UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6310
GREENWICH STREET SERIES FUND
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Smith Barney Fund Management LLC
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, 2004
ITEM 1. REPORT TO STOCKHOLDERS.
The Semi-Annual Report to Stockholders is filed herewith.
[INSERT SHAREHOLDER REPORT]
Greenwich Street Series Fund Semi-Annual Report
Appreciation Portfolio
Fundamental Value Portfolio
Intermediate High Grade Portfolio
June 30, 2004
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
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- --------------------------------------------------------------------------------
WHAT'S INSIDE
<Table>
LETTER FROM THE CHAIRMAN.................................... 1
SCHEDULES OF INVESTMENTS:
INTERMEDIATE HIGH GRADE PORTFOLIO...................... 4
APPRECIATION PORTFOLIO................................. 6
FUNDAMENTAL VALUE PORTFOLIO............................ 11
STATEMENTS OF ASSETS AND LIABILITIES........................ 18
STATEMENTS OF OPERATIONS.................................... 19
STATEMENTS OF CHANGES IN NET ASSETS......................... 20
NOTES TO FINANCIAL STATEMENTS............................... 23
FINANCIAL HIGHLIGHTS........................................ 28
</Table>
- --------------------------------------------------------------------------------
LETTER FROM THE CHAIRMAN
[PHOTO R. JAY GERKEN]
R. JAY GERKEN, CFA
Chairman, President and
Chief Executive Officer
DEAR SHAREHOLDER,
Both the stock and bond markets changed gears during the first half of this
year, due largely to shifting tides of investor sentiment.
After a torrid second half of 2003, the equity markets took a breather this
year. Markets typically abhor uncertainty, so as the year progressed, investors
grew increasingly lethargic amid questions over Iraq, global terrorism, a rise
in oil prices, interest rates and inflation, and the presidential election. The
good news -- solid corporate earnings, the improving economy and renewed job
growth, and the still low level of interest rates -- was largely ignored. As a
result, stock market returns for the first six months of 2004 were generally
modest, as opposed to the strong, double-digit gains late last year.
As was the case in 2003, small- and mid-capitalization stocks generally
outperformed their larger brethren in the first half of this year. While value-
and growth-oriented stocks frequently traded short-term performance leadership
during the past six months, value stocks slightly outperformed growth stocks
over the full six-month period. The performance of foreign stock markets in the
first half was largely in line with that of the broad U.S. market.
Although the bond market got off to a formidable start, its performance was also
hampered by heightened worries about resurgent inflation and anticipation that
the Federal Reserve would begin to raise key short-term rates after a long
accommodative stance on monetary policy. Higher interest rates can act as a
brake on robust economic growth, helping maintain a balance between steady
growth and the inflation that generally accompanies that growth. Given that the
economy appeared to be humming along at a healthy pace, as was widely expected
the central bank edged up its federal funds rate(i) target from a four-decade
low to 1.25% at the end of June.
Over the six-month period, following a significant pullback this past spring,
bond prices finished relatively unchanged. However, municipal bonds,
mortgage-backed securities, U.S. Agencies and corporate issues in general held
up better than those of U.S. Treasury bonds on a total return basis.
Although investor sentiment was shaky this past spring, by the end of the period
the U.S. Consumer Confidence Index(ii) rose to levels not seen since June of
2002. The domestic unemployment rate held steady, job growth slowed following a
strong increase in March through the early spring, and inflation picked up
during the period.
Within this environment, the portfolios performed as follows:(1)
APPRECIATION PORTFOLIO
During the six months ended June 30, 2004, the Portfolio returned 3.31%. The
Portfolio performed essentially in line with its benchmark, the unmanaged S&P
500 Index(iii), which returned 3.44% for the same period. The Portfolio
outperformed its Lipper large-cap core variable funds category average, which
returned 2.37%.(2)
(1) The fund is an underlying investment option of various variable annuity
products. A variable annuity product is a contract issued by an insurance
company where the annuity premium (a set amount of dollars) is immediately
turned into units of a portfolio of securities. Upon retirement, the
policyholder is paid according to accumulated units whose dollar value
varies according to the performance of the securities within the sub
accounts. Its objective is to preserve, through investment, the purchasing
value of the annuity, which otherwise is subject to erosion through
inflation. The fund's performance returns do not reflect the deduction of
initial sales charges and expenses imposed in connection with investing in
variable annuity contracts such as administrative fees, account charges and
surrender charges, which if reflected, would reduce the performance of the
fund. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
(2) Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the six-month period ended June 30, 2004, calculated
among the 215 funds in the large-cap core variable funds category including
the reinvestment of dividends and capital gains, if any.
1
FUNDAMENTAL VALUE PORTFOLIO
During the six months ended June 30, 2004, the Portfolio returned 4.77%. The
Portfolio outperformed its benchmark, the unmanaged S&P 500 Index(iii), which
returned 3.44% for the same period. The Portfolio also outperformed its Lipper
multi-cap value variable funds category average, which returned 4.49%.(3)
INTERMEDIATE HIGH GRADE PORTFOLIO
During the six months ended June 30, 2004, the Portfolio returned -0.89%. The
Portfolio underperformed its benchmark, the unmanaged Lehman Brothers
Government/Credit Bond Index(iv), which returned -0.19% for the same period. The
Portfolio also underperformed its Lipper corporate debt funds A-rated variable
funds category average, which returned -0.11%.(4)
PERFORMANCE OF THE PORTFOLIOS
AS OF JUNE 30, 2004
<Table>
<Caption>
6 MONTHS
Appreciation Portfolio 3.31%
S&P 500 Index 3.44%
Lipper Large-Cap Core Funds Category Average 2.37%
Fundamental Value Portfolio 4.77%
S&P 500 Index 3.44%
Lipper Multi-Cap Value Variable Funds Category Average 4.49%
Intermediate High Grade Portfolio -0.89%
Lehman Brothers Government/Credit Bond Index -0.19%
Lipper Corporate Debt Funds A-Rated Variable Funds
Category Average -0.11%
</Table>
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS
NO GUARANTEE OF FUTURE RESULTS AND CURRENT PERFORMANCE MAY BE HIGHER
OR LOWER THAN THE PERFORMANCE SHOWN ABOVE. PRINCIPAL VALUE AND
INVESTMENT RETURNS WILL FLUCTUATE AND INVESTORS' SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
The performance returns set forth above do not reflect the reduction
of initial charges and expenses imposed in connection with investing
in variable annuity contracts such as administrative fees, account
charges and surrender charges, which if reflected, would reduce the
performance of the funds.
INFORMATION ABOUT YOUR FUND
In recent months several issues in the mutual fund industry have come under the
scrutiny of federal and state regulators. The fund's Adviser and some of its
affiliates have received requests for information from various government
regulators regarding market timing, late trading, fees and other mutual fund
issues in connection with various investigations. The regulators appear to be
examining, among other things, the fund's response to market timing and
shareholder exchange activity, including compliance with prospectus disclosure
related to these subjects. The fund has been informed that the Adviser and its
affiliates are responding to those information requests, but are not in a
position to predict the outcome of these requests and investigations.
(3) Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the 6-month period ended June 30, 2004, calculated
among the 99 funds in the multi-cap value variable funds category including
the reinvestment of dividends and capital gains, if any.
(4) Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the 6-month period ended June 30, 2004, calculated
among the 38 funds in the corporate debt funds A-rated variable funds
category including the reinvestment of dividends and capital gains, if any.
2
In November 2003, Citigroup Asset Management disclosed an investigation by the
Securities and Exchange Commission ("SEC") and the U.S. Attorney relating to
Citigroup Asset Management's entry into the transfer agency business during
1997-1999. On July 20, 2004, Citigroup disclosed that it had been notified by
the Staff of the SEC that the Staff is considering recommending a civil
injunctive action and/or an administrative proceeding against certain advisory
and transfer agent entities affiliated with Citigroup relating to the creation
and operation of its internal transfer agent unit to serve primarily the Smith
Barney family of mutual funds. Citigroup is cooperating with the SEC and will
seek to resolve this matter in discussion with the SEC Staff. Although there can
be no assurance, Citigroup does not believe that this matter will have a
material adverse effect on the fund.
As always, thank you for your continued confidence in our stewardship of your
assets. We look forward to helping you continue to meet your financial goals.
Sincerely,
/s/ R. Jay Gerken
R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer
July 20, 2004
The information provided is not intended to be a forecast of future events, a
guarantee of future results or investment advice. Views expressed may differ
from those of the firm as a whole.
All index performance reflects no deduction for fees, expenses or taxes. Please
note that an investor cannot invest directly in an index
RISKS:
APPRECIATION PORTFOLIO: The portfolio may invest in mid-cap companies that may
involve a higher degree of risk and volatility than investments in large-cap
companies. Foreign stocks are subject to certain risks of overseas investing
including currency fluctuations and changes in political and economic
conditions, which could result in significant market fluctuations. The portfolio
may use derivatives, such as options and futures, which can be illiquid, may
disproportionately increase losses, and have a potentially large impact on
portfolio performance.
FUNDAMENTAL VALUE PORTFOLIO: The portfolio may invest in small- and mid-cap
companies that may involve a higher degree of risk and volatility than
investments in large-cap companies. The portfolio may use derivatives, such as
options and futures, which can be illiquid, may disproportionately increase
losses, and have a potentially large impact on portfolio performance. Foreign
securities are subject to certain risks of overseas investing including currency
fluctuations and changes in political and economic conditions, which could
result in significant market fluctuations.
INTERMEDIATE HIGH GRADE PORTFOLIO: Foreign stocks are subject to certain risks
of overseas investing including currency fluctuations and changes in political
and economic conditions, which could result in significant market fluctuations.
The portfolio may use derivatives, such as options and futures, which can be
illiquid, may disproportionately increase losses, and have a potentially large
impact on portfolio performance.
(i) The federal funds rate is the interest rate that banks with excess reserves
at a Federal Reserve district bank charge other banks that need overnight
loans.
(ii) Source: June 2004 Consumer Confidence Index, The Conference Board.
(iii) The S&P 500 Index is a market capitalization-weighted index of 500 widely
held common stocks.
(iv) The Lehman Government/Credit Bond Index is a broad-based bond index
composed of government and corporate debt issues that are investment-grade
(rated Baa/BBB or higher).
3
SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
INTERMEDIATE HIGH GRADE PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 54.7%
U.S. Treasury Notes:
$ 225,000 2.125% due 8/31/04........................................ $ 225,396
100,000 7.875% due 11/15/04....................................... 102,352
200,000 6.750% due 5/15/05........................................ 208,164
150,000 6.500% due 10/15/06....................................... 161,971
150,000 6.125% due 8/15/07........................................ 162,779
200,000 Federal Home Loan Bank, 5.125% due 3/6/06................... 207,687
450,000 Federal Home Loan Mortgage Corp., Notes, 6.875% due
9/15/10..................................................... 505,386
- ------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost -- $1,490,215)........................................ 1,573,735
- ------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------
FACE
AMOUNT RATING(a) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 33.0%
BANKS/SAVINGS & LOANS -- 7.6%
100,000 Aa3* Bank of America Corp., Notes, 7.800% due 2/15/10............ 115,050
100,000 Aa1* Wells Fargo & Co., Notes, 5.125% due 2/15/07................ 104,275
- ------------------------------------------------------------------------------------------------------------
219,325
- ------------------------------------------------------------------------------------------------------------
COMPUTERS -- 3.6%
100,000 A+ IBM Corp., Notes, 5.400% due 10/1/08........................ 104,733
- ------------------------------------------------------------------------------------------------------------
COSMETICS & TOILETRIES -- 3.9%
100,000 AA- The Procter & Gamble Co., 6.875% due 9/15/09................ 111,981
- ------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 14.2%
100,000 A3* Ford Motor Credit Co., Notes, 7.600% due 8/1/05............. 104,713
100,000 AAA General Electric Capital Corp., Notes, 5.450% due 1/15/13... 101,562
100,000 Aa3* Merrill Lynch & Co., Inc., Notes, 3.125% due 7/15/08........ 96,091
100,000 Aa3* Morgan Stanley, Notes, 6.100% due 4/15/06................... 105,253
- ------------------------------------------------------------------------------------------------------------
407,619
- ------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE -- 3.7%
100,000 Aa3* PepsiCo, Inc., Notes, 5.700% due 11/1/08.................... 106,779
- ------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost -- $914,493)............ 950,437
- ------------------------------------------------------------------------------------------------------------
INTERNATIONAL NOTES -- 3.6%
CANADA -- 3.6%
100,000 AAA Quebec Province, Notes, 8.625% due 1/19/05
(Cost -- $110,968).......................................... 103,709
- ------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
4
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
INTERMEDIATE HIGH GRADE PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 8.7%
Federal National Mortgage Association (FNMA):
$ 73,568 7.000% due 1/1/13......................................... $ 78,181
163,317 6.000% due 6/1/13......................................... 170,733
- ------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost -- $236,904)......... 248,914
- ------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $2,752,580**).......... $2,876,795
- ------------------------------------------------------------------------------------------------------------
</Table>
(a) All ratings are by Standard & Poor's Ratings Service, except for those that
are identified by an asterisk (*) which are rated by Moody's Investors
Service.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 17 for definition of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
5
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
APPRECIATION PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMMON STOCK -- 91.7%
COMMINGLED FUND -- 1.1%
840,000 iShares MSCI Japan Index Fund............................... $ 8,920,800
- ---------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 12.0%
HOTELS, RESTAURANTS & LEISURE -- 0.5%
163,675 Fairmont Hotels & Resorts Inc. ............................. 4,411,041
- ---------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.4%
42,000 Whirlpool Corp. ............................................ 2,881,200
- ---------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL -- 0.6%
157,500 IAC/InterActiveCorp+........................................ 4,747,050
- ---------------------------------------------------------------------------------------
MEDIA -- 8.6%
266,900 Comcast Corp., Class A Shares+.............................. 7,369,109
111,700 Gannett Co., Inc. .......................................... 9,477,745
413,000 Liberty Media Corp., Class A Shares+........................ 3,712,870
20,650 Liberty Media International, Inc., Class A Shares+.......... 766,115
112,300 Meredith Corp. ............................................. 6,172,008
173,400 SBS Broadcasting S.A.+...................................... 5,325,114
164,500 Shaw Communications Inc., Class B Shares.................... 2,765,245
698,825 Time Warner Inc.+........................................... 12,285,344
96,000 Tribune Co. ................................................ 4,371,840
139,157 Viacom Inc., Class B Shares................................. 4,970,688
417,100 The Walt Disney Co. ........................................ 10,631,879
- ---------------------------------------------------------------------------------------
67,847,957
- ---------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 1.7%
141,000 Costco Wholesale Corp.+..................................... 5,790,870
139,248 Wal-Mart Stores, Inc. ...................................... 7,346,724
- ---------------------------------------------------------------------------------------
13,137,594
- ---------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 0.2%
56,000 The Home Depot, Inc. ....................................... 1,971,200
- ---------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 94,996,042
- ---------------------------------------------------------------------------------------
CONSUMER STAPLES -- 9.0%
BEVERAGES -- 1.9%
82,000 The Coca-Cola Co. .......................................... 4,139,360
211,380 PepsiCo, Inc. .............................................. 11,389,154
- ---------------------------------------------------------------------------------------
15,528,514
- ---------------------------------------------------------------------------------------
FOOD & DRUG RETAILING -- 0.8%
168,400 Walgreen Co................................................. 6,097,764
- ---------------------------------------------------------------------------------------
FOOD PRODUCTS -- 3.1%
210,000 Archer-Daniels-Midland Co. ................................. 3,523,800
98,000 General Mills, Inc. ........................................ 4,657,940
112,000 H.J. Heinz Co. ............................................. 4,390,400
99,100 Hershey Foods Corp. ........................................ 4,585,357
111,700 Wm. Wrigley Jr. Co. ........................................ 7,042,685
- ---------------------------------------------------------------------------------------
24,200,182
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
APPRECIATION PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 2.1%
110,900 Kimberly-Clark Corp. ....................................... $ 7,306,092
168,000 The Procter & Gamble Co. ................................... 9,145,920
- ---------------------------------------------------------------------------------------
16,452,012
- ---------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 1.1%
209,980 The Gillette Co. ........................................... 8,903,152
- ---------------------------------------------------------------------------------------
TOTAL CONSUMER STAPLES...................................... 71,181,624
- ---------------------------------------------------------------------------------------
ENERGY -- 8.5%
ENERGY EQUIPMENT & SERVICES -- 2.0%
174,500 ENSCO International Inc. ................................... 5,077,950
96,000 GlobalSantaFe Corp. ........................................ 2,544,000
125,400 Schlumberger Ltd. .......................................... 7,964,154
- ---------------------------------------------------------------------------------------
15,586,104
- ---------------------------------------------------------------------------------------
OIL & GAS -- 6.5%
209,100 BP PLC, Sponsored ADR....................................... 11,201,487
113,000 Canadian Natural Resources Ltd. ............................ 3,378,700
418,582 EnCana Corp. ............................................... 18,065,999
348,718 Exxon Mobil Corp. .......................................... 15,486,566
111,500 Suncor Energy, Inc. ........................................ 2,855,515
- ---------------------------------------------------------------------------------------
50,988,267
- ---------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 66,574,371
- ---------------------------------------------------------------------------------------
FINANCIALS -- 19.1%
BANKS -- 5.1%
97,000 Bank One Corp. ............................................. 4,947,000
56,000 Brookline Bancorp, Inc. .................................... 821,520
69,500 Comerica Inc. .............................................. 3,814,160
96,000 Fifth Third Bancorp......................................... 5,162,880
35,000 M&T Bank Corp. ............................................. 3,055,500
138,000 U.S. Bancorp................................................ 3,803,280
56,500 Washington Mutual, Inc. .................................... 2,183,160
279,700 Wells Fargo & Co. .......................................... 16,007,231
- ---------------------------------------------------------------------------------------
39,794,731
- ---------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 1.3%
28,000 The Goldman Sachs Group, Inc. .............................. 2,636,480
138,900 Merrill Lynch & Co., Inc. .................................. 7,497,822
- ---------------------------------------------------------------------------------------
10,134,302
- ---------------------------------------------------------------------------------------
INSURANCE -- 10.7%
140,395 American International Group, Inc. ......................... 10,007,356
573 Berkshire Hathaway Inc., Class A Shares+.................... 50,968,350
28,100 The Chubb Corp. ............................................ 1,915,858
28,000 Lincoln National Corp. ..................................... 1,323,000
139,750 Old Republic International Corp. ........................... 3,314,870
417,500 The St. Paul Travelers Cos., Inc. .......................... 16,925,450
- ---------------------------------------------------------------------------------------
84,454,884
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
APPRECIATION PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
REAL ESTATE -- 2.0%
167,550 Forest City Enterprises, Inc., Class A Shares............... $ 8,880,150
139,400 The St. Joe Co. ............................................ 5,534,180
27,100 Tejon Ranch Co.+............................................ 943,080
- ---------------------------------------------------------------------------------------
15,357,410
- ---------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 149,741,327
- ---------------------------------------------------------------------------------------
HEALTHCARE -- 8.4%
BIOTECHNOLOGY -- 2.1%
154,650 Amgen, Inc.+................................................ 8,439,251
101,050 Biogen Idec Inc.+........................................... 6,391,413
28,000 Encysive Pharmaceuticals Inc.+.............................. 238,000
28,000 Genentech, Inc.+............................................ 1,573,600
25,345 Vicuron Pharmaceuticals, Inc.+.............................. 318,333
- ---------------------------------------------------------------------------------------
16,960,597
- ---------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS & SERVICES -- 0.4%
56,000 C.R. Bard, Inc. ............................................ 3,172,400
- ---------------------------------------------------------------------------------------
PHARMACEUTICALS -- 5.9%
56,377 Eli Lilly & Co. ............................................ 3,941,316
237,308 Johnson & Johnson........................................... 13,218,056
139,660 Merck & Co., Inc. .......................................... 6,633,850
661,636 Pfizer Inc. ................................................ 22,680,882
- ---------------------------------------------------------------------------------------
46,474,104
- ---------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 66,607,101
- ---------------------------------------------------------------------------------------
INDUSTRIALS -- 15.0%
AEROSPACE & DEFENSE -- 2.3%
83,500 Lockheed Martin Corp. ...................................... 4,348,680
167,000 Raytheon Co. ............................................... 5,973,590
84,000 United Technologies Corp. .................................. 7,684,320
- ---------------------------------------------------------------------------------------
18,006,590
- ---------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 1.0%
31,800 American Standard Cos. Inc.+................................ 1,281,858
210,000 Masco Corp. ................................................ 6,547,800
- ---------------------------------------------------------------------------------------
7,829,658
- ---------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES -- 1.7%
82,000 Automatic Data Processing Inc. ............................. 3,434,160
41,000 Hudson Highland Group, Inc.+................................ 1,257,060
281,400 Waste Management, Inc. ..................................... 8,624,910
- ---------------------------------------------------------------------------------------
13,316,130
- ---------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.7%
210,000 American Power Conversion Corp.+ ........................... 4,126,500
56,000 Molex Inc., Class A Shares ................................. 1,527,680
- ---------------------------------------------------------------------------------------
5,654,180
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
APPRECIATION PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 7.1%
62,000 Avery Dennison Corp. ....................................... $ 3,968,620
218,200 3M Co. ..................................................... 19,640,182
703,719 General Electric Co. ....................................... 22,800,496
125,000 Honeywell International Inc. ............................... 4,578,750
151,000 Tyco International Ltd. .................................... 5,004,140
- ---------------------------------------------------------------------------------------
55,992,188
- ---------------------------------------------------------------------------------------
MACHINERY -- 0.5%
54,500 Deere & Co. ................................................ 3,822,630
- ---------------------------------------------------------------------------------------
ROAD & RAIL -- 1.7%
156,500 Burlington Northern Santa Fe Corp. ......................... 5,488,455
55,350 CP Railway Ltd. ............................................ 1,363,271
168,669 Florida East Coast Industries, Inc. ........................ 6,519,057
- ---------------------------------------------------------------------------------------
13,370,783
- ---------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 117,992,159
- ---------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 10.7%
COMMUNICATIONS EQUIPMENT -- 1.6%
176,450 Cisco Systems, Inc.+........................................ 4,181,865
771,000 Lucent Technologies Inc.+................................... 2,914,380
282,000 Motorola, Inc. ............................................. 5,146,500
- ---------------------------------------------------------------------------------------
12,242,745
- ---------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS -- 1.5%
238,000 EMC Corp.+.................................................. 2,713,200
97,350 International Business Machines Corp. ...................... 8,581,402
42,000 Network Appliance, Inc.+.................................... 904,260
- ---------------------------------------------------------------------------------------
12,198,862
- ---------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 1.7%
167,300 Agilent Technologies, Inc.+................................. 4,898,544
85,731 Mettler-Toledo International Inc.+.......................... 4,212,821
352,000 Solectron Corp.+............................................ 2,277,440
109,500 Vishay Intertechnology, Inc.+............................... 2,034,510
- ---------------------------------------------------------------------------------------
13,423,315
- ---------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 1.9%
825,962 Agere Systems Inc., Class A Shares+......................... 1,899,713
206,500 Cirrus Logic, Inc.+......................................... 1,241,065
308,029 Intel Corp.................................................. 8,501,600
156,000 LSI Logic Corp.+............................................ 1,188,720
82,600 Texas Instruments Inc....................................... 1,997,268
- ---------------------------------------------------------------------------------------
14,828,366
- ---------------------------------------------------------------------------------------
SOFTWARE -- 4.0%
984,736 Microsoft Corp.............................................. 28,124,060
139,000 ScanSoft, Inc.+............................................. 688,050
164,000 Sybase, Inc.+............................................... 2,952,000
- ---------------------------------------------------------------------------------------
31,764,110
- ---------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 84,457,398
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
APPRECIATION PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
MATERIALS -- 6.0%
CHEMICALS -- 3.2%
182,000 The Dow Chemical Co......................................... $ 7,407,400
210,000 E.I. du Pont de Nemours & Co................................ 9,328,200
139,800 PPG Industries, Inc......................................... 8,736,102
- ---------------------------------------------------------------------------------------
25,471,702
- ---------------------------------------------------------------------------------------
METALS & MINING -- 2.0%
140,700 Alcoa Inc................................................... 4,647,321
55,500 Freeport-McMoRan Copper & Gold, Inc., Class B Shares........ 1,839,825
140,000 Newmont Mining Corp......................................... 5,426,400
42,000 Rio Tinto PLC, Sponsored ADR................................ 4,118,100
- ---------------------------------------------------------------------------------------
16,031,646
- ---------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS -- 0.8%
97,500 Weyerhaeuser Co............................................. 6,154,200
- ---------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 47,657,548
- ---------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.4%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4%
84,500 Verizon Communications Inc.................................. 3,058,055
- ---------------------------------------------------------------------------------------
UTILITIES -- 1.5%
ELECTRIC UTILITIES -- 1.0%
152,000 Cinergy Corp................................................ 5,776,000
55,000 Public Service Enterprise Group Inc......................... 2,201,650
- ---------------------------------------------------------------------------------------
7,977,650
- ---------------------------------------------------------------------------------------
GAS UTILITIES -- 0.5%
108,000 KeySpan Corp................................................ 3,963,600
- ---------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 11,941,250
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $574,628,553)................... 723,127,675
- ---------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 8.3%
$ 65,792,000 J.P. Morgan Chase & Co. dated 6/30/04, 1.300% due 7/1/04;
Proceeds at maturity -- $65,794,376; (Fully collateralized
by various U.S. Government Agency obligations, 1.140% to
4.000% due 2/17/06 to 7/30/09; Market
value -- $67,109,363)
(Cost -- $65,792,000)..................................... 65,792,000
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $640,420,553**)........ $788,919,675
- --------------------------------------------------------------------------------------------------
</Table>
<Table>
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is
substantially the same.
Abbreviation used in this schedule:
------------------------------------------------------------
ADR -- American Depositary Receipt
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
COMMON STOCK -- 96.5%
COMMINGLED FUND -- 0.9%
300,000 Utilities Select Sector SPDR Fund*.......................... $ 7,122,000
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 14.8%
AUTO COMPONENTS -- 0.6%
441,400 Delphi Corp................................................. 4,714,152
- --------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE -- 1.7%
296,900 Carnival Corp............................................... 13,954,300
- --------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.5%
310,000 Fleetwood Enterprises, Inc.+*............................... 4,510,500
- --------------------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL -- 0.2%
51,500 IAC/InterActiveCorp+*....................................... 1,552,210
- --------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS -- 2.1%
662,500 Hasbro, Inc................................................. 12,587,500
250,000 Mattel, Inc................................................. 4,562,500
- --------------------------------------------------------------------------------------------------
17,150,000
- --------------------------------------------------------------------------------------------------
MEDIA -- 8.1%
354,200 Comcast Corp., Special Class A Shares+...................... 9,779,462
1,073,600 Liberty Media Corp., Class A Shares+........................ 9,651,664
53,680 Liberty Media International, Inc., Class A Shares+*......... 1,991,528
359,143 Metro-Goldwyn-Mayer Inc.+*.................................. 4,345,630
256,500 The News Corp. Ltd., Sponsored ADR*......................... 9,085,230
830,700 Time Warner Inc.+........................................... 14,603,706
214,700 Viacom Inc., Class B Shares................................. 7,669,084
371,200 The Walt Disney Co.......................................... 9,461,888
- --------------------------------------------------------------------------------------------------
66,588,192
- --------------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.1%
249,800 The Home Depot, Inc. ....................................... 8,792,960
- --------------------------------------------------------------------------------------------------
TEXTILES & APPAREL -- 0.5%
298,400 Tommy Hilfiger Corp.+....................................... 4,517,776
- --------------------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 121,780,090
- --------------------------------------------------------------------------------------------------
CONSUMER STAPLES -- 2.1%
BEVERAGES -- 0.9%
144,500 PepsiCo, Inc. .............................................. 7,785,660
- --------------------------------------------------------------------------------------------------
FOOD & DRUG RETAILING -- 1.2%
376,800 Safeway, Inc.+.............................................. 9,548,112
- --------------------------------------------------------------------------------------------------
TOTAL CONSUMER STAPLES...................................... 17,333,772
- --------------------------------------------------------------------------------------------------
ENERGY -- 5.9%
ENERGY EQUIPMENT & SERVICES -- 1.8%
254,100 GlobalSantaFe Corp.*........................................ 6,733,650
275,400 Halliburton Co. ............................................ 8,333,604
- --------------------------------------------------------------------------------------------------
15,067,254
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
OIL & GAS -- 4.1%
149,000 Anadarko Petroleum Corp.*................................... $ 8,731,400
115,000 ChevronTexaco Corp. ........................................ 10,822,650
82,800 Devon Energy Corp. ......................................... 5,464,800
115,300 Murphy Oil Corp. ........................................... 8,497,610
- --------------------------------------------------------------------------------------------------
33,516,460
- --------------------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 48,583,714
- --------------------------------------------------------------------------------------------------
FINANCIALS -- 16.9%
BANKS -- 1.9%
180,600 The Bank of New York Co., Inc. ............................. 5,324,088
200,000 Bank One Corp. ............................................. 10,200,000
- --------------------------------------------------------------------------------------------------
15,524,088
- --------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.1%
200,000 American Express Co. ....................................... 10,276,000
112,000 Assured Guaranty Ltd.+*..................................... 1,898,400
226,600 J.P. Morgan Chase & Co. .................................... 8,785,282
168,900 Merrill Lynch & Co., Inc. .................................. 9,117,222
88,300 Morgan Stanley.............................................. 4,659,591
147,900 State Street Corp. ......................................... 7,253,016
- --------------------------------------------------------------------------------------------------
41,989,511
- --------------------------------------------------------------------------------------------------
INSURANCE -- 9.9%
134,000 Ambac Financial Group, Inc. ................................ 9,840,960
164,100 American International Group, Inc. ......................... 11,697,048
135,800 The Chubb Corp. ............................................ 9,258,844
192,415 CNA Surety Corp.+*.......................................... 2,106,944
101,300 The Hartford Financial Services Group, Inc. ................ 6,963,362
167,300 Marsh & McLennan Cos., Inc. ................................ 7,592,074
173,150 MBIA, Inc. ................................................. 9,890,328
143,100 MGIC Investment Corp. ...................................... 10,855,566
47,600 The PMI Group, Inc. ........................................ 2,071,552
235,100 Radian Group Inc. .......................................... 11,261,290
- --------------------------------------------------------------------------------------------------
81,537,968
- --------------------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 139,051,567
- --------------------------------------------------------------------------------------------------
HEALTHCARE -- 13.3%
BIOTECHNOLOGY -- 1.7%
70,200 Amgen Inc.+................................................. 3,830,814
615,200 Aphton Corp.+............................................... 2,460,800
294,400 Enzo Biochem, Inc.+*........................................ 4,416,000
377,000 Genelabs Technologies, Inc.+*............................... 870,870
559,400 XOMA Ltd.+*................................................. 2,506,112
- --------------------------------------------------------------------------------------------------
14,084,596
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS & SERVICES -- 2.7%
288,100 McKesson Corp. ............................................. $ 9,890,473
200,000 UnitedHealth Group Inc. .................................... 12,450,000
- --------------------------------------------------------------------------------------------------
22,340,473
- --------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 8.9%
278,500 Abbott Laboratories......................................... 11,351,660
206,500 Bentley Pharmaceuticals, Inc.+ *............................ 2,837,310
231,300 GlaxoSmithKline PLC, ADR.................................... 9,589,698
235,500 Johnson & Johnson........................................... 13,117,350
284,800 Merck & Co. Inc. ........................................... 13,528,000
419,000 Pfizer Inc. ................................................ 14,363,320
248,300 Wyeth....................................................... 8,978,528
- --------------------------------------------------------------------------------------------------
73,765,866
- --------------------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 110,190,935
- --------------------------------------------------------------------------------------------------
INDUSTRIALS -- 9.9%
AEROSPACE & DEFENSE -- 2.6%
149,400 The Boeing Co. ............................................. 7,632,846
387,600 Raytheon Co. ............................................... 13,864,452
- --------------------------------------------------------------------------------------------------
21,497,298
- --------------------------------------------------------------------------------------------------
AIRLINES -- 1.5%
141,900 AMR Corp.+*................................................. 1,718,409
158,600 Continental Airlines, Inc., Class B Shares+*................ 1,803,282
252,800 Delta Air Lines, Inc. +*.................................... 1,799,936
137,100 Frontier Airlines, Inc.+*................................... 1,491,648
155,600 Northwest Airlines Corp.+*.................................. 1,730,272
206,100 Southwest Airlines Co. ..................................... 3,456,297
- --------------------------------------------------------------------------------------------------
11,999,844
- --------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES -- 2.1%
281,900 Sabre Holdings Corp., Class A Shares........................ 7,811,449
325,000 Waste Management, Inc. ..................................... 9,961,250
- --------------------------------------------------------------------------------------------------
17,772,699
- --------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING -- 0.9%
81,100 Chicago Bridge & Iron Co. N.V., NY Shares................... 2,258,635
63,400 Fluor Corp.*................................................ 3,022,278
235,700 The Shaw Group Inc.+*....................................... 2,387,641
- --------------------------------------------------------------------------------------------------
7,668,554
- --------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.4%
50,000 Emerson Electric Co. ....................................... 3,177,500
- --------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 0.9%
200,000 Honeywell International Inc. ............................... 7,326,000
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
MACHINERY -- 1.5%
102,000 Caterpillar Inc. ........................................... $ 8,102,880
64,000 Deere & Co. ................................................ 4,488,960
- --------------------------------------------------------------------------------------------------
12,591,840
- --------------------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 82,033,735
- --------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 18.1%
COMMUNICATIONS EQUIPMENT -- 4.8%
363,700 3Com Corp.+................................................. 2,273,125
2,559,000 Lucent Technologies Inc.+*.................................. 9,673,020
936,000 Motorola, Inc. ............................................. 17,082,000
718,300 Nokia Oyj, Sponsored ADR.................................... 10,444,082
- --------------------------------------------------------------------------------------------------
39,472,227
- --------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS -- 0.0%
16,000 Socket Communications, Inc.+*............................... 45,760
- --------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 4.3%
426,900 Agilent Technologies, Inc.+................................. 12,499,632
3,495,053 Solectron Corp.+*........................................... 22,612,993
- --------------------------------------------------------------------------------------------------
35,112,625
- --------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES -- 0.5%
666,600 RealNetworks, Inc.+*........................................ 4,559,544
- --------------------------------------------------------------------------------------------------
IT CONSULTING & SERVICES -- 2.0%
285,300 SunGard Data Systems Inc.+.................................. 7,417,800
651,800 Unisys Corp.+............................................... 9,046,984
- --------------------------------------------------------------------------------------------------
16,464,784
- --------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.8%
600,000 IKON Office Solutions, Inc.*................................ 6,882,000
- --------------------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 3.5%
373,200 Intel Corp. ................................................ 10,300,320
148,200 Lattice Semiconductor Corp.+*............................... 1,038,882
1,185,247 Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored
ADR+........................................................ 9,849,399
333,600 Texas Instruments Inc. ..................................... 8,066,448
- --------------------------------------------------------------------------------------------------
29,255,049
- --------------------------------------------------------------------------------------------------
SOFTWARE -- 2.2%
55,700 Actuate Corp.+.............................................. 220,015
774,500 Micromuse Inc.+*............................................ 5,181,405
433,700 Microsoft Corp. ............................................ 12,386,472
- --------------------------------------------------------------------------------------------------
17,787,892
- --------------------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 149,579,881
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
MATERIALS -- 10.3%
CHEMICALS -- 3.1%
205,100 Cabot Corp. ................................................ $ 8,347,570
169,400 Crompton Corp. ............................................. 1,067,220
234,800 The Dow Chemical Co. ....................................... 9,556,360
202,800 Engelhard Corp. ............................................ 6,552,468
- --------------------------------------------------------------------------------------------------
25,523,618
- --------------------------------------------------------------------------------------------------
METALS & MINING -- 4.5%
355,800 Alcoa Inc. ................................................. 11,752,074
259,000 Allegheny Technologies, Inc.*............................... 4,674,950
326,600 Brush Engineered Materials Inc.+*........................... 6,172,740
277,700 Newmont Mining Corp. ....................................... 10,763,652
212,700 RTI International Metals, Inc.+*............................ 3,392,565
- --------------------------------------------------------------------------------------------------
36,755,981
- --------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS -- 2.7%
323,900 Georgia Pacific Corp. ...................................... 11,977,822
163,400 Weyerhaeuser Co. ........................................... 10,313,808
- --------------------------------------------------------------------------------------------------
22,291,630
- --------------------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 84,571,229
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 3.2%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.1%
369,800 Nippon Telegraph and Telephone Corp., Sponsored ADR*........ 9,925,432
300,000 SBC Communications Inc. .................................... 7,275,000
- --------------------------------------------------------------------------------------------------
17,200,432
- --------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.1%
412,700 Vodafone Group PLC, Sponsored ADR*.......................... 9,120,670
- --------------------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 26,321,102
- --------------------------------------------------------------------------------------------------
UTILITIES -- 1.1%
ELECTRIC UTILITIES -- 0.1%
220,500 Calpine Corp.+*............................................. 952,560
- --------------------------------------------------------------------------------------------------
MULTI-UTILITIES -- 1.0%
689,590 The Williams Cos., Inc. .................................... 8,206,121
- --------------------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 9,158,681
- --------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $656,057,052)................... 795,726,706
- --------------------------------------------------------------------------------------------------
FOREIGN STOCK -- 2.0%
1,115 Mitsubishi Toyoko Financial Group, Inc. .................... 10,299,053
150,000 SONY CORP.*................................................. 5,638,118
59,400 WGI Heavy Minerals, Inc.+................................... 363,330
- --------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCK (Cost -- $12,536,908)................... 16,300,501
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
FUNDAMENTAL VALUE PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.5%
$12,607,000 The Goldman Sachs Group, Inc. dated 6/30/04, 1.500% due
7/1/04; Proceeds at maturity -- $12,607,525; (Fully
collateralized by U.S. Treasury Notes and Bonds, 1.125% to
6.000% due 6/30/05 to 2/15/26; Market
value -- $12,859,153) (Cost -- $12,607,000)............... $ 12,607,000
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $681,200,960**)........ $824,634,207
- --------------------------------------------------------------------------------------------------
LOANED SECURITIES COLLATERAL
85,758,850 State Street Navigator Securities Lending Trust Prime
Portfolio (Cost -- $85,758,850)............................. $ 85,758,850
- --------------------------------------------------------------------------------------------------
</Table>
* All or a portion of this security is on loan (See Note 6).
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviation used in this schedule:
ADR -- American Depositary Receipt
SEE NOTES TO FINANCIAL STATEMENTS.
16
- --------------------------------------------------------------------------------
BOND RATINGS (UNAUDITED)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA" to
"CCC" may be modified by the addition of a plus (+) or minus (-) sign to show
relative standings within the major rating categories.
<Table>
AAA -- Bonds rated "AAA" have the highest rating assigned by
Standard & Poor's. Capacity to pay interest and repay
principal is extremely strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest
and repay principal and differ from the highest rated issue
only in a small degree.
A -- Bonds rated "A" have a strong capacity to pay interest and
repay principal although they are somewhat more susceptible
to the adverse effects of changes in circumstances and
economic conditions than bonds in higher rated categories.
BB, B, -- Bonds rated "BB", "B", "CCC", "CC" and "C" are regarded, on
CCC, balance, as predominantly speculative with respect to the
CC and C issuer's capacity to pay interest and repay principal in
accordance with the terms of the obligation. "BB" indicates
the lowest degree of speculation and "C" the highest degree
of speculation. While such bonds will likely have some
quality and protective characteristics, these are
outweighted by large uncertainties or major risk exposures
to adverse conditions.
Moody's Investors Service ("Moody's") -- Numerical modifiers 1, 2, and 3 may
be applied to each generic rating from "Aa" to "Ba", where 1 is the highest
and 3 the lowest rating within its generic category.
Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They
carry the smallest degree of investment risk and are
generally referred to as "gilt edge." Interest payments are
protected by a large or by an exceptionally stable margin
and principal is secure. While the various protective
elements are likely to change, such changes as can be
visualized are most unlikely to impair the fundamentally
strong position of such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what
are generally known as high grade bonds. They are rated
lower than the best bonds because margins of protection may
not be as large as in "Aaa" securities or fluctuation of
protective elements may be of greater amplitude or there may
be other elements present which make the long-term risks
appear somewhat larger than in "Aaa" securities.
A -- Bonds rated "A" possess many favorable investment attributes
and are to be considered as upper medium grade obligations.
Factors giving security to principal and interest are
considered adequate but elements may be present which
suggest a susceptibility to impairment some time in the
future.
Baa -- Bonds rated "Baa" are considered to be medium grade
obligations, i.e., they are neither highly protected nor
poorly secured. Interest payments and principal security
appear adequate for the present but certain protective
elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack
outstanding investment characteristics and in fact have
speculative characteristics as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements:
their future cannot be considered as well assured. Often the
protection of interest and principal payments may be very
moderate, and thereby not well safeguarded during both good
and bad times over the future. Uncertainty of position
characterizes bonds in this class.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
</Table>
17
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
<Table>
<Caption>
INTERMEDIATE FUNDAMENTAL
HIGH GRADE APPRECIATION VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost..................................... $2,752,580 $640,420,553 $681,200,960
Loaned securities collateral, at cost (Note 6)........... -- -- 85,758,850
- ----------------------------------------------------------------------------------------------------------
Investments, at value.................................... $2,876,795 $788,919,675 $824,634,207
Loaned securities collateral, at value (Note 6).......... -- -- 85,758,850
Cash..................................................... -- -- 437
Dividends and interest receivable........................ 44,871 623,315 856,350
Receivable for securities sold........................... -- 1,313,632 1,316,846
Receivable for Fund shares sold.......................... -- 7,339 438,360
- ----------------------------------------------------------------------------------------------------------
TOTAL ASSETS............................................. 2,921,666 790,863,961 913,005,050
- ----------------------------------------------------------------------------------------------------------
LIABILITIES:
Bank overdraft........................................... 56,992 6,879 --
Payable for Fund shares reacquired....................... 3,886 424,693 15,951
Investment advisory fees payable......................... 883 350,807 360,724
Administration fees payable.............................. 522 127,525 131,685
Payable for securities purchased......................... -- 1,814,862 776,081
Payable for loaned securities collateral (Note 6)........ -- -- 85,758,850
Accrued expenses......................................... 13,327 43,652 41,464
- ----------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES........................................ 75,610 2,768,418 87,084,755
- ----------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS........................................... $2,846,056 $788,095,543 $825,920,295
- ----------------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of beneficial interest............... $ 319 $ 35,064 $ 39,273
Capital paid in excess of par value...................... 3,217,340 691,231,273 668,331,769
Undistributed (overdistributed) net investment income.... (4,993) 2,284,447 1,816,538
Accumulated net realized gain (loss) from investment
transactions and futures contracts.................... (490,825) (53,954,671) 12,301,308
Net unrealized appreciation of investments and foreign
currencies............................................ 124,215 148,499,430 143,431,407
- ----------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS........................................... $2,846,056 $788,095,543 $825,920,295
- ----------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING......................................... 319,262 35,064,140 39,273,490
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE................................. $8.91 $22.48 $21.03
- ----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
<Table>
<Caption>
INTERMEDIATE FUNDAMENTAL
HIGH GRADE APPRECIATION VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest.................................................. $ 72,103 $ 316,404 $ 189,473
Dividends................................................. -- 4,921,189 4,718,607
Less: Foreign withholding tax............................. -- (27,607) (66,852)
- -----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................... 72,103 5,209,986 4,841,228
- -----------------------------------------------------------------------------------------------------------
EXPENSES:
Audit and legal........................................... 9,389 12,963 13,024
Investment advisory fees (Note 2)......................... 5,931 2,083,791 2,157,892
Custody................................................... 5,224 21,818 26,506
Administration fees (Note 2).............................. 2,965 757,742 784,688
Transfer agency services.................................. 2,501 2,503 2,500
Shareholder communications................................ 988 23,221 25,209
Trustees' fees............................................ 691 5,194 5,351
Other..................................................... 598 7,115 4,572
- -----------------------------------------------------------------------------------------------------------
TOTAL EXPENSES............................................ 28,287 2,914,347 3,019,742
- -----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME....................................... 43,816 2,295,639 1,821,486
- -----------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS AND FOREIGN CURRENCIES (NOTE 3 AND 4):
Realized Gain (Loss) From:
Investment transactions................................ -- 7,417,600 30,966,337
Futures contracts...................................... -- 1,396,897 --
Foreign currency transactions.......................... -- 471 (1,737)
- -----------------------------------------------------------------------------------------------------------
NET REALIZED GAIN......................................... -- 8,814,968 30,964,600
- -----------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation From:
Investments............................................ (68,081) 13,394,350 2,316,228
Foreign currencies..................................... -- (173) (1,840)
- -----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION........ (68,081) 13,394,177 2,314,388
- -----------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND
FOREIGN CURRENCIES........................................ (68,081) 22,209,145 33,278,988
- -----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........... $(24,265) $24,504,784 $35,100,474
- -----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
AND THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
INTERMEDIATE HIGH GRADE
PORTFOLIO
------------------------
2004 2003
- ----------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 43,816 $ 106,967
Net realized gain......................................... -- 4,828
Decrease in net unrealized appreciation................... (68,081) (59,671)
- ----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS......... (24,265) 52,124
- ----------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... -- (131,492)
- ----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... -- (131,492)
- ----------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares.......................... 1,421 100,554
Net asset value of shares issued for reinvestment of
dividends.............................................. -- 131,492
Cost of shares reacquired................................. (203,008) (746,606)
- ----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... (201,587) (514,560)
- ----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS...................................... (225,852) (593,928)
NET ASSETS:
Beginning of period....................................... 3,071,908 3,665,836
- ----------------------------------------------------------------------------------------
END OF PERIOD*............................................ $2,846,056 $3,071,908
- ----------------------------------------------------------------------------------------
* Includes overdistributed net investment income of:........ $(4,993) $(48,809)
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
AND THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
APPRECIATION PORTFOLIO
----------------------------
2004 2003
- --------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 2,295,639 $ 4,447,539
Net realized gain......................................... 8,814,968 302,425
Increase in net unrealized appreciation................... 13,394,177 133,084,770
- --------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 24,504,784 137,834,734
- --------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (371,463) (4,241,611)
- --------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (371,463) (4,241,611)
- --------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares.......................... 46,849,957 73,719,235
Net asset value of shares issued for reinvestment of
dividends.............................................. 371,463 4,241,611
Cost of shares reacquired................................. (13,159,286) (30,308,529)
- --------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... 34,062,134 47,652,317
- --------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 58,195,455 181,245,440
NET ASSETS:
Beginning of period....................................... 729,900,088 548,654,648
- --------------------------------------------------------------------------------------------
END OF PERIOD*............................................ $788,095,543 $729,900,088
- --------------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... $2,284,447 $359,800
- --------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
AND THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
FUNDAMENTAL VALUE PORTFOLIO
----------------------------
2004 2003
- --------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 1,821,486 $ 3,964,479
Net realized gain......................................... 30,964,600 11,115,422
Increase in net unrealized appreciation................... 2,314,388 175,156,933
- --------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 35,100,474 190,236,834
- --------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (297,713) (3,785,732)
- --------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (297,713) (3,785,732)
- --------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares.......................... 73,988,868 88,748,416
Net asset value of shares issued for reinvestment of
dividends.............................................. 297,713 3,785,732
Cost of shares reacquired................................. (17,090,348) (18,010,407)
- --------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... 57,196,233 74,523,741
- --------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 91,998,994 260,974,843
NET ASSETS:
Beginning of period....................................... 733,921,301 472,946,458
- --------------------------------------------------------------------------------------------
END OF PERIOD*............................................ $825,920,295 $733,921,301
- --------------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... $1,816,538 $294,502
- --------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Intermediate High Grade, Appreciation and Fundamental Value Portfolios
("Funds") are separate investment funds of the Greenwich Street Series Fund
("Trust"). The Trust, a Massachusetts business trust, is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. Shares of the Trust can be acquired through
investing in an individual flexible premium deferred combination fixed and
variable annuity contract or a certificate evidencing interest in a master group
flexible premium deferred annuity offered by certain insurance companies. The
Trust offers seven other separate investment funds: Salomon Brothers Variable
Money Market Fund, Diversified Strategic Income Portfolio, Salomon Brothers
Variable All Cap Value Fund, Equity Index Portfolio, Salomon Brothers Variable
Growth & Income Fund, Salomon Brothers Variable Aggressive Growth Fund (formerly
known as Salomon Brothers Variable Emerging Growth Fund) and Salomon Brothers
Variable International Equity Fund. The financial statements and financial
highlights for the other funds are presented in a separate shareholder report.
The Funds and the other investment funds of the Trust are offered exclusively
for use with certain variable annuity and variable life insurance contracts
offered through the separate accounts of various life insurance companies,
including the affiliates of the investment manager.
The following are significant accounting policies consistently followed by
the Funds and are in conformity with U.S. generally accepted accounting
principles ("GAAP"): (a) security transactions are accounted for on trade date;
(b) securities traded on national securities markets are valued at the closing
prices on such markets or, if there were no sales during the day, at the mean
between the quoted bid and asked prices; securities primarily traded on foreign
exchanges are generally valued at the preceding closing values of such
securities on their respective exchanges, except that when a significant
occurrence subsequent to the time a value was so established is likely to have
significantly changed the value, then the fair value of those securities will be
determined by consideration of other factors by or under the direction of the
Board of Trustees or its delegates; over-the-counter securities are valued on
the basis of the bid price at the close of business on each day; U.S. government
and agency obligations are valued at the average between the bid and the asked
prices; securities listed on the NASDAQ National Market System for which market
quotations are available are valued at the official closing price or, if there
is no official closing price on that day, at the last sale price; (c) securities
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) interest income, adjusted for
amortization of premium and accretion of discount, is recorded on an accrual
basis; (f) dividend income is recorded on the ex-dividend date; foreign dividend
income is recorded on the ex-dividend date or as soon as practical after the
Funds determine the existence of a dividend declaration after exercising
reasonable due diligence; (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 by the Funds on the ex-dividend date;
the Funds distribute dividends and capital gains, if any, at least annually; (i)
the accounting records of the Funds are maintained in U.S. dollars. All assets
and liabilities denominated in foreign currencies are translated into U.S.
dollars based on the rate of exchange of such currencies against U.S. dollars on
the date of valuation. Purchases and sales of securities, and income and
expenses are translated at the rate of exchange quoted on the respective date
that such transactions are recorded. Differences between income and expense
amounts recorded and collected or paid are adjusted when reported by the
custodian bank; (j) the character of income and gains to be distributed is
determined in accordance with income tax regulations which may differ from GAAP;
(k) each Fund intends to comply with the applicable provisions 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.
2. INVESTMENT ADVISORY AGREEMENT, ADMINISTRATION AGREEMENT AND OTHER
TRANSACTIONS
The Trust, on behalf of the Funds, has entered into an investment advisory
agreement ("Advisory Agreement") with Smith Barney Fund Management LLC ("SBFM"),
an indirect wholly-owned subsidiary of Citigroup Inc. ("Citigroup"). Under the
Advisory Agreement, the Intermediate High Grade, Appreciation and Fundamental
Value Portfolios each pay an investment advisory fee calculated at the annual
rates of 0.40%, 0.55% and 0.55%, respectively, of the value of each Fund's
average daily net assets. These fees are calculated daily and paid monthly.
23
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
The Trust, on behalf of the Funds, has entered into an administration
agreement with SBFM. Under the agreement, each Fund pays an administration fee
calculated at the annual rate of 0.20% of each Fund's respective average daily
net assets. These fees are calculated daily and paid monthly.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as
the Funds' transfer agent. PFPC Inc. ("PFPC") acts as the Funds' sub-transfer
agent. CTB receives account fees and asset-based fees that vary according to the
size and type of account. PFPC is responsible for shareholder recordkeeping and
financial processing for all shareholder accounts and is paid by CTB. For the
six months ended June 30, 2004, each Fund paid transfer agent fees of $2,500 to
CTB.
For the six months ended June 30, 2004, Citigroup Global Markets Inc.
("CGM"), another indirect wholly-owned subsidiary of Citigroup, and its
affiliates received brokerage commissions of $5,383 and $19,355 for the
Appreciation and Fundamental Value Portfolios, respectively.
No officer, Trustee or employee of Citigroup or its affiliates receives any
compensation from the Trust for serving as a Trustee or officer of the Trust.
All officers and one Trustee of the Trust are employees of Citigroup or its
affiliates.
3. INVESTMENTS
During the six months ended June 30, 2004, the aggregate cost of purchases
and proceeds from sales of investments (including maturities of long-term
investments, but excluding short-term investments) were as follows:
<Table>
<Caption>
PURCHASES SALES
- ---------------------------------------------------------------------------------------------
Intermediate High Grade Portfolio........................... $ -- $ 175,000
Appreciation Portfolio...................................... 125,418,131 92,091,558
Fundamental Value Portfolio................................. 196,467,403 146,796,789
- ---------------------------------------------------------------------------------------------
</Table>
At June 30, 2004, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<Table>
<Caption>
NET UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
- ---------------------------------------------------------------------------------------------------------
Intermediate High Grade Portfolio.......................... $ 95,828 $ (30,979) $ 64,849
Appreciation Portfolio..................................... 152,487,707 (3,988,585) 148,499,122
Fundamental Value Portfolio................................ 159,734,069 (16,300,822) 143,433,247
- ---------------------------------------------------------------------------------------------------------
</Table>
4. FUTURES CONTRACTS
The Funds may from time to time enter into futures contracts.
Securities or cash equal to the initial margin amount are either deposited
with the broker or segregated by the custodian upon entering into the futures
contract. Additional securities are also segregated up to the current market
value of the futures contracts. During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
received or made and recognized as assets due from or liabilities due to broker,
depending upon whether unrealized gains or losses are incurred. When the
contract is closed, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contract.
The Fund enters into such contracts typically to hedge a portion of its
portfolio. The Fund bears the market risk that arises from changes in the value
of the financial instruments and securities indices.
At June 30, 2004, the Funds did not have any open futures contracts.
24
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
5. REPURCHASE AGREEMENTS
When entering into repurchase agreements, it is the Fund's policy that a
custodian takes possession of the underlying collateral securities, the value of
which at least equals the principal amount of the repurchase transaction,
including accrued interest. To the extent that any repurchase transaction
exceeds one business day, the value of the collateral is marked-to-market to
ensure the adequacy of the collateral. If the seller defaults and the value of
the collateral declines or if bankruptcy proceedings are commenced with respect
to the seller of the security, realization of the collateral by the Fund may be
delayed or limited.
At June 30, 2004, the Intermediate High Grade Portfolio did not have any
repurchase agreements outstanding.
6. LENDING OF SECURITIES
The Funds have an agreement with the custodian whereby the custodian may
lend securities owned by the Funds to brokers, dealers and other financial
organizations. Fees earned by the Funds on securities lending are recorded in
interest income. Loans of securities by the Funds are collateralized by cash,
U.S. Government securities or high quality money market instruments that are
maintained at all times in an amount at least equal to the current market value
of the loaned securities, plus a margin which may vary depending on the type of
securities loaned. The Funds maintain exposure for the risk of any losses in the
investment of amounts received as collateral.
At June 30, 2004, the Fundamental Value Portfolio loaned securities having
a market value of $83,352,613 and received cash collateral amounting to
$85,758,850 which was invested in the State Street Navigator Securities Lending
Trust Prime Portfolio.
Income earned by the Fundamental Value Portfolio from securities lending
during the six months ended June 30, 2004 was $93,352.
At June 30, 2004, the Intermediate High Grade and Appreciation Portfolios
did not have any securities on loan.
7. SHARES OF BENEFICIAL INTEREST
At June 30, 2004, the Trust had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. Transactions in shares
for each Fund were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
- --------------------------------------------------------------------------------------------------
INTERMEDIATE HIGH GRADE PORTFOLIO
Shares sold................................................. 158 10,856
Shares issued on reinvestment............................... -- 14,630
Shares reacquired........................................... (22,577) (80,434)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (22,419) (54,948)
- --------------------------------------------------------------------------------------------------
APPRECIATION PORTFOLIO
Shares sold................................................. 2,114,516 3,763,256
Shares issued on reinvestment............................... 16,635 195,902
Shares reacquired........................................... (593,966) (1,641,153)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 1,537,185 2,318,005
- --------------------------------------------------------------------------------------------------
FUNDAMENTAL VALUE PORTFOLIO
Shares sold................................................. 3,564,190 5,068,006
Shares issued on reinvestment............................... 14,286 190,014
Shares reacquired........................................... (848,902) (1,191,792)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 2,729,574 4,066,228
- --------------------------------------------------------------------------------------------------
</Table>
25
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
8. ADDITIONAL INFORMATION
Citigroup has been notified by the Staff of the Securities and Exchange
Commission ("SEC") that the Staff is considering recommending a civil injunctive
action and/or an administrative proceeding against Citigroup Asset Management
("CAM"), including its applicable investment advisory companies and Citicorp
Trust Bank ("CTB"), an internal transfer agent, relating to the creation and
operation of the internal transfer agent unit to serve certain CAM-managed
funds, including the Funds. This notification arises out of a previously
disclosed investigation by the SEC and the U.S. Attorney and relates to CTB's
entry in 1999 into the transfer agency business, CAM's retention of, and
agreements with an unaffiliated sub transfer agent, the adequacy of the
disclosures made to the fund boards that approved the transfer agency
arrangements, (including CAM's failure to disclose a related revenue guarantee
agreement benefiting CAM and its affiliates), and CAM's operation of and
compensation for the transfer agency business. The revenue guarantee described
above was terminated in 1999 and CAM will be paying the applicable funds,
primarily through fee waivers, a total of approximately $17 million (plus
interest) that is the amount of the revenue received by Citigroup relating to
the revenue guarantee. Citigroup is cooperating fully in the investigation and
will seek to resolve the matter in discussions with the SEC Staff. Although
there can be no assurance, Citigroup does not believe that this matter will have
a material adverse effect on the Funds. On August 12, 2004, CAM paid each Fund
their allocable share of the amount described above through a waiver of their
fees. The amount paid to each Fund is as follows:
<Table>
<Caption>
- --------------------------------------------------------------------
Appreciation Portfolio...................................... $1,772
Intermediate High Grade Portfolio........................... $1,772
Fundamental Value Portfolio................................. $1,772
- --------------------------------------------------------------------
</Table>
9. LEGAL MATTERS
Class action lawsuits have been filed against Citigroup Global Markets Inc.
(the "Distributor") and a number of its affiliates, including Smith Barney Fund
Management LLC and Salomon Brothers Asset Management Inc. (the "Advisers"),
substantially all of the mutual funds managed by the Advisers (the "Funds"), and
directors or trustees of the Funds. The complaints allege, among other things,
that the Distributor created various undisclosed incentives for its brokers to
sell Smith Barney and Salomon Brothers funds. In addition, according to the
complaints, the Advisers caused the Funds to pay excessive brokerage commissions
to the Distributor for steering clients towards proprietary funds. The
complaints also allege that the defendants breached their fiduciary duty to the
Funds by improperly charging Rule 12b-1 fees and by drawing on Fund assets to
make undisclosed payments of soft dollars and excessive brokerage commissions.
The complaints seek injunctive relief and compensatory and punitive damages,
rescission of the Funds' contracts with the Advisers, recovery of all fees paid
to the Advisers pursuant to such contracts and an award of attorneys' fees and
litigation expenses. Citigroup Asset Management believes that the suits are
without merit and intends to defend the cases vigorously.
Additional lawsuits arising out of these circumstances and presenting
similar allegations and requests for relief may be filed against the defendants
in the future. Neither Citigroup Asset Management nor the Funds believe that any
of the pending actions will have a material adverse effect on the Funds or the
ability of the Distributor or the Advisers to perform under their respective
contracts with the Funds.
26
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
10. SUBSEQUENT EVENTS
The Board of Trustees of the Trust, on behalf of the Appreciation Portfolio
and Fundamental Value Portfolio, has approved amendments to the advisory and
administration agreement between the Trust and Smith Barney Fund Management LLC.
Effective August 1, 2004, the advisory fee and administration fee, each of which
is calculated daily and payable monthly, will be reduced from 0.55% and 0.20%,
respectively, of the Fund's average daily net assets to a fee calculated at the
annual rates in accordance with the following schedule:
<Table>
<Caption>
INVESTMENT
ADVISORY ADMINISTRATION
AVERAGE DAILY NET ASSETS FEE RATE FEE RATE
- -----------------------------------------------------------------------------------------
APPRECIATION PORTFOLIO
Up to $250 million.......................................... 0.550% 0.200%
Next $250 million........................................... 0.513 0.187
Next $500 million........................................... 0.476 0.174
Next $1 billion............................................. 0.439 0.161
Next $1 billion............................................. 0.402 0.148
Over $3 billion............................................. 0.365 0.135
- -----------------------------------------------------------------------------------------
FUNDAMENTAL VALUE PORTFOLIO
Up to $1.5 billion.......................................... 0.550% 0.200%
Next $0.5 billion........................................... 0.500 0.200
Next $0.5 billion........................................... 0.490 0.160
Next $1 billion............................................. 0.460 0.140
Over $3.5 billion........................................... 0.380 0.120
- -----------------------------------------------------------------------------------------
</Table>
27
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
INTERMEDIATE HIGH GRADE PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $8.99 $9.24 $9.61 $9.74 $9.69 $10.90
- -----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income(3)......... 0.13 0.32 0.30 0.46 0.54 0.77
Net realized and unrealized
gain (loss)(3)................ (0.21) (0.17) 0.48 0.23 0.35 (1.17)
- -----------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... (0.08) 0.15 0.78 0.69 0.89 (0.40)
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............ -- (0.40) (1.15) (0.82) (0.84) (0.81)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions................ -- (0.40) (1.15) (0.82) (0.84) (0.81)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $8.91 $8.99 $9.24 $9.61 $9.74 $9.69
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(4).................... (0.89)%++ 1.63% 8.35% 7.39% 9.83% (3.69)%
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S)... $2,846 $3,072 $3,666 $4,571 $6,558 $8,821
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses......................... 1.91%+ 1.74% 2.02% 1.19% 0.98% 1.22%
Net investment income(3)......... 2.96+ 3.10 3.14 4.63 5.72 5.46
- -----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 0% 6% 27% 57% 42% 71%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
APPRECIATION PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... 21.77 $17.58 $21.66 $22.81 $23.39 $21.16
- -----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............ 0.07 0.14 0.13 0.18 0.27 0.13
Net realized and unrealized
gain (loss)................... 0.65 4.18 (3.92) (1.09) (0.37) 2.62
- -----------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... 0.72 4.32 (3.79) (0.91) (0.10) 2.75
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............ (0.01) (0.13) (0.29) (0.24) (0.17) (0.16)
Net realized gains............... -- -- -- -- (0.31) (0.36)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions................ (0.01) (0.13) (0.29) (0.24) (0.48) (0.52)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $22.48 $21.77 $17.58 $21.66 $22.81 $23.39
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(4).................... 3.31%++ 24.56% (17.53)% (3.97)% (0.41)% 13.12%
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(MILLIONS)....................... $788 $730 $549 $638 $611 $529
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses......................... 0.77%+ 0.77% 0.77% 0.77% 0.78% 0.79%
Net investment income............ 0.61+ 0.73 0.67 0.83 1.18 1.18
- -----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 13% 41% 71% 59% 64% 53%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the six months ended June 30, 2004 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) Effective January 1, 2001, the Fund adopted a change in the accounting
method that requires the Fund to amortize premiums and accrete all
discounts. Without the adoption of this change, for the year ended December
31, 2001, the net investment income, net realized and unrealized gain and
the ratio of net investment income to average net assets would have been
$0.50, $0.19 and 5.06%, respectively. Per share information, ratios and
supplemental data for the periods prior to January 1, 2001 have not been
restated to reflect this change in presentation.
(4) Total returns do not reflect expenses associated with the separate account
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
28
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
FUNDAMENTAL VALUE PORTFOLIO 2004(1) 2003 2002(2) 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $20.08 $14.56 $19.08 $22.55 $20.14 $17.55
- ---------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............ 0.05 0.11 0.11 0.08 0.20 0.42
Net realized and unrealized
gain (loss)................... 0.91 5.51 (4.16) (1.22) 3.73 3.37
- ---------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... 0.96 5.62 (4.05) (1.14) 3.93 3.79
- ---------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............ (0.01) (0.10) (0.18) (0.15) (0.39) (0.48)
Net realized gains............... -- -- (0.29) (2.18) (1.13) (0.72)
- ---------------------------------------------------------------------------------------------------------
Total Distributions................ (0.01) (0.10) (0.47) (2.33) (1.52) (1.20)
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $21.03 $20.08 $14.56 $19.08 $22.55 $20.14
- ---------------------------------------------------------------------------------------------------------
TOTAL RETURN(3) ................... 4.77%++ 38.64% (21.30)% (5.27)% 20.47% 22.02%
- ---------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(MILLIONS)....................... $826 $734 $473 $473 $358 $330
- ---------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses......................... 0.77%+ 0.77% 0.78% 0.77% 0.79% 0.79%
Net investment income............ 0.46+ 0.71 0.68 0.64 0.83 2.07
- ---------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 19% 18% 20% 32% 36% 41%
- ---------------------------------------------------------------------------------------------------------
</Table>
(1) For the six months ended June 30, 2004 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) Total returns do not reflect expenses associated with the separate account
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
29
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GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
<Table>
TRUSTEES INVESTMENT ADVISER AND
ADMINISTRATOR
Dwight B. Crane
Burt N. Dorsett Smith Barney Fund Management LLC
R. Jay Gerken, CFA
Chairman CUSTODIAN
Elliot S. Jaffe
Stephen E. Kaufman State Street Bank and Trust Company
Joseph J. McCann*
Cornelius C. Rose, Jr. TRANSFER AGENT
Citicorp Trust Bank, fsb.
OFFICERS
R. Jay Gerken, CFA
President and
Chief Executive Officer
Andrew B. Shoup
Senior Vice President and
Chief Administrative Officer
James M. Giallanza**
Chief Financial Officer
and Treasurer
Harry D. Cohen
Vice President and
Investment Officer
Scott Glasser
Vice President and
Investment Officer
John G. Goode
Vice President and
Investment Officer
Eugene J. Kirkwood
Vice President and
Investment Officer
Andrew Beagley
Chief Anti-Money Laundering
Compliance Officer and
Chief Compliance Officer***
Kaprel Ozsolak
Controller
Robert I. Frenkel
Secretary and Chief Legal Officer
</Table>
- ---------------
* Mr. McCann became Trustee Emeritus on June 30, 2004.
** As of August 5, 2004.
*** Chief Compliance Officer as of July 14, 2004.
GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
APPRECIATION PORTFOLIO
FUNDAMENTAL VALUE PORTFOLIO
INTERMEDIATE HIGH GRADE PORTFOLIO
The Funds are separate investment funds of the Greenwich Street Series Fund, a
Massachusetts business trust.
This report is submitted for the general
information of the owners of the
Greenwich Street Series Fund.
Beginning August 31, 2004, information
on how the Fund voted proxies relating
to portfolio securities during the 12
months period ended June 30, 2004 will
be available (1) without charge, upon
request, by calling 1-800-451-2010 and
(2) on the SEC's web site at
www.sec.gov.
A description of the policies and
procedures that the Funds use to
determine how to vote proxies relating
to portfolio securities is available
without charge, upon request, by
telephoning the Funds (toll free) at
1-800-451-2010 and by visiting the SEC's
web site at www.sec.gov.
S-6225-1 N (8/04) 04-7063
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. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 10. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal
financial officer have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-
3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act")) are effective as of a date within 90 days of the
filing date of this report that includes the disclosure
required by this paragraph, based on their evaluation of the
disclosure controls and procedures required by Rule 30a-3(b)
under the 1940 Act and 15d-15(b) under the Securities Exchange
Act of 1934.
(b) There were no changes in the registrant's internal control
over financial reporting (as defined in Rule 30a-3(d) under
the 1940 Act) that occurred during the registrant's last
fiscal half-year (the registrant's second fiscal half-year in
the case of an annual report) that have materially affected,
or are likely to materially affect the registrant's internal
control over financial reporting.
ITEM 11. EXHIBITS.
(a) Not Applicable.
(b) Attached hereto.
Exhibit 99.CERT Certifications pursuant to section 302 of the
Sarbanes-Oxley Act of 2002
Exhibit 99.906CERT Certifications pursuant to Section 906 of the
Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this Report to be
signed on its behalf by the undersigned, there unto duly authorized.
GREENWICH STREET SERIES FUND
By: /s/ R. Jay Gerken
-----------------
R. Jay Gerken
Chief Executive Officer of
GREENWICH STREET SERIES FUND
Date: September 7,2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ R. Jay Gerken
-----------------
(R. Jay Gerken)
Chief Executive Officer of
GREENWICH STREET SERIES FUND
Date: September 7,2004
By: /s/ Andrew B. Shoup
------------------
(Andrew B. Shoup)
Chief Administrative Officer of
GREENWICH STREET SERIES FUND
Date: September 7,2004