15/08................................................... 411,563
675,000 B Williams Scotsman, Inc., Sr. Notes, 9.875% due 6/1/07....... 664,875
- --------------------------------------------------------------------------------------------------
1,076,438
- --------------------------------------------------------------------------------------------------
EXPLORATION AND PRODUCTION -- 2.5%
175,000 CCC- Belden & Blake Corp., Sr. Sub. Notes, Series B, 9.875% due
6/15/07................................................... 166,250
100,000 BBB- Consumers Energy Co., First Mortgage Bonds, 7.375% due
9/15/23................................................... 104,482
550,000 B+ El Paso Production Holding, Sr. Notes, 7.750% due 6/1/13
(b)....................................................... 551,375
275,000 BB Forest Oil Corp., Sr. Notes, 8.000% due 12/15/11 (b)........ 297,000
275,000 B Nuevo Energy Co., Sr. Sub. Notes, Series B, 9.375% due
10/1/10................................................... 297,687
275,000 BB Pogo Producing Co., Sr. Sub. Notes, Series B, 8.250% due
4/15/11................................................... 305,938
325,000 Ba2* USEC Inc., Sr. Notes, 6.625% due 1/20/06.................... 308,750
- --------------------------------------------------------------------------------------------------
2,031,482
- --------------------------------------------------------------------------------------------------
FABRICATED GLASS, PLASTIC AND FIBER -- 2.0%
Crown Cork & Seal Co. Inc.:
825,000 B Debentures, 7.375% due 12/15/26........................... 631,125
75,000 B Notes, 7.000% due 12/15/06................................ 72,000
175,000 B Crown European Holdings S.A., Sr. Secured Notes, 10.875% due
3/1/13 (b)................................................ 191,625
Owens-Brockway Glass Containers, Inc., Sr. Secured Notes:
575,000 BB 8.875% due 2/15/09........................................ 626,750
125,000 BB 7.750% due 5/15/11 (b).................................... 132,813
- --------------------------------------------------------------------------------------------------
1,654,313
- --------------------------------------------------------------------------------------------------
FOOD/BEVERAGE/TOBACCO -- 0.0%
25,000 B Merisant Co., Sr. Sub. Notes, 9.500% due 7/15/13 (b)........ 26,000
- --------------------------------------------------------------------------------------------------
FOREST - PAPER PRODUCTS -- 4.5%
425,000 Caa2* Doman Industries Ltd., Sr. Notes, 12.000% due 7/1/04........ 437,750
625,000 BB+ Fort James Corp., Sr. Notes, 6.875% due 9/15/07............. 639,062
Georgia-Pacific Corp., Sr. Notes:
500,000 BB+ 9.375% due 2/1/13 (b)..................................... 553,750
400,000 BB+ 8.875% due 5/15/31........................................ 394,000
250,000 B+ Millar Western Forest Products Ltd., Sr. Notes, 9.875% due
5/15/08................................................... 261,250
300,000 CCC+ Riverwood International Corp., Sr. Sub. Notes, 10.875% due
4/1/08.................................................... 309,000
350,000 B Smurfit-Stone Container Corp., Sr. Notes, 8.250% due
10/1/12................................................... 377,125
725,000 BB+ Tembec Inc., Sr. Notes, 7.750% due 3/15/12.................. 706,875
- --------------------------------------------------------------------------------------------------
3,678,812
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
FREIGHT/CONTAINERS/SHIPPING -- 1.4%
$ 275,000 Ca* Atlas Air, Inc., Sr. Notes, 10.750% due 8/1/05.............. $ 60,157
525,000 B Pacer International, Inc., Sr. Sub. Notes, Series B, 11.750%
due 6/1/07................................................ 559,125
475,000 B1* TFM, S.A. de C.V., Sr. Notes, 12.500% due 6/15/12........... 514,188
- --------------------------------------------------------------------------------------------------
1,133,470
- --------------------------------------------------------------------------------------------------
GAMING -- 5.8%
325,000 B Alliance Gaming Corp., Sr. Sub. Notes, Series B, 10.000% due
8/1/07.................................................... 338,812
450,000 Ba3* Aztar Corp., Sr. Sub. Notes, 8.875% due 5/15/07............. 471,937
450,000 B Isle of Capri Casinos, Inc., Sr. Sub. Notes, 8.750% due
4/15/09................................................... 481,500
475,000 BB- Mandalay Resort Group, Sr. Sub. Notes, 6.750% due 7/15/03... 475,297
Park Place Entertainment Corp., Sr. Sub. Notes:
325,000 BB+ 7.875% due 12/15/05....................................... 347,344
875,000 BB+ 7.875% due 3/15/10........................................ 945,000
775,000 CCC+ Pinnacle Entertainment, Inc., Sr. Sub. Notes, Series B,
9.250% due 2/15/07........................................ 767,250
625,000 B Resorts International Hotel and Casino, Inc., First Mortgage
Notes,
11.500% due 3/15/09 (b)................................... 596,875
200,000 B+ Sun International Hotels Ltd., Sr. Sub. Notes, 8.875% due
8/15/11................................................... 217,500
100,000 B- Venetian Casino Resort LLC, Mortgage Notes, 11.000% due
6/15/10................................................... 113,250
- --------------------------------------------------------------------------------------------------
4,754,765
- --------------------------------------------------------------------------------------------------
HEALTHCARE -- 3.4%
250,000 B- Alaris Medical, Inc., Sr. Sub. Notes, 9.750% due 12/1/06.... 260,000
450,000 B- Alliance Imaging Inc., Sr. Sub. Notes, 10.375% due
4/15/11................................................... 472,500
HEALTHSOUTH Corp.:
925,000 C* Sr. Notes, 7.625% due 6/1/12.............................. 721,500
250,000 Caa2* Sr. Sub. Notes, 10.750% due 10/1/08....................... 131,250
550,000 B Radiologix, Inc., Notes, Series B, 10.500% due 12/15/08..... 525,250
700,000 BBB- Tenet Healthcare Corp., Sr. Notes, 6.875% due 11/15/31...... 619,500
- --------------------------------------------------------------------------------------------------
2,730,000
- --------------------------------------------------------------------------------------------------
HOME BUILDERS -- 1.9%
KB Home, Sr. Sub. Notes:
125,000 BB- 8.625% due 12/15/08....................................... 142,500
325,000 BB- 9.500% due 2/15/11........................................ 369,281
200,000 Ba1* Schuler Homes, Inc., Sr. Notes, 9.375% due 7/15/09.......... 227,000
WCI Communities, Inc., Sr. Sub. Notes:
275,000 Ba3* 10.625% due 2/15/11....................................... 305,250
200,000 Ba3* 9.125% due 5/1/12......................................... 214,000
300,000 B- William Lyon Homes, Sr. Notes, 10.750% due 4/1/13........... 320,250
- --------------------------------------------------------------------------------------------------
1,578,281
- --------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS -- 0.9%
600,000 B1* Calpine Corp., Sr. Notes, 8.500% due 2/15/11................ 453,000
325,000 BB- Edison Mission Energy, Sr. Notes, 9.875% due 4/15/11........ 302,250
- --------------------------------------------------------------------------------------------------
755,250
- --------------------------------------------------------------------------------------------------
INDUSTRIAL PRODUCTS -- 3.3%
325,000 C Advance Glassfiber Yarns LLC, Sr. Sub. Notes, 9.875% due
1/15/09 (d)............................................... 17,875
725,000 Ca* BGF Industries, Inc., Sr. Sub. Notes, Series B, 10.250% due
1/15/09................................................... 500,250
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
INDUSTRIAL PRODUCTS -- 3.3% (CONTINUED)
$ 585,000 BB Case Corp., Notes, 7.250% due 1/15/16....................... $ 515,531
575,000 B- Eagle-Picher Industries, Inc., Sr. Sub. Notes, 9.375% due
3/1/08.................................................... 540,500
Foamex L.P., Sr. Sub. Notes:
250,000 CCC+ 13.500% due 8/15/05....................................... 102,500
475,000 CCC+ 9.875% due 6/15/07........................................ 185,250
300,000 B+ The Goodyear Tire & Rubber Co., Notes, 7.857% due 8/15/11... 220,500
JLG Industries, Inc.:
75,000 BB- Sr. Notes, 8.250% due 5/1/08 (b).......................... 76,500
475,000 B+ Sr. Sub. Notes, 8.375% due 6/15/12........................ 434,625
100,000 BBB- Thomas & Betts Corp., Sr. Notes, 7.250% due 6/1/13.......... 100,500
- --------------------------------------------------------------------------------------------------
2,694,031
- --------------------------------------------------------------------------------------------------
LODGING AND LEISURE -- 6.8%
Felcor Lodging L.P., Sr. Notes:
400,000 B1* 9.500% due 9/15/08........................................ 415,000
425,000 B1* 8.500% due 6/1/11......................................... 430,312
925,000 Ba3* HMH Properties, Inc., Sr. Notes, Series A, 7.875% due
8/1/05.................................................... 945,812
650,000 BB+ ITT Corp., Notes, 6.750% due 11/15/05....................... 681,691
MeriStar Hospitality Corp., Sr. Notes:
350,000 B2* 9.000% due 1/15/08........................................ 347,375
575,000 B2* 9.125% due 1/15/11........................................ 566,375
200,000 B+ RFS Partnership, L.P., Sr. Notes, 9.750% due 3/1/12......... 203,000
Royal Caribbean Cruises Ltd.:
1,050,000 BB+ Sr. Debentures, 7.500% due 10/15/27....................... 934,500
125,000 BB+ Sr. Notes, 8.000% due 5/15/10............................. 130,625
800,000 B Six Flags Inc., Sr. Notes, 9.750% due 4/15/13 (b)........... 796,000
100,000 BB- Steinway Musical Instruments, Inc., Sr. Notes, 8.750% due
4/15/11................................................... 100,500
- --------------------------------------------------------------------------------------------------
5,551,190
- --------------------------------------------------------------------------------------------------
LONG DISTANCE TELECOMMUNICATIONS -- 1.5%
190,951 Caa1* Calpoint Receivables Structured Trust 2001, Notes, 7.440%
due 12/10/06 (b).......................................... 176,630
50,000 Caa3* Level 3 Communications, Inc., Sr. Notes, 9.125% due
5/1/08.................................................... 45,000
575,000 CCC+ Qwest Capital Funding, Inc., Notes, 7.250% due 2/15/11...... 474,375
200,000 Ba3* Qwest Corp., Notes, 8.875% due 3/15/12 (b).................. 224,500
1,025,000 Ca* WorldCom, Inc. -- WorldCom Group, Notes, 7.500% due 5/15/11
(d)....................................................... 304,938
- --------------------------------------------------------------------------------------------------
1,225,443
- --------------------------------------------------------------------------------------------------
MOTION PICTURE EXHIBITION -- 0.7%
500,000 CCC+ AMC Entertainment Inc., Sr. Sub. Notes, 9.500% due 2/1/11... 520,000
50,000 CCC- Carmike Cinemas, Notes, 10.375% due 2/1/09.................. 52,750
- --------------------------------------------------------------------------------------------------
572,750
- --------------------------------------------------------------------------------------------------
OIL SERVICES -- 0.7%
500,000 Ca* Petroleum Geo-Services ASA, Sr. Notes, 7.125% due 3/30/28... 315,000
150,000 BB Pride International, Inc., Sr. Notes, 10.000% due 6/1/09.... 165,000
125,000 B2* Trico Marine Services, Sr. Notes, 8.875% due 5/15/12........ 108,125
- --------------------------------------------------------------------------------------------------
588,125
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
OTHER CONSUMER CYCLICAL -- 0.6%
$ 150,000 B3* Foster Wheeler Ltd., Notes, 6.750% due 11/15/05............. $ 114,750
475,000 B- Home Products International, Inc., Sr. Sub. Notes, 9.625%
due 5/15/08............................................... 357,437
- --------------------------------------------------------------------------------------------------
472,187
- --------------------------------------------------------------------------------------------------
OTHER CONSUMER NON-CYCLICAL -- 1.0%
Alderwoods Group, Inc., Sr. Notes:
96,800 NR 11.000% due 1/2/07........................................ 98,494
675,000 NR 12.250% due 1/2/09........................................ 708,750
- --------------------------------------------------------------------------------------------------
807,244
- --------------------------------------------------------------------------------------------------
OTHER MEDIA -- 0.6%
175,000 Ba3* PanAmSat Corp., Sr. Notes, 8.500% due 2/1/12................ 190,313
300,000 CCC+ XM Satellite Radio Inc., Sr. Secured Notes, 12.000% due
6/15/10 (b)............................................... 295,500
- --------------------------------------------------------------------------------------------------
485,813
- --------------------------------------------------------------------------------------------------
PIPELINES -- 4.7%
The Coastal Corp.:
350,000 B Notes, 7.750% due 6/15/10................................. 328,125
250,000 B Sr. Debentures, 6.700% due 2/15/27........................ 232,500
50,000 B Sr. Notes, 6.375% due 2/1/09.............................. 44,000
275,000 B Sonat Inc., Notes, 6.625% due 2/1/08........................ 248,875
925,000 B+ Southern Natural Gas Co., Notes, 7.350% due 2/15/31......... 945,813
375,000 B+ Transcontinental Gas Pipe Line Corp., Sr. Notes, Series B,
8.875% due 7/15/12........................................ 425,625
The Williams Cos., Inc., Notes:
650,000 B+ 6.625% due 11/15/04....................................... 653,250
925,000 B+ 7.125% due 9/1/11......................................... 906,500
- --------------------------------------------------------------------------------------------------
3,784,688
- --------------------------------------------------------------------------------------------------
PUBLISHING -- 2.2%
700,000 BB- Houghton Mifflin Co., Notes, 7.200% due 3/15/11............. 739,375
125,000 CCC- Penton Media Inc., Sr. Sub. Notes, 10.375% due 6/15/11...... 83,281
875,000 B Primedia, Inc., Sr. Notes, 8.875% due 5/15/11............... 925,313
- --------------------------------------------------------------------------------------------------
1,747,969
- --------------------------------------------------------------------------------------------------
RADIO BROADCASTING -- 0.9%
200,000 BBB- Chancellor Media Corp., Sr. Notes, 8.000% due 11/1/08....... 233,500
450,000 B2* Emmis Communications Corp., Sr. Sub. Notes, Series B,
8.125% due 3/15/09........................................ 473,625
- --------------------------------------------------------------------------------------------------
707,125
- --------------------------------------------------------------------------------------------------
REFINING -- 0.8%
Tesoro Petroleum Corp.:
200,000 BB Sr. Secured Notes, 8.000% due 4/15/08..................... 206,000
525,000 B Sr. Sub. Notes, 9.625% due 4/1/12......................... 483,000
- --------------------------------------------------------------------------------------------------
689,000
- --------------------------------------------------------------------------------------------------
RESTAURANTS -- 0.1%
50,000 B Buffets, Inc., Sr. Sub. Notes, 11.250% due 7/15/10.......... 49,750
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
RETAILERS -- 1.9%
J.C. Penney Co., Inc., Debentures:
$ 750,000 BB+ 6.900% due 8/15/26........................................ $ 753,750
175,000 BB+ 8.125% due 4/1/27......................................... 168,875
575,000 BB Saks Inc., Notes, 7.500% due 12/1/10........................ 596,563
- --------------------------------------------------------------------------------------------------
1,519,188
- --------------------------------------------------------------------------------------------------
STEEL/METALS/MINING -- 2.0%
1,125,000 BB- AK Steel Corp., Sr. Notes, 7.750% due 6/15/12............... 939,375
125,000 BB+ IPSCO Inc., Sr. Notes, 8.750% due 6/1/13 (b)................ 128,125
525,000 BB- U.S. Steel LLC, Sr. Notes, 10.750% due 8/1/08............... 553,875
- --------------------------------------------------------------------------------------------------
1,621,375
- --------------------------------------------------------------------------------------------------
SUPERMARKETS AND DISTRIBUTORS -- 1.5%
225,000 B+ Ahold Finance U.S.A., Inc., Sr. Notes, 6.875% due 5/1/29.... 193,500
425,000 BB+ Delhaize America, Inc., Debentures, 9.000% due 4/15/31...... 469,625
125,000 B Roundy's, Inc., Sr. Sub. Notes, Series B, 8.875% due
6/15/12................................................... 131,250
400,000 B2* Stater Bros. Holdings Inc., Sr. Notes, 10.750% due
8/15/06................................................... 423,000
- --------------------------------------------------------------------------------------------------
1,217,375
- --------------------------------------------------------------------------------------------------
TECHNOLOGY -- 1.4%
250,000 B1* Amkor Technology, Inc., Sr. Notes, 9.250% due 2/15/08....... 261,250
950,000 B- Lucent Technologies, Inc., Debentures, 6.450% due 3/15/29... 655,500
200,000 CCC+ ON Semiconductor Corp., Sr. Notes, 13.000% due 5/15/08...... 203,000
- --------------------------------------------------------------------------------------------------
1,119,750
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS - TOWERS -- 1.1%
400,000 B3* American Tower Escrow Corp., Discount Notes, zero coupon
bond to yield
14.441% due 8/1/08........................................ 260,000
600,000 B3* Crown Castle International Corp., Sr. Discount Notes,
10.625% due 11/15/07...................................... 634,500
- --------------------------------------------------------------------------------------------------
894,500
- --------------------------------------------------------------------------------------------------
TELEVISION BROADCASTING -- 0.1%
100,000 CCC+ Young Broadcasting Inc., Sr. Sub. Notes, 10.000% due
3/1/11.................................................... 108,750
- --------------------------------------------------------------------------------------------------
TEXTILES/APPAREL -- 0.9%
725,000 BB- Levi Strauss & Co., Sr. Notes, 12.250% due 12/15/12......... 607,187
125,000 BB- Tropical Sportswear International Corp., Sr. Sub. Notes,
Series A,
11.000% due 6/15/08....................................... 129,375
- --------------------------------------------------------------------------------------------------
736,562
- --------------------------------------------------------------------------------------------------
UTILITIES -- 2.2%
Allegheny Energy Supply Co. LLC, Secured Bonds:
158,293 B Series A, 10.250% due 11/15/07 (b)........................ 163,833
16,706 B Series B, 10.250% due 11/15/07 (b)........................ 16,455
75,000 CCC+ Dynegy Holdings Inc., Sr. Notes, 8.125% due 3/15/05......... 73,312
NGC Corp.:
825,000 CCC+ Sr. Debentures, 7.125% due 5/15/18........................ 676,500
75,000 CCC+ Sr. Notes, 6.750% due 12/15/05............................ 71,250
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
UTILITIES -- 2.2% (CONTINUED)
Northwestern Corp., Notes:
$ 400,000 CCC+ 7.875% due 3/15/07........................................ $ 320,500
150,000 CCC+ 8.750% due 3/15/12........................................ 117,188
Reliant Resources Inc., Sr. Secured Notes:
175,000 B1* 9.250% due 7/15/10 (b).................................... 176,750
175,000 B1* 9.500% due 7/15/13 (b).................................... 177,188
- --------------------------------------------------------------------------------------------------
1,792,976
- --------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $64,071,120)....... 66,826,695
- --------------------------------------------------------------------------------------------------
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
COMMON STOCK -- 0.2%
- --------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.2%
12,155 Hayes Lemmerz International, Inc. (e) (Cost -- $133,705).... 142,213
- --------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.5%
- --------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.0%
41 Hayes Lemmerz International Operating Co., Series A,
8.000% Cumulative Exchangeable............................ 1,905
- --------------------------------------------------------------------------------------------------
LONG DISTANCE TELECOMMUNICATIONS -- 0.0%
3,157 Global Crossing Holding Ltd., 10.500% Sr. Exchangeable
(d)....................................................... 32
- --------------------------------------------------------------------------------------------------
TELEVISION BROADCASTING -- 0.5%
350 Granite Broadcasting Corp., 12.750% Cumulative
Exchangeable.............................................. 280,875
1,200 Paxson Communications Corp., 14.250% Cumulative Jr.
Exchangeable.............................................. 118,500
- --------------------------------------------------------------------------------------------------
399,375
- --------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $648,893) 401,312
- --------------------------------------------------------------------------------------------------
<Caption>
WARRANTS SECURITY VALUE
- --------------------------------------------------------------------------------------------------
WARRANTS (e) -- 0.1%
- --------------------------------------------------------------------------------------------------
OTHER CONSUMER CYCLICAL -- 0.0%
125 Jostens Inc., Expires 5/1/10................................ 10,375
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS - TOWERS -- 0.1%
400 American Tower Corp., Expires 8/1/08........................ 41,200
275 Horizon PCS Inc., Expires 10/1/10........................... 14
- --------------------------------------------------------------------------------------------------
41,214
- --------------------------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $176,414)........................... 51,589
- --------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS
(Cost -- $65,030,132)....................................... 67,421,809
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 17.0%
$13,877,000 State Street Bank and Trust Co., 1.000% due 7/1/03; Proceeds
at maturity -- $13,877,385; (Fully collateralized by
Federal Home Loan Mortgage Corp.
and Federal National Mortgage Association Notes, 5.000% to
5.250% due
5/14/04 to 4/15/07; Market value -- $14,160,788)
(Cost -- $13,877,000)..................................... $13,877,000
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $78,907,132**)..................................... $81,298,809
- --------------------------------------------------------------------------------------------------
</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.
(b) Security is exempt from registration under 144A of the Securities Act of
1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
(c) Convertible bonds exchangeable for shares of common stock.
(d) Security is currently in default.
(e) Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 26 for definitions of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
22
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
CAPITAL APPRECIATION FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
COMMON STOCK -- 84.7%
- -----------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.3%
260,505 Lockheed Martin Corp. ...................................... $ 12,392,223
- -----------------------------------------------------------------------------------------
BANKS -- 8.6%
669,305 Bank of America Corp. ...................................... 52,895,174
521,660 Wells Fargo & Co. .......................................... 26,291,664
- -----------------------------------------------------------------------------------------
79,186,838
- -----------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 3.3%
425,240..... Genentech, Inc.+............................................ 30,668,309
- -----------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 3.6%
1,495,220... Nokia Oyj, Sponsored ADR.................................... 24,566,465
233,220 QUALCOMM Inc. .............................................. 8,337,615
- -----------------------------------------------------------------------------------------
32,904,080
- -----------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 7.6%
359,805 The Goldman Sachs Group, Inc. .............................. 30,133,669
1,026,750 SLM Corp. .................................................. 40,217,797
- -----------------------------------------------------------------------------------------
70,351,466
- -----------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.7%
200,000 Energizer Holdings, Inc.+................................... 6,280,000
- -----------------------------------------------------------------------------------------
HEALTHCARE - EQUIPMENT AND SUPPLIES -- 1.9%
361,635 Medtronic, Inc. ............................................ 17,347,631
- -----------------------------------------------------------------------------------------
HEALTHCARE - PROVIDERS AND SERVICES -- 10.2%
501,200 Cardinal Health, Inc. ...................................... 32,227,160
1,100,920 UnitedHealth Group Inc. .................................... 55,321,230
76,895 WellPoint Health Networks Inc.+............................. 6,482,249
- -----------------------------------------------------------------------------------------
94,030,639
- -----------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 1.3%
92,915 3M Co. ..................................................... 11,984,177
- -----------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 1.4%
123,850 eBay Inc.+.................................................. 12,902,693
- -----------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 0.4%
300,000 VeriSign, Inc.+............................................. 4,149,000
- -----------------------------------------------------------------------------------------
MEDIA -- 14.3%
2,479,002 AOL Time Warner Inc.+....................................... 39,887,142
116,155 EchoStar Communications Corp., Class A Shares+.............. 4,021,286
469,350 InterActiveCorp+............................................ 18,572,179
1,474,425 Viacom Inc., Class B Shares+................................ 64,373,395
475,000 XM Satellite Radio Holdings Inc., Class A Shares+........... 5,248,750
- -----------------------------------------------------------------------------------------
132,102,752
- -----------------------------------------------------------------------------------------
MULTILINE RETAIL -- 2.5%
457,090 Kohl's Corp.+............................................... 23,485,284
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
CAPITAL APPRECIATION FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
OIL AND GAS -- 10.6%
1,568,200 Exxon Mobil Corp. .......................................... $ 56,314,062
800,500 Murphy Oil Corp. ........................................... 42,106,300
- -----------------------------------------------------------------------------------------
98,420,362
- -----------------------------------------------------------------------------------------
PHARMACEUTICALS -- 2.7%
459,740 Forest Laboratories, Inc.+.................................. 25,170,765
- -----------------------------------------------------------------------------------------
SOFTWARE -- 9.1%
374,630 Electronic Arts Inc.+....................................... 27,718,874
2,205,200 Microsoft Corp. ............................................ 56,475,172
- -----------------------------------------------------------------------------------------
84,194,046
- -----------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 3.3%
569,510 NIKE, Inc., Class B Shares.................................. 30,463,090
- -----------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATIONS -- 1.9%
708,250 Vodafone Group PLC, GBP..................................... 1,387,240
804,640 Vodafone Group PLC, Sponsored ADR........................... 15,811,176
- -----------------------------------------------------------------------------------------
17,198,416
- -----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $799,905,759)................... 783,231,771
- -----------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 0.2%
$ 2,195,000 U.S. Treasury Notes, 1.875% due 9/30/04
(Cost -- $2,200,144)...................................... 2,217,295
- -----------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS
(Cost -- $802,105,903)...................................... 785,449,066
- -----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 15.1%
139,139,000 State Street Bank and Trust Co., 1.000% due 7/1/03; Proceeds
at maturity -- $139,142,865; (Fully collateralized by
various U.S. government agency obligations, 1.875% to
5.250% due 2/15/05 to 4/15/07; Market
value -- $141,922,896) (Cost -- $139,139,000)............. 139,139,000
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $941,244,903*)..................................... $924,588,066
- -----------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviations used in this schedule:
------------------------------------
ADR -- American Depositary Receipt
GBP -- Great British Pound
SEE NOTES TO FINANCIAL STATEMENTS.
24
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MONEY MARKET PORTFOLIO
<Table>
<Caption>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- --------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY INSTRUMENTALITIES -- 7.7%
$15,000,000 Federal Home Loan Bank mature 9/3/03 to 6/9/04.............. 1.14% to 1.40% $ 14,990,000
5,000,000 Federal Home Loan Mortgage Corp. matures 10/27/03........... 1.05 4,983,119
10,000,000 Federal National Mortgage Association mature 7/9/03 to
8/20/03..................................................... 1.18 to 1.25 9,990,417
- --------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY
INSTRUMENTALITIES (Cost -- $29,963,536)..................... 29,963,536
- --------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 92.3%
19,400,000 American Express Credit Corp. mature 7/10/03 to 8/14/03..... 0.94 to 1.24 19,386,265
19,430,000 American Honda Finance Corp. mature 7/10/03 to 8/15/03...... 0.96 to 1.24 19,413,384
19,490,000 Asset Securitization Cooperative Corp. mature 7/17/03 to
8/7/03.................................................... 1.02 to 1.26 19,475,739
13,170,000 Caterpillar Financial Services Corp. mature 7/22/03 to
7/23/03................................................... 1.01 to 1.21 13,161,038
14,000,000 Coca-Cola Enterprises Inc. mature 7/9/03 to 8/8/03.......... 0.92 to 1.24 13,993,356
3,000,000 Crown Point Capital Co. LLC matures 8/22/03................. 1.12 2,995,233
3,000,000 Delaware Funding Corp. matures 7/24/03...................... 0.99 2,998,122
7,500,000 General Electric Capital Corp. matures 7/9/03............... 1.24 7,497,967
2,080,000 GlaxoSmithKline Finance PLC matures 9/4/03.................. 1.00 2,076,320
8,000,000 Goldman Sachs Group L.P. matures 7/18/03.................... 1.29 7,995,202
13,511,000 ING U.S. Funding LLC mature 7/10/03 to 8/14/03.............. 1.02 to 1.24 13,502,436
5,850,000 Marsh & McLennan Cos. Inc. mature 7/28/03 to 8/18/03........ 1.13 5,843,608
3,600,000 McGraw-Hill Cos., Inc. matures 10/22/03..................... 0.93 3,589,717
5,000,000 Merrill Lynch & Co., Inc. matures 11/18/03.................. 1.32 5,000,000
7,268,000 Morgan Stanley matures 7/15/03.............................. 1.27 7,264,467
3,000,000 Nestle Capital Corp. matures 8/7/03......................... 1.22 2,996,300
18,200,000 Nordea North America Inc. mature 7/11/03 to 7/30/03......... 1.22 to 1.23 18,188,806
19,406,000 Old Line Funding Corp. mature 7/28/03 to 8/1/03............. 1.02 to 1.18 19,389,272
5,100,000 PACCAR Financial Corp. matures 9/8/03....................... 1.11 5,089,345
4,803,000 Park Granada LLC matures 8/22/03............................ 0.99 4,796,270
19,000,000 Pfizer Inc. mature 7/14/03 to 7/15/03....................... 1.22 to 1.23 18,991,371
6,000,000 Preferred Receivable Funding matures 7/9/03................. 1.23 5,998,387
5,000,000 Private Export Funding Corp. matures 8/12/03................ 1.22 4,993,000
5,400,000 Royal Bank of Scotland PLC matures 8/6/03................... 0.95 5,394,924
8,000,000 Schering Plough Corp. matures 7/8/03........................ 1.25 7,998,087
19,750,000 Sheffield Receivable Funding mature 7/7/03 to 7/22/03....... 1.25 to 1.26 19,742,815
19,400,000 Societe Generale N.A. Inc. mature 7/1/03 to 9/3/03.......... 1.02 to 1.26 19,392,978
4,662,000 Starfish Global Funding LLC matures 7/10/03................. 1.28 4,660,532
18,447,000 Toyota Motor Credit Corp. mature 7/9/03 to 9/15/03.......... 0.92 to 1.24 18,426,720
14,304,000 UBS Finance Inc. mature 7/1/03 to 7/18/03................... 1.05 to 1.33 14,300,109
4,385,000 Unilever Capital Corp. matures 7/30/03...................... 1.00 4,381,503
10,000,000 Wells Fargo Bank San Francisco CA matures 7/10/03........... 1.23 10,000,000
13,000,000 Windmill Funding Corp. mature 7/23/03 to 7/30/03............ 1.25 12,987,837
18,736,000 Yorktown Capital, LLC matures 8/6/03........................ 1.03 18,716,967
- --------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost -- $360,638,077)............... 360,638,077
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $390,601,613*)......... $390,601,613
- --------------------------------------------------------------------------------------------------------
</Table>
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
25
- --------------------------------------------------------------------------------
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 a 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 differs 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 it is somewhat more susceptible to
the adverse effects of changes in circumstances and economic
conditions than debt in higher rated categories.
BBB -- Bonds rated "BBB" have an adequate capacity to pay interest
and repay principal. Whereas they normally exhibit adequate
protection parameters, adverse economic conditions or
changing circumstances are more likely to lead to a weakened
capacity to pay interest and repay principal for bonds in
this category than for bonds in higher rated categories.
BB, B -- Bonds rated "BB", "B", "CCC" and "CC" are regarded, on
CCC and balance, as predominantly speculative with respect to
CC capacity to pay interest and repay principal in accordance
with the terms of the obligation. "BB" represents the lowest
degree of speculation and "CC" the highest degree of
speculation. While such bonds will likely have some quality
and protective characteristics, these are outweighed by
large uncertainties or major risk exposures to adverse
conditions.
C -- Bonds rated "C" are income bonds on which no interest is
being paid.
D -- Bonds rated "D" are in default, and payment of interest
and/or repayment of principal is in arrears.
</Table>
Moody's Investors Service ("Moody's") -- Numerical modifiers 1, 2, and 3 may be
applied to each generic rating from "Aa" to "Caa", where 1 is the highest and 3
the lowest rating within its generic category.
<Table>
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" are judged to have 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; that is, they are neither highly protected nor
poorly secured. Interest payment 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. These bonds lack
outstanding investment characteristics and may 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.
B -- Bonds rated "B" generally lack characteristics of desirable
investments. Assurance of interest and principal payments or
of maintenance of other terms of the contract over any long
period of time may be small.
Caa -- Bonds rated "Caa" are of poor standing. These issues may be
in default, or present elements of danger may exist with
respect to principal or interest.
Ca -- Bonds rated "Ca" are speculative in a high degree. Such
issues are often in default or have other marked
shortcomings.
C -- Bonds rated "C" are the lowest rated class of bonds, and
issues so rated can be regarded as having extremely poor
prospects of ever attaining any real investment standing.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
</Table>
26
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2003
<Table>
<Caption>
MANAGED HIGH YIELD CAPITAL MONEY
ASSETS BOND APPRECIATION MARKET
TRUST TRUST FUND PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost........................... $259,001,236 $65,030,132 $ 802,105,903 --
Short-term investments, at cost................ 4,824,866 13,877,000 139,139,000 $390,601,613
Foreign currency, at cost...................... 9 -- -- --
- -------------------------------------------------------------------------------------------------------------
Investments, at value.......................... $261,574,109 $67,421,809 $ 785,449,066 --
Short-term investments, at value............... 4,824,959 13,877,000 139,139,000 $390,601,613
Foreign currency, at value..................... 10 -- -- --
Cash........................................... 477 50 846 552
Dividends and interest receivable.............. 1,350,911 1,362,029 233,040 48,836
Receivable for securities sold................. 1,303,632 151,520 -- --
Receivable for Fund shares sold................ 1,549 4,764 -- 138,941
Receivable for open forward foreign currency
contracts (Note 7).......................... -- -- 111,957 --
- -------------------------------------------------------------------------------------------------------------
TOTAL ASSETS................................... 269,055,647 82,817,172 924,933,909 390,789,942
- -------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased............... 1,344,431 1,051,242 18,560,348 --
Investment advisory fees payable............... 111,118 27,939 562,636 104,343
Administration fees payable.................... 13,370 3,572 44,534 9,054
Payable for Fund shares purchased.............. 5,392 819,421 1,833,651 483,513
Payable for open forward foreign currency
contracts (Note 7).......................... -- -- 343,360 --
Dividends payable.............................. -- -- -- 89,947
Accrued expenses............................... 58,117 26,534 147,200 36,977
- -------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES.............................. 1,532,428 1,928,708 21,491,729 723,834
- -------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS................................. $267,523,219 $80,888,464 $ 903,442,180 $390,066,108
- -------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in capital................................ $270,485,421 $77,625,914 $1,255,364,539 $390,066,101
Undistributed net investment income............ 3,875,112 3,119,251 771,498 7,965
Accumulated net realized loss from investment
transactions and futures contracts.......... (9,269,855) (2,248,378) (335,805,739) (7,958)
Net unrealized appreciation (depreciation) of
investments, futures contracts and foreign
currencies.................................. 2,432,541 2,391,677 (16,888,118) --
- -------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS................................. $267,523,219 $80,888,464 $ 903,442,180 $390,066,108
- -------------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING............................... 18,193,252 8,565,221 18,774,743 390,066,101
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE....................... $14.70 $9.44 $48.12 $1.00
- -------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2003
<Table>
<Caption>
MANAGED HIGH YIELD CAPITAL MONEY
ASSETS BOND APPRECIATION MARKET
TRUST TRUST FUND PORTFOLIO
- ------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest........................................... $ 2,928,453 $ 3,198,843 $ 1,136,117 $2,590,675
Dividends.......................................... 1,556,166 -- 3,876,795 --
Less: Foreign withholding tax...................... -- -- (81,938) --
- ------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME............................ 4,484,619 3,198,843 4,930,974 2,590,675
- ------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees (Note 3).................. 625,553 161,957 3,186,028 651,222
Administration fees (Note 3)....................... 75,066 20,574 254,882 120,858
Audit and legal.................................... 19,327 14,967 2,522 13,575
Custody............................................ 13,376 20,639 2,767 12,851
Shareholder communications......................... 13,020 4,302 36,344 25,340
Trustees' fees..................................... 3,138 2,686 1,984 2,172
Shareholder servicing fees......................... 2,544 2,480 2,480 6,335
Registration fees.................................. -- -- -- 1,448
Other.............................................. 1,630 2,352 992 1,810
- ------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES..................................... 753,654 229,957 3,487,999 835,611
Less: Expense reimbursement (Note 3)............... -- -- -- (29,892)
- ------------------------------------------------------------------------------------------------------------
NET EXPENSES....................................... 753,654 229,957 3,487,999 805,719
- ------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME................................ 3,730,965 2,968,886 1,442,975 1,784,956
- ------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FUTURES CONTRACTS AND FOREIGN CURRENCIES (NOTES 4, 6
AND 7):
Realized Gain (Loss) From:
Investment transactions......................... (571,185) 2,327,330 (47,398,254) (283)
Futures contracts............................... 1,322,536 -- -- --
Foreign currency transactions................... -- -- (670,947) --
- ------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)........................... 751,351 2,327,330 (48,069,201) (283)
- ------------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation
(Depreciation) From:
Investments..................................... 22,926,804 5,211,231 117,351,308 --
Foreign currencies.............................. -- -- 124,808 --
- ------------------------------------------------------------------------------------------------------------
CHANGE IN NET UNREALIZED APPRECIATION
(DEPRECIATION).................................. 22,926,804 5,211,231 117,476,116 --
- ------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS
AND FOREIGN CURRENCIES............................. 23,678,155 7,538,561 69,406,915 (283)
- ------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS............... $27,409,120 $10,507,447 $ 70,849,890 $1,784,673
- ------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE
30, 2003
<Table>
<Caption>
MANAGED HIGH YIELD CAPITAL MONEY
ASSETS BOND APPRECIATION MARKET
TRUST TRUST FUND PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income........................... $ 3,730,965 $ 2,968,886 $ 1,442,975 $ 1,784,956
Net realized gain (loss)........................ 751,351 2,327,330 (48,069,201) (283)
Change in net unrealized appreciation
(depreciation)............................... 22,926,804 5,211,231 117,476,116 --
- -------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.......... 27,409,120 10,507,447 70,849,890 1,784,673
- -------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income........................... -- -- -- (1,784,666)
- -------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS................................. -- -- -- (1,784,666)
- -------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 10):
Net proceeds from sale of shares................ 2,466,344 15,537,136 10,519,940 165,727,174
Net asset value of shares issued for
reinvestment of dividends.................... -- -- -- 1,821,366
Cost of shares reacquired....................... (13,262,466) (5,973,756) (42,256,689) (170,726,601)
- -------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND
SHARE TRANSACTIONS........................... (10,796,122) 9,563,380 (31,736,749) (3,178,061)
- -------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS................. 16,612,998 20,070,827 39,113,141 (3,178,054)
NET ASSETS:
Beginning of period............................. 250,910,221 60,817,637 864,329,039 393,244,162
- -------------------------------------------------------------------------------------------------------------
END OF PERIOD*.................................. $267,523,219 $80,888,464 $903,442,180 $ 390,066,108
- -------------------------------------------------------------------------------------------------------------
* Includes undistributed net investment income
of:............................................. $3,875,112 $3,119,251 $771,498 $7,965
- -------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2002
<Table>
<Caption>
MANAGED HIGH YIELD CAPITAL MONEY
ASSETS BOND APPRECIATION MARKET
TRUST TRUST FUND PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income....................... $ 7,777,250 $ 5,045,971 $ 2,873,120 $ 5,440,330
Net realized loss........................... (9,479,626) (691,927) (94,939,657) (7,675)
Change in net unrealized depreciation....... (24,694,612) (1,958,851) (223,318,883) --
- --------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS.......................... (26,396,988) 2,395,193 (315,385,420) 5,432,655
- --------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income....................... (17,095,483) (8,752,260) (16,146,199) (5,432,655)
Net realized gains.......................... (1,692,616) -- -- --
Capital..................................... -- -- (124,893) --
- --------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS............................. (18,788,099) (8,752,260) (16,271,092) (5,432,655)
- --------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 10):
Net proceeds from sale of shares............ 5,690,077 24,795,881 62,309,750 1,270,701,166
Net asset value of shares issued for
reinvestment of dividends................ 18,788,099 8,752,260 16,271,092 5,477,804
Cost of shares reacquired................... (35,902,871) (16,389,171) (182,668,729) (1,236,204,304)
- --------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND
SHARE TRANSACTIONS....................... (11,424,695) 17,158,970 (104,087,887) 39,974,666
- --------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS............. (56,609,782) 10,801,903 (435,744,399) 39,974,666
NET ASSETS:
Beginning of year........................... 307,520,003 50,015,734 1,300,073,438 353,269,496
- --------------------------------------------------------------------------------------------------------------
END OF YEAR*................................ $250,910,221 $ 60,817,637 $ 864,329,039 $ 393,244,162
- --------------------------------------------------------------------------------------------------------------
* Includes undistributed (overdistributed)
net investment income of:.................. $144,147 $150,365 $(530) $7,675
- --------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Managed Assets Trust ("MAT"), High Yield Bond Trust ("HYBT"), Capital
Appreciation Fund ("CAF") and Money Market Portfolio ("MMP") (collectively,
"Fund(s)") are each a Massachusetts business trust registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment companies. Shares of the Funds are offered only
exclusively for use with certain variable annuity and variable life insurance
contracts offered through the separate accounts of various affiliated life
insurance companies.
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;
securities for which no sales price were reported and U.S. government and agency
obligations are valued at the mean between the last reported bid and asked
prices or on the basis of quotations received from reputable brokers or other
recognized sources; 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 for which market quotations are not available will be valued in
good faith at fair value by or under the direction of the Board of Trustees; (d)
securities maturing within 60 days are valued at cost plus accreted discount, or
minus amortized premium, which approximates value; (e) securities, other than
U.S. government agencies and obligations, that have a maturity of 60 days or
more are valued at prices based on market quotations for securities of similar
type, yield and maturity; (f) interest income, adjusted for amortization of
premium and accretion of discount, is recorded on an accrual basis and dividend
income is recorded on the ex-dividend date; foreign dividends are recorded on
the ex-dividend date or as soon as practical after the Fund determines the
existence of a dividend declaration after exercising reasonable due diligence;
(g) gains or losses on the sale of securities are calculated by using the
specific identification method; (h) dividends and distributions to shareholders
are recorded on the ex-dividend date; (i) the accounting records of the Fund are
maintained in U.S. dollars. All assets and liabilities denominated in foreign
currencies are translated into 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; (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; (k) the Funds intend 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 taxes; and (l) 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.
HYBT invests in high-yield instruments that are subject to certain credit
and market risks. The yields of high yield debt obligations reflect, among other
things, perceived credit risk. HYBT's investment in securities rated below
investment-grade typically involve risks not associated with higher rated
securities including, among others, greater risk of timely and ultimate payment
of interest and principal, greater market price volatility and less liquid
secondary market trading.
In addition, HYBT may enter into forward exchange contracts in order to
hedge against foreign currency risk. These contracts are marked to market daily,
by recognizing the difference between the contract exchange rate and the current
forward rate as an unrealized gain or loss. Realized gains or losses are
recognized when the contracts are settled.
2. DIVIDENDS
MMP declares and records a dividend of substantially all of its net
investment income on each business day. Such dividends are paid or reinvested on
the payable date.
In addition, the other Funds distribute dividends and capital gains, if
any, at least annually.
3. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS
Travelers Asset Management International Company LLC ("TAMIC"), an indirect
wholly-owned subsidiary of Citigroup Inc. ("Citigroup"), acts as investment
manager and adviser to MAT, HYBT, CAF and MMP. MAT, CAF and MMP pay TAMIC an
investment management and advisory fee calculated at the annual rate of 0.50%,
0.75% and 0.3233%, respectively of its average daily net assets. HYBT pays TAMIC
an investment management and advisory fee calculated at an annual rate of 0.50%
on the first $50,000,000, 0.40% on the next $100,000,000, 0.30% on the next
$100,000,000 and 0.25% on the amount over $250,000,000 of its average daily net
assets. This fee is calculated daily and paid monthly.
31
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
TAMIC has a sub-advisory agreement with The Travelers Investment Management
Company, Inc. ("TIMCO"), another indirect wholly-owned subsidiary of Citigroup.
Pursuant to the sub-advisory agreement, TIMCO is responsible for the day-to-day
portfolio operations and investment decisions for MAT. As a result, TAMIC pays
TIMCO, as sub-adviser, 0.25% of the average daily net assets of MAT.
TAMIC also has a sub-advisory agreement with Janus Capital Management LLC
("Janus"). Pursuant to the sub-advisory agreement, Janus is responsible for the
day-to-day portfolio operations and investment decisions for CAF. As a result,
TAMIC pays Janus an advisory fee calculated at an annual rate of 0.55% on the
first $100,000,000, 0.50% on the next $400,000,000 and 0.45% on the amount over
$500,000,000 of the average daily net assets of CAF.
The Travelers Insurance Company ("TIC"), another indirect wholly-owned
subsidiary of Citigroup, acts as administrator to the Funds. The Funds pay TIC
an administration fee calculated at an annual rate of 0.06% of the average daily
net assets. This fee is calculated daily and paid monthly. TIC has entered into
a sub-administrative services agreement with Smith Barney Fund Management LLC
("SBFM"), another indirect wholly-owned subsidiary of Citigroup. TIC pays SBFM,
as sub-administrator, a fee calculated at an annual rate of 0.06% of the average
daily net assets of each Fund.
For the six months ended June 30, 2003, TIC reimbursed expenses of $29,892
for MMP.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as
the Funds' transfer agent. CTB receives account fees and asset-based fees that
vary according to the size and type of account. For the six months ended June
30, 2003, each Fund paid transfer agent fees of $2,500 to CTB.
For the six months ended June 30, 2003, Citigroup Global Markets Inc.,
formerly known as Salomon Smith Barney Inc., and its affiliates did not receive
any brokerage commissions.
One Trustee and all officers of the Funds are employees of Citigroup or its
affiliates.
4. 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 and proceeds from paydowns)
were as follows:
<Table>
<Caption>
MANAGED HIGH CAPITAL
ASSETS YIELD BOND APPRECIATION
TRUST TRUST FUND
- -------------------------------------------------------------------------------------------------------
Purchases................................................... $110,339,109 $39,016,841 $183,181,793
- -------------------------------------------------------------------------------------------------------
Sales....................................................... 118,835,516 37,377,704 154,509,421
- -------------------------------------------------------------------------------------------------------
</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>
MANAGED HIGH CAPITAL
ASSETS YIELD BOND APPRECIATION
TRUST TRUST FUND
- -------------------------------------------------------------------------------------------------------
Gross unrealized appreciation............................... $ 22,272,554 $5,352,735 $ 62,809,414
Gross unrealized depreciation............................... (19,699,588) (2,961,058) (79,466,251)
- -------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation).................. $ 2,572,966 $2,391,677 $(16,656,837)
- -------------------------------------------------------------------------------------------------------
</Table>
5. 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 Funds require continual maintenance
of the market value (plus accrued interest) of the collateral in amounts at
least equal to the repurchase price.
32
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
6. FUTURES CONTRACTS
Securities or cash equal to the initial margin amount are either deposited
with the broker or segregated by the custodian upon entering the futures
contract. 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 made or received
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 Funds record a realized gain or loss equal to the difference between the
proceeds from (or cost of) the closing transactions and the Funds' basis in the
contract.
The Funds enter into such contracts typically to hedge portions of their
respective portfolios. The Funds bear the market risk that arises from changes
in the value of the financial instruments and securities indices.
At June 30, 2003, MAT had the following open futures contracts:
<Table>
<Caption>
EXPIRATION NUMBER OF BASIS MARKET UNREALIZED
MONTH/YEAR CONTRACTS VALUE VALUE LOSS
- -------------------------------------------------------------------------------------------------------
TO BUY:
S&P 500 Index........................... 9/03 22 $5,493,576 $5,353,150 $(140,426)
- -------------------------------------------------------------------------------------------------------
</Table>
7. FORWARD FOREIGN CURRENCY CONTRACTS
HYBT and CAF may enter into forward foreign currency contracts. The Fund
may from time to time enter into forward foreign currency contracts. A forward
foreign currency contract is an agreement between two parties to buy and sell a
currency at a set price on a future date. The contract is marked-to-market daily
and the change in value is recorded by the Fund as an unrealized gain or loss.
When a forward foreign currency contract is extinguished, through either
delivery or offset by entering into another forward foreign currency contract,
the Fund records a realized gain or loss equal to the difference between the
value of the contract at any time it was opened and the value of the contract at
the time it was extinguished or offset.
At June 30, 2003, HYBT did not have any open forward foreign currency
contracts.
At June 30, 2003, CAF had open forward foreign currency contracts as
described below. The Fund bears the market risk that arises from changes in
foreign currency exchange rates. The unrealized loss on the contracts reflected
in the accompanying financial statements were as follows:
<Table>
<Caption>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
- ---------------------------------------------------------------------------------------------------------
TO BUY:
British Pound......................................... 400,000 $ 656,374 10/17/03 $ 17,750
British Pound......................................... 500,000 820,467 10/17/03 10,997
Euro.................................................. 275,000 315,524 9/26/03 803
Euro.................................................. 700,000 803,152 9/26/03 65,076
Euro.................................................. 925,000 1,061,309 9/26/03 (13,930)
Euro.................................................. 1,000,000 1,147,361 9/26/03 17,331
- ---------------------------------------------------------------------------------------------------------
98,027
- ---------------------------------------------------------------------------------------------------------
TO SELL:
British Pound......................................... 900,000 1,476,841 10/17/03 (81,841)
Euro.................................................. 2,900,000 3,327,346 9/26/03 (247,589)
- ---------------------------------------------------------------------------------------------------------
(329,430)
- ---------------------------------------------------------------------------------------------------------
Net Unrealized Loss on Open Forward Foreign Currency Contracts............................. $(231,403)
- ---------------------------------------------------------------------------------------------------------
</Table>
33
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
8. FOREIGN SECURITIES
Investing in securities of foreign companies and foreign governments
involves special risks and considerations not typically associated with
investing in U.S. companies and the U.S. government. These risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign companies and foreign
governments and their markets may be less liquid and their prices more volatile
than those of securities of comparable U.S. companies and the U.S. government.
9. SECURITIES TRADED ON A TO-BE-ANNOUNCED BASIS
The Funds may trade securities on a "to-be-announced" ("TBA") basis. In a
TBA transaction, the Funds commit to purchasing or selling securities for which
specific information is not yet known at the time of the trade, particularly the
face amount and maturity date in GNMA/FNMA transactions. Securities purchased on
a TBA basis normally settle 15 to 45 days after the trade date. These
transactions are subject to market fluctuations and their current value is
determined in the same manner as for other securities.
At June 30, 2003, MAT held TBA securities with a total of $518,438.
10. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of beneficial interest without par value. Transactions in shares of each
Fund were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
- --------------------------------------------------------------------------------------------------
MANAGED ASSETS TRUST
Shares sold................................................. 177,378 386,025
Shares issued on reinvestment............................... -- 1,397,610
Shares reacquired........................................... (988,022) (2,559,554)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (810,644) (775,919)
- --------------------------------------------------------------------------------------------------
HIGH YIELD BOND TRUST
Shares sold................................................. 1,754,682 2,743,180
Shares issued on reinvestment............................... -- 1,061,672
Shares reacquired........................................... (687,206) (1,842,703)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 1,067,476 1,962,149
- --------------------------------------------------------------------------------------------------
CAPITAL APPRECIATION FUND
Shares sold................................................. 239,487 1,162,480
Shares issued on reinvestment............................... -- 351,774
Shares reacquired........................................... (939,590) (3,599,104)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (700,103) (2,084,850)
- --------------------------------------------------------------------------------------------------
MONEY MARKET PORTFOLIO
Shares sold................................................. 165,727,174 1,270,701,166
Shares issued on reinvestment............................... 1,821,366 5,477,804
Shares reacquired........................................... (170,726,601) (1,236,204,304)
- --------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... (3,178,061) 39,974,666
- --------------------------------------------------------------------------------------------------
</Table>
34
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
MANAGED ASSETS TRUST 2003(1) 2002 2001(2) 2000(2) 1999 1998
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $13.20 $15.55 $17.94 $21.12 $19.99 $17.65
- --------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............... 0.21 0.45 0.49 0.48 0.39 0.41
Net realized and unrealized gain
(loss)........................... 1.29 (1.79) (1.40) (0.71) 2.30 3.27
- --------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations... 1.50 (1.34) (0.91) (0.23) 2.69 3.68
- --------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... -- (0.92) (0.46) (0.41) (0.39) (0.47)
Net realized gains(3)............... -- (0.09) (1.02) (2.54) (1.17) (0.87)
- --------------------------------------------------------------------------------------------------------
Total Distributions................... -- (1.01) (1.48) (2.95) (1.56) (1.34)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $14.70 $13.20 $15.55 $17.94 $21.12 $19.99
- --------------------------------------------------------------------------------------------------------
TOTAL RETURN.......................... 11.36%++ (8.60)% (5.08)% (1.62)% 14.22% 21.44%
- --------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S)...... $267,523 $250,910 $307,520 $342,834 $339,438 $276,182
- --------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)......................... 0.60%+ 0.61% 0.59% 0.59% 0.60% 0.60%
Net investment income............... 2.98+ 2.80 2.95 2.47 2.17 2.30
- --------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 44% 39% 59% 56% 51% 74%
- --------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
HIGH YIELD BOND TRUST 2003(1)(2) 2002(2) 2001(2) 2000(2) 1999 1998
- -----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $8.11 $9.04 $8.77 $9.47 $9.85 $9.89
- -----------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............... 0.38 0.78 0.80 0.79 0.81 0.77
Net realized and unrealized gain
(loss)........................... 0.95 (0.40) 0.04 (0.70) (0.38) (0.13)
- -----------------------------------------------------------------------------------------------------------
Total Income From Operations.......... 1.33 0.38 0.84 0.09 0.43 0.64
- -----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... -- (1.31) (0.57) (0.79) (0.81) (0.68)
- -----------------------------------------------------------------------------------------------------------
Total Distributions................... -- (1.31) (0.57) (0.79) (0.81) (0.68)
- -----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $9.44 $8.11 $9.04 $8.77 $9.47 $9.85
- -----------------------------------------------------------------------------------------------------------
TOTAL RETURN.......................... 16.40%++ 4.57% 9.55% 0.97% 4.42% 6.56%
- -----------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S)...... $80,888 $60,818 $50,016 $34,678 $30,317 $28,088
- -----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)......................... 0.67%+ 0.71% 0.73% 0.83% 0.81% 0.82%
Net investment income............... 8.66+ 8.81 8.79 8.74 8.85 8.42
- -----------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 61% 100% 110% 80% 112% 147%
- -----------------------------------------------------------------------------------------------------------
</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) Distributions from realized gains include both net realized short-term and
long-term capital gains.
(4) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 1.25%.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
35
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
CAPITAL APPRECIATION FUND 2003(1)(2) 2002(2) 2001(2) 2000 1999 1998
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $44.38 $60.30 $82.01 $108.80 $72.74 $46.32
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............. 0.08 0.14 0.61 0.29 0.04 0.06
Net realized and unrealized gain
(loss)......................... 3.66 (15.24) (22.01) (23.29) 38.08 28.07
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations........................ 3.74 (15.10) (21.40) (23.00) 38.12 28.13
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............. -- (0.81) (0.31) (0.04) (0.07) (0.18)
Net realized gains(3)............. -- -- -- (3.75) (1.99) (1.53)
Capital........................... -- (0.01) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions................. -- (0.82) (0.31) (3.79) (2.06) (1.71)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD...... $48.12 $44.38 $60.30 $82.01 $108.80 $72.74
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN........................ 8.43%++ (25.09)% (26.09)% (21.88)% 53.52% 61.63%
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(MILLIONS)........................ $903 $864 $1,300 $1,797 $1,915 $891
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)....................... 0.82%+ 0.84% 0.84% 0.83% 0.83% 0.85%
Net investment income............. 0.34+ 0.27 0.91 0.30 0.07 0.18
- ---------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............. 23% 52% 47% 30% 37% 53%
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
MONEY MARKET PORTFOLIO 2003(1) 2002 2001 2000 1999 1998
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(5)............ 0.004 0.014 0.036 0.060 0.049 0.049
Distributions from net investment
income............................ (0.004) (0.014) (0.036) (0.060) (0.049) (0.049)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD...... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(6)..................... 0.44%++ 1.39% 3.71% 6.18% 4.96% 5.08%
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S).... $390,066 $393,244 $353,269 $147,117 $119,970 $42,069
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(5)(7).................... 0.40%+ 0.40% 0.40% 0.40% 0.37% 0.65%
Net investment income............. 0.89+ 1.38 3.46 6.04 4.96 5.37
- ---------------------------------------------------------------------------------------------------------------------------------
</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) Distributions from realized gains include both net realized short-term and
long-term capital gains.
(4) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 1.25%.
(5) The Travelers Insurance Company has reimbursed Money Market Portfolio for
$29,892, $71,805, $44,028, $47,023 and $85,612 in expenses for the six
months ended June 30, 2003 and the years ended December 31, 2002, 2001, 2000
and 1999, respectively. If such expenses were not reimbursed, the per share
decreases to net investment income and the actual expense ratios would have
been:
<Table>
<Caption>
DECREASE TO EXPENSE RATIO
NET INVESTMENT INCOME WITHOUT REIMBURSEMENTS
------------------------------------------------------ -----------------
2003 2002 2001 2000 1999 2003 2002
------ ------ ------ ------ ------ ------ -----
MMP $0.000* $0.000* $0.000* $0.000* $0.001 0.41%+ 0.42%
<Caption>
EXPENSE RATIO
WITHOUT REIMBURSEMENTS
---------------------------
2001 2000 1999
----- ----- -----
MMP 0.42% 0.44% 0.50%
</Table>
(6) Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absence of fee
waivers and/or expense reimbursements, the total return would be reduced.
(7) For the six months ended June 30, 2003 and the years ended December 31,
2002, 2001, 2000 and 1999 there was a voluntary expense limitation. As a
result of the voluntary expense limitation, the ratio of expenses to average
net assets will not exceed 0.40%.
* Amount represents less than $0.001 per share.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
36
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2003
U.S. GOVERNMENT SECURITIES PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 22.0%
U.S. Treasury Notes:
$ 2,000,000 2.625% due 5/15/08........................................ $ 2,018,908
3,000,000 3.625% due 5/15/13........................................ 3,024,378
U.S. Treasury Bonds:
8,000,000 6.250% due 8/15/23 (a).................................... 9,801,880
12,000,000 6.000% due 2/15/26 (a).................................... 14,347,980
4,000,000 6.375% due 8/15/27 (a).................................... 5,012,032
20,000,000 5.500% due 8/15/28 (a).................................... 22,503,920
2,000,000 5.375% due 2/15/31........................................ 2,252,736
21,000,000 U.S. Treasury Strips, zero coupon due 11/15/26.............. 6,457,248
- ----------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost -- $62,695,629)..... 65,419,082
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 51.6%
1,000,000 Federal Farm Credit Bank, 6.800% due 10/12/07............... 1,180,210
Federal Home Loan Bank (FHLB) Certificates:
5,000,000 4.500% due 8/14/09........................................ 5,413,090
3,000,000 5.875% due 2/15/11........................................ 3,445,941
8,000,000 5.750% due 5/15/12........................................ 9,206,568
Federal Home Loan Mortgage Corp. (FHLMC) Certificates:
3,970,653 4.000% due 4/1/10......................................... 4,045,268
4,330,000 6.000% due 6/27/17........................................ 4,792,063
8,000,000 4.000% due 7/15/18 (b).................................... 8,050,000
2,016,278 7.000% due 7/1/29......................................... 2,085,902
168,713 8.000% due 9/1/30......................................... 180,896
3,000,000 6.500% due 6/1/31......................................... 3,122,784
1,320,723 7.500% due 5/1/32......................................... 1,404,083
12,961,204 4.500% due 4/1/33......................................... 12,926,523
Federal National Mortgage Association (FNMA) Certificates:
9,549,398 5.500% due 6/1/16 (c)..................................... 10,020,727
3,990,576 5.000% due 1/1/17 (c)..................................... 4,130,065
27,000,000 4.000% due 7/15/18 (b).................................... 27,109,674
2,000,000 6.000% due 7/15/18 (b).................................... 2,088,124
3,000,000 6.250% due 5/15/29........................................ 3,525,573
2,303,554 6.500% due 5/1/32 (c)..................................... 2,414,761
6,587,415 7.500% due 7/1/32 (c)..................................... 6,860,227
1,152,651 4.000% due 5/1/33......................................... 1,102,251
3,400,000 5.500% due 7/15/33 (b).................................... 3,514,750
13,949,000 Financing Corp. (FICO) Strips, Series 13, zero coupon due
6/27/11................................................... 10,214,504
Government National Mortgage Association (GNMA)
Certificates:
547,305 9.000% due 9/15/09 (c).................................... 597,155
258,021 8.500% due 6/15/18 (c).................................... 283,465
5,905,619 National Archives Facility Trust, COP, 8.500% due 9/1/19.... 7,736,543
10,000,000 Resolution Funding Corp. Strips, zero coupon due 1/15/21.... 4,131,990
4,680,000 Student Loan Marketing Association (SLMA), zero coupon due
5/15/14................................................... 2,250,537
9,000,000 Tennessee Valley Authority Certificates, 7.125% due
5/1/30.................................................... 11,779,857
- ----------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost -- $146,872,735)...................................... 153,613,531
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
U.S. GOVERNMENT SECURITIES PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 10.9%
Federal Home Loan Mortgage Corp. (FHLMC):
$ 942,961 Series 1103, Class J, 8.500% due 6/15/21.................. $ 970,068
7,000,000 Series 2315, Class CL, 6.500% due 5/15/31................. 7,419,815
3,000,000 Series 2422, Class CH, 6.500% due 2/15/32................. 3,232,191
5,000,000 Series 2451, Class QB, 6.500% due 3/15/30................. 5,218,170
Federal National Mortgage Association (FNMA):
5,593,000 Series 2002-52, Class PC, 6.000% due 9/25/32.............. 6,026,400
5,000,000 Series 2003-63, Class GU, 4.000% due 7/25/33.............. 5,154,688
4,000,000 GNMA, Series 2001-21, Class PE, 6.500% due 5/16/31.......... 4,338,160
- ----------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost -- $31,324,982)....................................... 32,359,492
- ----------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS
(Cost -- $240,893,346)...................................... 251,392,105
- ----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 15.5%
46,066,000 State Street Bank and Trust Co., 1.000% due 7/1/03; Proceeds
at maturity -- $46,067,280;
(Fully collateralized by Federal Home Loan Bank Notes,
1.875% due 2/15/05;
Market value -- $46,989,221) (Cost -- $46,066,000)........ 46,066,000
- ----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $286,959,346*)..................................... $297,458,105
- ----------------------------------------------------------------------------------------
</Table>
(a) All or a portion of this security is segregated for to-be-announced ("TBA")
securities.
(b) Security is traded on a TBA basis (See Note 6.)
(c) Date shown represents the last in range of maturity dates.
* Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviation used in this schedule:
COP -- Certificate of Participation
SEE NOTES TO FINANCIAL STATEMENTS.
38
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SOCIAL AWARENESS STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
COMMON STOCK -- 93.5%
- --------------------------------------------------------------------------------------
AIR FREIGHT AND COURIERS -- 1.7%
18,700 United Parcel Service, Inc., Class B Shares................. $ 1,191,190
- --------------------------------------------------------------------------------------
AIRLINES -- 0.6%
25,230 Southwest Airlines Co. ..................................... 433,956
- --------------------------------------------------------------------------------------
BANKS -- 6.6%
45,000 The Bank of New York Co., Inc. ............................. 1,293,750
31,500 Bank One Corp. ............................................. 1,171,170
6,500 Fifth Third Bancorp......................................... 372,710
10,000 Washington Mutual, Inc. .................................... 413,000
25,000 Wells Fargo & Co. .......................................... 1,260,000
- --------------------------------------------------------------------------------------
4,510,630
- --------------------------------------------------------------------------------------
BEVERAGES -- 2.7%
22,400 The Coca-Cola Co. .......................................... 1,039,584
17,500 PepsiCo, Inc. .............................................. 778,750
- --------------------------------------------------------------------------------------
1,818,334
- --------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 1.9%
19,500 Amgen, Inc.+................................................ 1,295,580
- --------------------------------------------------------------------------------------
CHEMICALS -- 3.8%
22,400 Air Products & Chemicals, Inc. ............................. 931,840
25,000 E.I. du Pont de Nemours & Co. .............................. 1,041,000
10,000 Praxair, Inc. .............................................. 601,000
- --------------------------------------------------------------------------------------
2,573,840
- --------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 2.2%
18,100 Automatic Data Processing Inc. ............................. 612,866
29,500 Paychex, Inc. .............................................. 864,645
- --------------------------------------------------------------------------------------
1,477,511
- --------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 3.2%
73,700 Cisco Systems, Inc.+........................................ 1,230,053
30,000 Motorola, Inc. ............................................. 282,900
40,000 Nokia Oyj, Sponsored ADR.................................... 657,200
- --------------------------------------------------------------------------------------
2,170,153
- --------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 5.2%
19,600 Dell Computer Corp.+++...................................... 626,416
110,400 EMC Corp.+.................................................. 1,155,888
13,000 International Business Machines Corp. ...................... 1,072,500
156,700 Sun Microsystems, Inc.+..................................... 720,820
- --------------------------------------------------------------------------------------
3,575,624
- --------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 8.7%
32,900 American Express Co. ....................................... 1,375,548
8,000 Capital One Financial Corp. ................................ 393,440
7,100 Freddie Mac................................................. 360,467
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SOCIAL AWARENESS STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 8.7% (CONTINUED)
20,000 J.P. Morgan Chase & Co. .................................... $ 683,600
5,000 Lehman Brothers Holdings, Inc. ............................. 332,400
29,750 MBNA Corp. ................................................. 619,990
10,000 Merrill Lynch & Co., Inc. .................................. 466,800
24,000 Morgan Stanley.............................................. 1,026,000
17,500 State Street Corp. ......................................... 689,500
- --------------------------------------------------------------------------------------
5,947,745
- --------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7%
13,000 Verizon Communications Inc. ................................ 512,850
- --------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 1.1%
10,000 Consolidated Edison, Inc. .................................. 432,800
10,000 The Southern Co. ........................................... 311,600
- --------------------------------------------------------------------------------------
744,400
- --------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 1.3%
13,000 Celestica, Inc.+............................................ 204,880
50,000 Vishay Intertechnology, Inc.+............................... 660,000
- --------------------------------------------------------------------------------------
864,880
- --------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 0.2%
5,000 Noble Corp.+................................................ 171,500
- --------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 0.8%
19,000 SYSCO Corp. ................................................ 570,760
- --------------------------------------------------------------------------------------
FOOD PRODUCTS -- 1.7%
5,000 Hershey Foods Corp. ........................................ 348,300
25,000 Kraft Foods Inc., Class A Shares............................ 813,750
- --------------------------------------------------------------------------------------
1,162,050
- --------------------------------------------------------------------------------------
HEALTHCARE - EQUIPMENT AND SUPPLIES -- 1.9%
27,000 Medtronic, Inc. ............................................ 1,295,190
- --------------------------------------------------------------------------------------
HEALTHCARE - PROVIDERS AND SERVICES -- 0.5%
4,500 Anthem, Inc.+............................................... 347,175
- --------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 1.6%
13,900 The Black & Decker Corp. ................................... 603,955
3,000 Centex Corp. ............................................... 233,370
3,717 KB HOME..................................................... 230,380
- --------------------------------------------------------------------------------------
1,067,705
- --------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 1.8%
24,100 Kimberly-Clark Corp. ....................................... 1,256,574
- --------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 1.2%
45,000 Tyco International Ltd. .................................... 854,100
- --------------------------------------------------------------------------------------
INSURANCE -- 7.2%
22,000 AMBAC Financial Group, Inc. ................................ 1,457,500
29,860 American International Group, Inc. ......................... 1,647,675
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SOCIAL AWARENESS STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
INSURANCE -- 7.2% (CONTINUED)
4,000 The Chubb Corp. ............................................ $ 240,000
13,662 Marsh & McLennan Cos., Inc. ................................ 697,718
11,000 XL Capital Ltd., Class A Shares............................. 913,000
- --------------------------------------------------------------------------------------
4,955,893
- --------------------------------------------------------------------------------------
MACHINERY -- 0.6%
6,500 Illinois Tool Works, Inc. .................................. 428,025
- --------------------------------------------------------------------------------------
MEDIA -- 6.6%
54,600 AOL Time Warner Inc.+....................................... 878,514
12,000 Cablevision Systems - NY Group, Class A Shares+............. 249,120
18,600 Comcast Corp., Special Class A Shares+...................... 536,238
15,000 InterActive Corp.+.......................................... 593,550
10,000 Omnicom Group, Inc. ........................................ 717,000
9,000 Univision Communications Inc.+.............................. 273,600
28,650 Viacom Inc., Class B Shares+................................ 1,250,859
- --------------------------------------------------------------------------------------
4,498,881
- --------------------------------------------------------------------------------------
METALS AND MINING -- 1.5%
40,000 Alcoa Inc. ................................................. 1,020,000
- --------------------------------------------------------------------------------------
MULTILINE RETAIL -- 3.9%
12,000 Costco Wholesale Corp.+..................................... 439,200
10,000 Target Corp. ............................................... 378,400
34,300 Wal-Mart Stores Inc. ....................................... 1,840,881
- --------------------------------------------------------------------------------------
2,658,481
- --------------------------------------------------------------------------------------
OIL AND GAS -- 4.9%
16,800 Anadarko Petroleum Corp. ................................... 747,096
6,300 Apache Corp. ............................................... 409,878
24,026 BP Amoco PLC ADR............................................ 1,009,573
24,800 Royal Dutch Petroleum Co. ADR............................... 1,156,176
- --------------------------------------------------------------------------------------
3,322,723
- --------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.9%
10,000 International Paper Co. .................................... 357,300
5,000 Weyerhaeuser Co. ........................................... 270,000
- --------------------------------------------------------------------------------------
627,300
- --------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 0.7%
15,000 The Gillette Co. ........................................... 477,900
- --------------------------------------------------------------------------------------
PHARMACEUTICALS -- 7.0%
20,000 Bristol-Myers Squibb Co. ................................... 543,000
8,000 Eli Lilly & Co. ............................................ 551,760
14,000 Johnson & Johnson........................................... 723,800
65,000 Pfizer Inc. ................................................ 2,219,750
5,000 Teva Pharmaceutical Industries Ltd., Sponsored ADR.......... 284,650
10,000 Wyeth....................................................... 455,500
- --------------------------------------------------------------------------------------
4,778,460
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SOCIAL AWARENESS STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.4%
15,000 Norfolk Southern Corp. ..................................... $ 288,000
- --------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 3.2%
17,700 Applied Materials, Inc.+.................................... 280,722
76,000 Intel Corp. ................................................ 1,579,584
10,000 Linear Technology Corp. .................................... 322,100
- --------------------------------------------------------------------------------------
2,182,406
- --------------------------------------------------------------------------------------
SOFTWARE -- 5.2%
20,000 Amdocs Ltd.+................................................ 480,000
88,800 Microsoft Corp. ............................................ 2,274,168
64,900 Oracle Corp.+............................................... 780,098
- --------------------------------------------------------------------------------------
3,534,266
- --------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 2.0%
28,000 The Home Depot, Inc. ....................................... 927,360
10,000 Lowe's Cos., Inc. .......................................... 429,500
- --------------------------------------------------------------------------------------
1,356,860
- --------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $61,774,117).................... 63,970,942
- --------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 6.5%
$4,446,000 Merrill Lynch & Co., Inc., 1.050% due 7/1/03; Proceeds at
maturity -- $4,446,130;
(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 -- $4,534,921)
(Cost -- $4,446,000)...................................... 4,446,000
- --------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $66,220,117*)...................................... $68,416,942
- --------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
++ Subsequent to the reporting period, the company changed its name to Dell Inc.
* Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviation used in this schedule:
==================================
ADR -- American Depositary Receipt
----------------------------------
SEE NOTES TO FINANCIAL STATEMENTS.
42
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
COMMON STOCK -- 98.2%
- --------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 3.0%
2,200 The Boeing Co. ............................................. $ 75,504
3,800 General Dynamics Corp. ..................................... 275,500
3,000 Lockheed Martin Corp. ...................................... 142,710
2,800 United Technologies Corp. .................................. 198,324
- --------------------------------------------------------------------------------------
692,038
- --------------------------------------------------------------------------------------
AIR FREIGHT AND COURIERS -- 0.5%
1,700 United Parcel Service, Inc., Class B Shares................. 108,290
- --------------------------------------------------------------------------------------
AIRLINES -- 1.0%
13,100 Southwest Airlines Co. ..................................... 225,320
- --------------------------------------------------------------------------------------
AUTO COMPONENTS -- 0.8%
2,100 Johnson Controls, Inc. ..................................... 179,760
- --------------------------------------------------------------------------------------
BANKS -- 6.6%
1,500 Bank of America Corp. ...................................... 118,545
9,100 The Bank of New York Co., Inc. ............................. 261,625
2,800 First Tennessee National Corp. ............................. 122,948
1,700 Huntington Bancshares Inc. ................................. 33,184
10,600 National City Corp. ........................................ 346,726
3,700 SunTrust Banks, Inc. ....................................... 219,558
3,900 Washington Mutual, Inc. .................................... 161,070
3,400 Wells Fargo & Co. .......................................... 171,360
1,600 Zion Bancorporation......................................... 80,976
- --------------------------------------------------------------------------------------
1,515,992
- --------------------------------------------------------------------------------------
BEVERAGES -- 1.0%
5,100 PepsiCo, Inc. .............................................. 226,950
- --------------------------------------------------------------------------------------
CHEMICALS -- 1.5%
1,900 Air Products & Chemicals, Inc. ............................. 79,040
1,200 The Dow Chemical Co. ....................................... 37,152
3,400 E.I. du Pont de Nemours & Co. .............................. 141,576
1,500 PPG Industries, Inc. ....................................... 76,110
- --------------------------------------------------------------------------------------
333,878
- --------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 1.9%
3,800 Automatic Data Processing Inc. ............................. 128,668
2,100 DST Systems, Inc.+.......................................... 79,800
2,100 Fiserv, Inc.+............................................... 74,781
8,000 Robert Half International Inc.+............................. 151,520
- --------------------------------------------------------------------------------------
434,769
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 2.1%
3,600 Cisco Systems, Inc.+........................................ $ 60,084
16,700 Motorola, Inc. ............................................. 157,481
11,500 Nokia Oyj................................................... 188,945
1,900 QUALCOMM, Inc.+............................................. 67,925
- --------------------------------------------------------------------------------------
474,435
- --------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 3.4%
6,100 Dell Computer Corp.+++...................................... 194,956
6,100 International Business Machines Corp. ...................... 503,250
16,200 Sun Microsystems, Inc.+..................................... 74,520
- --------------------------------------------------------------------------------------
772,726
- --------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 4.7%
3,400 American Express Co. ....................................... 142,154
3,800 Federated Investors, Inc. .................................. 104,196
4,700 Merrill Lynch & Co., Inc. .................................. 219,396
1,900 Morgan Stanley.............................................. 81,225
6,000 State Street Corp. ......................................... 236,400
7,800 T. Rowe Price Group Inc. ................................... 294,450
- --------------------------------------------------------------------------------------
1,077,821
- --------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.6%
1,900 ALLTEL Corp. ............................................... 91,618
11,300 BellSouth Corp. ............................................ 300,919
16,700 SBC Communications, Inc. ................................... 426,685
- --------------------------------------------------------------------------------------
819,222
- --------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 6.0%
15,000 American Electric Power Co., Inc. .......................... 447,450
10,900 Consolidated Edison, Inc. .................................. 471,752
14,800 The Southern Co. ........................................... 461,168
- --------------------------------------------------------------------------------------
1,380,370
- --------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.4%
1,700 Emerson Electric Co. ....................................... 86,870
- --------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.4%
2,000 Diebold, Inc. .............................................. 86,500
- --------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 1.0%
4,200 Smith International, Inc.+.................................. 154,308
3,200 Transocean Inc.+............................................ 70,304
- --------------------------------------------------------------------------------------
224,612
- --------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 2.2%
6,400 Sysco Corp. ................................................ 192,256
10,600 Walgreen Co. ............................................... 319,060
- --------------------------------------------------------------------------------------
511,316
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
FOOD PRODUCTS -- 3.7%
6,600 Campbell Soup Co. .......................................... $ 161,700
2,200 Del Monte Foods Co.+........................................ 19,448
3,600 General Mills, Inc. ........................................ 170,676
5,600 H.J. Heinz Co. ............................................. 184,688
2,000 Hershey Foods Corp. ........................................ 139,320
9,600 Sara Lee Corp. ............................................. 180,576
- --------------------------------------------------------------------------------------
856,408
- --------------------------------------------------------------------------------------
GAS UTILITIES -- 1.9%
12,400 KeySpan Corp. .............................................. 439,580
- --------------------------------------------------------------------------------------
HEALTHCARE - EQUIPMENT AND SUPPLIES -- 1.0%
5,700 Becton Dickinson & Co. ..................................... 221,445
- --------------------------------------------------------------------------------------
HEALTHCARE - PROVIDERS AND SERVICES -- 0.5%
1,200 UnitedHealth Group Inc. .................................... 60,300
600 WellPoint Health Networks, Inc.+............................ 50,580
- --------------------------------------------------------------------------------------
110,880
- --------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 2.6%
5,100 Colgate-Palmolive Co. ...................................... 295,545
3,400 The Procter & Gamble Co. ................................... 303,212
- --------------------------------------------------------------------------------------
598,757
- --------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 0.1%
1,200 General Electric Co. ....................................... 34,416
- --------------------------------------------------------------------------------------
INSURANCE -- 4.0%
3,600 American International Group, Inc. ......................... 198,648
4,300 The Chubb Corp. ............................................ 258,000
5,400 Marsh & McLennan Cos., Inc. ................................ 275,778
2,800 SAFECO Corp. ............................................... 98,784
2,400 The St. Paul Cos., Inc. .................................... 87,624
- --------------------------------------------------------------------------------------
918,834
- --------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 1.2%
4,400 Computer Sciences Corp.+.................................... 167,728
3,700 Electronic Data Systems Corp. .............................. 79,365
1,500 SunGard Data Systems Inc.+.................................. 38,865
- --------------------------------------------------------------------------------------
285,958
- --------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.6%
5,100 Eastman Kodak Co. .......................................... 139,485
- --------------------------------------------------------------------------------------
MACHINERY -- 3.3%
3,400 Caterpillar Inc. ........................................... 189,244
5,100 Deere & Co. ................................................ 233,070
1,800 Illinois Tool Works, Inc. .................................. 118,530
3,100 PACCAR Inc. ................................................ 209,436
- --------------------------------------------------------------------------------------
750,280
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
MEDIA -- 5.7%
1,700 Dow Jones & Co., Inc. ...................................... $ 73,151
3,700 Gannett Co., Inc. .......................................... 284,197
6,000 McGraw Hill, Inc. .......................................... 372,000
3,300 Omnicom Group, Inc. ........................................ 236,610
14,000 Reed Elsevier NV............................................ 332,500
- --------------------------------------------------------------------------------------
1,298,458
- --------------------------------------------------------------------------------------
METALS AND MINING -- 3.1%
6,100 Alcoa Inc. ................................................. 155,550
4,800 Newmont Mining Corp. ....................................... 155,808
3,000 Phelps Dodge Corp.+......................................... 115,020
3,700 Rio Tinto PLC............................................... 283,235
- --------------------------------------------------------------------------------------
709,613
- --------------------------------------------------------------------------------------
MULTILINE RETAIL -- 3.4%
2,600 Family Dollar Stores, Inc. ................................. 99,190
3,300 May Department Stores Co. .................................. 73,458
10,200 Target Corp. ............................................... 385,968
3,900 Wal-Mart Stores Inc. ....................................... 209,313
- --------------------------------------------------------------------------------------
767,929
- --------------------------------------------------------------------------------------
MULTI-UTILITIES -- 0.3%
2,900 Vectren Corp. .............................................. 72,645
- --------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.9%
4,700 Canon, Inc. ................................................ 214,555
- --------------------------------------------------------------------------------------
OIL AND GAS -- 6.2%
8,500 ChevronTexaco Corp. ........................................ 613,700
2,500 ConocoPhillips.............................................. 137,000
11,200 Exxon Mobil Corp. .......................................... 402,192
3,300 Royal Dutch Petroleum Co., NY Shares ADR.................... 153,846
2,600 Shell Transport & Trading Co. PLC........................... 103,610
- --------------------------------------------------------------------------------------
1,410,348
- --------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.7%
6,300 MeadWestvaco Corp. ......................................... 155,610
- --------------------------------------------------------------------------------------
PHARMACEUTICALS -- 8.7%
4,600 Abbott Laboratories......................................... 201,296
3,600 Eli Lilly & Co. ............................................ 248,292
7,100 Johnson & Johnson........................................... 367,070
5,200 Merck & Co. Inc. ........................................... 314,860
4,500 Novartis AG ADR............................................. 179,145
6,000 Pfizer Inc. ................................................ 204,900
1,500 Roche Holding AG............................................ 117,660
18,600 Schering-Plough Corp. ...................................... 345,960
- --------------------------------------------------------------------------------------
1,979,183
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
ROAD AND RAIL -- 2.0%
3,900 Burlington Northern Santa Fe Corp. ......................... $ 110,916
14,000 Norfolk Southern Corp. ..................................... 268,800
1,200 Union Pacific Corp. ........................................ 69,624
- --------------------------------------------------------------------------------------
449,340
- --------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 4.1%
6,100 Altera Corp.+............................................... 100,040
14,100 Applied Materials, Inc.+.................................... 223,626
12,100 Intel Corp. ................................................ 251,486
4,800 Novellus Systems, Inc.+..................................... 175,781
10,800 Texas Instruments Inc. ..................................... 190,080
- --------------------------------------------------------------------------------------
941,013
- --------------------------------------------------------------------------------------
SOFTWARE -- 3.3%
3,400 Adobe Systems, Inc. ........................................ 109,038
3,400 BMC Software, Inc.+......................................... 55,522
400 Electronic Arts Inc.+....................................... 29,596
11,500 Microsoft Corp. ............................................ 294,515
1,100 Symantec Corp.+............................................. 48,246
3,700 Synopsys, Inc.+............................................. 228,845
- --------------------------------------------------------------------------------------
765,762
- --------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 0.8%
1,100 Barnes & Noble, Inc.+....................................... 25,355
3,700 Lowe's Cos., Inc. .......................................... 158,915
- --------------------------------------------------------------------------------------
184,270
- --------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $21,274,813).................... 22,455,638
- --------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.8%
$ 403,000 State Street Bank and Trust Co., 1.000% due 7/1/03; Proceeds
at maturity -- $403,011; (Fully collateralized by U.S.
Treasury Bonds, 6.250% due 8/15/23; Market value --
$416,656) (Cost -- $403,000).............................. 403,000
- --------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $21,677,813*)...................................... $22,858,638
- --------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
++ Subsequent to the reporting period, the company changed its name to Dell Inc.
* Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviation used in this schedule:
==================================
ADR -- American Depositary Receipt
----------------------------------
SEE NOTES TO FINANCIAL STATEMENTS.
47
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2003
<Table>
<Caption>
U.S. GOVERNMENT SOCIAL AWARENESS
SECURITIES STOCK PIONEER FUND
PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost................................. $240,893,346 $ 61,774,117 $ 21,274,813
Repurchase agreements, at cost....................... 46,066,000 4,446,000 403,000
- --------------------------------------------------------------------------------------------------------------
Investments, at value................................ $251,392,105 $ 63,970,942 $ 22,455,638
Repurchase agreements, at value...................... 46,066,000 4,446,000 403,000
Cash................................................. 278 223 550
Receivable for securities sold....................... 7,264,249 2,257,276 --
Dividends and interest receivable.................... 2,106,775 43,900 23,855
Receivable for Fund shares sold...................... 88,902 -- 51,788
- --------------------------------------------------------------------------------------------------------------
TOTAL ASSETS......................................... 306,918,309 70,718,341 22,934,831
- --------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased..................... 48,294,690 1,705,589 --
Payable for Fund shares purchased.................... 155,284 15,674 6,266
Investment management and advisory fees payable...... 69,489 34,899 14,395
Administration fees payable.......................... 12,901 4,719 848
Accrued expenses..................................... 32,666 32,918 11,021
- --------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES.................................... 48,565,030 1,793,799 32,530
- --------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS....................................... $258,353,279 $ 68,924,542 $ 22,902,301
- --------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in capital...................................... $235,506,023 $ 79,236,619 $ 36,082,061
Undistributed net investment income.................. 5,719,681 215,826 255,293
Accumulated net realized gain (loss) from investment
transactions...................................... 6,628,816 (12,724,728) (14,615,878)
Net unrealized appreciation of investments........... 10,498,759 2,196,825 1,180,825
- --------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS....................................... $258,353,279 $ 68,924,542 $ 22,902,301
- --------------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING..................................... 18,791,305 3,419,038 2,375,498
- --------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE............................. $13.75 $20.16 $9.64
- --------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2003
<Table>
<Caption>
U.S. GOVERNMENT SOCIAL AWARENESS PIONEER
SECURITIES STOCK FUND
PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest............................................... $ 5,916,188 $ 10,507 $ 6,843
Dividends.............................................. -- 449,277 356,075
Less: Foreign withholding tax.......................... -- (8,055) (60)
- -------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................ 5,916,188 451,729 362,858
- -------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment management and advisory fees (Note 2)....... 406,731 197,915 72,313
Administration fees (Note 2)........................... 75,484 18,886 6,329
Audit and legal........................................ 14,595 13,602 15,658
Shareholder communications............................. 14,012 4,468 7,133
Custody................................................ 9,343 5,282 3,081
Trustees' fees......................................... 3,130 3,147 3,114
Shareholder servicing fees............................. 2,471 2,557 2,462
Other.................................................. 233 351 137
- -------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES......................................... 525,999 246,208 110,227
- -------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME.................................... 5,390,189 205,521 252,631
- -------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
(NOTE 3):
Realized Gain (Loss) From Investment Transactions
(excluding short-term investments):
Proceeds from sales................................. 252,448,508 13,352,389 19,614,158
Cost of securities sold............................. 246,641,159 13,163,991 20,091,294
- -------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)............................... 5,807,349 188,398 (477,136)
- -------------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) of
Investments:
Beginning of period................................. 10,082,480 (4,896,783) (652,490)
End of period....................................... 10,498,759 2,196,825 1,180,825
- -------------------------------------------------------------------------------------------------------------
INCREASE IN NET UNREALIZED APPRECIATION................ 416,279 7,093,608 1,833,315
- -------------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS.................................. 6,223,628 7,282,006 1,356,179
- -------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS................... $ 11,613,817 $ 7,487,527 $ 1,608,810
- -------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE
30, 2003
<Table>
<Caption>
U.S. GOVERNMENT SOCIAL AWARENESS PIONEER
SECURITIES STOCK FUND
PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income............................ $ 5,390,189 $ 205,521 $ 252,631
Net realized gain (loss)......................... 5,807,349 188,398 (477,136)
Increase in net unrealized appreciation.......... 416,279 7,093,608 1,833,315
- -------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS........... 11,613,817 7,487,527 1,608,810
- -------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares................. 24,154,663 2,029,825 1,677,531
Cost of shares reacquired........................ (21,286,160) (2,890,553) (1,945,324)
- -------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS.................................. 2,868,503 (860,728) (267,793)
- -------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS............................. 14,482,320 6,626,799 1,341,017
NET ASSETS:
Beginning of period.............................. 243,870,959 62,297,743 21,561,284
- -------------------------------------------------------------------------------------------------------
END OF PERIOD*................................... $258,353,279 $68,924,542 $22,902,301
- -------------------------------------------------------------------------------------------------------
* Includes undistributed net investment income
of:........................................... $5,719,681 $215,826 $255,293
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2002
<Table>
<Caption>
U.S. GOVERNMENT SOCIAL AWARENESS PIONEER
SECURITIES STOCK FUND
PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income........................... $ 8,313,886 $ 288,889 $ 813,462
Net realized gain (loss)........................ 3,331,447 (8,155,464) (11,177,209)
Change in net unrealized appreciation
(depreciation)............................... 10,623,543 (13,723,733) (701,900)
- -------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS................................... 22,268,876 (21,590,308) (11,065,647)
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................... (14,482,356) (642,498) (1,848,406)
Net realized gains.............................. (1,567,341) -- --
- -------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS................................. (16,049,697) (642,498) (1,848,406)
- -------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares................ 125,224,139 8,483,608 2,027,881
Net asset value of shares issued
for reinvestment of dividends................ 16,049,697 642,498 1,848,406
Cost of shares reacquired....................... (30,112,939) (7,939,606) (8,833,615)
- -------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND
SHARE TRANSACTIONS........................... 111,160,897 1,186,500 (4,957,328)
- -------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS................. 117,380,076 (21,046,306) (17,871,381)
NET ASSETS:
Beginning of year............................... 126,490,883 83,344,049 39,432,665
- -------------------------------------------------------------------------------------------------------
END OF YEAR*.................................... $243,870,959 $ 62,297,743 $ 21,561,284
- -------------------------------------------------------------------------------------------------------
* Includes undistributed net investment income
of:............................................. $329,492 $10,305 $2,662
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The U.S. Government Securities Portfolio ("USGS"), Social Awareness Stock
Portfolio ("SAS") and Pioneer Fund Portfolio ("PFP"), formerly known as
Utilities Portfolio, (collectively, "Fund(s)") are separate investment funds of
The Travelers Series Trust ("Trust"). The Trust is a Massachusetts business
trust registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company and consists of these funds
and 13 other separate investment funds: Travelers Quality Bond, Lazard
International Stock, MFS Emerging Growth, Federated High Yield, Federated Stock,
Large Cap, Equity Income, Disciplined Mid Cap Stock, Convertible Securities, MFS
Mid Cap Growth, MFS Research, MFS Value, and Zero Coupon Bond Fund (Series 2005)
Portfolios. Shares of the Trust are offered exclusively for use with certain
variable annuity and variable life insurance contracts offered through the
separate accounts of various affiliated life insurance companies. The financial
statements and financial highlights for the other funds are presented in
separate shareholder reports.
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;
securities for which no sales prices were reported and U.S. government and
agency obligations are valued at the mean between the last reported bid and
asked prices or on the basis of quotations received from reputable brokers or
other recognized sources; 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 for which market quotations are not available will be
valued in good faith at fair value by or under the direction of the Board of
Trustees; (d) securities maturing within 60 days are valued at cost plus
accreted discount, or minus amortized premium, which approximates value; (e)
securities, other than U.S. government agencies and obligations, that have a
maturity of 60 days or more are valued at prices based on market quotations for
securities of similar type, yield and maturity; (f) interest income, adjusted
for amortization of premium and accretion of discount, is recorded on the
accrual basis and dividend income is recorded on the ex-dividend date; (g) gains
or losses on the sale of securities are calculated by using the specific
identification method; (h) dividends and distributions to shareholders are
recorded on the ex-dividend date; the Funds distribute dividends and capital
gains, if any, at least annually; (i) the Funds intend 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 taxes;
(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 AND OTHER TRANSACTIONS
Travelers Asset Management International Company LLC ("TAMIC"), an indirect
wholly-owned subsidiary of Citigroup Inc., ("Citigroup"), acts as investment
manager and adviser to USGS and PFP. Prior to May 1, 2003, Smith Barney Fund
Management LLC ("SBFM") acted as investment manager and adviser to PFP. USGS and
PFP pay TAMIC an investment management and advisory fee calculated at the annual
rate of 0.3233% and 0.75% of its average daily net assets, respectively. Under
the previous agreement, PFP paid SBFM an investment management and advisory fee
calculated at an annual rate of 0.65% of its average daily net assets. These
fees are calculated daily and paid monthly.
SBFM, another indirect wholly-owned subsidiary of Citigroup, acts as
investment manager and adviser to SAS. SAS pays SBFM an investment management
and advisory fee calculated at an annual rate of: 0.65% on the first $50
million, 0.55% on the next $50 million, 0.45% on the next $100 million and 0.40%
on amounts over $200 million of the average daily net assets. This fee is
calculated daily and paid monthly.
TAMIC also has a sub-advisory agreement with Pioneer Investment Management,
Inc. ("Pioneer"). Pursuant to the sub-advisory agreement, Pioneer is responsible
for the day-to-day operations and investment decisions for PFP. As a result,
TAMIC pays Pioneer, as sub-advisor, 0.375% of the average daily net assets of
PFP.
52
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
The Travelers Insurance Company ("TIC"), another indirect wholly-owned
subsidiary of Citigroup, acts as administrator to the Funds. The Funds pay TIC
an administration fee calculated at an annual rate of 0.06% of the average daily
net assets. This fee is calculated daily and paid monthly. TIC has entered into
a sub-administrative services agreement with SBFM. TIC pays SBFM, as
sub-administrator, a fee calculated at an annual rate of 0.06% of the average
daily net assets of each Fund.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as
the Funds' transfer agent. CTB receives account fees and asset-based fees that
vary according to the size and type of account. For the six months ended June
30, 2003, each Fund paid transfer agent fees of $2,500 to CTB.
For the six months ended June 30, 2003, Citigroup Global Markets Inc.,
formerly known as Salomon Smith Barney Inc., and its affiliates did not receive
any brokerage commissions.
One Trustee and all officers 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>
USGS SAS PFP
- ------------------------------------------------------------------------------------------------------
Purchases................................................... $282,244,160 $ 9,966,430 $19,431,211
- ------------------------------------------------------------------------------------------------------
Sales....................................................... 252,448,508 13,352,389 19,614,158
- ------------------------------------------------------------------------------------------------------
</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>
USGS SAS PFP
- ------------------------------------------------------------------------------------------------------
Gross unrealized appreciation............................... $11,338,438 $ 8,813,815 $ 1,580,178
Gross unrealized depreciation............................... (839,679) (6,616,990) (399,353)
- ------------------------------------------------------------------------------------------------------
Net unrealized appreciation................................. $10,498,759 $ 2,196,825 $ 1,180,825
- ------------------------------------------------------------------------------------------------------
</Table>
4. 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 Funds require continual maintenance
of the market value (plus accrued interest) of the collateral in amounts at
least equal to the repurchase price.
5. MORTGAGE DOLLAR ROLLS
The Funds may enter into dollar rolls in which the Funds sell
mortgage-backed securities for delivery in the current month and simultaneously
contracts to repurchase substantially similar (same type, coupon and maturity)
securities to settle on a specified future date. During the roll period, the
Funds forego principal and interest paid on the securities. The Funds are
compensated by a fee paid by the counterparty. Dollar rolls are accounted for as
financing arrangements; the fee is accrued into interest income ratably over the
term of the dollar roll and any gain or loss on the roll is deferred and
realized upon disposition of the rolled security.
At June 30, 2003, USGS had outstanding net contracts to repurchase
mortgage-backed securities of $3,532,128 and $37,507,868 for scheduled
settlements on July 14, 2003 and July 17, 2003, respectively. In addition, at
June 30, 2003, SAS and PFP did not have any mortgage dollar rolls outstanding.
53
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
6. SECURITIES TRADED ON A TO-BE-ANNOUNCED BASIS
The Funds may trade securities on a "to-be-announced" ("TBA") basis. In a
TBA transaction, the Funds commit to purchasing or selling securities for which
specific information is not yet known at the time of the trade, particularly the
face amount and maturity date in GNMA/FNMA transactions. Securities purchased on
a TBA basis normally settle 15 to 45 days after the trade date. These
transactions are subject to market fluctuations and their current value is
determined in the same manner as for other securities.
At June 30, 2003, USGS held TBA securities with a total cost amounting to
$40,965,688.
7. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of beneficial interest without par value. Transactions in shares of each
Fund were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
- --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES PORTFOLIO
Shares sold................................................. 1,811,278 9,502,251
Shares issued on reinvestment............................... -- 1,220,920
Shares reacquired........................................... (1,583,893) (2,325,219)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 227,385 8,397,952
- --------------------------------------------------------------------------------------------------
SOCIAL AWARENESS STOCK PORTFOLIO
Shares sold................................................. 109,565 396,282
Shares issued on reinvestment............................... -- 34,690
Shares reacquired........................................... (158,060) (415,324)
- --------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... (48,495) 15,648
- --------------------------------------------------------------------------------------------------
PIONEER FUND PORTFOLIO
Shares sold................................................. 180,153 190,341
Shares issued on reinvestment............................... -- 193,234
Shares reacquired........................................... (216,376) (815,007)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (36,223) (431,432)
- --------------------------------------------------------------------------------------------------
</Table>
54
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
U.S. GOVERNMENT SECURITIES
PORTFOLIO 2003(1) 2002(2) 2001(2) 2000(2) 1999(2) 1998
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $13.14 $12.44 $12.22 $11.30 $11.80 $11.65
- ----------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............ 0.29 0.63 0.69 0.74 0.68 0.49
Net realized and unrealized gain
(loss)........................ 0.32 1.05 0.02 0.84 (1.18) 0.70
- ----------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... 0.61 1.68 0.71 1.58 (0.50) 1.19
- ----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:(3)
Net investment income............ -- (0.89) (0.49) (0.66) (0.00)* (0.50)
Net realized gains............... -- (0.09) -- -- -- (0.54)
- ----------------------------------------------------------------------------------------------------------
Total Distributions................ -- (0.98) (0.49) (0.66) (0.00)* (1.04)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $13.75 $13.14 $12.44 $12.22 $11.30 $11.80
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN....................... 4.64%++ 13.63% 5.82% 14.53% (4.23)% 10.20%
- ----------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S).......................... $258,353 $243,871 $126,491 $90,970 $61,623 $66,454
- ----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)...................... 0.42%+ 0.44% 0.45% 0.48% 0.48% 0.45%
Net investment income............ 4.28+ 4.82 5.55 6.46 5.97 5.31
- ----------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 103% 165% 327% 289% 164% 349%
- ----------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
SOCIAL AWARENESS STOCK PORTFOLIO 2003(1) 2002 2001(2) 2000(2) 1999(2) 1998
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $17.97 $24.14 $28.76 $29.42 $25.92 $20.06
- ----------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............ 0.06 0.08 0.11 0.14 0.13 0.10
Net realized and unrealized gain
(loss)........................ 2.13 (6.06) (4.63) (0.29) 3.93 6.30
- ----------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... 2.19 (5.98) (4.52) (0.15) 4.06 6.40
- ----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:(3)
Net investment income............ -- (0.19) (0.10) (0.16) (0.09) (0.12)
Net realized gains............... -- -- -- (0.35) (0.47) (0.42)
- ----------------------------------------------------------------------------------------------------------
Total Distributions................ -- (0.19) (0.10) (0.51) (0.56) (0.54)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $20.16 $17.97 $24.14 $28.76 $29.42 $25.92
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN....................... 12.19%++ (24.81)% (15.71)% (0.49)% 15.84% 32.27%
- ----------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S).......................... $68,925 $62,298 $83,344 $81,184 $68,239 $39,482
- ----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)...................... 0.78%+ 0.78% 0.74% 0.75% 0.80% 0.84%
Net investment income............ 0.65+ 0.40 0.45 0.48 0.69 0.63
- ----------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 16% 37% 22% 33% 12% 14%
- ----------------------------------------------------------------------------------------------------------
</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) Distributions from realized gains include both net realized short-term and
long-term capital gains.
(4) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 1.25%.
* Amount represents less than $0.01 per share.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
55
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
PIONEER FUND PORTFOLIO 2003(1) 2002(2) 2001(2) 2000(2) 1999(2) 1998
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $8.94 $13.87 $19.22 $15.91 $17.18 $15.29
- ----------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............... 0.11 0.32 0.37 0.43 0.41 0.37
Net realized and unrealized gain
(loss)........................... 0.59 (4.47) (4.65) 3.36 (0.36) 2.33
- ----------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations... 0.70 (4.15) (4.28) 3.79 0.05 2.70
- ----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:(3)
Net investment income............... -- (0.78) (0.30) (0.45) (0.40) (0.42)
Net realized gains.................. -- -- (0.77) (0.03) (0.92) (0.39)
- ----------------------------------------------------------------------------------------------------------
Total Distributions................... -- (0.78) (1.07) (0.48) (1.32) (0.81)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $9.64 $ 8.94 $13.87 $19.22 $15.91 $17.18
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN.......................... 7.83%++ (30.21)% (23.00)% 24.26% (0.08)% 18.21%
- ----------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)..... $22,902 $21,561 $39,433 $48,456 $31,413 $32,909
- ----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)......................... 1.05%+ 0.90% 0.81% 0.84% 0.88% 0.80%
Net investment income............... 2.40+ 2.88 2.18 2.47 2.41 3.06
- ----------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 92% 25% 20% 22% 10% 51%
- ----------------------------------------------------------------------------------------------------------
</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) Distributions from realized gains include both net realized short-term and
long-term capital gains.
(4) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 1.25%.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
56
- --------------------------------------------------------------------------------
ADDITIONAL SHAREHOLDER INFORMATION (UNAUDITED)
On April 22, 2003, a Special Meeting of shareholders of the Pioneer Fund
Portfolio ("Fund"), formerly Utilities Portfolio, was held for the purpose of
voting on the following two proposals:
1. To approve or disapprove a new investment advisory agreement between
Travelers Asset Management Company LLC ("TAMIC"), and The Travelers
Series Trust on behalf of the Fund.
2. To approve or disapprove a new investment sub-advisory agreement
between TAMIC and Pioneer Investment Management Inc. on behalf of the
Fund.
The results of the vote on proposal 1 were as follows:
<Table>
<Caption>
% OF SHARES
% OF SHARES VOTES VOTED VOTES % OF SHARES
VOTES FOR VOTED FOR AGAINST AGAINST ABSTAINED ABSTAINED
- ---------- ----------- --------- ----------- --------- -----------
15,829,492 84.75% 1,721,056 9.21% 1,126,497 6.03%
</Table>
The results of the vote on proposal 2 were as follows:
<Table>
<Caption>
% OF SHARES
% OF SHARES VOTES VOTED VOTES % OF SHARES
VOTES FOR VOTED FOR AGAINST AGAINST ABSTAINED ABSTAINED
- ---------- ----------- --------- ----------- --------- -----------
15,468,127 82.82% 2,065,081 11.05% 1,143,837 6.12%
</Table>
------------------------------
SUBSEQUENT EVENT
Effective July 30, 2003, for the U.S. Government Securities Portfolio, Gene
Collins replaced Richard John as Portfolio Manager.
57
MANAGED ASSETS TRUST, HIGH YIELD BOND TRUST, CAPITAL APPRECIATION FUND, MONEY
MARKET PORTFOLIO AND THE TRAVELERS SERIES TRUST
- --------------------------------------------------------------------------------
TRUSTEES
R. Jay Gerken, CFA
Chairman
Robert E. McGill
Frances M. Hawk, CFA, CPA
Lewis Mandell
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
Kaprel Ozsolak
Controller
Ernest J. Wright
Secretary
Kathleen A. McGah
Assistant Secretary
INVESTMENT MANAGER
AND ADVISERS
Travelers Asset Management International
Company LLC
Smith Barney Fund Management LLC
(Social Awareness Stock Portfolio)
ADMINISTRATOR
The Travelers Insurance Company
CUSTODIAN
State Street Bank and Trust Company
TRANSFER AGENT
Citicorp Trust Bank, fsb.
U.S. Government Securities Portfolio, Social Awareness Stock Portfolio and
Pioneer Fund Portfolio are separate investment funds of The Travelers Series
Trust, a Massachusetts business trust.
This report is prepared for the general information of contract owners and is
not an offer of shares of Managed Assets Trust, High Yield Bond Trust, Capital
Appreciation Fund, Money Market Portfolio, The Travelers Series Trust: U.S.
Government Securities Portfolio, Social Awareness Stock Portfolio or Pioneer
Fund Portfolio. It should not be used in connection with any offer except in
conjunction with the Prospectuses for the Variable Annuity and Variable
Universal Life Insurance products offered by The Travelers Insurance Company or
Travelers Life and Annuity Company and the Prospectuses for the underlying
funds, which collectively contain all pertinent information, including the
applicable sales commissions.
Printed in U.S.A. VG-181 (Semi-Annual) (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-Oxl 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.
MANAGED ASSETS TRUST
By: /s/ R. Jay Gerken
R. Jay Gerken
Chief Executive Officer of
Managed Assets Trust
Date: September 2, 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
Managed Assets Trust
Date: September 2, 2003
By: /s/ Richard L. Peteka
(Richard L. Peteka)
Chief Financial Officer of
Managed Assets Trust
Date: September 2, 2003