UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6465
The Travelers Series Trust
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
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]
SEMI-ANNUAL REPORT
JUNE 30, 2004
[UMBRELLA GRAPHIC]
THE TRAVELERS SERIES TRUST:
EQUITY INCOME PORTFOLIO
LARGE CAP PORTFOLIO
[TRAVELERS LIFE AND ANNUITY LOGO]
The Travelers Insurance Company
The Travelers Life and Annuity Company
One Cityplace
Hartford, CT 06103
SEMI-ANNUAL REPORT FOR THE TRAVELERS SERIES TRUST
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WHAT'S INSIDE
<Table>
LETTER FROM THE CHAIRMAN.................................... 1
SCHEDULES OF INVESTMENTS.................................... 4
STATEMENTS OF ASSETS AND LIABILITIES........................ 15
STATEMENTS OF OPERATIONS.................................... 16
STATEMENTS OF CHANGES IN NET ASSETS......................... 17
NOTES TO FINANCIAL STATEMENTS............................... 19
FINANCIAL HIGHLIGHTS........................................ 23
</Table>
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LETTER FROM THE CHAIRMAN
[R. JAY GERKEN PHOTO]
R. JAY GERKEN, CFA
Chairman, President and
Chief Executive Officer
DEAR SHAREHOLDER,
After a torrid second half of 2003, the equity markets
took a breather in the first half of 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, inflation, and the presidential
election. The good news -- solid corporate earnings, the
improving economy, renewed job growth, and the still low
level of interest rates -- largely was ignored. As a
result, stock market returns for the first six months of
2004 generally were 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. Value- and growth-oriented
stocks frequently traded short-term performance
leadership during the past six months, but value stocks
slightly outperformed growth stocks over the full
six-month period. The performance of foreign stock
markets in the first half largely was in-line with that
of the broad U.S. market.
Stocks continued to outpace bonds in the first half of
the year. Bonds generally suffered, particularly during
the spring, due to heightened worries about resurgent
inflation, rising rates, and anticipation that the
Federal Reserve Bank ("Fed") would begin to raise key
short-term rates after a long accommodative stance on
monetary policy. Indeed, the Fed edged up its federal
funds target rate(i) at the end of June to 1.25%. Over
the six-month period, bonds generally experienced
slightly negative returns.
After a sharp drop early in the year, 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 for the six-month period, but the rate of job
growth slowed following a strong increase in the first three months of the year.
Real (inflation-adjusted) gross domestic product (GDP)(iii) increased at an
annual rate of 3.90% in the first fiscal quarter of 2004, the most recent figure
available at the close of the period, down slightly from the 4.10% increase in
the last quarter of 2003.(iv)
PORTFOLIO PERFORMANCE
Within this environment, the Portfolios performed as follows:(1)
EQUITY INCOME PORTFOLIO
During the period ended June 30, 2004, the Equity Income Portfolio returned
0.53%. The Portfolio underperformed its unmanaged benchmark, the Russell 3000
Value Index,(v) and a comparative index, the Russell 1000 Value Index,(vi) which
returned 4.23% and 3.94%, respectively. The Portfolio also underperformed its
Lipper equity income variable funds category average, which returned 3.64%.(2)
(1) Each fund is an underlying investment option of various variable annuity
and life products. Fund performance returns do not reflect the deduction of
sales charges and expenses imposed in connection with investing in variable
annuity and life contracts such as administrative fees, account charges,
and surrender charges, which if reflected, would reduce the performance of
the fund. An investor may not invest directly in the fund. Past performance
is no indication 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 59 funds in the Lipper equity income variable funds category
including the reinvestment of dividends and capital gains, if any.
1
LARGE CAP PORTFOLIO
The Large Cap Portfolio returned 2.60% for the period ended June 30, 2004. The
Portfolio underperformed its unmanaged benchmark, the S&P 500 Index(vii), which
returned 3.44%, but slightly outperformed its Lipper large cap core variable
funds category average, which returned 2.37%.(3)
PERFORMANCE OF THE PORTFOLIOS
AS OF JUNE 30, 2004
<Table>
<Caption>
6 MONTHS
--------
EQUITY INCOME PORTFOLIO..................................... 0.53%
Russell 3000 Value Index.................................... 4.23%
Russell 1000 Value Index.................................... 3.94%
Lipper Equity Income Variable Funds Category Average........ 3.64%
LARGE CAP PORTFOLIO......................................... 2.60%
S&P 500 Index............................................... 3.44%
Lipper Large Cap Core Variable Funds Category Average....... 2.37%
</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 sales
charges and expenses imposed in connection with investing in variable annuity
and life contracts such as administrative fees, account charges, and surrender
charges, which if reflected, would reduce the performance of the funds.
INFORMATION ABOUT YOUR FUNDS
In recent months several issues in the mutual fund and variable product
industries have come under the scrutiny of federal and state regulators.
Travelers Life & Annuity and some of its affiliates have received requests for
information from various government regulators regarding market timing, late
trading, revenue sharing and other mutual fund and variable product issues in
connection with various investigations. The funds have been informed that
Travelers Life & Annuity and its affiliates are responding to those information
requests and cooperating with the regulators, but are not in a position to
predict the outcome of these requests and investigations.
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 funds.
(3) 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 Lipper large cap core variable funds category
including the reinvestment of dividends and capital gains, if any.
2
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. Please note an investor cannot invest
directly in an index.
Past performance is no guarantee of future results. The performance returns set
forth do not reflect the deduction of sales charges and expenses imposed in
connection with investing in variable annuity and life contracts, including but
not limited to, administrative fees, account charges, and surrender charges,
which if reflected, would reduce performance.
Portfolio holdings and breakdowns are as of June 30, 2004 and are subject to
change. Please refer to pages 4 through 14 for a list and percentage breakdown
of the fund's holdings.
The commentary provided is as of July 20, 2004 and is subject to change based on
the market and other conditions. The views expressed are those of the portfolio
manager and are not intended to be a forecast of future events, a guarantee of
future results or investment advice. These views may differ from those of other
portfolio managers or the firm as a whole.
(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) Gross domestic product is a market value of goods and services produced by
labor and property in a given country.
(iv) Source: Bureau of Economic Analysis, U.S. Department of Commerce, June 25,
2004.
(v) The Russell 3000 Value Index measures the performance of those Russell 3000
Index companies with lower price-to-book ratios and lower forecasted growth
values. (A price-to-book ratio is the price of a stock compared to the
difference between a company's assets and liabilities.)
(vi) The Russell 1000 Value Index measures the performance of those Russell 1000
Index companies with lower price-to-book ratios and lower forecasted growth
rates.
(vii) The S&P 500 Index is a market capitalization-weighted index of 500 widely
held common stocks.
3
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SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
EQUITY INCOME PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
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COMMON STOCK -- 96.9%
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CONSUMER DISCRETIONARY -- 9.9%
AUTOMOBILES -- 0.4%
40,600 Ford Motor Co. ............................................. $ 635,390
23,500 Nissan Motor Co., Ltd., Sponsored ADR....................... 525,695
- --------------------------------------------------------------------------------------------------
1,161,085
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HOTELS, RESTAURANTS & LEISURE -- 0.7%
73,400 Hilton Hotels Corp. ........................................ 1,369,644
16,100 Marriott International, Inc., Class A Shares................ 803,068
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2,172,712
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INTERNET & CATALOG RETAIL -- 2.0%
217,333 InterActiveCorp+............................................ 6,550,417
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MEDIA -- 5.8%
44,700 Belo Corp., Class A Shares.................................. 1,200,195
11,300 The DIRECTV Group, Inc.+.................................... 193,230
9,500 The McGraw Hill Cos., Inc. ................................. 727,415
199,000 The News Corp. Ltd., Sponsored ADR.......................... 7,048,580
44,100 Omnicom Group Inc. ......................................... 3,346,749
121,100 Viacom Inc., Class B Shares................................. 4,325,692
700 Washington Post Co., Class B Shares......................... 651,007
43,400 XM Satellite Radio Holdings Inc., Class A Shares+........... 1,184,386
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18,677,254
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MULTI-LINE RETAIL -- 0.8%
64,400 J.C. Penney Co., Inc. ...................................... 2,431,744
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TEXTILES & APPAREL -- 0.2%
18,100 Polo Ralph Lauren Corp. .................................... 623,545
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TOTAL CONSUMER DISCRETIONARY................................ 31,616,757
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CONSUMER STAPLES -- 5.7%
BEVERAGES -- 0.3%
20,400 The Coca-Cola Co. .......................................... 1,029,792
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FOOD & DRUG RETAILING -- 1.5%
57,700 Albertson's, Inc. .......................................... 1,531,358
127,600 Safeway Inc.+............................................... 3,233,384
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4,764,742
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FOOD PRODUCTS -- 1.0%
91,900 McCormick & Co., Inc. ...................................... 3,124,600
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HOUSEHOLD PRODUCTS -- 1.4%
51,800 Colgate-Palmolive Co. ...................................... 3,027,710
4,200 Kimberly-Clark Corp. ....................................... 276,696
24,200 The Procter & Gamble Co. ................................... 1,317,448
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4,621,854
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
4
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INCOME PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 1.2%
17,200 The Estee Lauder Cos, Inc. ................................. $ 839,016
73,900 The Gillette Co. ........................................... 3,133,360
- --------------------------------------------------------------------------------------------------
3,972,376
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TOBACCO -- 0.3%
16,200 Altria Group, Inc. ......................................... 810,810
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TOTAL CONSUMER STAPLES...................................... 18,324,174
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ENERGY -- 14.1%
ENERGY EQUIPMENT & SERVICES -- 1.7%
75,300 ENSCO International Inc. ................................... 2,191,230
9,400 Rowan Cos., Inc.+........................................... 228,702
6,600 Smith International, Inc.+.................................. 368,016
56,160 Weatherford International Ltd.+............................. 2,526,077
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5,314,025
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OIL & GAS -- 12.4%
24,800 Ashland Inc. ............................................... 1,309,688
95,500 BP PLC, Sponsored ADR....................................... 5,115,935
469,400 Burlington Resources, Inc. ................................. 16,982,892
363,610 Exxon Mobil Corp. .......................................... 16,147,920
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39,556,435
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TOTAL ENERGY................................................ 44,870,460
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FINANCIALS -- 25.1%
BANKS -- 8.4%
109,500 Bank of America Corp. ...................................... 9,265,890
26,600 The Bank of New York Co., Inc. ............................. 784,168
75,400 Bank One Corp. ............................................. 3,845,400
28,900 Fifth Third Bancorp......................................... 1,554,242
15,354 Northern Trust Corp. ....................................... 649,167
99,348 Wachovia Corp. ............................................. 4,420,986
113,850 Wells Fargo & Co. .......................................... 6,515,636
- --------------------------------------------------------------------------------------------------
27,035,489
- --------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 11.6%
25,300 Allied Capital Corp. ....................................... 617,826
26,700 American Express Co. ....................................... 1,371,846
1,403,440 The Charles Schwab Corp. ................................... 13,487,058
140,700 Fannie Mae.................................................. 10,040,352
99,800 J.P. Morgan Chase & Co. .................................... 3,869,246
85,800 Morgan Stanley.............................................. 4,527,666
76,100 SLM Corp. .................................................. 3,078,245
- --------------------------------------------------------------------------------------------------
36,992,239
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INCOME PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
INSURANCE -- 4.9%
19,900 AFLAC, Inc. ................................................ $ 812,119
197,700 American International Group, Inc. ......................... 14,092,056
7,800 The Chubb Corp. ............................................ 531,804
7,100 Scottish Re Group Ltd. ..................................... 165,075
- --------------------------------------------------------------------------------------------------
15,601,054
- --------------------------------------------------------------------------------------------------
REAL ESTATE -- 0.2%
3,100 Apartment Investment & Management Co., Class A Shares....... 96,503
8,800 Capital Automotive REIT..................................... 258,104
3,400 CenterPoint Properties Trust................................ 260,950
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615,557
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TOTAL FINANCIALS............................................ 80,244,339
- --------------------------------------------------------------------------------------------------
HEALTHCARE -- 6.3%
HEALTHCARE EQUIPMENT & SUPPLIES -- 0.9%
60,700 Medtronic, Inc. ............................................ 2,957,304
- --------------------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS & SERVICES -- 1.6%
11,400 Cardinal Health, Inc. ...................................... 798,570
36,700 McKesson Corp. ............................................. 1,259,911
102,100 Tenet Healthcare Corp.+..................................... 1,369,161
27,300 UnitedHealth Group Inc. .................................... 1,699,425
- --------------------------------------------------------------------------------------------------
5,127,067
- --------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 3.8%
5,400 Bristol-Myers Squibb Co. ................................... 132,300
6,700 Johnson & Johnson........................................... 373,190
52,700 Merck & Co. Inc. ........................................... 2,503,250
230,930 Pfizer Inc. ................................................ 7,916,280
30,100 Wyeth....................................................... 1,088,416
- --------------------------------------------------------------------------------------------------
12,013,436
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TOTAL HEALTHCARE............................................ 20,097,807
- --------------------------------------------------------------------------------------------------
INDUSTRIALS -- 13.5%
AEROSPACE & DEFENSE -- 2.6%
196,900 Goodrich Corp. ............................................. 6,365,777
10,155 Lockheed Martin Corp. ...................................... 528,872
26,200 Precision Castparts Corp. .................................. 1,432,878
- --------------------------------------------------------------------------------------------------
8,327,527
- --------------------------------------------------------------------------------------------------
AIRLINES -- 0.0%
35 Continental Airlines Inc.+.................................. 398
- --------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES -- 0.6%
54,900 R.R. Donnelley & Sons Co. .................................. 1,812,798
- --------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 3.5%
8,400 3M Co. ..................................................... 756,084
207,400 General Electric Co. ....................................... 6,719,760
97,500 Honeywell International Inc. ............................... 3,571,425
- --------------------------------------------------------------------------------------------------
11,047,269
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INCOME PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
MACHINERY -- 4.0%
24,600 Caterpillar Inc. ........................................... $ 1,954,224
25,500 Deere & Co. ................................................ 1,788,570
210,700 Dover Corp. ................................................ 8,870,470
8,300 Pall Corp. ................................................. 217,377
- --------------------------------------------------------------------------------------------------
12,830,641
- --------------------------------------------------------------------------------------------------
ROAD & RAIL -- 2.8%
22,540 Landstar System, Inc.+...................................... 1,191,690
274,700 Norfolk Southern Corp. ..................................... 7,285,044
23,630 Werner Enterprises, Inc. ................................... 498,593
- --------------------------------------------------------------------------------------------------
8,975,327
- --------------------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 42,993,960
- --------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 8.4%
COMMUNICATIONS EQUIPMENT -- 0.1%
10,600 Nokia Oyj, Sponsored ADR.................................... 154,124
- --------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS -- 5.2%
24,700 Apple Computer, Inc.+....................................... 803,738
23,200 EMC Corp.+.................................................. 264,480
174,700 International Business Machines Corp. ...................... 15,399,805
- --------------------------------------------------------------------------------------------------
16,468,023
- --------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.6%
38,900 Diebold, Inc. .............................................. 2,056,643
- --------------------------------------------------------------------------------------------------
SOFTWARE -- 2.5%
269,500 Microsoft Corp. ............................................ 7,696,920
2,100 Salesforce.com, Inc.+....................................... 33,747
12,300 Take-Two Interactive Software, Inc.+........................ 376,872
- --------------------------------------------------------------------------------------------------
8,107,539
- --------------------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 26,786,329
- --------------------------------------------------------------------------------------------------
MATERIALS -- 5.0%
CHEMICALS -- 3.5%
83,200 Air Products & Chemicals, Inc. ............................. 4,363,840
99,100 Eastman Chemical Co. ....................................... 4,581,393
40,700 FMC Corp.+.................................................. 1,754,577
22,800 Lyondell Chemical Co. ...................................... 396,492
- --------------------------------------------------------------------------------------------------
11,096,302
- --------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING -- 0.6%
94,961 Smurfit-Stone Container Corp.+.............................. 1,894,472
- --------------------------------------------------------------------------------------------------
METALS & MINING -- 0.9%
37,800 Alcoa Inc. ................................................. 1,248,534
25,100 International Steel Group, Inc.+............................ 746,725
11,400 Nucor Corp. ................................................ 875,064
- --------------------------------------------------------------------------------------------------
2,870,323
- --------------------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 15,861,097
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INCOME PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 7.6%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 7.6%
233,000 SBC Communications Inc. .................................... $ 5,650,250
197,600 Sprint Corp., Series 1 FON Shares........................... 3,477,760
421,800 Verizon Communications Inc. ................................ 15,264,942
- --------------------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 24,392,952
- --------------------------------------------------------------------------------------------------
UTILITIES -- 1.3%
ELECTRIC UTILITIES -- 1.3%
42,800 American Electric Power Co., Inc. .......................... 1,369,600
49,500 Entergy Corp. .............................................. 2,772,495
- --------------------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 4,142,095
- --------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $294,522,130)................... 309,329,970
- --------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK -- 0.2%
- --------------------------------------------------------------------------------------------------
OFFICE AUTOMATION & EQUIPMENT -- 0.2%
4,400 Xerox Corp., 6.250% (Cost -- $572,132)...................... 582,560
- --------------------------------------------------------------------------------------------------
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.9%
$9,215,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due
7/1/04; Proceeds at maturity -- $9,215,294; (Fully
collateralized by Federal Home Loan Bank Notes, 2.080% due
6/30/06; Market value -- $9,400,050)
(Cost -- $9,215,000)...................................... 9,215,000
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $304,309,262*)......... $319,127,530
- --------------------------------------------------------------------------------------------------
</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
SEE NOTES TO FINANCIAL STATEMENTS.
8
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
LARGE CAP PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMMON STOCK -- 96.9%
- ---------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 16.3%
HOTELS, RESTAURANTS & LEISURE -- 0.7%
156,551 Hilton Group PLC............................................ $ 783,320
180,421 Rank Group PLC.............................................. 981,256
- ---------------------------------------------------------------------------------------
1,764,576
- ---------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.3%
25,141 Garmin Ltd. ................................................ 931,223
- ---------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL -- 1.0%
22,500 Amazon.com, Inc.+........................................... 1,224,000
14,100 eBay Inc.+.................................................. 1,296,495
- ---------------------------------------------------------------------------------------
2,520,495
- ---------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS -- 0.3%
58,500 Konica Minolta Holdings, Inc. .............................. 805,716
- ---------------------------------------------------------------------------------------
MEDIA -- 8.4%
16,348 Antena 3 de Television SA+.................................. 866,237
29,100 Belo Corp., Class A Shares.................................. 781,335
19,124 British Sky Broadcasting PLC, Sponsored ADR+................ 870,333
53,650 Citadel Broadcasting Co.+................................... 781,680
36,900 Comcast Corp., Special Class A Shares+...................... 1,018,809
3,400 Dow Jones & Co., Inc. ...................................... 153,340
18,600 The News Corp. Ltd., Sponsored ADR.......................... 658,812
13,900 Pixar, Inc.+................................................ 966,189
343,800 Time Warner Inc.+........................................... 6,044,004
40,980 Tribune Co. ................................................ 1,866,229
36,100 Univision Communications Inc., Class A Shares+.............. 1,152,673
56,231 Viacom Inc., Class B Shares................................. 2,008,571
37,500 Vivendi Universal SA, Sponsored ADR......................... 1,046,250
157,200 The Walt Disney Co. ........................................ 4,007,028
- ---------------------------------------------------------------------------------------
22,221,490
- ---------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 1.9%
97,000 Wal-Mart Stores, Inc. ...................................... 5,117,720
- ---------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 2.4%
84,800 The Gap, Inc. .............................................. 2,056,400
93,300 The Home Depot, Inc. ....................................... 3,284,160
23,800 The Sherwin-Williams Co. ................................... 988,890
- ---------------------------------------------------------------------------------------
6,329,450
- ---------------------------------------------------------------------------------------
TEXTILES & APPAREL -- 1.3%
25,300 NIKE Inc., Class B Shares................................... 1,916,475
40,900 Polo Ralph Lauren Corp. .................................... 1,409,005
- ---------------------------------------------------------------------------------------
3,325,480
- ---------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 43,016,150
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
LARGE CAP PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
CONSUMER STAPLES -- 6.8%
BEVERAGES -- 1.8%
61,700 The Coca-Cola Co. .......................................... $ 3,114,616
32,700 PepsiCo, Inc. .............................................. 1,761,876
- ---------------------------------------------------------------------------------------
4,876,492
- ---------------------------------------------------------------------------------------
FOOD & DRUG RETAILING -- 0.7%
71,800 Safeway Inc.+............................................... 1,819,412
- ---------------------------------------------------------------------------------------
FOOD PRODUCTS -- 0.7%
41,500 Kellogg Co. ................................................ 1,736,775
- ---------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 1.3%
19,900 Colgate-Palmolive Co. ...................................... 1,163,155
39,600 The Procter & Gamble Co. ................................... 2,155,824
- ---------------------------------------------------------------------------------------
3,318,979
- ---------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 2.1%
56,550 Alberto-Culver Co., Class B Shares.......................... 2,835,417
65,100 The Gillette Co. ........................................... 2,760,240
- ---------------------------------------------------------------------------------------
5,595,657
- ---------------------------------------------------------------------------------------
TOBACCO -- 0.2%
8,800 Altria Group, Inc. ......................................... 440,440
- ---------------------------------------------------------------------------------------
TOTAL CONSUMER STAPLES...................................... 17,787,755
- ---------------------------------------------------------------------------------------
ENERGY -- 5.6%
ENERGY EQUIPMENT & SERVICES -- 2.1%
18,500 Baker Hughes Inc. .......................................... 696,525
15,600 Nabors Industries, Ltd.+.................................... 705,432
31,900 Rowan Cos., Inc.+........................................... 776,127
53,100 Schlumberger Ltd. .......................................... 3,372,381
- ---------------------------------------------------------------------------------------
5,550,465
- ---------------------------------------------------------------------------------------
OIL & GAS -- 3.5%
28,200 ChevronTexaco Corp. ........................................ 2,653,902
87,400 Exxon Mobil Corp. .......................................... 3,881,434
21,800 Valero Energy Corp. ........................................ 1,607,968
38,075 XTO Energy, Inc. ........................................... 1,134,254
- ---------------------------------------------------------------------------------------
9,277,558
- ---------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 14,828,023
- ---------------------------------------------------------------------------------------
FINANCIALS -- 12.4%
BANKS -- 3.8%
29,700 Bank of America Corp. ...................................... 2,513,214
65,300 The Bank of New York Co., Inc. ............................. 1,925,044
75,300 Bank One Corp. ............................................. 3,840,300
31,600 Wells Fargo & Co. .......................................... 1,808,468
- ---------------------------------------------------------------------------------------
10,087,026
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
LARGE CAP PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.5%
77,100 American Express Co. ....................................... $ 3,961,398
47,600 Ameritrade Holding Corp.+................................... 540,260
69,100 The Charles Schwab Corp. ................................... 664,051
14,655 Deutsche Boerse AG.......................................... 745,647
65,900 Knight Trading Group, Inc.+................................. 660,318
9,000 Legg Mason, Inc. ........................................... 819,090
73,300 MBNA Corp. ................................................. 1,890,407
83,900 Morgan Stanley.............................................. 4,427,403
3,590 SFCG Co., Ltd. ............................................. 719,018
- ---------------------------------------------------------------------------------------
14,427,592
- ---------------------------------------------------------------------------------------
INSURANCE -- 3.1%
13,200 Ambac Financial Group, Inc. ................................ 969,408
89,450 American International Group, Inc. ......................... 6,375,996
13,000 The Hartford Financial Services Group, Inc. ................ 893,620
- ---------------------------------------------------------------------------------------
8,239,024
- ---------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 32,753,642
- ---------------------------------------------------------------------------------------
HEALTHCARE -- 16.2%
BIOTECHNOLOGY -- 2.0%
31,600 Cephalon, Inc.+............................................. 1,706,400
18,100 Gilead Sciences, Inc.+...................................... 1,212,700
33,300 MedImmune, Inc.+............................................ 779,220
61,600 Millennium Pharmaceuticals, Inc.+........................... 850,080
43,120 Protein Design Labs, Inc.+.................................. 824,886
- ---------------------------------------------------------------------------------------
5,373,286
- ---------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT & SUPPLIES -- 2.9%
45,300 Baxter International, Inc. ................................. 1,563,303
41,300 Boston Scientific Corp.+.................................... 1,767,640
54,100 Medtronic, Inc. ............................................ 2,635,752
32,600 Stryker Corp. .............................................. 1,793,000
- ---------------------------------------------------------------------------------------
7,759,695
- ---------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS & SERVICES -- 0.4%
16,200 UnitedHealth Group Inc. .................................... 1,008,450
- ---------------------------------------------------------------------------------------
PHARMACEUTICALS -- 10.9%
23,200 Allergan, Inc. ............................................. 2,076,864
46,900 AstraZeneca PLC, Sponsored ADR.............................. 2,140,516
65,200 Bristol-Myers Squibb Co. ................................... 1,597,400
43,700 Eli Lilly and Co. .......................................... 3,055,067
30,000 Forest Laboratories, Inc.+.................................. 1,698,900
48,300 Johnson & Johnson........................................... 2,690,310
21,200 Medicis Pharmaceutical Corp., Class A Shares................ 846,940
103,180 Merck & Co. Inc. ........................................... 4,901,050
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
LARGE CAP PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
PHARMACEUTICALS -- 10.9% (CONTINUED)
214,360 Pfizer Inc. ................................................ $ 7,348,261
23,507 Roche Holding AG............................................ 2,328,355
- ---------------------------------------------------------------------------------------
28,683,663
- ---------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 42,825,094
- ---------------------------------------------------------------------------------------
INDUSTRIALS -- 11.9%
AEROSPACE & DEFENSE -- 1.0%
31,800 The Boeing Co. ............................................. 1,624,662
20,100 Precision Castparts Corp. .................................. 1,099,269
- ---------------------------------------------------------------------------------------
2,723,931
- ---------------------------------------------------------------------------------------
AIRLINES -- 0.5%
75,500 Southwest Airlines Co. ..................................... 1,266,135
- ---------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 0.8%
51,000 American Standard Cos. Inc.+................................ 2,055,810
- ---------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES -- 0.2%
13,000 DST Systems, Inc.+.......................................... 625,170
- ---------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 7.0%
32,500 3M Co. ..................................................... 2,925,325
236,000 General Electric Co. ....................................... 7,646,400
81,000 Honeywell International Inc. ............................... 2,967,030
145,900 Tyco International Ltd. .................................... 4,835,126
- ---------------------------------------------------------------------------------------
18,373,881
- ---------------------------------------------------------------------------------------
MACHINERY -- 2.0%
48,900 Caterpillar Inc. ........................................... 3,884,616
48,625 Graco Inc. ................................................. 1,509,806
- ---------------------------------------------------------------------------------------
5,394,422
- ---------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS -- 0.4%
17,900 W.W. Grainger, Inc. ........................................ 1,029,250
- ---------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 31,468,599
- ---------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 23.4%
COMMUNICATIONS EQUIPMENT -- 4.1%
3,600 CIENA Corp.+................................................ 13,392
303,861 Cisco Systems, Inc.+........................................ 7,201,506
45,900 Juniper Networks, Inc.+..................................... 1,127,763
89,800 Motorola, Inc. ............................................. 1,638,850
29,400 UTStarcom, Inc.+............................................ 889,350
- ---------------------------------------------------------------------------------------
10,870,861
- ---------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS -- 4.9%
71,400 Apple Computer, Inc.+....................................... 2,323,356
148,200 Dell Inc.+.................................................. 5,308,524
156,200 EMC Corp.+.................................................. 1,780,680
25,900 International Business Machines Corp. ...................... 2,283,085
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
LARGE CAP PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS -- 4.9% (CONTINUED)
22,400 Storage Technology Corp.+................................... $ 649,600
167,000 Toshiba Corp. .............................................. 670,474
- ---------------------------------------------------------------------------------------
13,015,719
- ---------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 1.2%
5,300 Molex Inc. ................................................. 170,024
174,400 Solectron Corp.+............................................ 1,128,368
39,600 Thermo Electron Corp.+...................................... 1,217,304
32,400 Vishay Intertechnology, Inc.+............................... 601,992
- ---------------------------------------------------------------------------------------
3,117,688
- ---------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES -- 1.9%
102,786 CNET Networks, Inc.+........................................ 1,137,841
109,200 Yahoo! Inc.+................................................ 3,967,236
- ---------------------------------------------------------------------------------------
5,105,077
- ---------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 6.2%
51,400 Altera Corp.+............................................... 1,142,108
61,000 Analog Devices, Inc.+....................................... 2,871,880
50,800 Applied Materials, Inc.+.................................... 996,696
203,600 Intel Corp. ................................................ 5,619,360
12,300 KLA-Tencor Corp.+........................................... 607,374
58,800 Marvell Technology Group Ltd.+.............................. 1,569,960
115,700 Texas Instruments Inc. ..................................... 2,797,626
12,500 Tokyo Electron Ltd. ........................................ 699,620
- ---------------------------------------------------------------------------------------
16,304,624
- ---------------------------------------------------------------------------------------
SOFTWARE -- 5.1%
25,000 Amdocs Ltd.+................................................ 585,750
45,850 Ascential Software Corp.+................................... 733,142
363,700 Microsoft Corp.............................................. 10,387,272
144,400 Oracle Corp.+............................................... 1,722,692
- ---------------------------------------------------------------------------------------
13,428,856
- ---------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 61,842,825
- ---------------------------------------------------------------------------------------
MATERIALS -- 1.2%
CHEMICALS -- 0.9%
63,600 Monsanto Co. ............................................... 2,448,600
- ---------------------------------------------------------------------------------------
METALS & MINING -- 0.3%
20,800 Newmont Mining Corp. ....................................... 806,208
- ---------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 3,254,808
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
LARGE CAP PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 3.1%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.0%
28,100 PT Indonesian Satellite Corp. ADR........................... $ 595,720
42,900 PT Telekomunikasi Indonesia, Sponsored ADR.................. 667,095
50,800 SBC Communications Inc. .................................... 1,231,900
75,300 Verizon Communications Inc. ................................ 2,725,107
- ---------------------------------------------------------------------------------------
5,219,822
- ---------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.1%
70,000 Nextel Communications, Inc., Class A Shares+................ 1,866,200
74,300 Nextel Partners, Inc.+...................................... 1,182,856
- ---------------------------------------------------------------------------------------
3,049,056
- ---------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 8,268,878
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $242,709,766)................... 256,045,774
- ---------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.1%
$8,306,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due
7/1/04; Proceeds at maturity -- $8,306,265; (Fully
collateralized by Fannie Mae Bonds, 6.250% due 5/15/29;
Market value -- $8,472,150) (Cost -- $8,306,000).......... 8,306,000
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $251,015,766*)......... $264,351,774
- ---------------------------------------------------------------------------------------
</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
SEE NOTES TO FINANCIAL STATEMENTS.
14
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
<Table>
<Caption>
EQUITY INCOME LARGE CAP
PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost...................................... $304,309,262 $251,015,766
Foreign currency, at cost................................. 664 58,308
- ------------------------------------------------------------------------------------------
Investments, at value..................................... $319,127,530 $264,351,774
Foreign currency, at value................................ 649 58,842
Cash...................................................... 59 835
Receivable for securities sold............................ 1,680,072 318,066
Dividends and interest receivable......................... 309,550 188,943
Receivable for Fund shares sold........................... 106,552 20,463
Other receivables......................................... 28,918 14,225
- ------------------------------------------------------------------------------------------
TOTAL ASSETS.............................................. 321,253,330 264,953,148
- ------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased.......................... 1,212,578 93,605
Investment advisory fees payable.......................... 193,301 160,573
Payable for Fund shares reacquired........................ 115,431 643,953
Administration fees payable............................... 15,508 12,842
Accrued expenses.......................................... 47,652 37,453
- ------------------------------------------------------------------------------------------
TOTAL LIABILITIES......................................... 1,584,470 948,426
- ------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $319,668,860 $264,004,722
- ------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in capital........................................... $296,340,986 $352,401,410
Undistributed net investment income....................... 1,552,445 381,315
Accumulated net realized gain (loss) from investment
transactions............................................ 6,957,176 (102,115,675)
Net unrealized appreciation of investments and foreign
currencies.............................................. 14,818,253 13,337,672
- ------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $319,668,860 $264,004,722
- ------------------------------------------------------------------------------------------
SHARES OUTSTANDING.......................................... 19,617,462 19,522,398
- ------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE.................................. $16.30 $13.52
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
<Table>
<Caption>
EQUITY INCOME LARGE CAP
PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest.................................................. $ 50,484 $ 37,336
Dividends................................................. 2,673,589 1,355,962
Less: Foreign withholding tax............................. (3,753) (8,828)
- ----------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................... 2,720,320 1,384,470
- ----------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees (Note 2)......................... 1,154,812 891,592
Administration fees (Note 2).............................. 92,384 71,328
Custody................................................... 44,758 21,236
Audit and legal........................................... 20,451 21,664
Shareholder communications................................ 13,958 11,934
Trustees' fees............................................ 3,500 3,500
Transfer agency services.................................. 2,083 2,501
Other..................................................... 871 886
- ----------------------------------------------------------------------------------------
TOTAL EXPENSES............................................ 1,332,817 1,024,641
Less: Expense reimbursement (Note 7)...................... (66,888) (27,388)
- ----------------------------------------------------------------------------------------
NET EXPENSES.............................................. 1,265,929 997,253
- ----------------------------------------------------------------------------------------
NET INVESTMENT INCOME....................................... 1,454,391 387,217
- ----------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCIES (NOTES 3 AND 5):
Realized Gain (Loss) From:
Investment transactions................................. 7,893,261 7,399,451
Foreign currency transactions........................... (46) (2,025)
- ----------------------------------------------------------------------------------------
NET REALIZED GAIN......................................... 7,893,215 7,397,426
- ----------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) From:
Investments............................................. (7,811,537) (438,929)
Foreign currencies...................................... (24) 261
- ----------------------------------------------------------------------------------------
DECREASE IN NET UNREALIZED APPRECIATION................... (7,811,561) (438,668)
- ----------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES.............. 81,654 6,958,758
- ----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS...................... $ 1,536,045 $7,345,975
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
AND THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
EQUITY INCOME PORTFOLIO 2004 2003
- -----------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 1,454,391 $ 2,542,748
Net realized gain......................................... 7,893,215 21,027,902
Increase (decrease) in net unrealized appreciation........ (7,811,561) 41,407,182
- -----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 1,536,045 64,977,832
- -----------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (109,303) (2,393,549)
Net realized gains........................................ (7,091,255) --
- -----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS............................................ (7,200,558) (2,393,549)
- -----------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 6):
Net proceeds from sale of shares.......................... 28,155,630 54,800,464
Net asset value of shares issued for reinvestment of
dividends............................................... 7,200,558 2,393,549
Cost of shares reacquired................................. (7,516,642) (13,294,129)
- -----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... 27,839,546 43,899,884
- -----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 22,175,033 106,484,167
NET ASSETS:
Beginning of period....................................... 297,493,827 191,009,660
- -----------------------------------------------------------------------------------------
END OF PERIOD*............................................ $319,668,860 $297,493,827
- -----------------------------------------------------------------------------------------
* Includes undistributed net investment income of: ......... $1,552,445 $207,403
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
- --------------------------------------------------------------------------------
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>
LARGE CAP PORTFOLIO 2004 2003
- -----------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 387,217 $ 847,060
Net realized gain (loss).................................. 7,397,426 (4,096,983)
Increase (decrease) in net unrealized appreciation........ (438,668) 47,412,211
- -----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 7,345,975 44,162,288
- -----------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (43,079) (808,832)
- -----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS............................................ (43,079) (808,832)
- -----------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 6):
Net proceeds from sale of shares.......................... 41,806,043 25,978,086
Net asset value of shares issued for reinvestment of
dividends............................................... 43,079 808,832
Cost of shares reacquired................................. (12,946,941) (22,203,616)
- -----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... 28,902,181 4,583,302
- -----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 36,205,077 47,936,758
NET ASSETS:
Beginning of period....................................... 227,799,645 179,862,887
- -----------------------------------------------------------------------------------------
END OF PERIOD*............................................ $264,004,722 $227,799,645
- -----------------------------------------------------------------------------------------
* Includes undistributed net investment income of: ......... $381,315 $39,202
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Equity Income and Large Cap Portfolios ("Fund(s)") are separate
investment funds of The Travelers Series Trust ("Trust"). The Trust is a
Massachusetts business trust registered under the Investment Company Act of
1940, as amended, as a diversified, open-end management investment company and
consists of these Funds and fourteen other separate investment funds: Travelers
Quality Bond, Lazard International Stock, MFS Emerging Growth, Federated High
Yield, Federated Stock, Disciplined Mid Cap Stock, U.S. Government Securities,
Social Awareness Stock, Pioneer Fund, Convertible Securities, MFS Mid Cap
Growth, Merrill Lynch Large Cap Core, Zero Coupon Bond Fund (Series 2005) and
MFS Value Portfolios. The financial statements and financial highlights for the
other funds are presented in separate shareholder reports. 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 affiliated life insurance companies.
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
price on such markets or, if there were no sales during the day, at the mean
between the closing bid and asked prices; securities primarily traded on foreign
exchanges are generally valued at the closing values of such securities on their
respective exchanges, except that when a significant occurrence exists
subsequent to the time a value was so established and it 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; 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;
securities traded in the over-the-counter market are valued at prices based on
market quotations for securities of similar type; U.S. government agencies and
obligations are valued at the mean between the last reported bid and asked
prices; (c) securities maturing within 60 days are valued at cost plus accreted
discount or minus amortized premium, which approximates value; (d) securities,
other than U.S. government agencies, that have a maturity of 60 days or more are
valued at prices based on market quotations for securities of similar type,
yield and maturity; (e) interest income, adjusted for amortization of premium
and accretion of discount, is recorded on an accrual basis and dividend income
is recorded on the ex-dividend date; foreign dividends are recorded on the
ex-dividend date or as soon as practical after the Fund determines the existence
of a dividend declaration after exercising reasonable due diligence; (f) gains
or losses on the sale of securities are calculated by using the specific
identification method; (g) dividends and distributions to shareholders are
recorded on the ex-dividend date; the Funds distribute dividends and capital
gains, if any, at least annually; (h) the accounting records of the Funds are
maintained in U.S. dollars. All assets and liabilities denominated in foreign
currencies are translated into U.S. dollars based on the rate of exchange of
such currencies against U.S. dollars on the date of valuation. Purchases and
sales of securities, income and expenses are translated at the rate of exchange
quoted on the respective date that such transactions are recorded. Differences
between income or expense amounts recorded and collected or paid are adjusted
when reported by the custodian bank; (i) the character of income and gains to be
distributed is determined in accordance with income tax regulations which may
differ from GAAP; (j) the Funds intend to comply with the 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 (k) estimates and
assumptions are required to be made regarding assets, liabilities and changes in
net assets resulting from operations when financial statements are prepared.
Changes in the economic environment, financial markets and any other parameters
used in determining these estimates could cause actual results to differ.
In addition, the Equity Income and Large Cap Portfolios may enter into
forward exchange contracts in order to hedge against foreign currency risk.
These contracts are marked to market daily, by recognizing the difference
between the contract exchange rate and the current forward rate as an unrealized
gain or loss. Realized gains or losses are recognized when the contracts are
settled or offset by entering into another forward exchange contract.
2. MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS
Travelers Asset Management International Company LLC ("TAMIC"), an indirect
wholly owned subsidiary of Citigroup, Inc. provides the funds with investment
management related services. For these services TAMIC receives an investment
advisory fee that is calculated at the annual rate of 0.75% of each Fund's
respective average daily net assets. These fees are calculated daily and paid
monthly. TAMIC has entered into a sub-advisory agreement with Fidelity
Management & Research Company ("FMR"). Pursuant to the sub-advisory agreement
FMR is responsible for the day-
19
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
to-day fund operations and investment decisions. For its services as each Fund's
sub-adviser, FMR is paid a portion of TAMIC's management fee that is computed at
an annual rate of 0.45% of each Fund's respective average daily net assets.
The Travelers Insurance Company ("TIC"), another wholly-owned subsidiary of
Citigroup, acts as administrator to the Funds. The Funds pay TIC an
administration fee calculated at an annual rate of 0.06% of each respective
Fund's average daily net assets. The fee is calculated daily and paid monthly.
TIC has entered into a sub-administration service agreement with Smith Barney
Fund Management LLC ("SBFM"), another indirect wholly-owned subsidiary of
Citigroup. TIC pays SBFM, as sub-administrator, a fee calculated at an annual
rate of 0.02% of the respective average daily net assets of each Fund, plus
$30,000 per Fund, subject to a maximum of 0.06% of each Fund's respective
average daily net assets. Previously, Fidelity Service Company, Inc., an
affiliate of FMR, maintained each Fund's accounting records.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as
the Funds' transfer agent. CTB receives account fees and asset-based fees that
vary according to the size and type of account. For the six months ended June
30, 2004, each Fund paid transfer agent fees of $2,500 to CTB.
For the six months ended June 30, 2004, Citigroup Global Markets Inc.,
another indirect wholly-owned subsidiary of Citigroup, or its affiliates
received brokerage commissions of $168 for Large Cap Portfolio.
One Trustee and all officers of the Trust are employees of Citigroup or its
subsidiaries.
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
- ------------------------------------------------------------------------------------------
Equity Income Portfolio..................................... $194,084,853 $179,835,572
Large Cap Portfolio......................................... 94,446,875 67,565,341
- ------------------------------------------------------------------------------------------
</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
- --------------------------------------------------------------------------------------------------------
Equity Income Portfolio..................................... $25,905,152 $(11,086,884) $14,818,268
Large Cap Portfolio......................................... 26,806,726 (13,470,718) 13,336,008
- --------------------------------------------------------------------------------------------------------
</Table>
4. 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.
5. FORWARD FOREIGN CURRENCY CONTRACTS
The Funds may enter into forward foreign currency contracts. A forward
foreign currency contract is an agreement between two parties to buy and sell a
currency at a set price on a future date. The contract is marked-to-market daily
and the change in value is recorded by the Fund as an unrealized gain or loss.
When a forward foreign currency contract is extinguished, through either
delivery or offset by entering into another forward foreign currency contract,
the Fund records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value of the contract at
the time it was extinguished or offset. The Fund bears the market risk that
arises from changes in foreign currency exchange rates and the credit risk
should a counterparty be unable to meet the terms of such contracts.
At June 30, 2004, Equity Income Portfolio and Large Cap Portfolio did not
have any open forward foreign currency contracts.
20
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
6. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of beneficial interest without par value. Transactions in shares of each
Fund were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
- --------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
Shares sold................................................. 1,693,572 3,752,047
Shares issued on reinvestment............................... 443,931 144,451
Shares reacquired........................................... (454,275) (944,979)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 1,683,228 2,951,519
- --------------------------------------------------------------------------------------------------
LARGE CAP PORTFOLIO
Shares sold................................................. 3,206,919 2,190,153
Shares issued on reinvestment............................... 3,208 61,461
Shares reacquired........................................... (966,204) (1,928,969)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 2,243,923 322,645
- --------------------------------------------------------------------------------------------------
</Table>
7. EXPENSE REDUCTIONS
Many of the brokers with whom FMR places trades on behalf of certain funds
provided services to these funds in addition to trade execution. These services
included payments of expenses on behalf of each applicable fund. For the six
months ended June 30, 2004, all of the applicable expense reductions are noted
in the table below.
<Table>
<Caption>
BROKERAGE
SERVICE
ARRANGEMENTS
- --------------------------------------------------------------------------
Equity Income Portfolio..................................... $66,888
Large Cap Portfolio......................................... 27,388
- --------------------------------------------------------------------------
</Table>
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>
- ------------------------------------------------------------------
Equity Income Portfolio..................................... $111
Large Cap Portfolio......................................... 111
- ------------------------------------------------------------------
</Table>
21
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
9. SUBSEQUENT EVENT
The Board of Trustees of the Trust, on behalf of each Fund, has approved an
amendment to the investment advisory agreement between each Fund and TAMIC and
an amendment to the sub-advisory agreement between TAMIC and FMR. Effective
September 1, 2004, the investment advisory fee and sub-advisory fee will be
revised from the annual rates of 0.75% and 0.45%, respectively, of the average
daily net assets of each Fund, to a fee calculated at the annual rates in
accordance with the following schedule:
<Table>
<Caption>
INVESTMENT SUB-ADVISORY
ADVISORY FEE FEE
- -----------------------------------------------------------------------------------------
AVERAGE DAILY NET ASSETS
First $250 million.......................................... 0.75% 0.45%
Next $500 million........................................... 0.70% 0.40%
Over $750 million........................................... 0.65% 0.35%
- -----------------------------------------------------------------------------------------
</Table>
22
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
EQUITY INCOME PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999(2)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD....... $16.59 $12.75 $14.99 $16.26 $15.05 $15.41
- -----------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income.................... 0.07 0.14 0.16 0.20 0.13 0.13
Net realized and unrealized gain
(loss)................................. 0.02 3.83 (2.25) (1.27) 1.24 0.59
- -----------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations........ 0.09 3.97 (2.09) (1.07) 1.37 0.72
- -----------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.................... (0.01) (0.13) (0.15) (0.16) (0.16) (0.12)
Net realized gains....................... (0.37) -- -- (0.04) -- (0.63)
In excess of net realized gains.......... -- -- -- -- -- (0.33)
- -----------------------------------------------------------------------------------------------------------------
Total Distributions........................ (0.38) (0.13) (0.15) (0.20) (0.16) (1.08)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD............. $16.30 $16.59 $12.75 $14.99 $16.26 $15.05
- -----------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3)............................ 0.53%++ 31.17% (13.94)% (6.61)% 9.13% 4.92%
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S).......... $319,669 $297,494 $191,010 $200,389 $170,727 $130,553
- -----------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4).............................. 0.87%+ 0.87% 0.84% 0.85% 0.87% 0.88%
Net investment income.................... 0.94+ 1.11 1.14 1.28 1.17 0.85
- -----------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.................... 60% 141% 131% 121% 151% 201%
- -----------------------------------------------------------------------------------------------------------------
</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 your variable contract
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown. Performance
figures may reflect fee waivers and/or expense reimbursements. Past
performance is no guarantee of future results. In the absence of fee waivers
and/or expense reimbursements, the total return would be reduced.
(4) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 0.95%.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
23
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
LARGE CAP PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999(2)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD... $13.18 $10.61 $13.82 $16.81 $21.11 $17.44
- -------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income................ 0.02 0.05 0.05 0.07 0.03 0.05
Net realized and unrealized gain
(loss)............................. 0.32 2.57 (3.20) (2.98) (3.05) 4.94
- -------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations.... 0.34 2.62 (3.15) (2.91) (3.02) 4.99
- -------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income................ (0.00)* (0.05) (0.06) (0.07) (0.02) (0.03)
In excess of net investment income... -- -- -- -- (0.01) --
Net realized gains................... -- -- -- (0.01) (0.94) (1.29)
In excess of net realized gains...... -- -- -- -- (0.31) --
- -------------------------------------------------------------------------------------------------------------
Total Distributions.................... (0.00)* (0.05) (0.06) (0.08) (1.28) (1.32)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD......... $13.52 $13.18 $10.61 $13.82 $16.81 $21.11
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3)........................ 2.60%++ 24.67% (22.79)% (17.33)% (14.48)% 29.24%
- -------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)...... $264,005 $227,800 $179,863 $249,292 $277,897 $202,128
- -------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4).......................... 0.86%+ 0.86% 0.85% 0.83% 0.84% 0.87%
Net investment income................ 0.33+ 0.43 0.44 0.50 0.15 0.25
- -------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE................ 29% 60% 95% 131% 96% 90%
- -------------------------------------------------------------------------------------------------------------
</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 your variable contract
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown. Performance
figures may reflect fee waivers and/or expense reimbursements. Past
performance is no guarantee of future results. In the absence of fee waivers
and/or expense reimbursements, the total return would be reduced.
(4) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 0.95%.
* Amount represents less than $0.01 per share.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
24
THE TRAVELERS SERIES TRUST
- --------------------------------------------------------------------------------
<Table>
TRUSTEES INVESTMENT ADVISER
R. Jay Gerken, CFA
Chairman Travelers Asset Management International Company LLC
Frances M. Hawk, CFA, CFP
Lewis Mandell ADMINISTRATOR
Robert E. McGill, III
The Travelers Insurance Company
OFFICERS
CUSTODIAN
R. Jay Gerken, CFA
President and State Street Bank and Trust Company
Chief Executive Officer
TRANSFER AGENT
Andrew B. Shoup
Senior Vice President and Citicorp Trust Bank, fsb.
Chief Administrative Officer
William D. Wilcox*
Chief Compliance Officer
Andrew Beagley
Chief Anti-Money Laundering
Compliance Officer
Kaprel Ozsolak
Controller
Kathleen A. McGah
Secretary
Ernest J. Wright
Assistant Secretary
- ---------------
* As of July 23, 2004.
</Table>
The Funds are separate investment funds of The Travelers Series Trust, a
Massachusetts business trust.
This report is prepared for the general information of variable annuity and life
contract owners and is not an offer of shares of The Travelers Series Trust:
Equity Income and Large Cap Portfolios. All the Funds contained in this report
may not be available under your variable annuity or life contract.
Beginning August 31, 2004, information on how the Fund voted proxies relating to
portfolio securities during the 12 month period ended June 30, 2004 will be
available (1) without charge, upon request, by calling 1-800-842-9368 and (2) on
the SEC's website at www.sec.gov.
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available without charge,
upon request, by telephoning the Fund (toll-free) at 1-800-842-9368 and by
visiting the SEC's website at www.sec.gov.
Series Trust (Semi-Annual) (8-04) Printed in U.S.A.
ITEM 2. CODE OF ETHICS.
Not Applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. [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.
The Travelers Series Trust
By: /s/ R. Jay Gerken
-----------------------
R. Jay Gerken
Chief Executive Officer of
The Travelers Series Trust
Date: September 8, 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
The Travelers Series Trust
Date: September 8, 2004
By: /s/ Andrew B. Shoup
------------------------
Andrew B. Shoup
Chief Administrative Officer of
The Travelers Series Trust
Date: September 8, 2004