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.
Greenwich Street Series Fund Semi-Annual Report
Equity Index Portfolio
Diversified Strategic Income Portfolio
Salomon Brothers Variable All Cap Value Fund
Salomon Brothers Variable Money Market Fund
Salomon Brothers Variable Aggressive Growth Fund
Salomon Brothers Variable International Equity Fund
Salomon Brothers Variable Growth & Income Fund
June 30, 2004
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
WHAT'S INSIDE
<Table>
LETTER FROM THE CHAIRMAN.................................... 1
SCHEDULES OF INVESTMENTS.................................... 6
STATEMENTS OF ASSETS AND LIABILITIES........................ 52
STATEMENTS OF OPERATIONS.................................... 54
STATEMENTS OF CHANGES IN NET ASSETS......................... 56
NOTES TO FINANCIAL STATEMENTS............................... 60
FINANCIAL HIGHLIGHTS........................................ 70
</Table>
- --------------------------------------------------------------------------------
LETTER FROM THE CHAIRMAN
[R. JAY GERKEN PHOTO]
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) 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, 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 U.S. high-yield corporate
issues outperformed Treasury bonds, higher-rated corporates underperformed
them.(ii) Yields on most money market instruments, particularly those with
longer maturities, rose during the second half of the period.
Although investor sentiment was shaky this past spring, by the end of the period
the U.S. Consumer Confidence Index(iii) 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.(iv)
Within this environment, the portfolios performed as follows:(1)
EQUITY INDEX PORTFOLIO
During the six-month period ended June 30, 2004, Class I shares returned 3.29%.
In comparison, the portfolio underperformed its benchmark, the unmanaged S&P 500
Index(v), which returned 3.44% for the same period. The portfolio outperformed
its Lipper S&P 500 Index objective variable funds category average, which was
3.22% for the same period.(2)
SPECIAL SHAREHOLDER NOTICE
Effective June 28, 2004, a team of individuals employed by the manager, the
Travelers Investment Management Company, will be responsible for the day-to-day
management of the portfolio.
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
During the six-month period ended June 30, 2004, the portfolio returned -0.18%.
In comparison, the portfolio underperformed its benchmarks, the unmanaged Lehman
Brothers U.S. Aggregate Bond Index and the Merrill Lynch
(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 NOT
INDICATIVE 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 53 funds in the Lipper S&P 500 Index objective variable funds
category including the reinvestment of dividends and capital gains, if any.
1
Blended Index, which returned 0.15% and 0.34% for the same period. The portfolio
performed in line with its Lipper general bond variable funds category average,
which was -0.03% for the same period.(3)
SPECIAL SHAREHOLDER NOTICE
Effective April 29, 2004, the portfolio changed its performance benchmark from
the Merrill Lynch Blended Index(vi) to the Lehman Brothers U.S. Aggregate
Index(vii).
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
During the six-month period ended June 30, 2004, Class I shares returned 2.92%.
In comparison, the portfolio underperformed its benchmarks, the unmanaged S&P
500 Index and the Russell 3000 Index(viii), which returned 3.44% and 3.59%,
respectively, for the same period. The portfolio also underperformed its Lipper
multi-cap value variable funds category average, which was 4.49% for the same
period.(4)
SALOMON BROTHERS VARIABLE MONEY MARKET FUND
As of June 30, 2004, both the seven-day current yield for the portfolio and its
seven-day effective yield, which reflects compounding, was 0.10%. These numbers
are the same due to rounding.
Both yields include an advisory and administration fee waiver and expense
reimbursement. This waiver and/or expense reimbursement may be reduced or
terminated at any time. In the absence of these fee waivers and/or expense
reimbursements, the seven-day current yield would have been -4.95% and the
seven-day effective yield would have been -4.83%. The seven-day effective yield
is calculated similarly to the seven-day current yield but, when annualized, the
income earned by an investment in the portfolio is assumed to be reinvested. The
effective yield typically will be slightly higher than the current yield because
of the compounding effect of the assumed reinvestment. Please note that the
performance represents past performance, which is not a guarantee of future
results and yields will vary.
SALOMON BROTHERS VARIABLE AGGRESSIVE GROWTH FUND
During the six-month period ended June 30, 2004, Class I shares returned 3.75%.
In comparison, the portfolio outperformed its benchmarks, the unmanaged NASDAQ
Composite Index and the Russell 3000 Growth Index, which returned 2.22% and
2.96%, respectively, for the same period. The portfolio underperformed its
Lipper multi-cap growth variable funds category average, which was 3.96% for the
same period.(5)
SPECIAL SHAREHOLDER NOTICE
Effective April 29, 2004, Salomon Brothers Variable Emerging Growth Fund changed
its name to Salomon Brothers Variable Aggressive Growth Fund. Richard Freeman
was elected as lead portfolio manager leading the Salomon Brothers Asset
Management Inc portfolio management team. The portfolio's performance benchmark
changed from the NASDAQ Composite Index(ix) to the Russell 3000 Growth Index(x).
SALOMON BROTHERS VARIABLE INTERNATIONAL EQUITY FUND
During the six-month period ended June 30, 2004, Class I shares returned 4.08%.
In comparison, the portfolio underperformed its benchmark, the unmanaged MSCI
EAFE Index(xi), which returned 4.56% for the same period. The portfolio
outperformed its Lipper international growth variable funds category average,
which was 3.50% for the same period.(6)
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
During the six-month period ended June 30, 2004, Class I shares returned 2.42%.
In comparison, the portfolio underperformed its benchmarks, the unmanaged S&P
500 Index and the Russell 1000 Index(xii), which returned 3.44% and 3.33% for
the same period. The portfolio outperformed its Lipper large-cap core variable
funds category average, which was 2.37% for the same period.(7)
(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 45 funds in the general bond 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 six-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.
(5) 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 106 funds in the multi-cap growth variable funds category including
the reinvestment of dividends and capital gains, if any.
(6) 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 41 funds in the international growth variable funds category
including the reinvestment of dividends and capital gains, if any.
(7) 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.
2
PERFORMANCE OF THE PORTFOLIOS AS OF JUNE 30, 2004
<Table>
<Caption>
6 MONTHS
Equity Index Portfolio -- Class I Shares 3.29%
Class II Shares 3.16%
S&P 500 Index 3.44%
Lipper S&P 500 Index Objective Variable Funds Category
Average 3.22%
Diversified Strategic Income Portfolio -0.18%
Lehman Brothers U.S. Aggregate Bond Index 0.15%
Blended Index: 35% Merrill Lynch GNMA Master Index, 35%
Merrill Lynch Global Bond Index, 30% Merrill Lynch High
Yield Master II Index 0.34%
Lipper General Bond Variable Funds Category Average -0.03%
Salomon Brothers Variable All Cap Value Fund -- Class I
Shares 2.92%
S&P 500 Index 3.44%
Russell 3000 Index 3.59%
Lipper Multi-Cap Value Variable Funds Category Average 4.49%
Salomon Brothers Variable Money Market Fund 0.05%
Lipper Money Market Variable Funds Category Average 0.26%
Seven-day Current Yield 0.10%
Seven-day Effective Yield 0.10%
Salomon Brothers Variable Aggressive Growth Fund -- Class
I Shares 3.75%
Class II Shares 3.62%
NASDAQ Composite Index 2.22%
Russell 3000 Growth Index 2.96%
Lipper Multi-cap Growth Variable Funds Category Average 3.96%
Salomon Brothers Variable International Equity
Fund -- Class I Shares 4.08%
MSCI EAFE Index 4.56%
Lipper International Growth Variable Funds Category
Average 3.50%
Salomon Brothers Variable Growth & Income Fund -- Class I
Shares 2.42%
S&P 500 Index 3.44%
Russell 1000 Index 3.33%
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.
BOTH YIELDS INCLUDE AN ADVISORY AND ADMINISTRATION FEE WAIVER AND
EXPENSE REIMBURSEMENT. THIS WAIVER AND/OR EXPENSE REIMBURSEMENT MAY BE
REDUCED OR TERMINATED AT ANY TIME. IN THE ABSENCE OF THESE FEE WAIVERS
AND/OR EXPENSE REIMBURSEMENTS, THE SEVEN-DAY CURRENT YIELD WOULD HAVE
BEEN -4.95% AND THE SEVEN-DAY EFFECTIVE YIELD WOULD HAVE BEEN -4.83%.
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.
For the Diversified Strategic Income Portfolio, Salomon Brothers
Variable All Cap Value Fund, Salomon Brothers Variable Money Market
Fund, Salomon Brothers Variable International Equity Fund and Salomon
Brothers Variable Growth & Income Fund, there were no Class II shares
outstanding during the period.
3
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 funds' 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 funds' response to market timing and
shareholder exchange activity, including compliance with prospectus disclosure
related to these subjects. The funds have 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.
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.
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
4
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:
EQUITY INDEX PORTFOLIO: Derivatives, such as options and futures, can be
illiquid and harder to value, especially in declining markets. A small
investment in certain derivatives may have a potentially large impact on the
portfolio's performance. Derivatives can disproportionately increase losses as
stated in the prospectus.
DIVERSIFIED STRATEGIC INCOME PORTFOLIO: 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. High yield bonds are subject to additional risks such as the
increased risk of default and greater volatility because of the lower credit
quality of the issues.
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND: Investments in small- and
medium-capitalization companies may involve a higher degree of risk and
volatility than investments in larger, more established companies. High yield
bonds are subject to additional risks such as the increased risk of default and
greater volatility because of the lower credit quality of the issues. 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.
SALOMON BROTHERS VARIABLE MONEY MARKET FUND: Your investment is neither insured
nor guaranteed by the Federal Deposit Insurance Corporation ("FDIC") or any
other government agency. Although the portfolio seeks to preserve the value of
your investment at $1.00 per share, it is possible to lose money by investing in
the fund.
SALOMON BROTHERS VARIABLE AGGRESSIVE GROWTH FUND: Investments in small- and
medium-capitalization companies may involve a higher degree of risk and
volatility than investments in larger, more established companies. Derivatives,
such as options and futures, can be illiquid and harder to value, especially in
declining markets. A small investment in certain derivatives may have a
potentially large impact on the portfolio's performance. Derivatives can
disproportionately increase losses as stated in the prospectus. 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.
SALOMON BROTHERS VARIABLE INTERNATIONAL EQUITY FUND: 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. Investments in small- and medium-capitalization
companies may involve a higher degree of risk and volatility than investments in
larger, more established companies.
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND: High yield bonds are subject to
additional risks such as the increased risk of default and greater volatility
because of the lower credit quality of the issues.
(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)
Based upon Citigroup total rate of return indices that reflect the performance
for each respective category of fixed-income securities over the six months
ending June 30, 2004.
(iii)
Source: June 2004 Consumer Confidence Index, The Conference Board.
(iv)
Source: Bureau of Economic Analysis, U.S. Department of Commerce, June 25,
2004.
(v)
The S&P 500 Index is a market capitalization-weighted index of 500 widely held
common stocks.
(vi)
This blended index is comprised of 35% Merrill Lynch GNMA Master Index, a
market capitalization weighted index of securities backed by mortgage pools of
the Government National Mortgage Association (GNMA), 35% Merrill Lynch Global
Bond Index, a broad-based, unmanaged index of high-yield securities and 30%
Merrill Lynch High Yield Master II Index, a market capitalization-weighted
index of all domestic and Yankee High-Yield Bonds. Issues included in the
index have maturities of at least one year and have a credit rating lower than
BBB-Baa3, but are not in default.
(vii)
The Lehman Brothers U.S. Aggregate Index is a broad-based bond index comprised
of Government, Corporate, Mortgage and Asset-backed issues, rated investment
grade or higher, and having at least one year to maturity.
(viii)
The Russell 3000 Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represent approximately
98% of the U.S. equity market.
(ix)
The Nasdaq Composite Index is a market value-weighted index, which measures
all securities listed on the NASDAQ stock market.
(x)
The Russell 3000 Growth Index measures the performance of those Russell 3000
Index companies with higher price-to-book ratios and higher forecasted growth
values.
(xi)
The MSCI EAFE Index is an unmanaged index of common stocks of companies
located in Europe, Australasia and the Far East.
(xii)
The Russell 1000 Index measures the performance of the 1000 largest companies
in the Russell 3000 Index, which represents approximately 92% of the total
market capitalization of the Russell 3000 Index.
5
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE MONEY MARKET FUND
<Table>
<Caption>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- --------------------------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 13.5%
$100,000 United States Treasury Bill matures 7/1/04
(Cost -- $100,000)........................................ 0.91% $100,000
- --------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES -- 82.4%
125,000 Federal Farm Credit Bank matures 7/9/04..................... 1.25 124,965
133,000 Federal Home Loan Bank matures 7/1/04....................... 1.20 133,000
125,000 Federal Home Loan Mortgage Corp. matures 7/13/04............ 1.30 124,946
225,000 Federal National Mortgage Association mature 7/2/04 to 1.24 to
7/6/04.................................................... 1.27 224,975
- --------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES
(Cost -- $607,886).......................................... 607,886
- --------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.1%
30,000 UBS Securities LLC dated 6/30/04, 1.280% due 7/1/04;
Proceeds at maturity -- $30,001; (Fully collateralized by
U.S. Treasury Bonds, 5.500% to 13.250% due 8/15/13 to
8/15/28; Market value -- $30,600) (Cost -- $30,000)....... 30,000
- --------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $737,886*)............. $737,886
- --------------------------------------------------------------------------------------------------------------
</Table>
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
6
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 34.4%
Federal Home Loan Mortgage Corp. (FHLMC):
$ 194,483 7.000% due 2/1/15 through 5/1/16.......................... $ 206,406
233,633 6.500% due 9/1/31 (a)..................................... 243,957
9,000,000 5.000% due 7/1/34 (b)(c).................................. 8,687,808
2,000,000 5.500% due 7/1/34 (b)(c).................................. 1,991,250
2,500,000 6.500% due 7/1/34 (b)(c).................................. 2,605,470
Federal National Mortgage Association (FNMA):
254,346 5.500% due 12/1/16 (a).................................... 261,114
94,046 7.500% due 2/1/30 through 7/1/31.......................... 100,830
1,778,654 6.500% due 3/1/16 through 3/1/32 (a)...................... 1,862,748
2,440,395 6.000% due 8/1/16 through 4/1/32 (a)...................... 2,506,060
1,114,581 7.000% due 5/1/30 through 4/1/32 (a)...................... 1,177,636
1,000,000 4.500% due 7/1/34 (b)(c).................................. 935,312
1,500,000 5.000% due 7/1/34 (b)(c).................................. 1,448,907
7,250,000 5.500% due 7/1/34 (b)(c).................................. 7,216,012
2,000,000 6.000% due 7/1/34 (b)(c).................................. 2,041,876
Government National Mortgage Association (GNMA):
712,583 6.500% due 9/15/28 through 2/15/31 (a).................... 746,219
203,704 7.000% due 6/15/28 through 2/15/31........................ 216,720
U.S. Treasury Notes:
1,100,000 5.875% due 11/15/04 (a)(d)................................ 1,117,703
3,500,000 3.125% due 4/15/09 (a).................................... 3,401,702
2,500,000 3.875% due 2/15/13 (a).................................... 2,390,725
2,165,000 4.000% due 2/15/14 (a).................................... 2,064,024
- ----------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost -- $41,558,827)....................................... 41,222,479
- ----------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 2.8%
420,000 BBB+ Argent Nim Trust, Series 2004-WN8, Class A, 4.700% due
7/25/34 (a)(f)............................................ 419,612
140,591 BBB Bear Stearns, Series 2003-HE1N, Class N1, 6.500% due 8/25/05
(f)....................................................... 141,887
427,848 AAA Commercial Mortgage Pass-Through Certificates, Series
2001-J2A, Class A, 5.447% due 7/16/34 (a)(f).............. 436,926
270,000 AA Countrywide Asset-Backed Certificates, Series 2004-5, Class
M4, 2.550% due 6/25/34 (a)................................ 269,831
500,000 A CS First Boston Mortgage Securities Corp., Series 2001-HE12,
Class M2, 2.52% due 9/25/31 (a)........................... 501,907
291,548 Ba1* First Consumer Master Trust, Series 2001-A, Class A,
1.549% due 9/15/08 (a).................................... 267,927
Novastar Home Equity Loan:
90,000 A Series 2003-4, Class M2, 2.925% due 2/25/34............... 92,267
200,000 A+ Series 2004-1, Class M4, 2.275% due 6/25/34 (a)........... 200,412
Metris Master Trust:
423,000 BBB Series 2001-2, Class B, 2.360% due 11/20/09 (a)........... 390,217
185,000 AAA Series 2001-3, Class B, 2.180% due 7/21/08................ 185,154
90,000 AAA Series 2001-4A, Class B, 2.680% due 8/20/08............... 89,329
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 2.8% (CONTINUED)
Sail Net Interest Margin Notes:
$ 88,835 BBB Series 2003-3, Class A, 7.750% due 4/27/33 (f)............ $ 89,755
274,798 BBB+ Series 2004-4A, Class A, 5.000% due 4/27/34 (a)(f)........ 274,455
- ----------------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES (Cost -- $3,298,923).......... 3,359,679
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 17.8%
- ----------------------------------------------------------------------------------------------------
AEROSPACE -- 0.1%
150,000 BB- Sequa Corp., Sr. Notes, Series B, 8.875% due 4/1/08......... 158,625
- ----------------------------------------------------------------------------------------------------
AIRLINES -- 0.2%
Continental Airlines Inc., Pass-Through Certificates:
100,000 B Class D, 7.568% due 12/1/06............................... 75,252
21,644 BB Series 00-2, Class C, 8.312% due 10/2/12.................. 16,072
70,000 BB- Series 99-2, Class C-2, 7.434% due 3/15/06................ 68,727
79,000 B3* Dunlop Standard Aerospace Holdings, Sr. Notes, 11.875% due
5/15/09................................................... 84,333
United Air Lines, Inc. Pass-Through Certificates:
23,260 D Series 00-1, Class B, 8.030% due 7/1/11 (g)............... 4,798
49,094 NR Series 00-2, Class B, 7.811% due 10/1/09.................. 12,144
45,000 NR Series 01-1, Class C, 6.831% due 9/1/08................... 4,225
- ----------------------------------------------------------------------------------------------------
265,551
- ----------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.3%
25,000 B+ Arvin Capital Trust I, Jr. Sub. Notes, 9.500% due 2/1/27.... 26,125
35,000 BB Dana Corp., 10.125% due 3/15/10............................. 39,813
150,000 B- Eagle-Pitcher, Inc., Sr. Notes, 9.750% due 9/1/13........... 162,000
134,000 BB- TRW Automotive Inc., Sr. Notes, 9.375% due 2/15/13.......... 151,755
- ----------------------------------------------------------------------------------------------------
379,693
- ----------------------------------------------------------------------------------------------------
CABLE AND OTHER MEDIA -- 2.1%
125,000 B+ Cablevision Systems Corp., Sr. Notes, 5.670% due 4/1/09
(f)(h).................................................... 128,750
Charter Communications Holdings, LLC:
300,000 CCC- Sr. Discount Notes, step bond to yield 14.909% due
5/15/11................................................ 195,750
Sr. Notes:
125,000 CCC- 8.250% due 4/1/07...................................... 115,000
125,000 CCC- 10.750% due 10/1/09.................................... 105,625
220,000 BBB Comcast Cable Communications Holdings, 8.375%, 3/15/13
(a)....................................................... 258,679
30,000 BB- CSC Holdings Inc., Sr. Notes, Series B, 7.625% due 4/1/11... 30,225
125,000 BB- DIRECTV Holdings, Sr. Notes, 8.375% due 3/15/13............. 138,906
130,000 B- Insight Communications Co., Inc., Sr. Discount Notes, step
bond to yield 12.269% due 2/15/11......................... 117,650
175,000 B- LodgeNet Entertainment Corp., Sr. Sub. Debentures, 9.500%
due 6/15/13............................................... 192,063
175,000 B+ Mediacom Communications Corp., Sr. Notes, 9.500% due
1/15/13................................................... 169,750
150,000 B- NextMedia Operating, Inc., Sr. Sub. Notes, 10.750% due
7/1/11.................................................... 168,188
Paxson Communications Corp.:
65,000 CCC+ Sr. Sub. Discount Notes, step bond to yield 11.326% due
1/15/09................................................ 56,875
45,000 CCC+ Sr. Sub. Notes, 10.750% due 7/15/08....................... 45,900
185,000 BB- Rogers Cablesystems Ltd., Sr. Sub. Debentures, 11.000% due
12/1/15................................................... 210,900
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
CABLE AND OTHER MEDIA -- 2.1% (CONTINUED)
$ 250,000 BBB+ Time Warner, Inc., 7.625% due 4/15/31 (a)................... $ 271,341
275,000 BBB+ Walt Disney Co., Sr. Notes, 6.200% due 6/20/14 (a).......... 288,630
- ----------------------------------------------------------------------------------------------------
2,494,232
- ----------------------------------------------------------------------------------------------------
CHEMICALS -- 1.3%
FMC Corp.:
50,000 BB+ 6.750% due 5/5/05......................................... 51,125
25,000 BB+ Debentures, 7.750% due 7/1/11............................. 26,375
Huntsman International LLC:
35,000 B- 9.875% due 3/1/09......................................... 37,975
785,000 CCC+ Sr. Discount Notes, zero coupon bond to yield 13.588% due
12/31/09............................................... 388,575
80,000 B+ IMC Global Inc., Sr. Notes, 11.250% due 6/1/11.............. 92,600
50,000 BB- ISP Chemco Inc., Sr. Sub. Notes, Series B, 10.250% due
7/1/11.................................................... 55,875
75,000 B+ ISP Holdings Inc., Sr. Secured Notes, Series B, 10.625% due
12/15/09.................................................. 82,875
105,000 B+ Lyondell Chemical Co., Secured Notes, 11.125% due 7/15/12... 116,813
85,000 BBB Methanex Corp., Sr. Notes, 8.750% due 8/15/12............... 96,050
200,000 CCC+ Resolution Performance Products LLC, Sr. Sub. Notes,
13.500% due 11/15/10...................................... 187,500
200,000 B3* Rhodia S.A., Sr. Notes, 7.625% due 6/1/10 (f)............... 182,000
10,000 B+ Terra Capital Inc., Sr. Secured Notes, 12.875% due
10/15/08.................................................. 11,950
175,000 Ba3* Westlake Chemical Corp., 8.750% due 7/15/11................. 190,750
- ----------------------------------------------------------------------------------------------------
1,520,463
- ----------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS/TOBACCO -- 0.6%
30,000 B+ AKI, Inc., Sr. Notes, 10.500% due 7/1/08.................... 30,975
44,000 B3* Applica Inc., Sr. Sub. Notes, 10.000% due 7/31/08........... 44,660
185,000 Caa1* Doane Pet Care Co., Sr. Sub. Notes, 9.750% due 5/15/07...... 171,588
275,000 CCC+ Home Interiors & Gifts, Inc., 10.125% due 6/1/08............ 273,625
50,000 B- Sealy Mattress Co., Sr. Sub. Notes, 8.250% due 6/15/14
(f)....................................................... 50,500
60,000 B1* Sola International Inc., Sr. Notes, 6.875% due 3/15/08...... 61,203
98,000 B Tempur-Pedic International, Inc., Sr. Sub. Notes, 10.250%
due 8/15/10............................................... 110,985
- ----------------------------------------------------------------------------------------------------
743,536
- ----------------------------------------------------------------------------------------------------
CONTAINERS/PACKAGING -- 0.7%
50,000 B+ Anchor Glass Container Corp., 11.000% due 2/15/13........... 57,438
200,000 B- Berry Plastics Corp., 10.750% due 7/15/12................... 223,000
155,000 BB- Brockway-Illinois, Inc., 8.875% due 2/15/09................. 168,175
45,000 B Owens-Illinois, Inc., Sr. Notes, 7.150% due 5/15/05......... 46,350
125,000 B+ Plastipak Holdings Inc., Sr. Notes, 10.750% due 9/1/11...... 135,000
Pliant Corp.:
50,000 B- Sr. Secured Notes, 11.125% due 9/1/09..................... 53,750
10,000 B- Sr. Sub. Notes, 13.000% due 6/1/10........................ 9,000
75,000 CCC+ Radnor Holdings Inc., Sr. Notes, 11.000% due 3/15/10........ 64,125
60,000 B- Tekni-Plex Inc., Sr. Sub. Notes, Series B, 12.750% due
6/15/10................................................... 57,900
- ----------------------------------------------------------------------------------------------------
814,738
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
ENERGY -- 1.5%
$ 125,000 B- Dynegy Holdings Inc., Sr. Secured Notes, 7.640% due 7/15/08
(f)(h).................................................... $ 133,750
El Paso Corp., Sr. Notes:
50,000 CCC+ 7.375% due 12/15/12....................................... 43,625
350,000 CCC+ 7.800% due 8/1/31......................................... 282,625
40,000 BB- El Paso Energy Partners L.P., Sr. Sub. Notes, Series B,
8.500% due 6/1/11......................................... 43,500
135,000 B+ Magnum Hunter Resources Inc., 9.600% due 3/15/12............ 149,175
NGC Corp., Sr. Debentures:
125,000 CCC+ 7.125% due 5/15/18........................................ 98,125
30,000 CCC+ 7.625% due 10/15/26....................................... 23,400
80,000 Ba2* Pride International Inc., Sr. Notes, 10.000% due 6/1/09..... 84,800
125,000 B1* Reliant Resources, Inc., 9.500% due 7/15/13................. 135,312
35,000 BB- Superior Energy Services Inc., LLC, Sr. Notes, 8.875% due
5/15/11................................................... 37,887
105,000 B Swift Energy Co., Sr. Sub. Notes, 9.375% due 5/1/12......... 112,612
275,000 BBB Valero Energy Corp., 4.750% due 6/15/13 (a)................. 259,046
Vintage Petroleum, Inc.:
50,000 BB- Sr. Notes, 8.250% due 5/1/12.............................. 53,250
25,000 B1* Sr. Sub. Notes, 7.875% due 5/15/11........................ 25,750
Williams Cos., Inc.:
150,000 B+ 7.125% due 9/1/11......................................... 153,000
125,000 B+ 7.625% due 7/15/19........................................ 120,937
- ----------------------------------------------------------------------------------------------------
1,756,794
- ----------------------------------------------------------------------------------------------------
FINANCIAL -- 1.8%
400,000 Aa2* Bank of America Corp., Sr. Notes, 4.875% due 9/15/12 (a).... 390,394
450,000 AAA General Electric Capital Corp., 6.000% due 6/15/12 (a)...... 475,631
275,000 A3* General Motors Acceptance Corp., 6.875% due 9/15/11 (a)..... 282,354
275,000 AA- International Lease Finance Corp., 4.375% due 11/1/09 (a)... 270,569
65,000 Ba1* Markel Capital Trust I, Jr. Sub. Notes, Series B, 8.710% due
1/1/46.................................................... 67,403
165,000 Aa3* Morgan Stanley, 6.600% due 4/1/12........................... 177,904
100,000 B3* Ocwen Capital Trust I, Jr. Sub. Notes, 10.875% due 8/1/27... 100,500
325,000 A- Standard Chartered Bank PLC, Sub. Notes, 8.000% due 5/30/31
(a)(f).................................................... 385,373
- ----------------------------------------------------------------------------------------------------
2,150,128
- ----------------------------------------------------------------------------------------------------
FOOD/BEVERAGES/BOTTLING -- 0.2%
40,000 B+ Cott Beverages Inc., Sr. Sub. Notes, 8.000% due 12/15/11.... 42,700
45,000 Ba2* Dean Foods Corp., Sr. Notes, 6.900% due 10/15/17............ 44,438
155,000 A3* Kraft Foods, Inc., 5.625% due 11/1/11....................... 157,915
- ----------------------------------------------------------------------------------------------------
245,053
- ----------------------------------------------------------------------------------------------------
GAMING -- 0.5%
175,000 B+ Argosy Gaming Co., Sr. Sub. Notes, 9.000% due 9/1/11........ 194,250
Mandalay Resort Group:
30,000 BB- Sr. Sub. Debentures, 7.625% due 7/15/13................... 30,075
80,000 BB- Sr. Sub. Notes, Series B, 10.250% due 8/1/07.............. 89,200
75,000 Ba2* Park Place Entertainment Corp., Sr. Sub. Notes, 8.875% due
9/15/08................................................... 81,562
75,000 CCC+ Pinnacle Entertainment, Inc., Sr. Sub. Notes, 8.750% due
10/1/13................................................... 74,813
135,000 B Venetian Casino Resort, LLC, 11.000% due 6/15/10............ 156,600
- ----------------------------------------------------------------------------------------------------
626,500
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
HEALTHCARE -- 0.5%
$ 75,000 CC aaiPharma Inc., 11.500% due 4/1/10.......................... $ 63,000
25,000 B- Athena Neuro Finance LLC, Sr. Notes, 7.250% due 2/21/08..... 25,000
50,000 B1* Extendicare Health Services Inc., Sr. Notes, 9.500% due
7/1/10.................................................... 55,750
140,000 BBB- HCA Inc., Debentures, 8.360% due 4/15/24.................... 148,615
50,000 B- Insight Heath Services Corp., Series B, 9.875% due
11/1/11................................................... 53,750
Tenet Healthcare Corp.:
75,000 B- Notes, 7.375% due 2/1/13.................................. 68,250
Sr. Notes:
50,000 B- 5.375% due 11/15/06.................................... 50,500
25,000 B- 9.875% due 7/1/14 (f).................................. 25,562
100,000 B- Vanguard Health Systems, Inc., 9.750% due 8/1/11............ 108,750
- ----------------------------------------------------------------------------------------------------
599,177
- ----------------------------------------------------------------------------------------------------
HOUSING/BUILDING PRODUCTS -- 0.3%
20,000 B- Associated Materials Inc., Sr. Sub. Notes, 9.750% due
4/15/12................................................... 22,300
75,000 B- Atrium Cos. Inc., Sr. Sub. Notes, Series B, 10.500% due
5/1/09.................................................... 78,938
75,000 B- Brand Services Inc., Sr. Notes, 12.000% due 10/15/12........ 85,875
90,000 B- Nortek Holdings, Inc., Sr. Sub. Notes, Series B, 9.875% due
6/15/11................................................... 103,050
70,000 Ba2* Schuler Homes Inc., Sr. Sub. Notes, 10.500% due 7/15/11..... 80,237
35,000 Ba3* Standard Pacific Corp., Sr. Sub. Notes, 9.250% due
4/15/12................................................... 37,800
- ----------------------------------------------------------------------------------------------------
408,200
- ----------------------------------------------------------------------------------------------------
INDUSTRIAL SPECIALTIES -- 0.0%
50,000 NR Aqua Chem Inc., Sr. Sub. Notes, 11.250% due 7/1/08.......... 35,250
- ----------------------------------------------------------------------------------------------------
LODGING/LEISURE -- 0.6%
40,000 CCC+ AMC Entertainment Inc., Sr. Sub. Notes, 9.500% due 2/1/11... 41,800
70,000 B2* Courtyard by Marriott II L.P., Sr. Secured Notes, Series B,
10.750% due 2/1/08........................................ 70,525
130,000 Ba3* Host Marriott L.P., Sr. Notes, 9.500% due 1/15/07........... 142,675
75,000 B- Icon Health & Fitness, Inc., 11.250% due 4/1/12............. 82,125
150,000 B John Q. Hammons Hotels, Inc., Series B, 8.875% due
5/15/12................................................... 163,500
75,000 B2* Meristar Hospitality Corp., Sr. Notes, 10.500% due
6/15/09................................................... 80,250
100,000 B Prime Hospitality Corp., Sr. Sub. Notes, Series B, 8.375%
due 5/1/12................................................ 103,750
- ----------------------------------------------------------------------------------------------------
684,625
- ----------------------------------------------------------------------------------------------------
MACHINERY -- 0.1%
20,000 BB- Case Credit Corp., 6.750% due 10/21/07...................... 19,900
30,000 B+ NMGH Holding Co., 10.000% due 5/15/09....................... 33,150
25,000 B- Rexnord Corp., Sr. Sub. Notes, 10.125% due 12/15/12......... 27,625
- ----------------------------------------------------------------------------------------------------
80,675
- ----------------------------------------------------------------------------------------------------
METALS/MINING/STEEL -- 0.3%
75,000 BBB- Phelps Dodge Corp., Sr. Notes, 8.750% due 6/1/11............ 89,187
285,000 BBB WMC Finance USA, 5.125% due 5/15/13 (a)..................... 274,241
30,000 B+ Wolverine Tube Inc., 10.500% due 4/1/09..................... 33,000
- ----------------------------------------------------------------------------------------------------
396,428
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.5%
$ 100,000 BB Bowater Inc., 7.950% due 11/15/11........................... $ 103,798
35,000 B Buckeye Technologies Inc., Sr. Sub. Notes, 9.250% due
9/15/08................................................... 34,475
150,000 B MDP Acquisitions PLC, Sr. Notes, 9.625% due 10/1/12......... 165,000
210,000 B Stone Container Corp., Sr. Notes, 11.500% due 8/15/06 (f)... 211,837
Tembec Industries Inc.:
75,000 BB- 8.625% due 6/30/09........................................ 76,312
50,000 BB- 8.500% due 2/1/11......................................... 50,750
- ----------------------------------------------------------------------------------------------------
642,172
- ----------------------------------------------------------------------------------------------------
PUBLISHING/PRINTING -- 0.9%
125,000 B- Advancestar Communications, Inc., 10.750% due 8/15/10....... 138,906
100,000 B Dex Media East, LLC, 12.125% due 11/15/12................... 117,250
Dex Media West, LLC:
100,000 B Sr. Notes, Series B, 8.500%, 8/15/10...................... 109,500
75,000 B Sr. Sub. Notes, Series B, 9.875% due 8/15/13.............. 82,688
143,156 B- Hollinger Participation, Sr. Notes, Payment-in-kind,
12.125% due 11/15/10 (f).................................. 167,493
100,000 B Houghton Mifflin, Co., Sr. Discount Notes, step bond to
yield 11.492% due 10/15/13................................ 53,625
RH Donnelley Corp., Sr. Sub. Notes:
25,000 B+ 10.875% due 12/15/12...................................... 29,125
100,000 B+ 10.875% due 12/15/12 (f).................................. 116,500
175,000 B Von Hoffmann Corp., 10.250% due 3/15/09..................... 180,906
33,000 BB- Yell Finance B.V., Sr. Discount Notes, step bond to yield
12.263% due 8/1/11........................................ 31,185
- ----------------------------------------------------------------------------------------------------
1,027,178
- ----------------------------------------------------------------------------------------------------
RESTAURANTS -- 0.0%
35,000 CCC- Advantica Restaurant Group, Sr. Notes, 11.250% due
1/15/08................................................... 33,950
- ----------------------------------------------------------------------------------------------------
RETAIL -- 0.5%
125,000 B Cole National Group, Inc., Sr. Sub. Notes, 8.875% due
5/15/12................................................... 134,063
150,000 CCC+ Eye Care Centers of America, Inc., 9.125% due 5/1/08........ 152,250
325,000 A+ Target Corp., 7.000% due 7/15/31 (a)........................ 364,154
- ----------------------------------------------------------------------------------------------------
650,467
- ----------------------------------------------------------------------------------------------------
SERVICES/OTHER -- 1.1%
Allied Waste North America Inc., Sr. Notes:
115,000 BB- 8.500% due 12/1/08........................................ 126,356
50,000 B+ 7.375% due 4/15/14 (f).................................... 48,875
75,000 B- IMCO Recycling, Inc., 10.375%, 10/15/10..................... 81,375
200,000 B Iron Mountain, Inc., 8.625% due 4/1/13...................... 213,000
75,000 BB- Mail-Well, Inc., 9.625% due 3/15/12......................... 81,000
Muzak LLC:
135,000 CCC+ Sr. Notes, 10.000% due 2/15/09............................ 119,475
50,000 CCC+ Sr. Sub. Notes, 9.875% due 3/15/09........................ 38,750
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
SERVICES/OTHER -- 1.1% (CONTINUED)
Service Corp. International:
$ 55,000 BB- Debentures, 7.875% due 2/1/13............................. $ 55,412
Sr. Notes:
55,000 BB- 6.875% due 10/1/07..................................... 56,375
195,000 BB- 6.500% due 3/15/08..................................... 195,975
90,000 B+ Stewart Enterprises, Inc., Sr. Sub. Notes, 10.750% due
7/1/08.................................................... 100,462
150,000 B- Wesco Distribution Inc., 9.125% due 6/1/08.................. 155,062
- ----------------------------------------------------------------------------------------------------
1,272,117
- ----------------------------------------------------------------------------------------------------
SUPERMARKETS/DRUGSTORES -- 0.2%
47,286 BB Ahold Finance USA, Inc., Pass-Through Certificates, Series
A-1, 7.820% due 1/2/20.................................... 46,725
25,000 B- Rite Aid Corp., Sr. Notes, 11.250% due 7/1/08............... 27,687
200,000 BBB Safeway, Inc., Debentures, 7.250% due 2/1/31 (a)............ 211,364
- ----------------------------------------------------------------------------------------------------
285,776
- ----------------------------------------------------------------------------------------------------
TECHNOLOGY/ELECTRONICS -- 0.2%
125,000 B1* Amkor Technology, Inc., 7.125% due 3/15/11 (f).............. 117,813
75,000 B- Nortel Networks Ltd., 6.875% due 9/1/23..................... 66,750
50,000 B- Northern Telecom Capital Corp., 7.875% due 6/15/26.......... 48,250
- ----------------------------------------------------------------------------------------------------
232,813
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 1.5%
50,600 Caa1* Airgate PCS, Inc., 9.375% due 9/1/09........................ 49,968
Alamosa Holdings, Inc.:
44,000 Caa1* Sr. Discount Notes, step bond to yield 11.437% due
7/31/09................................................ 42,680
54,000 Caa1* Sr. Notes, 11.000% due 7/31/10............................ 59,130
25,000 B- American Cellular Corp., Series B, Sr. Notes, 10.000% due
8/1/11.................................................... 21,688
500,000 BBB AT&T Wireless Services, Inc., Sr. Notes, 8.750% due 3/1/31
(a)....................................................... 611,357
220,000 BBB Cox Communications, Inc., 7.750% due 11/1/10 (a)............ 249,702
50,000 NR GT Group Telecom Inc., Sr. Discount Notes, step bond to
yield 15.223% due 2/1/10 (g).............................. 5
125,000 BB Nextel Communications, Inc., Sr. Notes, 7.375% due 8/1/15... 126,875
44,000 B- Nextel Partners, Inc., Sr. Notes, 12.500% due 11/15/09...... 51,480
125,000 BB- Qwest Corp., Debentures, 6.875% due 9/15/33................. 104,687
Qwest Services Corp.:
75,000 B 14.000% due 12/15/10 (f).................................. 87,562
98,000 B 14.000% due 12/15/14 (f).................................. 117,355
240,000 BBB- Sprint Capital Corp., 8.375% due 3/15/12 (a)................ 276,239
- ----------------------------------------------------------------------------------------------------
1,798,728
- ----------------------------------------------------------------------------------------------------
TEXTILE/APPAREL -- 0.2%
Levi Strauss & Co.:
140,000 CCC 7.000% due 11/1/06........................................ 131,425
10,000 CCC Sr. Notes, 11.625% due 1/15/08............................ 9,850
32,000 B+ William Carter, Sr. Sub. Notes, Series B, 10.875% due
8/15/11................................................... 36,400
- ----------------------------------------------------------------------------------------------------
177,675
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
TOWER -- 0.4%
American Tower Corp.:
$ 50,000 B3* Discount Notes, zero coupon bond to yield 14.330% due
8/1/08................................................. $ 36,750
100,000 Caa1* Sr. Notes, 9.375% due 2/1/09.............................. 107,250
Crown Castle International Corp., Sr. Notes:
10,000 B3* 10.750% due 8/1/11........................................ 11,250
75,000 B3* 7.500% due 12/1/13........................................ 75,000
175,000 Caa2* SBA Communications Corp., Sr. Notes, 10.250% due 2/1/09..... 180,250
100,000 B3* SpectraSite, Inc., Sr. Notes, 8.250% due 5/15/10............ 103,500
- ----------------------------------------------------------------------------------------------------
514,000
- ----------------------------------------------------------------------------------------------------
TRANSPORTATION -- 0.3%
275,000 Baa1* Norfolk Southern Corp., 7.050% due 5/1/37 (a)............... 292,299
45,000 Baa2* Windsor Petroleum Transportation Corp., Notes, 7.840% due
1/15/21 (f)............................................... 45,787
- ----------------------------------------------------------------------------------------------------
338,086
- ----------------------------------------------------------------------------------------------------
UTILITIES -- 0.9%
55,000 B2* AES Corp., Sr. Notes, 9.500% due 6/1/09..................... 59,056
45,000 BB+ Avista Corp., Sr. Notes, 9.750% due 6/1/08.................. 53,100
50,000 CCC+ Calpine Canada Energy Finance ULC, Sr. Sub. Notes, 8.500%
due 5/1/08................................................ 33,250
175,000 B Calpine Corp., Sr. Notes, 8.500% due 7/15/10 (f)............ 145,688
50,000 B+ CMS Energy Corp., Sr. Notes, 7.625% due 11/15/04............ 51,000
300,000 Baa1* Duke Energy Corp. 4.200% due 10/1/08 (a).................... 295,026
Edison Mission Energy, Sr. Notes:
100,000 B 10.000% due 8/15/08....................................... 107,250
25,000 B 7.730% due 6/15/09........................................ 24,438
25,000 B 9.875% due 4/15/11........................................ 26,188
100,000 B+ NRG Energy, Inc., Sr. Notes, 8.000% due 12/15/13 (f)........ 101,500
90,000 B2* Orion Power Holdings, Inc., Sr. Notes, 12.000% due 5/1/10... 110,250
25,000 B1* Reliant Energy, Inc., 9.250% due 7/15/10.................... 26,812
- ----------------------------------------------------------------------------------------------------
1,033,558
- ----------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $20,471,576)....... 21,366,188
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS AND NOTES -- 0.6%
- ----------------------------------------------------------------------------------------------------
TECHNOLOGY/ELECTRONICS -- 0.1%
85,000 B3* Amkor Technologies, Inc., Sr. Notes, 5.000% due 3/15/07..... 79,688
10,000 B1* Sanmina-SCI Corp., Sr. Notes, zero coupon bond to yield
10.746% due 9/12/20....................................... 5,237
- ----------------------------------------------------------------------------------------------------
84,925
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.5%
335,000 B- COLT Telecom Group PLC, Sr. Notes, 2.000% due 4/3/07 (f).... 469,273
105,000 NR Telewest Communication PLC, 5.250% due 2/19/07 (f)(g)....... 98,984
- ----------------------------------------------------------------------------------------------------
568,257
- ----------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE CORPORATE BONDS AND NOTES (Cost --
$492,744)................................................... 653,182
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
COMMON STOCK (i) -- 0.0%
- ----------------------------------------------------------------------------------------------------
FOOD/BEVERAGES/BOTTLING -- 0.0%
3,630 Aurora Foods Inc. .......................................... $ 0
- ----------------------------------------------------------------------------------------------------
SERVICES/OTHER -- 0.0%
301 Outsourcing Solutions, Inc. ................................ 8,399
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.0%
2,092 AirGate PCS, Inc. .......................................... 38,284
66 McLeodUSA Inc. ............................................. 32
- ----------------------------------------------------------------------------------------------------
38,316
- ----------------------------------------------------------------------------------------------------
TOWER -- 0.0%
1,161 Crown Castle International Corp. ........................... 17,125
- ----------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $232,182)....................... 63,840
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.1%
- ----------------------------------------------------------------------------------------------------
AEROSPACE -- 0.0%
50 Northrop Grumman Corp., Equity Security Units, 7.250% due
11/16/04.................................................. 5,316
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.1%
125 Alamosa Holdings, Inc., Series B, 7.500% due 7/31/13........ 72,547
200 Motorola Inc., Equity Security Units, 7.000% due 11/16/04... 9,876
- ----------------------------------------------------------------------------------------------------
82,423
- ----------------------------------------------------------------------------------------------------
TOWER -- 0.0%
700 Crown Castle International Corp., 6.250% due 8/15/12........ 31,675
- ----------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $71,298)..................... 119,414
- ----------------------------------------------------------------------------------------------------
<Caption>
WARRANTS SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
WARRANTS (i) -- 0.0%
- ----------------------------------------------------------------------------------------------------
CABLE AND OTHER MEDIA -- 0.0%
450 UIH Australia, Expire 5/15/06 (f)........................... 0
- ----------------------------------------------------------------------------------------------------
CONTAINERS/PACKAGING -- 0.0%
10 Pliant Corp., Expire 6/1/10 (f)............................. 0
- ----------------------------------------------------------------------------------------------------
PUBLISHING/PRINTING -- 0.0%
60 Merrill Corp., Expire 5/1/09 (f)............................ 0
- ----------------------------------------------------------------------------------------------------
TECHNOLOGY/ELECTRONICS -- 0.0%
60 Cybernet Internet Services International, Inc., Expire
7/1/09.................................................... 0
90 WAM! NET Inc., Expire 3/1/05................................ 1
- ----------------------------------------------------------------------------------------------------
1
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.0%
50 GT Group Telecom Inc., Expire 2/1/10 (f).................... 0
40 Horizon PCS, Inc., Expire 10/1/10 (f)....................... 0
100 Iridium World Communications Ltd., Expire 7/15/05........... 1
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
WARRANTS SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.0% (CONTINUED)
50 IWO Holdings Inc., Expire 1/15/11 (f)....................... $ 1
150 RSL Communications Ltd., Expire 11/15/06.................... 0
- ----------------------------------------------------------------------------------------------------
2
- ----------------------------------------------------------------------------------------------------
TOWER -- 0.0%
50 American Tower Corp., Expire 8/1/08 (f)..................... 9,525
- ----------------------------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $24,883)............................ 9,528
- ----------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
EMERGING MARKETS DEBT -- 9.3%
- ----------------------------------------------------------------------------------------------------
BONDS -- 9.3%
Federal Republic of Brazil:
$ 105,000 B+ 10.125% due 5/15/27....................................... 93,056
260,000 B+ 12.250% due 3/6/30........................................ 271,700
640,000 B+ Series 18 Years, 2.125% due 4/15/12 (h)................... 542,400
1,882,296 B+ Series 20 Years, 8.000% due 4/15/14....................... 1,725,830
175,000 A- Malaysia Government, 7.500% due 7/15/11..................... 198,310
Republic of Bulgaria:
182,143 BBB- Series A, 2.000% due 7/28/12 (h).......................... 181,915
200,000 BBB- Series REGS, 8.250% due 1/15/15........................... 233,750
Republic of Colombia:
165,000 BB 10.000% due 1/23/12....................................... 171,188
25,000 BB 10.750% due 1/15/13....................................... 26,750
125,000 BB 8.125% due 5/21/24........................................ 101,406
100,000 BB 8.375% due 2/15/27........................................ 82,000
75,000 BB 10.375% due 1/28/33....................................... 72,844
450,000 CCC+ Republic of Ecuador, Series REGS, 12.000% due 11/15/12...... 400,500
Republic of Panama:
100,000 Ba1* 9.625% due 2/8/11......................................... 111,000
50,000 Ba1* 9.375% due 1/16/23........................................ 51,000
325,000 Ba1* 8.875% due 9/30/27........................................ 316,875
Republic of Peru:
75,000 BB 9.125% due 2/21/12........................................ 77,250
113,750 BB Series 20 Years, 5.000% due 3/7/17........................ 97,541
Republic of Philippines:
325,000 BB 8.375% due 3/12/09........................................ 338,406
225,000 BB 10.625% due 3/16/25....................................... 234,000
Republic of Turkey:
125,000 B+ 9.000% due 6/30/11........................................ 125,625
145,000 B+ 11.500% due 1/23/12....................................... 162,762
180,000 B+ 11.000% due 1/14/13....................................... 196,650
Republic of Venezuela:
100,000 B- 5.375% due 8/7/10......................................... 79,625
160,000 B- 9.375% due 1/13/34........................................ 134,600
250,000 B- Series B, 6.750% due 3/31/20.............................. 222,500
333,320 B- Series DL, 2.750% due 12/18/07 (h)........................ 317,279
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
BONDS -- 9.3% (CONTINUED)
Russian Federation, Series REGS:
$ 225,000 Baa3* 8.250% due 3/31/10........................................ $ 242,438
475,000 Baa3* 11.000% due 7/24/18....................................... 600,875
1,585,000 Baa3* 5.000% due 3/31/30........................................ 1,450,275
United Mexican States:
150,000 Baa2* 8.375% due 1/14/11........................................ 169,575
750,000 Baa2* 7.500% due 1/14/12........................................ 808,875
590,000 Baa2* 5.875% due 1/15/14........................................ 566,547
725,000 Baa2* 8.300% due 8/15/31........................................ 761,250
- ----------------------------------------------------------------------------------------------------
TOTAL EMERGING MARKETS DEBT (Cost -- $11,212,501)........... 11,166,597
- ----------------------------------------------------------------------------------------------------
LOAN PARTICIPATION (j) -- 0.4%
413,112 Ba1* Kingdom of Morocco, Tranche A, 2.031% due 1/2/09 (CS First
Boston Corp.) (Cost -- $397,894).......................... 406,915
- ----------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT+ RATING(E) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
SOVEREIGN DEBT -- DEVELOPED MARKETS -- 9.4%
- ----------------------------------------------------------------------------------------------------
FRANCE -- 1.1%
1,100,000 AAA French Treasury Note, BTAN, 3.500% due 1/12/08 (a).......... 1,349,140
- ----------------------------------------------------------------------------------------------------
GERMANY -- 4.6%
2,000,000 AAA Bundesobligation, Series 141, 4.250% due 2/15/08 (a)........ 2,514,140
Bundesrepublic Deutschland:
1,800,000 AAA Series 00, 5.250% due 1/4/11 (a).......................... 2,360,171
500,000 AAA Series 98, 4.750% due 7/4/08 (a).......................... 638,442
- ----------------------------------------------------------------------------------------------------
5,512,753
- ----------------------------------------------------------------------------------------------------
FINLAND -- 1.3%
1,150,000 AAA Republic of Finland, 5.750% due 2/23/11 (a)................. 1,547,099
- ----------------------------------------------------------------------------------------------------
ITALY -- 0.5%
525,000(USD) Aa1* Region of Lombardy, 5.804% due 10/25/32 (a)................. 515,996
- ----------------------------------------------------------------------------------------------------
NETHERLANDS -- 1.9%
1,760,000 AAA Kingdom of the Netherlands, 5.000% due 7/15/11 (a).......... 2,270,842
- ----------------------------------------------------------------------------------------------------
TOTAL SOVEREIGN DEBT -- DEVELOPED MARKETS
(Cost -- $11,281,138)....................................... 11,195,830
- ----------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $89,041,966)................. 89,563,652
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 25.2%
$30,102,000 UBS Financial Services dated 6/30/04, 1.280% due 7/1/04;
Proceeds at maturity -- $30,103,070; (Fully collateralized
by U.S. Treasury Bonds, 5.500% to 13.250% due 8/15/13 to
8/15/28; Market value -- $30,704,143)
(Cost -- $30,102,000)..................................... $ 30,102,000
- ----------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $119,143,966**)........ $119,665,652
- ----------------------------------------------------------------------------------------------------
</Table>
<Table>
(a) All or a portion of this security is segregated for open
forward foreign currency contracts, futures contracts and/or
"to-be-announced" ("TBA") securities.
(b) Security is traded on a TBA basis (See Note 10).
(c) Security acquired under mortgage dollar roll agreement (See
Note 11).
(d) All or a portion of this security is held as collateral for
open futures contracts.
(e) 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.
(f) Security is exempt from registration under Rule 144A of the
Securities Act of 1933. This security may be resold in
transactions that are exempt from registration, normally to
qualified institutional buyers. These securities have been
deemed liquid pursuant to guidelines approved by the Board
of Directors.
(g) Security is currently in default.
(h) Variable rate security.
(i) Non-income producing security.
(j) Participation interest was acquired through the financial
institution indicated parenthetically.
+ Face amount represents local currency, unless otherwise
indicated.
** Aggregate cost for Federal income tax purposes is
substantially the same.
Abbreviation used in this schedule:
USD -- U.S. Dollar
See page 50 for definitions of ratings.
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMMON STOCK -- 99.8%
- ---------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 13.6%
AUTO COMPONENTS -- 0.6%
2,900 Delphi Corp. ............................................... $ 30,972
- ---------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.8%
2,900 Fleetwood Enterprises, Inc.+................................ 42,195
- ---------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 0.2%
300 InterActiveCorp+............................................ 9,042
- ---------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 2.4%
3,000 Hasbro, Inc. ............................................... 57,000
3,500 Mattel, Inc. ............................................... 63,875
- ---------------------------------------------------------------------------------------
120,875
- ---------------------------------------------------------------------------------------
MEDIA -- 7.7%
2,100 Comcast Corp., Special Class A Shares+...................... 57,981
7,100 Liberty Media Corp., Series A Shares+....................... 63,829
1,900 The News Corp. Ltd., Sponsored ADR.......................... 67,298
4,950 Time Warner Inc.+........................................... 87,021
1,400 Viacom Inc., Class B Shares................................. 50,008
2,500 The Walt Disney Co. ........................................ 63,725
- ---------------------------------------------------------------------------------------
389,862
- ---------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.3%
1,900 The Home Depot, Inc. ....................................... 66,880
- ---------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 0.6%
2,000 Tommy Hilfiger Corp.+....................................... 30,280
- ---------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 690,106
- ---------------------------------------------------------------------------------------
CONSUMER STAPLES -- 1.3%
FOOD AND DRUG RETAILING -- 1.3%
2,525 Safeway Inc.+............................................... 63,984
- ---------------------------------------------------------------------------------------
ENERGY -- 4.4%
ENERGY EQUIPMENT AND SERVICES -- 1.5%
2,900 GlobalSantaFe Corp. ........................................ 76,850
- ---------------------------------------------------------------------------------------
OIL AND GAS -- 2.9%
1,000 Anadarko Petroleum Corp. ................................... 58,600
900 ChevronTexaco Corp. ........................................ 84,699
- ---------------------------------------------------------------------------------------
143,299
- ---------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 220,149
- ---------------------------------------------------------------------------------------
FINANCIALS -- 19.7%
BANKS -- 3.0%
1,200 The Bank of New York Co., Inc. ............................. 35,376
1,000 Bank One Corp. ............................................. 51,000
7 Mitsubishi Tokyo Financial Group, Inc. ..................... 64,658
- ---------------------------------------------------------------------------------------
151,034
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.7%
1,800 American Express Co. ....................................... $ 92,484
1,500 J.P. Morgan Chase & Co. .................................... 58,155
1,100 Merrill Lynch & Co., Inc. .................................. 59,378
600 Morgan Stanley.............................................. 31,662
1,000 State Street Corp. ......................................... 49,040
- ---------------------------------------------------------------------------------------
290,719
- ---------------------------------------------------------------------------------------
INSURANCE -- 11.0%
900 Ambac Financial Group, Inc. ................................ 66,096
1,000 American International Group, Inc. ......................... 71,280
1,300 The Chubb Corp. ............................................ 88,634
1,100 The Hartford Financial Services Group, Inc. ................ 75,614
1,200 Marsh & McLennan Cos., Inc. ................................ 54,456
600 MBIA Inc. .................................................. 34,272
1,000 MGIC Investment Corp. ...................................... 75,860
300 The PMI Group, Inc. ........................................ 13,056
1,600 Radian Group Inc. .......................................... 76,640
- ---------------------------------------------------------------------------------------
555,908
- ---------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 997,661
- ---------------------------------------------------------------------------------------
HEALTHCARE -- 13.8%
BIOTECHNOLOGY -- 2.7%
500 Amgen Inc.+................................................. 27,285
10,300 Aphton Corp.+............................................... 41,200
3,255 Enzo Biochem, Inc.+......................................... 48,825
4,000 XOMA Ltd.+.................................................. 17,920
- ---------------------------------------------------------------------------------------
135,230
- ---------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 1.2%
1,800 McKesson Corp. ............................................. 61,794
- ---------------------------------------------------------------------------------------
PHARMACEUTICALS -- 9.9%
2,400 Abbott Laboratories......................................... 97,824
1,600 GlaxoSmithKline PLC, ADR.................................... 66,336
1,800 Johnson & Johnson........................................... 100,260
1,700 Merck & Co., Inc. .......................................... 80,750
2,300 Pfizer Inc. ................................................ 78,844
2,200 Wyeth....................................................... 79,552
- ---------------------------------------------------------------------------------------
503,566
- ---------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 700,590
- ---------------------------------------------------------------------------------------
INDUSTRIALS -- 8.6%
AEROSPACE AND DEFENSE -- 2.7%
1,000 The Boeing Co. ............................................. 51,090
2,400 Raytheon Co. ............................................... 85,848
- ---------------------------------------------------------------------------------------
136,938
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
AIRLINES -- 1.5%
900 AMR Corp.+.................................................. $ 10,899
1,000 Continental Airlines, Inc., Class B Shares+................. 11,370
1,600 Delta Air Lines, Inc.+...................................... 11,392
1,000 Frontier Airlines, Inc.+.................................... 10,880
1,000 Northwest Airlines Corp.+................................... 11,120
1,300 Southwest Airlines Co. ..................................... 21,801
- ---------------------------------------------------------------------------------------
77,462
- ---------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 1.2%
2,100 Sabre Holdings Corp., Class A Shares........................ 58,191
- ---------------------------------------------------------------------------------------
CONSTRUCTION AND ENGINEERING -- 1.1%
800 Chicago Bridge & Iron Company N.V. ......................... 22,280
700 Fluor Corp. ................................................ 33,369
- ---------------------------------------------------------------------------------------
55,649
- ---------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 1.0%
1,400 Honeywell International Inc. ............................... 51,282
- ---------------------------------------------------------------------------------------
MACHINERY -- 1.1%
700 Caterpillar Inc. ........................................... 55,608
- ---------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 435,130
- ---------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 20.5%
COMMUNICATIONS EQUIPMENT -- 4.5%
16,600 Lucent Technologies Inc.+................................... 62,748
5,300 Motorola, Inc. ............................................. 96,725
4,700 Nokia Oyj, Sponsored ADR.................................... 68,338
- ---------------------------------------------------------------------------------------
227,811
- ---------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 1.3%
700 International Business Machines Corp. ...................... 61,705
600 Socket Communications, Inc.+................................ 1,716
- ---------------------------------------------------------------------------------------
63,421
- ---------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 3.4%
2,800 Agilent Technologies, Inc.+................................. 81,984
14,200 Solectron Corp.+............................................ 91,874
- ---------------------------------------------------------------------------------------
173,858
- ---------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 0.7%
5,100 RealNetworks, Inc.+......................................... 34,884
- ---------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 2.2%
1,900 SunGard Data Systems Inc.+.................................. 49,400
4,400 Unisys Corp.+............................................... 61,072
- ---------------------------------------------------------------------------------------
110,472
- ---------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.9%
4,000 IKON Office Solutions, Inc. ................................ 45,880
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 5.3%
3,000 Intel Corp. ................................................ $ 82,800
4,900 Lattice Semiconductor Corp.+................................ 34,349
7,758 Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored
ADR+........................................................ 64,468
3,600 Texas Instruments Inc. ..................................... 87,048
- ---------------------------------------------------------------------------------------
268,665
- ---------------------------------------------------------------------------------------
SOFTWARE -- 2.2%
400 Actuate Corp.+.............................................. 1,580
5,100 Micromuse Inc.+............................................. 34,119
2,700 Microsoft Corp. ............................................ 77,112
- ---------------------------------------------------------------------------------------
112,811
- ---------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 1,037,802
- ---------------------------------------------------------------------------------------
MATERIALS -- 11.9%
CHEMICALS -- 3.3%
600 Cabot Corp. ................................................ 24,420
1,900 The Dow Chemical Co. ....................................... 77,330
2,100 Engelhard Corp. ............................................ 67,851
- ---------------------------------------------------------------------------------------
169,601
- ---------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 1.3%
3,200 Smurfit-Stone Container Corp.+.............................. 63,840
- ---------------------------------------------------------------------------------------
METALS AND MINING -- 4.4%
2,300 Alcoa Inc. ................................................. 75,968
1,300 Allegheny Technologies Inc. ................................ 23,465
1,400 Brush Engineered Materials, Inc.+........................... 26,460
1,800 Newmont Mining Corp. ....................................... 69,768
1,400 RTI International Metals, Inc.+............................. 22,330
400 WGI Heavy Minerals, Inc.+................................... 2,447
- ---------------------------------------------------------------------------------------
220,438
- ---------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 2.9%
2,100 Georgia-Pacific Corp. ...................................... 77,658
1,100 Weyerhaeuser Co. ........................................... 69,432
- ---------------------------------------------------------------------------------------
147,090
- ---------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 600,969
- ---------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 4.9%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.4%
3,600 Nippon Telegraph and Telephone Corp., ADR................... 96,624
3,000 SBC Communications Inc. .................................... 72,750
- ---------------------------------------------------------------------------------------
169,374
- ---------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.5%
3,500 Vodafone Group PLC, Sponsored ADR........................... 77,350
- ---------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 246,724
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
UTILITIES -- 1.1%
ELECTRIC UTILITIES -- 0.1%
1,400 Calpine Corp.+.............................................. $ 6,048
- ---------------------------------------------------------------------------------------
MULTI-UTILITIES -- 1.0%
4,300 The Williams Cos., Inc. .................................... 51,170
- ---------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 57,218
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $4,517,858)..................... 5,050,333
- ---------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.2%
$9,000 UBS Securities LLC dated 6/30/04, 1.280% due 7/1/04;
Proceeds at maturity -- $9,000;
(Fully collateralized by U.S. Treasury Bonds, 5.500% to
13.250% due 8/15/13 to 8/15/28;
Market value -- $9,180) (Cost -- $9,000)............... 9,000
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $4,526,858*)........... $5,059,333
- ---------------------------------------------------------------------------------------
</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.
23
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
COMMON STOCK -- 98.9%
- -----------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 13.0%
AUTO COMPONENTS -- 0.2%
10,483 Cooper Tire & Rubber Co. ................................... $ 241,109
21,235 Dana Corp. ................................................. 416,206
78,834 Delphi Corp. ............................................... 841,947
24,472 The Goodyear Tire & Rubber Co. ............................. 222,450
26,483 Johnson Controls, Inc. ..................................... 1,413,663
18,559 Visteon Corp. .............................................. 216,584
- -----------------------------------------------------------------------------------------------
3,351,959
- -----------------------------------------------------------------------------------------------
AUTOMOBILES -- 0.7%
257,623 Ford Motor Co. ............................................. 4,031,800
78,891 General Motors Corp. ....................................... 3,675,532
42,611 Harley-Davidson, Inc. ...................................... 2,639,325
- -----------------------------------------------------------------------------------------------
10,346,657
- -----------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 1.3%
88,469 Carnival Corp. ............................................. 4,158,043
23,150 Darden Restaurants, Inc. ................................... 475,732
15,532 Harrah's Entertainment, Inc. ............................... 840,281
53,056 Hilton Hotels Corp. ........................................ 990,025
48,816 International Game Technology............................... 1,884,298
32,340 Marriott International, Inc., Class A Shares................ 1,613,119
177,451 McDonald's Corp. ........................................... 4,613,726
55,667 Starbucks Corp.+............................................ 2,420,401
28,521 Starwood Hotels & Resorts Worldwide, Inc. .................. 1,279,167
15,961 Wendy's International, Inc. ................................ 556,081
41,460 Yum! Brands, Inc.+.......................................... 1,543,141
- -----------------------------------------------------------------------------------------------
20,374,014
- -----------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.5%
10,951 The Black & Decker Corp. ................................... 680,386
17,426 Centex Corp. ............................................... 797,240
20,476 Fortune Brands, Inc. ....................................... 1,544,505
6,598 KB Home..................................................... 452,821
26,815 Leggett & Platt, Inc. ...................................... 716,229
11,207 Maytag Corp. ............................................... 274,684
38,672 Newell Rubbermaid Inc. ..................................... 908,792
17,650 Pulte Homes, Inc. .......................................... 918,330
8,270 Snap-on Inc. ............................................... 277,458
11,492 The Stanley Works........................................... 523,805
9,787 Whirlpool Corp. ............................................ 671,388
- -----------------------------------------------------------------------------------------------
7,765,638
- -----------------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 0.6%
90,768 eBay Inc.+.................................................. 8,346,118
- -----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.2%
13,060 Brunswick Corp. ............................................ $ 532,848
40,336 Eastman Kodak Co. .......................................... 1,088,265
24,713 Hasbro, Inc. ............................................... 469,547
60,692 Mattel, Inc. ............................................... 1,107,629
- -----------------------------------------------------------------------------------------------
3,198,289
- -----------------------------------------------------------------------------------------------
MEDIA -- 3.6%
86,685 Clear Channel Communications, Inc. ......................... 3,203,011
316,125 Comcast Corp., Class A Shares+.............................. 8,860,984
11,366 Dow Jones & Co., Inc. ...................................... 512,607
38,036 Gannett Co., Inc. .......................................... 3,227,355
11,291 Knight-Ridder, Inc. ........................................ 812,952
6,912 Meredith Corp. ............................................. 379,884
26,770 Omnicom Group Inc. ......................................... 2,031,575
58,421 The Interpublic Group of Cos., Inc. ........................ 802,120
26,919 The McGraw Hill Cos., Inc. ................................. 2,061,188
21,205 The New York Times Co., Class A Shares...................... 948,076
640,243 Time Warner Inc.+........................................... 11,255,472
46,404 Tribune Co. ................................................ 2,113,238
45,345 Univision Communications Inc., Class A Shares+.............. 1,447,866
245,769 Viacom Inc., Class B Shares................................. 8,778,869
287,898 The Walt Disney Co. ........................................ 7,338,520
- -----------------------------------------------------------------------------------------------
53,773,717
- -----------------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 3.3%
16,836 Big Lots, Inc.+............................................. 243,449
64,375 Costco Wholesale Corp.+..................................... 2,643,881
11,434 Dillard's, Inc., Class A Shares............................. 254,978
47,510 Dollar General Corp. ....................................... 929,296
24,060 Family Dollar Stores, Inc. ................................. 731,905
25,412 Federated Department Stores, Inc. .......................... 1,247,729
38,437 J.C. Penney Co., Inc. ...................................... 1,451,381
47,744 Kohl's Corp.+............................................... 2,018,616
40,708 The May Department Stores Co. .............................. 1,119,063
19,179 Nordstrom, Inc. ............................................ 817,217
31,241 Sears Roebuck & Co. ........................................ 1,179,660
128,161 Target Corp. ............................................... 5,442,998
608,100 Wal-Mart Stores, Inc. (a)................................... 32,083,356
- -----------------------------------------------------------------------------------------------
50,163,529
- -----------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 2.3%
38,491 AutoNation, Inc.+........................................... 658,196
12,242 AutoZone, Inc.+............................................. 980,584
41,867 Bed Bath and Beyond Inc.+................................... 1,609,786
45,710 Best Buy Co., Inc. ......................................... 2,319,325
29,943 Circuit City Stores, Inc. .................................. 387,762
126,129 The Gap, Inc. .............................................. 3,058,628
319,654 The Home Depot, Inc. ....................................... 11,251,821
65,710 Limited Brands.............................................. 1,228,777
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 2.3% (CONTINUED)
110,585 Lowe's Cos., Inc. .......................................... $ 5,811,242
43,487 Office Depot, Inc.+......................................... 778,852
22,906 RadioShack Corp. ........................................... 655,799
20,337 The Sherwin-Williams Co. ................................... 845,002
70,256 Staples, Inc.+.............................................. 2,059,203
20,608 Tiffany & Co. .............................................. 759,405
70,994 The TJX Cos., Inc. ......................................... 1,713,795
29,522 Toys "R" Us, Inc.+.......................................... 470,285
- -----------------------------------------------------------------------------------------------
34,588,462
- -----------------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 0.3%
17,725 Jones Apparel Group, Inc. .................................. 699,783
15,493 Liz Claiborne, Inc. ........................................ 557,438
37,017 NIKE, Inc., Class B Shares.................................. 2,804,038
8,295 Reebok International Ltd. .................................. 298,454
15,313 V.F. Corp. ................................................. 745,743
- -----------------------------------------------------------------------------------------------
5,105,456
- -----------------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 197,013,839
- -----------------------------------------------------------------------------------------------
CONSUMER STAPLES -- 8.7%
BEVERAGES -- 2.7%
5,134 Adolph Coors Co., Class B Shares............................ 371,394
114,388 Anheuser-Busch Co., Inc. ................................... 6,176,952
17,082 Brown-Forman Corp., Class B Shares.......................... 824,548
343,528 The Coca-Cola Co. .......................................... 17,341,293
64,450 Coca-Cola Enterprises Inc. ................................. 1,868,406
36,588 Pepsi Bottling Group, Inc. ................................. 1,117,398
240,283 PepsiCo, Inc. .............................................. 12,946,448
- -----------------------------------------------------------------------------------------------
40,646,439
- -----------------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 1.1%
51,395 Albertson's, Inc. .......................................... 1,364,023
55,545 CVS Corp. .................................................. 2,334,001
104,941 The Kroger Co.+............................................. 1,909,926
62,064 Safeway Inc.+............................................... 1,572,702
19,048 SUPERVALU Inc. ............................................. 583,059
90,527 Sysco Corp. ................................................ 3,247,203
144,056 Walgreen Co. ............................................... 5,216,268
19,546 Winn-Dixie Stores Inc. ..................................... 140,731
- -----------------------------------------------------------------------------------------------
16,367,913
- -----------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 1.2%
90,643 Archer-Daniels-Midland Co. ................................. 1,520,990
57,848 Campbell Soup Co. .......................................... 1,554,954
75,306 ConAgra Foods, Inc. ........................................ 2,039,286
52,820 General Mills, Inc. ........................................ 2,510,535
49,439 H.J. Heinz Co. ............................................. 1,938,009
36,678 Hershey Foods Corp. ........................................ 1,697,091
57,965 Kellogg Co. ................................................ 2,425,835
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 1.2% (CONTINUED)
19,504 McCormick & Co., Inc. ...................................... $ 663,136
111,131 Sara Lee Corp. ............................................. 2,554,902
31,597 Wm. Wrigley Jr. Co. ........................................ 1,992,191
- -----------------------------------------------------------------------------------------------
18,896,929
- -----------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 2.0%
29,548 The Clorox Co. ............................................. 1,589,091
74,752 Colgate-Palmolive Co. ...................................... 4,369,254
70,544 Kimberly-Clark Corp. ....................................... 4,647,439
363,132 The Procter & Gamble Co. ................................... 19,768,906
- -----------------------------------------------------------------------------------------------
30,374,690
- -----------------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 0.6%
12,806 Alberto-Culver Co., Class B Shares.......................... 642,093
66,058 Avon Products, Inc. ........................................ 3,047,916
141,345 The Gillette Co. ........................................... 5,993,028
- -----------------------------------------------------------------------------------------------
9,683,037
- -----------------------------------------------------------------------------------------------
TOBACCO -- 1.1%
287,547 Altria Group, Inc. ......................................... 14,391,727
12,016 R.J. Reynolds Tobacco Holdings, Inc. ....................... 812,161
23,460 UST Inc. ................................................... 844,560
- -----------------------------------------------------------------------------------------------
16,048,448
- -----------------------------------------------------------------------------------------------
TOTAL CONSUMER STAPLES...................................... 132,017,456
- -----------------------------------------------------------------------------------------------
ENERGY -- 6.3%
ENERGY EQUIPMENT AND SERVICES -- 0.9%
46,988 Baker Hughes Inc. .......................................... 1,769,098
22,320 BJ Services Co.+............................................ 1,023,149
61,555 Halliburton Co. ............................................ 1,862,654
20,631 Nabors Industries, Ltd.+.................................... 932,934
18,860 Noble Corp.+................................................ 714,605
14,798 Rowan Cos., Inc.+........................................... 360,035
82,698 Schlumberger Ltd. .......................................... 5,252,150
44,740 Transocean Inc.+............................................ 1,294,776
- -----------------------------------------------------------------------------------------------
13,209,401
- -----------------------------------------------------------------------------------------------
OIL AND GAS -- 5.4%
12,594 Amerada Hess Corp. ......................................... 997,319
35,480 Anadarko Petroleum Corp. ................................... 2,079,128
45,509 Apache Corp. ............................................... 1,981,917
9,710 Ashland, Inc. .............................................. 512,785
55,442 Burlington Resources, Inc. ................................. 2,005,892
150,402 ChevronTexaco Corp. ........................................ 14,154,332
96,220 ConocoPhillips.............................................. 7,340,624
32,570 Devon Energy Corp. ......................................... 2,149,620
16,190 EOG Resources, Inc. ........................................ 966,705
921,457 Exxon Mobil Corp. .......................................... 40,921,905
14,168 Kerr-McGee Corp. ........................................... 761,813
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
OIL AND GAS -- 5.4% (CONTINUED)
47,619 Marathon Oil Corp. ......................................... $ 1,801,903
54,479 Occidental Petroleum Corp. ................................. 2,637,328
10,888 Sunoco, Inc. ............................................... 692,695
36,413 Unocal Corp. ............................................... 1,383,694
17,928 Valero Energy Corp. ........................................ 1,322,369
- -----------------------------------------------------------------------------------------------
81,710,029
- -----------------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 94,919,430
- -----------------------------------------------------------------------------------------------
FINANCIALS -- 20.1%
BANKS -- 7.1%
49,468 AmSouth Bancorp. ........................................... 1,259,950
287,097 Bank of America Corp. ...................................... 24,294,148
108,818 The Bank of New York Co., Inc. ............................. 3,207,955
157,225 Bank One Corp. ............................................. 8,018,475
76,794 BB&T Corp. ................................................. 2,839,074
31,330 Charter One Financial, Inc. ................................ 1,384,473
24,516 Comerica Inc. .............................................. 1,345,438
79,451 Fifth Third Bancorp......................................... 4,272,875
17,558 First Horizon National Corp. ............................... 798,362
21,346 Golden West Financial Corp. ................................ 2,270,147
31,910 Huntington Bancshares Inc. ................................. 730,739
59,009 KeyCorp..................................................... 1,763,779
16,756 M&T Bank Corp. ............................................. 1,462,799
31,979 Marshall & Ilsley Corp. .................................... 1,250,059
60,663 Mellon Financial Corp. ..................................... 1,779,246
95,457 National City Corp. ........................................ 3,341,950
23,913 North Fork Bancorp., Inc. .................................. 909,890
30,900 Northern Trust Corp. ....................................... 1,306,452
38,999 PNC Financial Services Group................................ 2,070,067
31,151 Regions Financial Corp. .................................... 1,138,569
46,440 SouthTrust Corp. ........................................... 1,802,336
42,847 Sovereign Bancorp, Inc. .................................... 946,919
39,550 SunTrust Banks, Inc. ....................................... 2,570,355
42,413 Synovus Financial Corp. .................................... 1,073,897
269,876 U.S. Bancorp................................................ 7,437,783
26,676 Union Planters Corp. ....................................... 795,212
184,866 Wachovia Corp. ............................................. 8,226,537
126,525 Washington Mutual, Inc. .................................... 4,888,926
237,868 Wells Fargo & Co. .......................................... 13,613,186
12,687 Zions Bancorp............................................... 779,616
- -----------------------------------------------------------------------------------------------
107,579,214
- -----------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 8.0%
180,683 American Express Co. (a).................................... 9,283,493
14,491 The Bear Stearns Cos. Inc. ................................. 1,221,736
32,352 Capital One Financial Corp. ................................ 2,212,230
191,208 The Charles Schwab Corp. ................................... 1,837,509
723,843 Citigroup, Inc. (a)......................................... 33,658,700
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 8.0% (CONTINUED)
38,898 Countrywide Financial Corp. ................................ $ 2,732,584
51,745 E*TRADE Financial Corp.+.................................... 576,957
136,615 Fannie Mae.................................................. 9,748,846
15,035 Federated Investors, Inc., Class B Shares................... 456,162
35,086 Franklin Resources, Inc. ................................... 1,757,107
96,710 Freddie Mac................................................. 6,121,743
67,948 The Goldman Sachs Group, Inc. .............................. 6,397,984
289,074 J.P. Morgan Chase & Co. .................................... 11,207,399
33,792 Janus Capital Group, Inc. .................................. 557,230
38,879 Lehman Brothers Holdings Inc. .............................. 2,925,645
179,765 MBNA Corp. ................................................. 4,636,139
136,484 Merrill Lynch & Co., Inc. .................................. 7,367,406
20,842 Moody's Corp. .............................................. 1,347,644
154,088 Morgan Stanley.............................................. 8,131,224
45,285 Principal Financial Group, Inc. ............................ 1,575,012
40,457 Providian Financial Corp.+.................................. 593,504
63,540 SLM Corp. .................................................. 2,570,193
47,135 State Street Corp. ......................................... 2,311,500
17,655 T. Rowe Price Group Inc. ................................... 889,812
- -----------------------------------------------------------------------------------------------
120,117,759
- -----------------------------------------------------------------------------------------------
INSURANCE -- 4.6%
39,123 ACE Ltd. ................................................... 1,654,120
72,081 AFLAC, Inc. ................................................ 2,941,626
98,851 Allstate Corp. ............................................. 4,601,514
14,926 Ambac Financial Group, Inc. ................................ 1,096,165
366,561 American International Group, Inc. (a)...................... 26,128,468
44,171 Aon Corp. .................................................. 1,257,548
26,437 The Chubb Corp. ............................................ 1,802,475
23,599 Cincinnati Financial Corp. ................................. 1,027,028
40,901 The Hartford Financial Services Group, Inc. ................ 2,811,535
19,770 Jefferson-Pilot Corp. ...................................... 1,004,316
24,902 Lincoln National Corp. ..................................... 1,176,620
26,088 Loews Corp. ................................................ 1,564,236
74,412 Marsh & McLennan Cos., Inc. ................................ 3,376,817
20,181 MBIA Inc. .................................................. 1,152,739
107,028 MetLife, Inc. .............................................. 3,836,954
13,898 MGIC Investment Corp. ...................................... 1,054,302
30,467 The Progressive Corp. ...................................... 2,598,835
76,000 Prudential Financial, Inc. ................................. 3,531,720
19,460 SAFECO Corp. ............................................... 856,240
93,176 The St. Paul Travelers Cos., Inc. .......................... 3,777,355
15,889 Torchmark Corp. ............................................ 854,828
41,502 UnumProvident Corp. ........................................ 659,882
19,367 XL Capital Ltd., Class A Shares............................. 1,461,434
- -----------------------------------------------------------------------------------------------
70,226,757
- -----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
REAL ESTATE -- 0.4%
13,159 Apartment Investment and Management Co., Class A Shares..... $ 409,640
56,087 Equity Office Properties Trust.............................. 1,525,566
39,234 Equity Residential.......................................... 1,166,427
25,781 Plum Creek Timber Co., Inc. ................................ 839,945
25,244 ProLogis.................................................... 831,032
28,597 Simon Property Group, Inc. ................................. 1,470,458
- -----------------------------------------------------------------------------------------------
6,243,068
- -----------------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 304,166,798
- -----------------------------------------------------------------------------------------------
HEALTHCARE -- 13.3%
BIOTECHNOLOGY -- 1.2%
181,172 Amgen Inc.+................................................. 9,886,556
46,079 Biogen Idec Inc.+........................................... 2,914,497
26,210 Chiron Corp.+............................................... 1,170,014
31,628 Genzyme Corp.+.............................................. 1,496,953
30,378 Gilead Sciences, Inc.+...................................... 2,035,326
34,903 MedImmune, Inc.+............................................ 816,730
- -----------------------------------------------------------------------------------------------
18,320,076
- -----------------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT AND SUPPLIES -- 2.2%
29,344 Applera Corp. -- Applied Biosystems Group................... 638,232
7,368 Bausch & Lomb, Inc. ........................................ 479,436
85,901 Baxter International, Inc. ................................. 2,964,444
35,402 Becton Dickinson & Co. ..................................... 1,833,824
36,066 Biomet, Inc. ............................................... 1,602,773
115,019 Boston Scientific Corp.+.................................... 4,922,813
14,570 C.R. Bard, Inc. ............................................ 825,390
43,800 Guidant Corp. .............................................. 2,447,544
33,840 IMS Health Inc. ............................................ 793,210
170,315 Medtronic, Inc. ............................................ 8,297,747
6,927 Millipore Corp.+............................................ 390,475
24,225 St. Jude Medical, Inc.+..................................... 1,832,621
55,942 Stryker Corp. .............................................. 3,076,810
34,022 Zimmer Holdings, Inc.+...................................... 3,000,740
- -----------------------------------------------------------------------------------------------
33,106,059
- -----------------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 1.9%
21,611 Aetna, Inc. ................................................ 1,836,935
15,858 AmerisourceBergen Corp. .................................... 947,991
19,383 Anthem, Inc.+............................................... 1,735,941
61,185 Cardinal Health, Inc. ...................................... 4,286,009
62,843 Caremark Rx, Inc.+.......................................... 2,070,048
19,714 CIGNA Corp. ................................................ 1,356,520
10,843 Express Scripts, Inc.+...................................... 859,091
69,780 HCA Inc. ................................................... 2,902,150
34,324 Health Management Associates, Inc., Class A Shares.......... 769,544
22,368 Humana, Inc.+............................................... 378,019
12,398 Manor Care, Inc. ........................................... 405,167
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 1.9% (CONTINUED)
41,075 McKesson Corp. ............................................. $ 1,410,105
14,539 Quest Diagnostics Inc. ..................................... 1,235,088
65,914 Tenet Healthcare Corp.+..................................... 883,907
87,873 UnitedHealth Group Inc. .................................... 5,470,094
21,743 WellPoint Health Networks, Inc.+............................ 2,435,433
- -----------------------------------------------------------------------------------------------
28,982,042
- -----------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 8.0%
219,895 Abbott Laboratories (a)..................................... 8,962,920
18,473 Allergan, Inc. ............................................. 1,653,703
272,830 Bristol-Myers Squibb Co. ................................... 6,684,335
157,891 Eli Lilly and Co. .......................................... 11,038,160
51,593 Forest Laboratories, Inc.+.................................. 2,921,712
20,995 Hospira, Inc.+.............................................. 579,462
416,981 Johnson & Johnson........................................... 23,225,842
34,103 King Pharmaceuticals, Inc.+................................. 390,479
38,159 Medco Health Solutions, Inc.+............................... 1,430,962
312,474 Merck & Co., Inc. .......................................... 14,842,515
37,625 Mylan Laboratories Inc. .................................... 761,906
1,071,766 Pfizer Inc. ................................................ 36,740,138
206,757 Schering-Plough Corp. ...................................... 3,820,869
15,113 Watson Pharmaceuticals, Inc.+............................... 406,540
187,269 Wyeth....................................................... 6,771,647
- -----------------------------------------------------------------------------------------------
120,231,190
- -----------------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 200,639,367
- -----------------------------------------------------------------------------------------------
INDUSTRIALS -- 12.1%
AEROSPACE AND DEFENSE -- 1.7%
118,295 The Boeing Co. ............................................. 6,043,692
27,865 General Dynamics Corp. ..................................... 2,766,994
16,487 Goodrich Corp. ............................................. 533,025
63,510 Lockheed Martin Corp. ...................................... 3,307,601
52,528 Northrop Grumman Corp. ..................................... 2,820,754
58,316 Raytheon Co. ............................................... 2,085,963
24,894 Rockwell Collins, Inc. ..................................... 829,468
72,474 United Technologies Corp. .................................. 6,629,922
- -----------------------------------------------------------------------------------------------
25,017,419
- -----------------------------------------------------------------------------------------------
AIR FREIGHT AND COURIERS -- 1.1%
42,008 FedEx Corp. ................................................ 3,431,634
9,142 Ryder Systems, Inc. ........................................ 366,320
158,708 United Parcel Service, Inc., Class B Shares................. 11,930,080
- -----------------------------------------------------------------------------------------------
15,728,034
- -----------------------------------------------------------------------------------------------
AIRLINES -- 0.1%
16,863 Delta Air Lines, Inc. ...................................... 120,065
111,120 Southwest Airlines Co. ..................................... 1,863,482
- -----------------------------------------------------------------------------------------------
1,983,547
- -----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 0.2%
30,513 American Standard Cos. Inc.+................................ $ 1,229,979
8,171 Crane Co. .................................................. 256,488
63,613 Masco Corp. ................................................ 1,983,453
- -----------------------------------------------------------------------------------------------
3,469,920
- -----------------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 1.9%
45,484 Allied Waste Industries, Inc.+.............................. 599,479
24,789 Apollo Group, Inc., Class A Shares+......................... 2,188,621
82,879 Automatic Data Processing Inc. ............................. 3,470,973
15,479 Avery Dennison Corp. ....................................... 990,811
141,627 Cendant Corp.+.............................................. 3,467,029
24,148 Cintas Corp. ............................................... 1,151,135
19,648 Convergys Corp.+............................................ 302,579
7,018 Deluxe Corp. ............................................... 305,283
19,346 Equifax, Inc. .............................................. 478,814
124,638 First Data Corp. ........................................... 5,548,884
27,432 Fiserv, Inc.+............................................... 1,066,830
25,052 H&R Block, Inc. ............................................ 1,194,479
15,714 Monster Worldwide, Inc.+.................................... 404,164
52,889 Paychex, Inc. .............................................. 1,791,879
32,787 Pitney Bowes, Inc. ......................................... 1,450,825
30,212 R.R. Donnelley & Sons Co. .................................. 997,600
24,008 Robert Half International Inc.+............................. 714,718
19,958 Sabre Holdings Corp., Class A Shares........................ 553,036
80,910 Waste Management, Inc. ..................................... 2,479,892
- -----------------------------------------------------------------------------------------------
29,157,031
- -----------------------------------------------------------------------------------------------
CONSTRUCTION AND ENGINEERING -- 0.1%
11,433 Fluor Corp. ................................................ 545,011
- -----------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.4%
27,498 American Power Conversion Corp.+............................ 540,336
12,819 Cooper Industries, Inc., Class A Shares..................... 761,577
59,359 Emerson Electric Co. ....................................... 3,772,264
12,477 Power-One, Inc.+............................................ 136,997
26,454 Rockwell Automation, Inc. .................................. 992,290
7,956 Thomas & Betts Corp.+....................................... 216,642
- -----------------------------------------------------------------------------------------------
6,420,106
- -----------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 4.7%
110,074 3M Co. ..................................................... 9,907,761
1,433,341 General Electric Co. ....................................... 46,440,248
120,585 Honeywell International Inc. ............................... 4,417,029
19,311 Textron, Inc. .............................................. 1,146,108
280,986 Tyco International Ltd. (a)................................. 9,311,876
- -----------------------------------------------------------------------------------------------
71,223,022
- -----------------------------------------------------------------------------------------------
MACHINERY -- 1.4%
48,764 Caterpillar Inc. ........................................... 3,873,812
5,925 Cummins Inc. ............................................... 370,312
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
MACHINERY -- 1.4% (CONTINUED)
43,334 Danaher Corp. .............................................. $ 2,246,868
34,168 Deere & Co. ................................................ 2,396,544
28,605 Dover Corp. ................................................ 1,204,270
21,401 Eaton Corp. ................................................ 1,385,501
43,296 Illinois Tool Works, Inc. .................................. 4,151,653
24,697 Ingersoll-Rand Co. Ltd., Class A Shares..................... 1,687,052
12,933 ITT Industries, Inc. ....................................... 1,073,439
9,703 Navistar International Corp.+............................... 376,088
24,495 PACCAR Inc. ................................................ 1,420,465
17,378 Pall Corp. ................................................. 455,130
16,691 Parker-Hannifin Corp. ...................................... 992,447
- -----------------------------------------------------------------------------------------------
21,633,581
- -----------------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.4%
52,492 Burlington Northern Santa Fe Corp. ......................... 1,840,894
30,262 CSX Corp. .................................................. 991,686
55,151 Norfolk Southern Corp. ..................................... 1,462,605
36,382 Union Pacific Corp. ........................................ 2,162,910
- -----------------------------------------------------------------------------------------------
6,458,095
- -----------------------------------------------------------------------------------------------
TRADING COMPANIES AND DISTRIBUTORS -- 0.1%
24,314 Genuine Parts Co. .......................................... 964,780
12,689 W.W. Grainger, Inc. ........................................ 729,618
- -----------------------------------------------------------------------------------------------
1,694,398
- -----------------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 183,330,164
- -----------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 16.2%
COMMUNICATIONS EQUIPMENT -- 3.1%
110,730 ADC Telecommunications, Inc.+............................... 314,473
22,357 Andrew Corp.+............................................... 447,364
59,604 Avaya Inc.+................................................. 941,147
82,548 CIENA Corp.+................................................ 307,079
965,661 Cisco Systems, Inc.+........................................ 22,886,166
27,168 Comverse Technology, Inc.+.................................. 541,730
189,797 Corning, Inc.+.............................................. 2,478,749
199,579 JDS Uniphase Corp.+......................................... 756,404
597,932 Lucent Technologies Inc.+................................... 2,260,183
329,121 Motorola, Inc. ............................................. 6,006,458
113,164 QUALCOMM, Inc. ............................................. 8,258,709
21,276 Scientific-Atlanta, Inc. ................................... 734,022
57,978 Tellabs, Inc.+.............................................. 506,728
- -----------------------------------------------------------------------------------------------
46,439,212
- -----------------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 3.6%
52,189 Apple Computer, Inc.+....................................... 1,698,230
359,937 Dell Inc.+.................................................. 12,892,943
339,679 EMC Corp.+.................................................. 3,872,341
52,439 Gateway, Inc.+.............................................. 235,976
428,643 Hewlett-Packard Co. ........................................ 9,044,367
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 3.6% (CONTINUED)
238,863 International Business Machines Corp. ...................... $ 21,055,773
17,987 Lexmark International, Inc., Class A Shares+................ 1,736,285
13,303 NCR Corp.+.................................................. 659,696
48,437 Network Appliance, Inc.+.................................... 1,042,849
22,656 NVIDIA Corp.+............................................... 464,448
460,451 Sun Microsystems, Inc.+..................................... 1,998,357
- -----------------------------------------------------------------------------------------------
54,701,265
- -----------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.6%
66,654 Agilent Technologies, Inc.+................................. 1,951,629
42,442 Broadcom Corp., Class A Shares+............................. 1,985,012
28,232 Jabil Circuit, Inc.+........................................ 710,882
26,727 Molex, Inc. ................................................ 857,402
17,917 PerkinElmer, Inc. .......................................... 359,057
72,905 Sanmina-SCI Corp.+.......................................... 663,436
134,559 Solectron Corp.+............................................ 870,597
32,739 Symbol Technologies, Inc. .................................. 482,573
11,705 Tektronix, Inc. ............................................ 398,204
23,166 Thermo Electron Corp.+...................................... 712,123
16,906 Waters Corp.+............................................... 807,769
- -----------------------------------------------------------------------------------------------
9,798,684
- -----------------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 0.5%
186,705 Yahoo! Inc.+................................................ 6,782,993
- -----------------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 0.3%
19,023 Affiliated Computer Services, Inc., Class A Shares+......... 1,007,078
26,469 Computer Sciences Corp.+.................................... 1,228,956
67,835 Electronic Data Systems Corp. .............................. 1,299,040
40,384 SunGard Data Systems Inc.+.................................. 1,049,984
46,667 Unisys Corp.+............................................... 647,738
- -----------------------------------------------------------------------------------------------
5,232,796
- -----------------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.1%
111,718 Xerox Corp.+................................................ 1,619,911
- -----------------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 3.5%
48,853 Advanced Micro Devices, Inc.+............................... 776,763
53,211 Altera Corp.+............................................... 1,182,348
52,405 Analog Devices, Inc.+....................................... 2,467,227
236,490 Applied Materials, Inc.+.................................... 4,639,934
43,435 Applied Micro Circuits Corp.+............................... 231,074
910,986 Intel Corp. ................................................ 25,143,214
27,495 KLA-Tencor Corp.+........................................... 1,357,703
43,970 Linear Technology Corp. .................................... 1,735,496
54,235 LSI Logic Corp.+............................................ 413,271
46,246 Maxim Integrated Products, Inc. ............................ 2,424,215
85,817 Micron Technology, Inc.+.................................... 1,313,858
49,671 National Semiconductor Corp.+............................... 1,092,265
21,379 Novellus Systems, Inc.+..................................... 672,156
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 3.5% (CONTINUED)
24,071 PMC-Sierra, Inc.+........................................... $ 345,419
13,131 QLogic Corp.+............................................... 349,153
26,747 Teradyne, Inc.+............................................. 607,157
243,724 Texas Instruments Inc. ..................................... 5,893,246
48,283 Xilinx, Inc.+............................................... 1,608,307
- -----------------------------------------------------------------------------------------------
52,252,806
- -----------------------------------------------------------------------------------------------
SOFTWARE -- 4.5%
33,653 Adobe Systems, Inc. ........................................ 1,564,864
15,787 Autodesk, Inc. ............................................. 675,841
31,357 BMC Software, Inc.+......................................... 580,104
23,062 Citrix Systems, Inc.+....................................... 469,542
81,998 Computer Associates International, Inc. .................... 2,300,864
53,440 Compuware Corp.+............................................ 352,704
42,107 Electronic Arts Inc.+....................................... 2,296,937
27,948 Intuit Inc.+................................................ 1,078,234
12,798 Mercury Interactive Corp.+.................................. 637,724
1,516,815 Microsoft Corp. ............................................ 43,320,236
52,439 Novell, Inc.+............................................... 439,963
734,891 Oracle Corp.+............................................... 8,767,250
38,739 Parametric Technology, Inc.+................................ 193,695
51,278 PeopleSoft, Inc.+........................................... 948,643
69,310 Siebel Systems, Inc.+....................................... 740,231
43,698 Symantec Corp.+............................................. 1,913,098
60,265 VERITAS Software Corp.+..................................... 1,669,340
- -----------------------------------------------------------------------------------------------
67,949,270
- -----------------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 244,776,937
- -----------------------------------------------------------------------------------------------
MATERIALS -- 3.0%
CHEMICALS -- 1.5%
31,885 Air Products & Chemicals, Inc. ............................. 1,672,368
130,961 The Dow Chemical Co. ....................................... 5,330,113
140,237 E.I. du Pont de Nemours & Co. .............................. 6,229,328
10,854 Eastman Chemical Co. ....................................... 501,780
36,256 Ecolab, Inc. ............................................... 1,149,315
17,867 Engelhard Corp. ............................................ 577,283
7,188 Great Lakes Chemical Corp. ................................. 194,507
15,045 Hercules, Inc.+............................................. 183,399
13,195 International Flavors & Fragrances, Inc. ................... 493,493
37,331 Monsanto Co. ............................................... 1,437,244
24,185 PPG Industries, Inc. ....................................... 1,511,321
45,842 Praxair, Inc. .............................................. 1,829,554
31,176 Rohm and Haas Co. .......................................... 1,296,298
9,869 Sigma-Aldrich Corp. ........................................ 588,291
- -----------------------------------------------------------------------------------------------
22,994,294
- -----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.1%
353 Eagle Materials Inc. ....................................... $ 25,070
14,138 Vulcan Materials Co. ....................................... 672,262
- -----------------------------------------------------------------------------------------------
697,332
- -----------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.2%
7,873 Ball Corp. ................................................. 567,250
15,065 Bemis, Inc. ................................................ 425,586
22,080 Pactiv Corp.+............................................... 550,675
12,089 Sealed Air Corp.+........................................... 643,981
7,751 Temple-Inland, Inc. ........................................ 536,757
- -----------------------------------------------------------------------------------------------
2,724,249
- -----------------------------------------------------------------------------------------------
METALS AND MINING -- 0.7%
122,119 Alcoa Inc. ................................................. 4,033,591
11,467 Allegheny Technologies, Inc. ............................... 206,979
24,225 Freeport-McMoRan Copper & Gold, Inc., Class B Shares........ 803,059
60,597 Newmont Mining Corp. ....................................... 2,348,740
10,953 Nucor Corp. ................................................ 840,752
13,075 Phelps Dodge Corp.+......................................... 1,013,443
15,926 United States Steel Corp. .................................. 559,321
12,140 Worthington Industries, Inc. ............................... 249,234
- -----------------------------------------------------------------------------------------------
10,055,119
- -----------------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.5%
12,052 Boise Cascade Corp. ........................................ 453,637
35,502 Georgia-Pacific Corp. ...................................... 1,312,864
67,348 International Paper Co. .................................... 3,010,456
14,843 Louisiana-Pacific Corp.+.................................... 351,037
28,254 MeadWestvaco Corp. ......................................... 830,385
32,970 Weyerhaeuser Co. ........................................... 2,081,066
- -----------------------------------------------------------------------------------------------
8,039,445
- -----------------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 44,510,439
- -----------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 3.4%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.8%
43,934 ALLTEL Corp. ............................................... 2,223,939
111,511 AT&T Corp. ................................................. 1,631,406
257,523 BellSouth Corp. ............................................ 6,752,253
20,134 CenturyTel, Inc. ........................................... 604,825
40,177 Citizens Communications Co.+................................ 486,142
248,792 Qwest Communications International Inc.+.................... 893,163
464,616 SBC Communications Inc. .................................... 11,266,938
199,774 Sprint Corp., Series 1 FON Shares........................... 3,516,022
388,287 Verizon Communications Inc. ................................ 14,052,107
- -----------------------------------------------------------------------------------------------
41,426,795
- -----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.6%
382,633 AT&T Wireless Services, Inc.+............................... $ 5,479,305
154,314 Nextel Communications, Inc., Class A Shares+................ 4,114,011
- -----------------------------------------------------------------------------------------------
9,593,316
- -----------------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 51,020,111
- -----------------------------------------------------------------------------------------------
UTILITIES -- 2.8%
ELECTRIC UTILITIES -- 2.2%
87,613 The AES Corp.+.............................................. 869,997
17,799 Allegheny Energy, Inc.+..................................... 274,283
25,421 Ameren Corp. ............................................... 1,092,086
55,484 American Electric Power Co., Inc. .......................... 1,775,488
59,545 Calpine Corp.+.............................................. 257,234
43,600 CenterPoint Energy, Inc. ................................... 501,400
25,047 Cinergy Corp. .............................................. 951,786
23,205 CMS Energy Corp. ........................................... 211,862
33,730 Consolidated Edison, Inc. .................................. 1,341,105
23,401 Constellation Energy Group, Inc. ........................... 886,898
45,679 Dominion Resources, Inc. ................................... 2,881,431
23,771 DTE Energy Co. ............................................. 963,676
45,867 Edison International+....................................... 1,172,819
32,115 Entergy Corp. .............................................. 1,798,761
92,533 Exelon Corp. ............................................... 3,080,424
46,224 FirstEnergy Corp. .......................................... 1,729,240
25,997 FPL Group, Inc. ............................................ 1,662,508
58,735 PG&E Corp.+................................................. 1,641,056
12,999 Pinnacle West Capital Corp. ................................ 525,030
24,866 PPL Corp. .................................................. 1,141,349
34,353 Progress Energy, Inc. ...................................... 1,513,250
33,202 Public Service Enterprise Group Inc. ....................... 1,329,076
103,114 The Southern Co. ........................................... 3,005,773
26,454 TECO Energy, Inc. .......................................... 317,183
45,496 TXU Corp. .................................................. 1,843,043
55,726 Xcel Energy, Inc. .......................................... 931,181
- -----------------------------------------------------------------------------------------------
33,697,939
- -----------------------------------------------------------------------------------------------
GAS UTILITIES -- 0.3%
89,054 El Paso Corp. .............................................. 701,746
22,500 KeySpan Corp. .............................................. 825,750
17,346 Kinder Morgan, Inc. ........................................ 1,028,444
6,131 Nicor, Inc. ................................................ 208,270
5,062 Peoples Energy Corp. ....................................... 213,363
32,086 Sempra Energy............................................... 1,104,721
- -----------------------------------------------------------------------------------------------
4,082,294
- -----------------------------------------------------------------------------------------------
MULTI-UTILITIES -- 0.3%
127,211 Duke Energy Corp. .......................................... 2,581,111
51,322 Dynegy Inc., Class A Shares................................. 218,632
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
MULTI-UTILITIES -- 0.3% (CONTINUED)
36,789 NiSource Inc. .............................................. $ 758,589
72,772 The Williams Cos., Inc. .................................... 865,987
- -----------------------------------------------------------------------------------------------
4,424,319
- -----------------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 42,204,552
- -----------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,510,749,848)................. 1,494,599,093
- -----------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.1%
- -----------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.1%
$ 1,045,000 United States Treasury Bills, due 9/16/04 (b)
(Cost -- $1,042,111)........................................ 1,042,228
- -----------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.0%
16,116,000 UBS Securities LLC dated 6/30/04, 1.280% due 7/1/04;
Proceeds at maturity -- $16,116,573; (Fully
collateralized by U.S. Treasury Bonds, 5.500% to
13.250% due 8/15/13 to 8/15/28; Market
value -- $16,438,375) (Cost -- $16,116,000)............ 16,116,000
- -----------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (Cost -- $17,158,111).......... 17,158,228
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $1,527,907,959*)....... $1,511,757,321
- -----------------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
(a) All or a portion of this security is segregated for open futures contracts.
(b) All or a portion of this security is held as collateral for open futures
contracts.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
38
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
COMMON STOCK -- 98.0%
- -----------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 9.9%
HOTELS, RESTAURANTS AND LEISURE -- 0.7%
3,070 McDonald's Corp. ........................................... $ 79,820
- -----------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 1.0%
4,720 Newell Rubbermaid Inc....................................... 110,920
- -----------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 1.2%
4,090... InterActiveCorp+............................................ 123,273
- -----------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.7%
4,210 Mattel, Inc................................................. 76,832
- -----------------------------------------------------------------------------------------
MEDIA -- 4.1%
3,470 Comcast Corp., Class A Shares+.............................. 97,264
1,290 Comcast Corp., Special Class A Shares+...................... 35,617
8,757 Liberty Media Corp., Series A Shares+....................... 78,725
437 Liberty Media International, Inc. Series A Shares+.......... 16,213
2,540 The News Corp. Ltd., Sponsored Preferred ADR................ 83,515
3,440 Viacom Inc., Class B Shares................................. 122,877
- -----------------------------------------------------------------------------------------
434,211
- -----------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 0.7%
1,890 Costco Wholesale Corp....................................... 77,622
- -----------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.5%
3,070 Best Buy Co., Inc........................................... 155,772
- -----------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 1,058,450
- -----------------------------------------------------------------------------------------
CONSUMER STAPLES -- 9.1%
BEVERAGES -- 2.3%
4,450 PepsiCo, Inc. .............................................. 239,766
- -----------------------------------------------------------------------------------------
FOOD PRODUCTS -- 1.1%
2,840 Kellogg Co. ................................................ 118,854
- -----------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 4.1%
3,160 Kimberly-Clark Corp. ....................................... 208,181
4,240 The Procter & Gamble Co. ................................... 230,826
- -----------------------------------------------------------------------------------------
439,007
- -----------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 1.1%
2,420 The Estee Lauder Cos. Inc., Class A Shares.................. 118,048
- -----------------------------------------------------------------------------------------
TOBACCO -- 0.5%
1,150 Altria Group, Inc........................................... 57,558
- -----------------------------------------------------------------------------------------
TOTAL CONSUMER STAPLES...................................... 973,233
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
ENERGY -- 7.3%
ENERGY EQUIPMENT AND SERVICES -- 1.8%
3,860 ENSCO International Inc..................................... $ 112,326
2,930 GlobalSantaFe Corp.......................................... 77,645
- -----------------------------------------------------------------------------------------
189,971
- -----------------------------------------------------------------------------------------
OIL AND GAS -- 5.5%
1,050 ChevronTexaco Corp. ........................................ 98,815
7,050 Exxon Mobil Corp. .......................................... 313,089
1,790 Total SA, Sponsored ADR..................................... 171,983
- -----------------------------------------------------------------------------------------
583,887
- -----------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 773,858
- -----------------------------------------------------------------------------------------
FINANCIALS -- 19.0%
BANKS -- 9.8%
3,393 Bank of America Corp. ...................................... 287,116
2,620 The Bank of New York Co., Inc. ............................. 77,238
2,860 Bank One Corp. ............................................. 145,860
1,400 Comerica Inc. .............................................. 76,832
1,670 Fifth Third Bancorp......................................... 89,813
2,800 U.S. Bancorp................................................ 77,168
1,780 Wachovia Corp. ............................................. 79,210
3,700 Wells Fargo & Co. .......................................... 211,751
- -----------------------------------------------------------------------------------------
1,044,988
- -----------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.5%
2,690 American Express Co. ....................................... 138,212
940 Freddie Mac................................................. 59,502
1,540 The Goldman Sachs Group, Inc. .............................. 145,006
1,750 J.P. Morgan Chase & Co. .................................... 67,847
3,050 MBNA Corp. ................................................. 78,659
1,800 Merrill Lynch & Co., Inc. .................................. 97,164
- -----------------------------------------------------------------------------------------
586,390
- -----------------------------------------------------------------------------------------
INSURANCE -- 3.7%
3,270 American International Group, Inc. ......................... 233,086
1 Berkshire Hathaway Inc., Class A Shares+.................... 88,950
1,160 The Chubb Corp. ............................................ 79,089
- -----------------------------------------------------------------------------------------
401,125
- -----------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 2,032,503
- -----------------------------------------------------------------------------------------
HEALTHCARE -- 13.9%
BIOTECHNOLOGY -- 1.9%
2,308 Amgen Inc.+................................................. 125,948
1,030 OSI Pharmaceuticals, Inc.+.................................. 72,553
- -----------------------------------------------------------------------------------------
198,501
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT AND SUPPLIES -- 2.2%
1,830 Fisher Scientific International Inc.+....................... $ 105,682
2,240 Guidant Corp. .............................................. 125,171
- -----------------------------------------------------------------------------------------
230,853
- -----------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 1.0%
1,230 Anthem, Inc.+............................................... 110,159
- -----------------------------------------------------------------------------------------
PHARMACEUTICALS -- 8.8%
3,410 GlaxoSmithKline PLC, ADR.................................... 141,379
9,190 Pfizer Inc.................................................. 315,033
7,130 Schering-Plough Corp. ...................................... 131,762
1,600 Sepracor Inc.+.............................................. 84,640
2,690 Teva Pharmaceutical Industries Ltd., Sponsored ADR.......... 181,010
2,570 Wyeth....................................................... 92,931
- -----------------------------------------------------------------------------------------
946,755
- -----------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 1,486,268
- -----------------------------------------------------------------------------------------
INDUSTRIALS -- 14.9%
AEROSPACE AND DEFENSE -- 4.3%
1,790 Lockheed Martin Corp. ...................................... 93,223
3,260 Raytheon Co. ............................................... 116,610
4,890 The Boeing Co. ............................................. 249,830
- -----------------------------------------------------------------------------------------
459,663
- -----------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 1.1%
2,910 American Standard Cos. Inc.+................................ 117,302
- -----------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 2.5%
1,580 Avery Dennison Corp. ....................................... 101,136
3,200 Paychex, Inc. .............................................. 108,416
1,750 Waste Management, Inc. ..................................... 53,638
- -----------------------------------------------------------------------------------------
263,190
- -----------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 6.3%
11,990 General Electric Co. ....................................... 388,476
3,470 Honeywell International Inc. ............................... 127,106
4,670 Tyco International Ltd. .................................... 154,764
- -----------------------------------------------------------------------------------------
670,346
- -----------------------------------------------------------------------------------------
MACHINERY -- 0.7%
2,020 Navistar International Corp.+............................... 78,295
- -----------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 1,588,796
- -----------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 15.8%
COMMUNICATIONS EQUIPMENT -- 4.5%
48,190 ADC Telecommunications, Inc.+............................... 136,860
6,870 Cisco Systems, Inc.+........................................ 162,819
36,980 Nortel Networks Corp.+...................................... 184,530
- -----------------------------------------------------------------------------------------
484,209
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 4.3%
4,380 Dell Inc.+.................................................. $ 156,892
5,860 Hewlett-Packard Co. ........................................ 123,646
2,020 International Business Machines Corp. ...................... 178,063
- -----------------------------------------------------------------------------------------
458,601
- -----------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 1.8%
6,360 Intel Corp. ................................................ 175,536
540 Microchip Technology Inc. .................................. 17,032
- -----------------------------------------------------------------------------------------
192,568
- -----------------------------------------------------------------------------------------
SOFTWARE -- 5.2%
4,890 BMC Software, Inc.+......................................... 90,465
14,120 Microsoft Corp. ............................................ 403,267
4,780 Oracle Corp.+............................................... 57,025
- -----------------------------------------------------------------------------------------
550,757
- -----------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 1,686,135
- -----------------------------------------------------------------------------------------
MATERIALS -- 4.0%
CONTAINERS AND PACKAGING -- 0.5%
2,980 Smurfit-Stone Container Corp.+.............................. 59,451
- -----------------------------------------------------------------------------------------
METALS AND MINING -- 2.1%
4,620 Alcoa Inc. ................................................. 152,599
3,620 Barrick Gold Corp. ......................................... 71,495
- -----------------------------------------------------------------------------------------
224,094
- -----------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 1.4%
3,290 International Paper Co. .................................... 147,063
- -----------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 430,608
- -----------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 1.4%
WIRELESS TELECOMMUNICATION SERVICES -- 1.4%
10,500 AT&T Wireless Services Inc.+................................ 150,360
- -----------------------------------------------------------------------------------------
UTILITIES -- 2.7%
ELECTRIC UTILITIES -- 0.8%
2,390 FirstEnergy Corp. .......................................... 89,410
- -----------------------------------------------------------------------------------------
GAS UTILITIES -- 1.0%
13,370 El Paso Corp. .............................................. 105,356
- -----------------------------------------------------------------------------------------
MULTI-UTILITIES -- 0.9%
4,590 NiSource Inc. .............................................. 94,646
- -----------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 289,412
- -----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $8,800,213)..................... 10,469,623
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.0%
$219,000 UBS Securities LLC dated 6/30/04, 1.280% due 7/1/04;
Proceeds at maturity -- $219,008; (Fully collateralized by
U.S. Treasury Bonds, 5.500% to 13.250% due 8/15/13 to
8/15/28; Market value -- $223,381) (Cost -- $219,000)..... $ 219,000
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $9,019,213*)........... $10,688,623
- -----------------------------------------------------------------------------------------
</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.
43
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE AGGRESSIVE GROWTH FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------
COMMON STOCK -- 90.1%
- -------------------------------------------------------------------------------------------
COMMINGLED FUND -- 1.7%
13,100 Nasdaq-100 Index Tracking Stock+............................ $ 494,918
- -------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 13.6%
MEDIA -- 13.4%
25,420 Cablevision Systems Corp., NY Group Class A Shares+......... 499,503
4,117 Comcast Corp., Class A Shares+.............................. 115,400
38,025 Comcast Corp., Special Class A Shares+...................... 1,049,870
54,600 Liberty Media Corp., Series A Shares+....................... 490,854
2,730 Liberty Media International, Inc., Series A Shares+......... 101,283
50,600 Time Warner Inc.+........................................... 889,548
5,153 Viacom Inc., Class B Shares................................. 184,065
15,000 The Walt Disney Co. ........................................ 382,350
5,600 World Wrestling Entertainment, Inc., Class A Shares......... 71,400
- -------------------------------------------------------------------------------------------
3,784,273
- -------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 0.2%
7,700 Charming Shoppes, Inc.+..................................... 68,761
- -------------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 3,853,034
- -------------------------------------------------------------------------------------------
ENERGY -- 10.1%
ENERGY EQUIPMENT AND SERVICES -- 5.2%
7,600 Core Laboratories N.V.+..................................... 174,800
16,850 Grant Prideco, Inc.+........................................ 311,051
21,550 Weatherford International Ltd.+............................. 969,319
- -------------------------------------------------------------------------------------------
1,455,170
- -------------------------------------------------------------------------------------------
OIL AND GAS -- 4.9%
23,800 Anadarko Petroleum Corp. ................................... 1,394,680
- -------------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 2,849,850
- -------------------------------------------------------------------------------------------
FINANCIALS -- 9.2%
BANKS -- 1.3%
17,849 New York Community Bancorp, Inc. ........................... 350,376
- -------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 7.9%
2,500 CIT Group Inc. ............................................. 95,725
200 Greenhill & Co., Inc.+...................................... 4,182
18,050 Lehman Brothers Holdings Inc. .............................. 1,358,262
14,550 Merrill Lynch & Co., Inc. .................................. 785,409
50 National Financial Partners Corp. .......................... 1,764
- -------------------------------------------------------------------------------------------
2,245,342
- -------------------------------------------------------------------------------------------
REAL ESTATE -- 0.0%
3 Corrections Corp. of America+............................... 118
- -------------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 2,595,836
- -------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE AGGRESSIVE GROWTH FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------
HEALTHCARE -- 35.0%
BIOTECHNOLOGY -- 21.9%
6,420 Alkermes, Inc.+............................................. $ 87,312
20,300 Amgen Inc.+................................................. 1,107,771
22,850 Biogen Idec Inc.+........................................... 1,445,262
2,600 CancerVax Corp.+............................................ 19,786
23,975 Chiron Corp.+............................................... 1,070,244
4,300 Genentech, Inc.+............................................ 241,660
20,048 Genzyme Corp.+.............................................. 948,872
10,428 ImClone Systems Inc.+....................................... 894,618
8,200 Isis Pharmaceuticals, Inc.+................................. 47,068
18,346 Millennium Pharmaceuticals, Inc.+........................... 253,175
4,860 Nanogen, Inc.+.............................................. 32,659
6,410 Vertex Pharmaceuticals Inc.+................................ 69,485
- -------------------------------------------------------------------------------------------
6,217,912
- -------------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT AND SUPPLIES -- 0.4%
2,400 Biosite Inc.+............................................... 107,808
- -------------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 4.5%
20,660 UnitedHealth Group Inc. .................................... 1,286,085
- -------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 8.2%
21,580 Forest Laboratories, Inc.+.................................. 1,222,075
7,600 Johnson & Johnson........................................... 423,320
15,400 King Pharmaceuticals, Inc.+................................. 176,330
2,500 Pfizer Inc. ................................................ 85,700
3,221 Teva Pharmaceutical Industries Ltd., Sponsored ADR.......... 216,741
10,000 Valeant Pharmaceuticals International....................... 200,000
- -------------------------------------------------------------------------------------------
2,324,166
- -------------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 9,935,971
- -------------------------------------------------------------------------------------------
INDUSTRIALS -- 6.9%
AEROSPACE AND DEFENSE -- 2.5%
10,850 L-3 Communications Holdings, Inc. .......................... 724,780
- -------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 3.5%
29,934 Tyco International Ltd...................................... 992,013
- -------------------------------------------------------------------------------------------
MACHINERY -- 0.9%
9,500 Pall Corp. ................................................. 248,805
- -------------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 1,965,598
- -------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 11.6%
COMMUNICATIONS EQUIPMENT -- 2.9%
14,700 C-COR.net Corp.+............................................ 151,263
4,200 DSP Group, Inc.+............................................ 114,408
24,300 Motorola, Inc. ............................................. 443,475
8,900 Nokia Oyj, Sponsored ADR.................................... 129,406
- -------------------------------------------------------------------------------------------
838,552
- -------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE AGGRESSIVE GROWTH FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 2.1%
3,500 Drexler Technology Corp.+................................... $ 46,655
38,162 Maxtor Corp.+............................................... 253,014
31,500 Quantum Corp.+.............................................. 97,650
8,800 SanDisk Corp.+.............................................. 190,872
- -------------------------------------------------------------------------------------------
588,191
- -------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.7%
5,750 Excel Technology, Inc.+..................................... 191,188
- -------------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 5.0%
6,500 Cirrus Logic, Inc.+......................................... 39,065
2,400 Cree, Inc.+................................................. 55,872
10,425 Intel Corp. ................................................ 287,730
44,355 Micron Technology, Inc.+.................................... 679,075
12,200 RF Micro Devices, Inc.+..................................... 91,500
5,400 Standard Microsystems Corp.+................................ 125,928
6,300 Teradyne, Inc.+............................................. 143,010
- -------------------------------------------------------------------------------------------
1,422,180
- -------------------------------------------------------------------------------------------
SOFTWARE -- 0.9%
3,300 Advent Software, Inc.+...................................... 59,631
1,900 Autodesk, Inc............................................... 81,339
3,800 Microsoft Corp.............................................. 108,528
- -------------------------------------------------------------------------------------------
249,498
- -------------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 3,289,609
- -------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 2.0%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0%
1,000 AT&T Corp................................................... 14,630
- -------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 2.0%
39,230 AT&T Wireless Services, Inc.+............................... 561,774
- -------------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 576,404
- -------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $25,981,569).................... 25,561,220
- -------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 9.9%
$2,798,000 UBS Securities LLC dated 6/30/04, 1.280% due 7/1/04;
Proceeds at maturity --
$2,798,099; (Fully collateralized by U.S. Treasury Bonds,
5.500% to 13.250% due 8/15/13 to 8/15/28; Market
value -- $2,853,970) (Cost -- $2,798,000)................. 2,798,000
- -------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $28,779,569*).......... $28,359,220
- -------------------------------------------------------------------------------------------
</Table>
<Table>
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is
substantially the same.
</Table>
Abbreviation used in this schedule:
ADR -- American Depositary Receipt
SEE NOTES TO FINANCIAL STATEMENTS.
46
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE INTERNATIONAL EQUITY FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------------
COMMON STOCK -- 99.9%
- ------------------------------------------------------------------------------------------------
AUSTRALIA -- 1.8%
1,000 Macquarie Bank Ltd. ........................................ $ 23,550
3,600 News Corp. Ltd.............................................. 31,730
- ------------------------------------------------------------------------------------------------
55,280
- ------------------------------------------------------------------------------------------------
DENMARK -- 1.6%
930 Novo Nordisk A/S, Class B Shares............................ 47,934
- ------------------------------------------------------------------------------------------------
FINLAND -- 2.4%
5,000 Nokia Oyj................................................... 72,787
- ------------------------------------------------------------------------------------------------
FRANCE -- 7.3%
4,700 Axa......................................................... 103,624
625 Essilor International S.A. ................................. 40,844
800 Total SA, Sponsored ADR..................................... 76,864
- ------------------------------------------------------------------------------------------------
221,332
- ------------------------------------------------------------------------------------------------
GERMANY -- 4.4%
450 BASF AG, Sponsored ADR...................................... 24,233
1,500 SAP AG, Sponsored ADR....................................... 62,715
700 Stada Arzneimittel AG....................................... 29,230
1,500 T-Online International AG+.................................. 17,120
- ------------------------------------------------------------------------------------------------
133,298
- ------------------------------------------------------------------------------------------------
HONG KONG -- 1.8%
2,000 Hutchinson Whampoa Ltd. .................................... 13,654
15,000 Johnson Electric Holdings Ltd. ............................. 15,193
4,000 Swire Pacific Limited, Class A Shares....................... 25,898
- ------------------------------------------------------------------------------------------------
54,745
- ------------------------------------------------------------------------------------------------
IRELAND -- 7.6%
3,900 Bank of Ireland............................................. 52,161
2,512 CRH PLC..................................................... 53,119
10,000 Irish Continental Group PLC................................. 123,637
- ------------------------------------------------------------------------------------------------
228,917
- ------------------------------------------------------------------------------------------------
ITALY -- 1.2%
4,000 Saipem S.p.A................................................ 36,446
- ------------------------------------------------------------------------------------------------
JAPAN -- 23.8%
2,000 Canon Inc. ................................................. 105,172
5,000 Dowa Mining Co., Ltd. ...................................... 29,585
2,000 Honda Motor Co., Ltd., Sponsored ADR........................ 48,640
400 Hoya Corp. ................................................. 41,776
2,000 Ito-Yokado Co., Ltd. ....................................... 85,418
6 Mitsubishi Tokyo Financial Group, Inc. ..................... 55,421
200 Nidec Corp. ................................................ 20,449
300 Nitto Denko Corp. .......................................... 15,309
2,000 Nomura Holdings, Inc. ...................................... 29,540
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE INTERNATIONAL EQUITY FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------------
JAPAN -- 23.8% (CONTINUED)
700 NTT DoCoMo, Inc., Sponsored ADR $ 12,677
300 Rohm Co. Ltd. .............................................. 35,832
4,000 Sharp Corp. ................................................ 63,761
600 Shin-Etsu Chemical Co., Ltd. ............................... 21,400
4,000 Terumo Corp. ............................................... 100,050
5,000 Toppan Printing Co., Ltd. .................................. 56,473
- ------------------------------------------------------------------------------------------------
721,503
- ------------------------------------------------------------------------------------------------
MEXICO -- 3.4%
35,000 Wal-Mart de Mexico S.A. de CV............................... 103,776
- ------------------------------------------------------------------------------------------------
NETHERLANDS -- 1.7%
975 Royal Dutch Petroleum Co. .................................. 50,095
- ------------------------------------------------------------------------------------------------
NORWAY -- 0.6%
5,700 Stolt Offshore S.A.+........................................ 17,188
- ------------------------------------------------------------------------------------------------
SINGAPORE -- 3.7%
6,000 DBS Group Holdings Ltd. .................................... 50,195
19,550 Singapore Press Holdings Ltd. .............................. 47,248
1,400 Venture Manufacturing Ltd. ................................. 14,640
- ------------------------------------------------------------------------------------------------
112,083
- ------------------------------------------------------------------------------------------------
SPAIN -- 3.8%
7,700 Indra Sistemas S.A.......................................... 98,296
1,100 Telefonica S.A.............................................. 16,280
- ------------------------------------------------------------------------------------------------
114,576
- ------------------------------------------------------------------------------------------------
SWITZERLAND -- 13.8%
3,500 Mettler-Toledo International Inc.+.......................... 171,990
300 Nestle SA................................................... 80,038
900 Roche Holding AG............................................ 89,144
1,100 UBS AG...................................................... 77,542
- ------------------------------------------------------------------------------------------------
418,714
- ------------------------------------------------------------------------------------------------
UNITED KINGDOM -- 21.0%
800 AstraZeneca PLC............................................. 35,881
2,000 BOC Group PLC............................................... 33,466
7,800 BP PLC...................................................... 68,865
16,000 Capita Group PLC............................................ 92,385
7,000 Compass Group PLC........................................... 42,703
3,000 Diageo PLC.................................................. 40,437
818 HSBC Holdings PLC, Sponsored ADR............................ 61,276
9,052 Kingfisher PLC.............................................. 46,975
1,100 Royal Bank of Scotland Group PLC............................ 31,668
22,000 Serco Group PLC............................................. 84,953
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SALOMON BROTHERS VARIABLE INTERNATIONAL EQUITY FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------------
UNITED KINGDOM -- 21.0% (CONTINUED)
12,373 Tesco PLC................................................... $ 59,723
3,700 WPP Group PLC............................................... 37,563
- ------------------------------------------------------------------------------------------------
635,895
- ------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $2,276,280)..................... 3,024,569
- ------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.1%
$ 3,000 UBS Financial Services Inc. dated 6/30/04, 1.280% due
7/1/04; Proceeds at maturity -- $3,000;
(Fully collateralized by U.S. Treasury Bonds, 5.500% to
13.250% due 8/15/13 to 8/15/28;
Market value -- $3,060) (Cost -- $3,000).................. 3,000
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $2,279,280*)........... $3,027,569
- ------------------------------------------------------------------------------------------------
</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.
49
- --------------------------------------------------------------------------------
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.
BBB -- Bonds rated "BBB" are regarded as having an adequate
capacity to pay interest and repay principal. Whereas they
normally exhibit adequate protection parameters, adverse
economic conditions or changing circumstances are more
likely to lead to a weakened capacity to pay interest and
repay principal for bonds in this category than for bonds in
higher rated categories.
BB, B, CCC, -- Bonds rated "BB", "B", "CCC", "CC" and "C" are regarded, on
CC and C balance, as predominantly speculative with respect to the
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 outweighed
by large uncertainties or major risk exposures to adverse
conditions.
D -- Bonds rated "D" are in default, and payment of interest
and/or repayment of principal is in arrears.
</Table>
Moody's Investors Service ("Moody's") -- Numerical modifiers 1, 2 and 3 may be
applied to each generic rating from "Aa" to "Caa," where 1 is the highest and 3
the lowest ranking within its generic category.
<Table>
Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They
carry the smallest degree of investment risk and are
generally referred to as "gilt edge." Interest payments are
protected by a large or by an exceptionally stable margin
and principal is secure. While the various protective
elements are likely to change, such changes as can be
visualized are most unlikely to impair the fundamentally
strong position of such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what
are generally known as high grade bonds. They are rated
lower than the best bonds because margins of protection may
not be as large as in "Aaa" securities or fluctuation of
protective elements may be of greater amplitude or there may
be other elements present which make the long-term risks
appear somewhat larger than in "Aaa" securities.
A -- Bonds rated "A" 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; that is, they are neither highly protected nor
poorly secured. Interest payment and principal security
appear adequate for the present but certain protective
elements may be lacking or may be characteristically
unreliable over any great length of time. 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.
B -- Bonds rated "B" generally lack characteristics of desirable
investments. Assurance of interest and principal payments or
maintenance of other terms of the contract over any long
period of time may be small.
Caa -- Bonds rated "Caa" are of poor standing. Such issues may be
in default, or there may be present elements of danger with
respect to principal or interest.
Ca -- Bonds rated "Ca" represent obligations which are speculative
in a high degree. Such issues are often in default or have
other marked shortcomings.
C -- Bonds rated "C" are the lowest rated class of bonds, and
issues so rated can be regarded as having extremely poor
prospects of ever attaining any real investment standing.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
</Table>
50
(This page intentionally left blank.)
51
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
FUND PORTFOLIO
- --------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost...................................... -- $ 89,041,966
Short-term investments, at cost........................... $737,886 30,102,000
Foreign currency, at cost................................. -- --
- --------------------------------------------------------------------------------------------
Investments, at value..................................... -- $ 89,563,652
Short-term investments, at value.......................... $737,886 30,102,000
Foreign currency, at value................................ -- --
Cash...................................................... 173 503
Receivable from manager................................... 5,624 --
Dividends and interest receivable......................... 1 1,189,049
Receivable for securities sold............................ -- 21,862
Receivable for Fund shares sold........................... -- 250
Receivable from broker - variation margin................. -- --
Prepaid expenses.......................................... -- 11,814
- --------------------------------------------------------------------------------------------
TOTAL ASSETS.............................................. 743,684 120,889,130
- --------------------------------------------------------------------------------------------
LIABILITIES:
Payable for Fund shares reacquired........................ 1,020 276,813
Dividends payable......................................... 264 --
Payable for securities purchased.......................... -- 24,990,409
Payable for open forward foreign currency contracts (Note
6)..................................................... -- 103,320
Investment advisory fees payable.......................... -- 34,987
Payable to broker - variation margin...................... -- 23,785
Administration fees payable............................... -- 15,550
Distribution plan fees payable............................ -- --
Accrued expenses.......................................... 12,672 62,102
- --------------------------------------------------------------------------------------------
TOTAL LIABILITIES......................................... 13,956 25,506,966
- --------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $729,728 $ 95,382,164
- --------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of beneficial interest................ $ 730 $ 10,442
Capital paid in excess of par value....................... 728,998 102,076,575
Undistributed net investment income....................... -- 2,295,072
Accumulated net investment loss........................... -- --
Accumulated net realized gain (loss) from investment
transactions and futures contracts..................... -- (9,375,062)
Net unrealized appreciation (depreciation) of investments,
futures contracts
and foreign currencies................................. -- 375,137
- --------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $729,728 $ 95,382,164
- --------------------------------------------------------------------------------------------
SHARES OUTSTANDING:
Class I Shares............................................ 729,728 10,441,529
Class II Shares........................................... -- --
- --------------------------------------------------------------------------------------------
NET ASSET VALUE:
Class I Shares............................................ $1.00 $9.13
Class II Shares........................................... -- --
- --------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
- -----------------------------------------------------------
JUNE 30, 2004
<Table>
<Caption>
ALL CAP EQUITY GROWTH AGGRESSIVE INTERNATIONAL
VALUE INDEX & INCOME GROWTH EQUITY
FUND PORTFOLIO FUND FUND FUND
- ----------------------------------------------------------------------------
$ 4,517,858 $1,510,749,848 $ 8,800,213 $25,981,569 $2,276,280
9,000 17,158,111 219,000 2,798,000 3,000
-- -- -- -- 10,463
- ----------------------------------------------------------------------------
$ 5,050,333 $1,494,599,093 $10,469,623 $25,561,220 $3,024,569
9,000 17,158,228 219,000 2,798,000 3,000
-- -- -- -- 10,393
467 183 34 492 667
-- -- -- -- --
5,852 1,684,386 11,812 2,390 8,918
11,599 746,704 45,328 -- --
-- -- -- 65,942 --
-- 59,800 -- -- --
-- -- -- 2,219 286
- ----------------------------------------------------------------------------
5,077,251 1,514,248,394 10,745,797 28,430,263 3,047,833
- ----------------------------------------------------------------------------
6,959 1,097,896 12,566 8,712 4,981
-- -- -- -- --
5,677 3,338,003 28,954 -- --
-- -- -- -- --
2,602 305,352 3,910 16,689 2,576
-- -- -- -- --
829 73,285 1,738 4,450 606
-- 18,488 -- 1,163 --
7,388 185,773 4,564 7,483 10,332
- ----------------------------------------------------------------------------
23,455 5,018,797 51,732 38,497 18,495
- ----------------------------------------------------------------------------
$ 5,053,796 $1,509,229,597 $10,694,065 $28,391,766 $3,029,338
- ----------------------------------------------------------------------------
$ 1,437 $ 53,923 $ 2,286 $ 1,411 $ 410
5,726,183 1,556,146,139 10,155,383 29,680,410 2,101,437
-- 8,966,613 22,516 -- --
(8,756) -- -- (93,548) (5,961)
(1,197,530) (39,870,861) (1,155,530) (776,158) 184,928
532,462 (16,066,217) 1,669,410 (420,349) 748,524
- ----------------------------------------------------------------------------
$ 5,053,796 $1,509,229,597 $10,694,065 $28,391,766 $3,029,338
- ----------------------------------------------------------------------------
1,437,372 46,456,647 2,285,506 727,813 409,897
-- 7,466,793 -- 683,145 --
- ----------------------------------------------------------------------------
$3.52 $27.99 $4.68 $20.19 $7.39
-- $27.98 -- $20.05 --
- ----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
FUND PORTFOLIO
- ----------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest.................................................. $ 3,487 $ 2,832,886
Dividends................................................. -- 14,827
Less: Foreign withholding tax............................. -- --
- ----------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................... 3,487 2,847,713
- ----------------------------------------------------------------------------------------------
EXPENSES:
Audit and legal........................................... 9,611 11,210
Custody................................................... 7,537 30,215
Shareholder communications (Note 13)...................... 2,275 7,721
Investment advisory fees (Note 3)......................... 1,054 214,496
Trustees' fees............................................ 994 1,818
Administration fees (Note 3).............................. 702 95,332
Transfer agency services (Note 13)........................ 18 2,543
Distribution plan fees (Note 13).......................... -- --
License fee............................................... -- --
Pricing fees.............................................. -- --
Other..................................................... 910 2,094
- ----------------------------------------------------------------------------------------------
TOTAL EXPENSES............................................ 23,101 365,429
Less: Investment advisory and administration fee waivers
and expense reimbursement (Note 3).................. (19,967) --
- ----------------------------------------------------------------------------------------------
NET EXPENSES.............................................. 3,134 365,429
- ----------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS)................................ 353 2,482,284
- ----------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS AND FOREIGN CURRENCIES (NOTES 4, 5 AND 6):
Realized Gain (Loss) From:
Investment transactions................................ -- 1,186,822
Futures contracts...................................... -- (323,904)
Foreign currency transactions.......................... -- 305,584
- ----------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS).................................. -- 1,168,502
- ----------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) From:
Investments............................................ -- (3,855,929)
Futures contracts...................................... -- 20,528
Foreign currencies..................................... -- 21,435
- ----------------------------------------------------------------------------------------------
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)...... -- (3,813,966)
- ----------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND
FOREIGN CURRENCIES........................................ -- (2,645,464)
- ----------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........... $ 353 $ (163,180)
- ----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
- ---------------------------------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 2004
<Table>
<Caption>
ALL CAP EQUITY GROWTH AGGRESSIVE INTERNATIONAL
VALUE INDEX & INCOME GROWTH EQUITY
FUND PORTFOLIO FUND FUND FUND
- ----------------------------------------------------------------------------------
$ 452 $ 155,609 $ 1,173 $ 12,024 $ 203
29,953 11,372,967 78,919 37,601 44,346
(447) (1,024) (1,023) (509) (3,820)
- ----------------------------------------------------------------------------------
29,958 11,527,552 79,069 49,116 40,729
- ----------------------------------------------------------------------------------
9,391 13,791 9,616 9,863 11,004
6,310 37,073 7,494 8,071 8,615
2,955 55,763 2,900 2,896 2,687
11,792 1,759,541 23,230 84,438 13,901
970 9,801 839 838 961
5,241 422,290 10,324 22,517 3,271
29 4,988 39 77 39
-- 195,155 -- 11,693 --
-- 70,386 -- -- --
-- -- -- -- 5,000
176 6,865 1,250 898 297
- ----------------------------------------------------------------------------------
36,864 2,575,653 55,692 141,291 45,775
-- -- -- -- --
- ----------------------------------------------------------------------------------
36,864 2,575,653 55,692 141,291 45,775
- ----------------------------------------------------------------------------------
(6,906) 8,951,899 23,377 (92,175) (5,046)
- ----------------------------------------------------------------------------------
199,652 372,616 271,594 328,338 206,548
-- (692,907) -- -- --
(134) -- -- -- 378
- ----------------------------------------------------------------------------------
199,518 (320,291) 271,594 328,338 206,926
- ----------------------------------------------------------------------------------
(46,037) 39,062,039 (48,997) 340,001 (68,778)
-- (356,684) -- -- --
(13) -- (2) -- (654)
- ----------------------------------------------------------------------------------
(46,050) 38,705,355 (48,999) 340,001 (69,432)
- ----------------------------------------------------------------------------------
153,468 38,385,064 222,595 668,339 137,494
- ----------------------------------------------------------------------------------
$146,562 $47,336,963 $245,972 $ 576,164 $132,448
- ----------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
AND THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
MONEY MARKET PORTFOLIO
------------------------
2004 2003
- --------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss).............................. $ 353 $ 2,102
Net realized gain (loss).................................. -- --
Change in net unrealized appreciation (depreciation)...... -- --
- --------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS......... 353 2,102
- --------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTES 2 AND 14):
Net investment income..................................... (353) (2,102)
- --------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (353) (2,102)
- --------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 15):
Net proceeds from sale of shares.......................... 191,116 222,429
Net asset value of shares issued for reinvestment of
dividends.............................................. 321 2,102
Cost of shares reacquired................................. (194,247) (1,105,190)
- --------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... (2,810) (880,659)
- --------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... (2,810) (880,659)
NET ASSETS:
Beginning of period....................................... 732,538 1,613,197
- --------------------------------------------------------------------------------------
END OF PERIOD*............................................ $ 729,728 $ 732,538
- --------------------------------------------------------------------------------------
* Note:
Includes undistributed (overdistributed) net investment
income of:............................................. -- --
Includes accumulated net investment loss of:.............. -- --
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
- -----------------------------------------------------------
<Table>
<Caption>
DIVERSIFIED STRATEGIC INCOME
PORTFOLIO ALL CAP VALUE FUND EQUITY INDEX PORTFOLIO
----------------------------- ----------------------- -------------------------------
2004 2003 2004 2003 2004 2003
- ---------------------------------------------------------------------------------------------
$ 2,482,284 $ 4,921,110 $ (6,906) $ (8,731) $ 8,951,899 $ 15,379,224
1,168,502 1,190,010 199,518 (243,464) (320,291) 5,222,524
(3,813,966) 3,303,191 (46,050) 1,851,389 38,705,355 260,858,767
- ---------------------------------------------------------------------------------------------
(163,180) 9,414,311 146,562 1,599,194 47,336,963 281,460,515
- ---------------------------------------------------------------------------------------------
(34,448) (5,436,874) -- -- (561,407) (15,187,140)
- ---------------------------------------------------------------------------------------------
(34,448) (5,436,874) -- -- (561,407) (15,187,140)
- ---------------------------------------------------------------------------------------------
7,294,651 17,292,798 48,196 96,128 138,811,825 189,536,793
34,448 5,436,874 -- -- 561,407 15,187,140
(6,321,578) (10,144,262) (492,105) (1,078,334) (27,016,934) (37,560,590)
- ---------------------------------------------------------------------------------------------
1,007,521 12,585,410 (443,909) (982,206) 112,356,298 167,163,343
- ---------------------------------------------------------------------------------------------
809,893 16,562,847 (297,347) 616,988 159,131,854 433,436,718
94,572,271 78,009,424 5,351,143 4,734,155 1,350,097,743 916,661,025
- ---------------------------------------------------------------------------------------------
$95,382,164 $94,572,271 $5,053,796 $5,351,143 $1,509,229,597 $1,350,097,743
- ---------------------------------------------------------------------------------------------
$2,295,072 $(458,348) -- -- $8,966,613 $576,121
-- -- $(8,756) $(1,716) -- --
- ---------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
- --------------------------------------------------------------------------------
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>
GROWTH & INCOME FUND
--------------------------
2004 2003
- ----------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss).............................. $ 23,377 $ 27,897
Net realized gain (loss).................................. 271,594 (309,233)
Change in net unrealized appreciation (depreciation)...... (48,999) 2,397,882
- ----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 245,972 2,116,546
- ----------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTES 2 AND 14):
Net investment income..................................... (1,829) (25,273)
Net realized gains........................................ -- --
- ----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (1,829) (25,273)
- ----------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 15):
Net proceeds from sale of shares.......................... 1,458,280 2,367,296
Net asset value of shares issued for reinvestment of
dividends.............................................. 1,829 25,273
Cost of shares reacquired................................. (880,058) (1,390,807)
- ----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... 580,051 1,001,762
- ----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... 824,194 3,093,035
NET ASSETS:
Beginning of period....................................... 9,869,871 6,776,836
- ----------------------------------------------------------------------------------------
END OF PERIOD*............................................ $10,694,065 $ 9,869,871
- ----------------------------------------------------------------------------------------
* Note:
Includes undistributed net investment income of:.......... $22,516 $968
Includes accumulated net investment loss of:.............. -- --
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
- -----------------------------------------------------------
<Table>
<Caption>
AGGRESSIVE GROWTH FUND INTERNATIONAL EQUITY FUND
------------------------- -------------------------
2004 2003 2004 2003
- ---------------------------------------------------------
$ (92,175) $ (110,696) $ (5,046) $ (17,676)
328,338 34,057 206,926 242,129
340,001 3,179,928 (69,432) 472,947
- ---------------------------------------------------------
576,164 3,103,289 132,448 697,400
- ---------------------------------------------------------
-- -- -- --
-- -- -- (249,674)
- ---------------------------------------------------------
-- -- -- (249,674)
- ---------------------------------------------------------
12,402,929 11,636,864 1,426 8,693
-- -- -- 249,674
(1,689,908) (3,612,589) (431,259) (660,990)
- ---------------------------------------------------------
10,713,021 8,024,275 (429,833) (402,623)
- ---------------------------------------------------------
11,289,185 11,127,564 (297,385) 45,103
17,102,581 5,975,017 3,326,723 3,281,620
- ---------------------------------------------------------
$28,391,766 $17,102,581 $3,029,338 $3,326,723
- ---------------------------------------------------------
-- -- -- --
$(93,548) $(1,373) $(5,961) $(1,293)
- ---------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Salomon Brothers Variable Money Market Fund ("Money Market Fund"),
Diversified Strategic Income Portfolio, Salomon Brothers Variable All Cap Value
Fund ("All Cap Value Fund"), Equity Index Portfolio, Salomon Brothers Variable
Growth & Income Fund ("Growth & Income Fund"), Salomon Brothers Variable
Aggressive Growth Fund (formerly known as Salomon Brothers Variable Emerging
Growth Fund) ("Aggressive Growth Fund") and Salomon Brothers Variable
International Equity Fund ("International Equity Fund") ("Fund(s)") 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, ("1940 Act") as a diversified, open-end management investment
company and consists of these funds and three other separate investment funds:
Appreciation, Fundamental Value and Intermediate High Grade Portfolios. 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, including affiliates of the investment manager.
The financial statements and financial highlights for the other funds are
presented in a separate shareholder reports.
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) for the Funds (excluding International Equity Fund), securities traded on
national securities markets are valued at the closing prices on such markets or,
if there were no sales during the day, at current quoted bid price; securities
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 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, 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 and under the direction of the
Board of Trustees or its delegates; over-the-counter securities are valued at
the mean between the bid and asked prices at the close of business on each day;
U.S. government and agency obligations are valued at the mean between the last
reported bid and asked prices; 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; for the International Equity Fund, 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 current quoted bid price;
securities primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
except when a significant event, 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 and 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 bid and asked prices in the over-the-counter market;
securities listed on the NASDAQ National Market System for which market
quotations are available are valued at the official closing price or, if there
is no official closing price on that day, at the last sale price; (c) securities
maturing within 60 days are valued at cost plus accreted discount, or minus
amortized premium, which approximates value; (d) interest income, adjusted for
amortization of premium and accretion of discount, is recorded on an accrual
basis; (e) dividend income is recorded on the ex-dividend date; foreign dividend
income is recorded on the ex-dividend date or as soon as practical after the
Funds determine the existence of a dividend declaration after exercising
reasonable due diligence; (f) gains or losses on the sale of securities are
calculated by using the specific identification method; (g) dividends and
distributions to shareholders are recorded on the ex-dividend date; (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
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 or expense
amounts recorded and collected or paid are adjusted when reported by the
custodian; (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 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 (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.
60
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
In addition, certain Funds from time to time 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 market rate as an unrealized gain or
loss. Realized gains or losses are recognized when contracts are settled or
offset by entering into another forward exchange contract.
2. DIVIDENDS
The Money Market Fund declares dividends daily from net investment income
and distributes such dividends monthly. Net realized capital gains, if any, are
declared and distributed at least annually.
In addition, the other Funds distribute dividends and capital gains, if
any, at least annually.
3. INVESTMENT ADVISORY AGREEMENT, ADMINISTRATION AGREEMENT AND OTHER
TRANSACTIONS
The Trust, on behalf of the Money Market Fund, All Cap Value Fund, Growth &
Income Fund, Aggressive Growth Fund and International Equity Fund, has entered
into an investment advisory agreement with Salomon Brothers Asset Management Inc
("SBAM"), an indirect wholly-owned subsidiary of Citigroup Inc. ("Citigroup").
The Trust, on behalf of the Diversified Strategic Income Portfolio, has entered
into an investment advisory agreement with Smith Barney Fund Management LLC
("SBFM"), another indirect wholly-owned subsidiary of Citigroup. The Trust, on
behalf of the Equity Index Portfolio, has entered into an investment advisory
agreement with the Travelers Investment Management Company ("TIMCO"), another
indirect wholly-owned subsidiary of Citigroup.
Under each investment advisory agreement, the Fund pays an investment
advisory fee calculated at an annual rate of each respective Fund's average
daily net assets. These fees are calculated daily and paid monthly.
The respective advisers and the annual rates are as follows:
<Table>
<Caption>
ADVISER RATE
- ---------------------------------------------------------------------------------------
Money Market Fund Salomon Brothers Asset Management Inc 0.30%
Diversified Strategic Income Portfolio Smith Barney Fund Management LLC 0.45
All Cap Value Fund Salomon Brothers Asset Management Inc 0.45
Equity Index Portfolio Travelers Investment Management Company 0.25
Growth & Income Fund Salomon Brothers Asset Management Inc 0.45
Aggressive Growth Fund Salomon Brothers Asset Management Inc 0.75
International Equity Fund Salomon Brothers Asset Management Inc 0.85
- ---------------------------------------------------------------------------------------
</Table>
Citigroup Asset Management Ltd. ("CAM Ltd.") serves as sub-investment
adviser to the Diversified Strategic Income Portfolio and is paid a monthly fee
by SBFM calculated at an annual rate of 0.15% of the Fund's average daily net
assets. The Diversified Strategic Income Portfolio does not make any direct
payments to CAM Ltd.
The Trust, on behalf of the Funds, has also entered into an administration
agreement with SBFM. Under the agreement, each Fund pays an administration fee
calculated at an annual rate of 0.20% of each Fund's respective average daily
net assets; except for the Equity Index Portfolio which pays an administration
fee calculated at an annual rate of 0.06% of its average daily net assets. These
fees are calculated daily and paid monthly.
During the six months ended June 30, 2004, the Money Market Fund had a
voluntary expense limitation in place of 1.25%. In addition, investment advisory
and administration fees were waived and other expenses were reimbursed in order
to maintain a minimum yield threshold. Collectively, these arrangements resulted
in waived investment advisory fees and administration fees of $1,054 and $702,
respectively, and expense reimbursements of $18,211. These arrangements can be
terminated at any time by SBFM.
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
61
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
accounts and is paid by CTB. For the six months ended June 30, 2004, the Funds
paid transfer agent fees totaling $7,604 to CTB. The totals for each Fund were
as follows:
<Table>
<Caption>
TRANSFER AGENT
- ----------------------------------------------------------------------------
Money Market Fund........................................... $11
Diversified Strategic Income Portfolio...................... 2,500
All Cap Value Fund.......................................... 19
Equity Index Portfolio...................................... 5,000
Growth & Income Fund........................................ 24
Aggressive Growth Fund...................................... 34
International Equity Fund................................... 16
- ----------------------------------------------------------------------------
</Table>
Citigroup Global Markets Inc. ("CGM"), another indirect wholly-owned
subsidiary of Citigroup, acts as the Trust's distributor.
The Trust, on behalf of the All Cap Value Fund, Equity Index Portfolio,
Growth & Income Fund, Aggressive Growth Fund and International Equity Fund,
adopted a plan ("Plan") pursuant to Rule 12b-1 under the 1940 Act for the Fund's
Class II shares. The Plan provides that the Trust, on behalf of the Fund, shall
pay CGM a fee up to 0.25% of the average daily net assets of the Fund
attributable to Class II shares. As of June 30, 2004, the All Cap Value, Growth
& Income Fund and International Equity Fund had not issued any Class II shares.
For the six months ended June 30, 2004, brokerage commissions of $15, $15
and $500 were paid by the All Cap Value Fund, Growth & Income Fund and
Aggressive Growth Fund, respectively, to CGM and its affiliates.
No officer, Trustee or employee of CGM or any of the Fund's advisers or
sub-advisers, or its affiliates receives any compensation from the Trust for
serving as a Trustee or officer of the Trust.
4. 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 and mortgage dollar rolls)
were as follows:
<Table>
<Caption>
PURCHASES SALES
- ----------------------------------------------------------------------------------------
Diversified Strategic Income Portfolio...................... $ 31,625,786 $29,508,723
All Cap Value Fund.......................................... 1,154,194 1,563,909
Equity Index Portfolio...................................... 127,314,748 2,495,309
Growth & Income Fund........................................ 3,079,095 2,685,689
Aggressive Growth Fund...................................... 9,579,328 469,335
International Equity Fund................................... 464,994 903,737
- ----------------------------------------------------------------------------------------
</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
APPRECIATION DEPRECIATION (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------
Diversified Strategic Income Portfolio.................... $ 2,466,021 $ (1,944,335) $ 521,686
All Cap Value Fund........................................ 723,376 (190,901) 532,475
Equity Index Portfolio.................................... 185,473,494 (201,624,132) (16,150,638)
Growth & Income Fund...................................... 1,765,748 (96,338) 1,669,410
Aggressive Growth Fund.................................... 3,367,332 (3,787,681) (420,349)
International Equity Fund................................. 869,432 (121,143) 748,289
- ---------------------------------------------------------------------------------------------------------
</Table>
62
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
5. FUTURES CONTRACTS
The Diversified Strategic Income Portfolio, All Cap Value Fund, Equity
Index Portfolio, Growth & Income Fund, Aggressive Growth Fund and International
Equity Fund 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 their 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 Diversified Strategic Income Portfolio and Equity
Index Portfolio had the following open futures contracts:
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
NUMBER OF BASIS MARKET UNREALIZED
CONTRACTS EXPIRATION VALUE VALUE GAIN (LOSS)
- ------------------------------------------------------------------------------------------------------------
CONTRACTS TO BUY:
U.S. Treasury 20 Year Bonds............... 13 9/04 $ 1,357,550 $ 1,382,875 $ 25,325
- ------------------------------------------------------------------------------------------------------------
CONTRACTS TO SELL:
U.S. Treasury 5 Year Notes................ 17 9/04 1,831,163 1,847,688 (16,525)
U.S. Treasury 10 Year Notes............... 40 9/04 4,325,029 4,373,125 (48,096)
- ------------------------------------------------------------------------------------------------------------
(64,621)
- ------------------------------------------------------------------------------------------------------------
NET UNREALIZED LOSS ON OPEN
FUTURES CONTRACTS....................... $(39,296)
- ------------------------------------------------------------------------------------------------------------
</Table>
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
NUMBER OF BASIS MARKET UNREALIZED
CONTRACTS EXPIRATION VALUE VALUE GAIN
- ------------------------------------------------------------------------------------------------------------
CONTRACTS TO BUY:
S&P 500 Index.............................. 52 9/04 $14,740,779 $14,825,200 $ 84,421
- ------------------------------------------------------------------------------------------------------------
</Table>
At June 30, 2004, the All Cap Value Fund, Growth & Income Fund, Aggressive
Growth Fund and International Equity Fund did not have any open futures
contracts.
6. FORWARD FOREIGN CURRENCY CONTRACTS
The Diversified Strategic Income Portfolio, Aggressive Growth Fund and
International Equity Fund may from time to time enter into forward foreign
currency contracts.
A forward foreign currency contract is an agreement between two parties to
buy and sell a currency at a set price on a future date. The contract is
marked-to-market daily and the change in value is recorded by the Fund as an
unrealized gain or loss. When a forward foreign currency contract is
extinguished, through either delivery or offset by entering into another forward
foreign currency contract, the Fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value of the contract at the time it was extinguished or offset. The Fund bears
the
63
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
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, the Diversified Strategic Income Portfolio had open
forward foreign currency contracts as described below. The unrealized loss on
the contracts reflected in the accompanying financial statements were as
follows:
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE LOSS
- -------------------------------------------------------------------------------------------------------------
CONTRACTS TO BUY:
Euro................................................... 8,960,168 $10,909,283 7/23/04 $(103,320)
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------------------
</Table>
At June 30, 2004, the Aggressive Growth Fund and International Equity Fund
did not have any open forward foreign currency contracts.
7. REPURCHASE AGREEMENTS
When entering into repurchase agreements, it is the Funds' 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 Funds may be
delayed or limited.
8. CONCENTRATION OF RISK
Under normal market conditions, the Money Market Fund invests at least 25%
of its assets in short-term bank instruments. Because of its concentration
policy, the Fund may be subject to greater risk and market fluctuation than a
portfolio that has securities representing a broader range of investment
alternatives.
9. FOREIGN SECURITIES
Investing in securities of foreign companies and foreign governments
involves additional risks and considerations not typically associated with
investing in U.S. companies and the U.S. government. These risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign companies and foreign
governments and their markets may be less liquid and their prices more volatile
than those of securities of comparable U.S. companies and the U.S. government.
10. SECURITIES TRADED ON TO-BE-ANNOUNCED BASIS
The Diversified Strategic Income Portfolio, All Cap Value Fund, Growth &
Income Fund, Aggressive Growth Fund and International Equity Fund may from time
to time purchase securities on to-be-announced ("TBA") basis.
In a TBA transaction, the Fund commits to purchasing or selling securities
for which specific information is not yet known at the time of the trade,
particularly the face amount and maturity date in Government National Mortgage
Association ("GNMA") transactions. Securities purchased on a TBA basis are not
settled until they are delivered to the Fund, normally 15 to 45 days later.
Beginning on the date the Fund enters into a TBA transaction, cash, U.S.
government securities or other liquid high grade debt obligations are segregated
in an amount equal in value to the purchase price of the TBA security. These
transactions are subject to market fluctuations and their current value is
determined in the same manner as for other securities.
At June 30, 2004, Diversified Strategic Income Portfolio held TBA
securities with a total cost of $24,703,016.
At June 30, 2004, the All Cap Value Fund, Growth & Income Fund, Aggressive
Growth Fund and International Equity Fund did not hold any TBA securities.
64
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
11. MORTGAGE DOLLAR ROLLS
The Diversified Strategic Income Portfolio may enter into mortgage dollar
roll transactions.
A mortgage dollar roll transaction involves a sale by the Fund of mortgage
related securities that it holds with an agreement by the Fund to repurchase
similar securities at an agreed upon price and date. The securities purchased
will bear the same interest rate as those sold, but generally will be
collateralized by pools of mortgages with different prepayment histories than
those securities sold. Proceeds from the sale will be reinvested and the income
from these investments, together with any additional income received on the
sale, is included in investment income. Losses may arise due to changes in the
value of the securities or if the counterparty does not perform under the terms
of the agreement. If the counterparty files for bankruptcy or becomes insolvent,
the Fund's right to repurchase the securities may be limited.
During the six months ended June 30, 2004, the Diversified Strategic Income
Portfolio entered into mortgage dollar roll transactions in the aggregate amount
of $132,441,172.
At June 30, 2004, the Diversified Strategic Income Portfolio had
outstanding mortgage dollar rolls with a total cost of $24,703,016.
12. LOAN PARTICIPATIONS
The Diversified Strategic Income Portfolio invests in fixed and floating
rate loans arranged through private negotiations between a foreign sovereign
entity or a corporate borrower and one or more financial institutions. The
Fund's investment in any such loan may be in the form of a participation in or
an assignment of the loan.
In connection with purchasing participations, the Fund generally will have
no right to enforce compliance by the borrower with the terms of the loan
agreement relating to the loan, nor any rights of set-off against the borrower,
and the Fund may not benefit directly from any collateral supporting the loan in
which it has purchased the participation. As a result, the Fund will assume the
credit risk of both the borrower and the lender that is selling the
participation. In the event of the insolvency of the lender selling the
participation, the Fund may be treated as a general creditor of the lender and
may not benefit from any set-off between the lender and the borrower.
At June 30, 2004, Diversified Strategic Income Portfolio held loan
participations with a total cost of $397,894 and a total market value of
$406,915.
13. CLASS SPECIFIC EXPENSES
Pursuant to a Rule 12b-1 Distribution Plan, the Equity Index Portfolio,
Aggressive Growth Fund, All Cap Value Fund, Growth & Income Fund and
International Equity Fund each pay a distribution fee calculated at an annual
rate of 0.25% of the average daily net assets of Class II shares for each
respective Fund. As of June 30, 2004, no Class II shares were issued for All Cap
Value Fund, Growth & Income Fund and International Equity Fund. For the six
months ended June 30, 2004, total Rule 12b-1 Distribution Plan fees, which are
accrued daily and paid monthly, were as follows:
<Table>
<Caption>
CLASS I CLASS II
- --------------------------------------------------------------------------------
Equity Index Portfolio...................................... -- $195,155
Aggressive Growth Fund...................................... -- 11,693
- --------------------------------------------------------------------------------
</Table>
For the six months ended June 30, 2004, total Transfer Agency Service
expenses were as follows:
<Table>
<Caption>
CLASS I CLASS II
- --------------------------------------------------------------------------------
Equity Index Portfolio...................................... $2,494 $2,494
Aggressive Growth Fund...................................... 42 35
- --------------------------------------------------------------------------------
</Table>
65
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
For the six months ended June 30, 2004, total Shareholder Communication
expenses were as follows:
<Table>
<Caption>
CLASS I CLASS II
- --------------------------------------------------------------------------------
Equity Index Portfolio...................................... $45,708 $10,055
Aggressive Growth Fund...................................... 1,454 1,442
- --------------------------------------------------------------------------------
</Table>
14. DISTRIBUTIONS PAID TO SHAREHOLDERS BY CLASS
<Table>
<Caption>
YEAR ENDED
SIX MONTHS ENDED DECEMBER 31,
JUNE 30, 2004 2003*
- --------------------------------------------------------------------------------------------------
MONEY MARKET FUND
Net investment income....................................... $ 353 $ 2,102
- --------------------------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
Net investment income....................................... $ 34,448 $ 5,436,874
- --------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO -- CLASS I SHARES
Net investment income....................................... $500,719 $14,014,952
- --------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO -- CLASS II SHARES
Net investment income....................................... $ 60,688 $ 1,172,188
- --------------------------------------------------------------------------------------------------
GROWTH & INCOME FUND -- CLASS I SHARES
Net investment income....................................... $ 1,829 $ 25,273
- --------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND -- CLASS I SHARES
Net realized gains.......................................... -- $ 249,674
- --------------------------------------------------------------------------------------------------
</Table>
15. 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. The All Cap Value
Fund, Equity Index Portfolio, Growth & Income Fund, Aggressive Growth Fund and
International Equity Fund have the ability to issue multiple classes of shares.
Each share of a class represents an identical interest and has the same rights,
except that each class bears certain direct expenses, including those
specifically related to the distribution of its shares.
On August 30, 2002, the All Cap Value Fund, Aggressive Growth Fund, Growth
& Income Fund and International Equity Portfolio created a separate class of
shares designated as Class II shares. Prior to that date, these Funds issued one
class of shares, which, as of August 30, 2002, has been designated as Class I
shares. As of June 30, 2004, the All Cap Value Fund, Growth & Income Fund and
International Equity Portfolio had not issued any Class II shares.
Transactions in shares for each Fund were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003*
------------------------ -------------------------
SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------
MONEY MARKET FUND
Shares sold........................................ 191,116 $ 191,116 222,429 $ 222,429
Shares issued on reinvestment...................... 321 321 2,102 2,102
Shares reacquired.................................. (194,247) (194,247) (1,105,190) (1,105,190)
- ---------------------------------------------------------------------------------------------------------
Net Decrease....................................... (2,810) $ (2,810) (880,659) $ (880,659)
=========================================================================================================
</Table>
66
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003*
------------------------ -------------------------
SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
Shares sold........................................ 792,244 $ 7,294,651 1,873,396 $ 17,292,798
Shares issued on reinvestment...................... 3,777 34,448 594,395 5,436,874
Shares reacquired.................................. (690,957) (6,321,578) (1,107,748) (10,144,262)
- ---------------------------------------------------------------------------------------------------------
Net Increase....................................... 105,064 $ 1,007,521 1,360,043 $ 12,585,410
=========================================================================================================
ALL CAP VALUE FUND -- CLASS I SHARES
Shares sold........................................ 13,845 $ 48,196 31,746 $ 96,128
Shares reacquired.................................. (139,775) (492,105) (369,115) (1,078,334)
- ---------------------------------------------------------------------------------------------------------
Net Decrease....................................... (125,930) $ (443,909) (337,369) $ (982,206)
=========================================================================================================
EQUITY INDEX PORTFOLIO -- CLASS I SHARES
Shares sold........................................ 2,276,037 $ 62,971,301 6,952,287 $163,274,558
Shares issued on reinvestment...................... 17,999 500,719 519,680 14,014,952
Shares reacquired.................................. (763,606) (21,004,669) (1,350,322) (31,299,860)
- ---------------------------------------------------------------------------------------------------------
Net Increase....................................... 1,530,430 $ 42,467,351 6,121,645 $145,989,650
=========================================================================================================
EQUITY INDEX PORTFOLIO -- CLASS II SHARES
Shares sold........................................ 2,805,211 $ 75,840,524 1,098,075 $ 26,262,235
Shares issued on reinvestment...................... 2,182 60,688 43,431 1,172,188
Shares reacquired.................................. (217,347) (6,012,265) (269,437) (6,260,730)
- ---------------------------------------------------------------------------------------------------------
Net Increase....................................... 2,590,046 $ 69,888,947 872,069 $ 21,173,693
=========================================================================================================
GROWTH & INCOME FUND -- CLASS I SHARES
Shares sold........................................ 315,361 $ 1,458,280 582,809 $ 2,367,296
Shares issued on reinvestment...................... 393 1,829 5,543 25,273
Shares reacquired.................................. (191,614) (880,058) (352,818) (1,390,807)
- ---------------------------------------------------------------------------------------------------------
Net Increase....................................... 124,140 $ 580,051 235,534 $ 1,001,762
=========================================================================================================
AGGRESSIVE GROWTH FUND -- CLASS I SHARES
Shares sold........................................ 194,511 $ 3,930,566 268,051 $ 4,743,449
Shares reacquired.................................. (67,168) (1,358,189) (97,825) (1,675,342)
- ---------------------------------------------------------------------------------------------------------
Net Increase....................................... 127,343 $ 2,572,377 170,226 $ 3,068,107
=========================================================================================================
AGGRESSIVE GROWTH FUND -- CLASS II SHARES
Shares sold........................................ 419,760 $ 8,472,363 385,096 $ 6,893,415
Shares reacquired.................................. (16,669) (331,719) (105,042) (1,937,247)
- ---------------------------------------------------------------------------------------------------------
Net Increase....................................... 403,091 $ 8,140,644 280,054 $ 4,956,168
=========================================================================================================
INTERNATIONAL EQUITY FUND -- CLASS I SHARES
Shares sold........................................ 191 $ 1,426 1,310 $ 8,693
Shares issued on reinvestment...................... -- -- 35,264 249,674
Shares reacquired.................................. (58,806) (431,259) (105,364) (660,990)
- ---------------------------------------------------------------------------------------------------------
Net Decrease....................................... (58,615) $ (429,833) (68,790) $ (402,623)
=========================================================================================================
</Table>
* For Aggressive Growth Fund -- Class II Shares, transactions are for the period
May 15, 2003 (inception date) to December 31, 2003.
67
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
16. 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>
- --------------------------------------------------------------------
Money Market Fund........................................... $1,552
Diversified Strategic Income Portfolio...................... 1,772
All Cap Value Fund.......................................... 185
Equity Index Portfolio...................................... 3,534
Growth & Income Fund........................................ 1,374
Aggressive Growth Fund...................................... 517
International Equity Fund................................... 1,483
- --------------------------------------------------------------------
</Table>
17. 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.
68
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
18. SUBSEQUENT EVENTS
The Board of Trustees of the Trust has approved amendments to the Advisory
and Administration Agreements between the Trust, on behalf of the Growth &
Income Fund, and SBAM and SBFM, respectively. Effective August 1, 2004, the
advisory fee and administration fee, each of which is calculated daily and
payable monthly, will be reduced from 0.45% and 0.20%, respectively, of the
average daily net assets of the Growth & Income Fund to a fee calculated in
accordance with the following breakpoint schedule:
<Table>
<Caption>
ADVISORY ADMINISTRATION
AVERAGE DAILY NET ASSETS FEE RATE FEE RATE
- ---------------------------------------------------------------------------------------
First $1 billion............................................ 0.450% 0.200%
Next $1 billion............................................. 0.425% 0.175%
Next $1 billion............................................. 0.400% 0.150%
Next $1 billion............................................. 0.375% 0.125%
Over $4 billion............................................. 0.350% 0.100%
- ---------------------------------------------------------------------------------------
</Table>
The Board of Trustees of the Trust has approved an amendment to the
Advisory Agreement between the Trust, on behalf of the Aggressive Growth Fund,
and SBAM. Effective August 1, 2004, the advisory fee, which is calculated daily
and payable monthly, will be reduced from 0.75% of the average daily net assets
of the Aggressive Growth Fund to a fee calculated in accordance with the
following breakpoint schedule:
<Table>
<Caption>
ADVISORY
AVERAGE DAILY NET ASSETS FEE RATE
- -----------------------------------------------------------------------
First $5 billion............................................ 0.600%
Next $2.5 billion........................................... 0.575%
Next $2.5 billion........................................... 0.550%
Over $10 billion............................................ 0.500%
- -----------------------------------------------------------------------
</Table>
The Board of Trustees of the Trust has approved amendments to the
Administration Agreement between the Trust, on behalf of the International
Equity Fund, and SBFM. Effective August 1, 2004, the International Equity Fund
will no longer pay an administration fee.
69
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of each class of beneficial interest outstanding throughout each
year ended December 31, unless otherwise noted:
<Table>
<Caption>
MONEY MARKET FUND 2004(1) 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $1.000 $1.000 $1.000 $1.000 $1.000 $1.000
- ------------------------------------------------------------------------------------------------------------------
Net investment income(2)......... 0.001 0.002 0.005 0.029 0.052 0.040
Dividends from net investment
income........................ (0.001) (0.002) (0.005) (0.029) (0.052) (0.040)
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $1.000 $1.000 $1.000 $1.000 $1.000 $1.000
- ------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3)(4)................. 0.05%++ 0.18% 0.52% 2.91% 5.32% 4.03%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S).......................... $730 $733 $1,613 $2,806 $2,777 $4,726
- ------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(2)(5)................... 0.89%+ 0.95% 1.23% 1.25% 1.22% 1.25%
Net investment income............ 0.10+ 0.19 0.53 2.82 5.13 3.92
- ------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
DIVERSIFIED STRATEGIC INCOME
PORTFOLIO 2004(1)(6) 2003(6) 2002(6) 2001(6) 2000(6) 1999(6)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $9.15 $8.69 $9.13 $9.70 $10.44 $10.90
- --------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............ 0.24 0.52 0.53 0.65 0.73 0.73
Net realized and unrealized gain
(loss)........................ (0.26) 0.50 (0.11) (0.36) (0.45) (0.55)
- --------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... (0.02) 1.02 0.42 0.29 0.28 0.18
- --------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............ (0.00)* (0.56) (0.86) (0.86) (1.02) (0.51)
Net realized gains............... -- -- -- -- -- (0.13)
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions................ (0.00)* (0.56) (0.86) (0.86) (1.02) (0.64)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $9.13 $9.15 $8.69 $9.13 $ 9.70 $10.44
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(4).................... (0.18)%++ 11.73% 4.84% 3.17% 2.80% 1.72%
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S).......................... $95,382 $94,572 $78,009 $79,399 $70,142 $74,035
- --------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses......................... 0.77%+ 0.76% 0.87% 0.76% 0.78% 0.78%
Net investment income............ 5.21+ 5.73 5.82 6.86 7.40 6.88
- --------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 33%** 54%** 149% 118% 102% 111%
- --------------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the six months ended June 30, 2004 (unaudited).
(2) For the Money Market Fund, the Investment Adviser and Administrator waived
all or part of their fees for the six months ended June 30, 2004 and the
years ended December 31, 2003, 2002, 2001, 2000 and 1999. The Investment
Adviser also reimbursed expenses of $18,211, $43,700, $29,796, $24,193,
$5,374 and $7,100 for the six months ended June 30, 2004 and the years ended
December 31, 2003, 2002, 2001, 2000 and 1999, respectively. If such fees were
not waived and expenses not reimbursed, the per share decreases to net
investment income and the actual expense ratios would have been as follows:
<Table>
<Caption>
DECREASES TO
NET INVESTMENT EXPENSE RATIOS WITHOUT
INCOME PER SHARE WAIVERS AND REIMBURSEMENTS
-------------------------------------------------------------------- --------
FUND 2004 2003 2002 2001 2000 1999 2004
---- ---- ---- ---- ---- ---- ---- ----
Money Market Fund.... $0.028 $0.043 $0.017 $0.017 $0.007 $0.005 6.54%+
<Caption>
EXPENSE RATIOS WITHOUT
WAIVERS AND REIMBURSEMENTS
--------------------------------------------------------
FUND 2003 2002 2001 2000 1999
---- ---- ---- ---- ---- ----
Money Market Fund.... 5.36% 2.98% 2.59% 1.87% 1.74%
</Table>
(3) Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absence of fee
waivers and/or expense reimbursements, the total return would be reduced.
(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.
(5) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 1.25%. From time to time, the Investment
Adviser may voluntarily waive additional fees and/or reimburse additional
expenses to maintain a minimum yield threshold.
(6) Per share amounts have been calculated using the monthly average shares
method.
* Amount represents less than $0.01 per share.
** Excluding mortgage dollar roll transactions. If mortgage dollar roll
transactions had been included, the portfolio turnover rate would have been
178% and 256% for the six months ended June 30, 2004 and the year ended
December 31, 2003, respectively.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
70
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of each class of beneficial interest outstanding throughout each
year ended December 31, unless otherwise noted:
<Table>
<Caption>
ALL CAP VALUE FUND --
CLASS I SHARES 2004(1) 2003 2002(2) 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE,
BEGINNING OF PERIOD........... $3.42 $2.49 $6.10 $10.90 $12.06 $16.38
- ---------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income
(loss)..................... (0.00)* (0.00)* (0.02) 0.29 0.52 0.67
Net realized and unrealized
gain (loss)................ 0.10 0.93 (1.75) (1.91) 1.35 (1.15)
- ---------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations.................... 0.10 0.93 (1.77) (1.62) 1.87 (0.48)
- ---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income......... -- -- (0.24) (0.44) (0.70) (0.77)
Net realized gains............ -- -- (1.60) (2.74) (2.33) (3.07)
- ---------------------------------------------------------------------------------------------------------------------
Total Distributions............. -- -- (1.84) (3.18) (3.03) (3.84)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD........................ $3.52 $3.42 $2.49 $ 6.10 $10.90 $12.06
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3)................. 2.92%++ 37.35% (30.65)% (16.39)% 18.56% (4.75)%
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S)....................... $5,054 $5,351 $4,734 $8,676 $14,562 $20,906
- ---------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... 1.41%+ 1.51% 1.86% 0.97% 0.91% 0.87%
Net investment income
(loss)..................... (0.26)+ (0.18) (0.44) 2.58 2.74 3.09
- ---------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE......... 22% 27% 45% 40% 0% 3%
- ---------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
EQUITY INDEX PORTFOLIO --
CLASS I SHARES 2004(1)(2) 2003(2) 2002(2) 2001(2) 2000(2) 1999(2)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE,
BEGINNING OF PERIOD........... $27.11 $21.41 $28.21 $32.40 $35.86 $29.99
- ---------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income(4)...... 0.18 0.34 0.32 0.34 0.36 0.39
Net realized and unrealized
gain (loss)................ 0.71 5.68 (6.57) (4.26) (3.61) 5.77
- ---------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations.................... 0.89 6.02 (6.25) (3.92) (3.25) 6.16
- ---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income......... (0.01) (0.32) (0.55) (0.27) (0.19) (0.12)
Net realized gains............ -- -- -- -- (0.02) (0.17)
- ---------------------------------------------------------------------------------------------------------------------
Total Distributions............. (0.01) (0.32) (0.55) (0.27) (0.21) (0.29)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD........................ $27.99 $27.11 $21.41 $28.21 $32.40 $35.86
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3)................. 3.29%++ 28.11% (22.17)% (12.12)% (9.09)% 20.68%
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S)....................... $1,300,315 $1,217,796 $830,854 $897,035 $819,913 $654,514
- ---------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)................... 0.34%+ 0.34% 0.31% 0.23% 0.23% 0.28%
Net investment income......... 1.30+ 1.44 1.32 1.17 1.03 1.20
- ---------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE......... 0% 0% 2% 2% 2% 3%
- ---------------------------------------------------------------------------------------------------------------------
</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.
(4) On June 24, 2002, the shareholders of the Equity Index Portfolio approved a
new investment advisory agreement with TIMCO. The new investment advisory
fee is 0.25% of the average daily net assets of the Fund.
* 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.
71
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of each class of beneficial interest outstanding throughout each
year ended December 31, unless otherwise noted:
<Table>
<Caption>
EQUITY INDEX
PORTFOLIO -- CLASS II SHARES 2004(1)(2) 2003(2) 2002(2) 2001(2) 2000(2) 1999(2)(3)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................ $27.13 $21.43 $28.17 $32.36 $35.81 $31.71
- -------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income......... 0.15 0.28 0.24 0.27 0.26 0.24
Net realized and unrealized
gain (loss)................ 0.71 5.66 (6.54) (4.26) (3.59) 4.15
- -------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations.................... 0.86 5.94 (6.30) (3.99) (3.33) 4.39
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income......... (0.01) (0.24) (0.44) (0.20) (0.10) (0.12)
Net realized gains............ -- -- -- -- (0.02) (0.17)
- -------------------------------------------------------------------------------------------------------------------------
Total Distributions............. (0.01) (0.24) (0.44) (0.20) (0.12) (0.29)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD........................ $27.98 $27.13 $21.43 $28.17 $32.36 $35.81
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)................. 3.16%++ 27.74% (22.37)% (12.36)% (9.32)% 13.96%++
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S)....................... $208,915 $132,302 $85,807 $96,518 $71,508 $ 27,372
- -------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... 0.60%+ 0.60% 0.56% 0.49% 0.50% 0.51%+
Net investment income......... 1.08+ 1.18 0.97 0.91 0.76 0.93+
- -------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE......... 0% 0% 2% 2% 2% 3%
- -------------------------------------------------------------------------------------------------------------------------
</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) For the period March 22, 1999 (inception date) to December 31, 1999.
(4) Total return 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.
72
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of each class of beneficial interest outstanding throughout each
year ended December 31, unless otherwise noted:
<Table>
<Caption>
GROWTH & INCOME FUND --
CLASS I SHARES 2004(1) 2003(2) 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $4.57 $3.52 $4.90 $7.92 $16.47 $18.47
- -------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............ 0.01 0.01 0.00* 0.03 0.17 0.30
Net realized and unrealized gain
(loss)........................ 0.10 1.05 (1.14) (1.04) 0.03 1.49
- -------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... 0.11 1.06 (1.14) (1.01) 0.20 1.79
- -------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............ (0.00)* (0.01) (0.02) (0.12) (0.32) (0.35)
Net realized gains............... -- -- (0.22) (1.89) (8.43) (3.44)
- -------------------------------------------------------------------------------------------------------------------
Total Distributions................ (0.00)* (0.01) (0.24) (2.01) (8.75) (3.79)
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $4.68 $4.57 $3.52 $4.90 $ 7.92 $16.47
- -------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3).................... 2.42%++ 30.16% (23.35)% (13.14)% 4.52% 10.66%
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S).......................... $10,694 $9,870 $6,777 $11,087 $16,159 $24,338
- -------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses......................... 1.08%+ 1.27% 1.36% 0.94% 0.91% 0.80%
Net investment income............ 0.45+ 0.36 0.04 0.31 1.08 1.21
- -------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 26% 63% 46% 81% 55% 47%
- -------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
AGGRESSIVE GROWTH FUND -- CLASS I SHARES
2004(1)(2) 2003(2) 2002(2) 2001(2)(4) 2000(4) 1999(4)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $19.46 $13.89 $25.98 $178.99 $231.77 $137.41
- -----------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment loss.............. (0.07) (0.19) (0.25) (0.50) (2.17) (1.82)
Net realized and unrealized gain
(loss)........................ 0.80 5.76 (8.18) (9.85) 66.22 125.37
- -----------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations....................... 0.73 5.57 (8.43) (10.35) 64.05 123.55
- -----------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net realized gains............... -- -- (3.66) (142.66) (116.83) (29.19)
- -----------------------------------------------------------------------------------------------------------------
Total Distributions................ -- -- (3.66) (142.66) (116.83) (29.19)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $20.19 $19.46 $13.89 $ 25.98 $178.99 $231.77
- -----------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3).................... 3.75%++ 40.10% (32.65)% (5.32)% 27.27% 107.14%
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S).......................... $14,695 $11,684 $5,975 $12,745 $18,646 $27,067
- -----------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses......................... 1.15%+ 1.56% 1.56% 1.18% 1.18% 1.30%
Net investment loss.............. (0.71)+ (1.16) (1.25) (0.97) (0.90) (1.01)
- -----------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 2% 3% 4% 0% 122% 113%
- -----------------------------------------------------------------------------------------------------------------
</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.
(4) Per share amounts have been restated to reflect a 1 for 7 reverse stock
split which was effective on September 7, 2001.
* 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.
73
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For the share of each class of beneficial interest outstanding throughout each
year ended December 31, unless otherwise noted:
<Table>
<Caption>
AGGRESSIVE GROWTH FUND -- CLASS II SHARES 2004(1)(2) 2003(2)(3)
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD........................ $19.35 $15.64
- ---------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment loss....................................... (0.10) (0.13)
Net realized and unrealized gain.......................... 0.80 3.84
- ---------------------------------------------------------------------------------------------
Total Income From Operations................................ 0.70 3.71
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.............................. $20.05 $19.35
- ---------------------------------------------------------------------------------------------
TOTAL RETURN(4)++........................................... 3.62% 23.72%
- ---------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)........................... $13,697 $5,419
- ---------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS+:
Expenses.................................................. 1.41% 1.64%
Net investment loss....................................... (0.97) (1.25)
- ---------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..................................... 2% 3%
- ---------------------------------------------------------------------------------------------
</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) For the period May 12, 2003 (inception date) to December 31, 2003.
(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.
74
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of each class of beneficial interest outstanding throughout each
year ended December 31, unless otherwise noted:
<Table>
<Caption>
INTERNATIONAL EQUITY
FUND -- CLASS I SHARES 2004(1) 2003 2002(2) 2001(2)(3) 2000(2)(3) 1999(3)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $7.10 $6.11 $9.11 $192.64 $331.20 $223.04
- -------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment loss................. (0.01) (0.03) (0.07) (0.05) (1.92) (2.88)
Net realized and unrealized gain
(loss)........................... 0.30 1.59 (1.87) (59.15) (53.92) 136.96
- -------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations... 0.29 1.56 (1.94) (59.20) (55.84) 134.08
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... -- -- -- -- (9.44) (0.16)
Net realized gains.................. -- (0.57) (1.06) (124.33) (73.28) (25.76)
- -------------------------------------------------------------------------------------------------------------------------
Total Distributions................... -- (0.57) (1.06) (124.33) (82.72) (25.92)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $7.39 $7.10 $6.11 $ 9.11 $192.64 $331.20
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)....................... 4.08%++ 25.63% (21.82)% (30.80)% (18.90)% 66.20%
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)..... $3,029 $3,327 $3,282 $5,554 $11,022 $24,370
- -------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses............................ 2.80%+ 2.60% 2.54% 1.41% 1.41% 1.33%
Net investment loss................. (0.31)+ (0.57) (0.92) (0.23) (0.78) (0.33)
- -------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 14% 30% 28% 0% 1% 17%
- -------------------------------------------------------------------------------------------------------------------------
</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) Per share amounts have been restated to reflect a 1 for 16 reverse stock
split which was effective on September 7, 2001.
(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.
75
(This page intentionally left blank.)
GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
INVESTMENT ADVISERS
Smith Barney Fund Management LLC
Salomon Brothers Asset Management Inc
Travelers Investment Management Company
ADMINISTRATOR
Smith Barney Fund Management LLC
DISTRIBUTOR
Citigroup Global Markets Inc.
CUSTODIAN
State Street Bank and Trust Company
TRANSFER AGENT
Citicorp Trust Bank, fsb.
TRUSTEES
Dwight B. Crane
Burt N. Dorsett
R. Jay Gerken, CFA
Chairman
Elliot S. Jaffe
Stephen E. Kaufman
Joseph J. McCann*
Cornelius C. Rose, Jr.
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
Oliver Asselin
Vice President and
Investment Officer
Kevin Caliendo
Vice President and
Investment Officer
OFFICERS (CONT'D)
Richard Freeman
Vice President and
Investment Officer
John G. Goode
Vice President and
Investment Officer
Martin R. Hanley
Vice President and
Investment Officer
Michael A. Kagan
Vice President and
Investment Officer
John Lau
Vice President and
Investment Officer
Roger M. Lavan
Vice President and
Investment Officer
Beth A. Semmel, CFA
Vice President and
Investment Officer
Peter J. Wilby, CFA
Vice President and
Investment Officer
David M. Zahn
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
- ---------------
* 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
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
SALOMON BROTHERS VARIABLE MONEY MARKET FUND
SALOMON BROTHERS VARIABLE AGGRESSIVE GROWTH FUND
SALOMON BROTHERS VARIABLE INTERNATIONAL EQUITY FUND
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
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
month 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 website 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
website at www.sec.gov.
S-6225 M (8/04) 04-7115
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 9, 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 9, 2004
By: /s/ Andre B. Shoup
(Andrew B. Shoup)
Chief Administrative Officer of
GREENWICH STREET SERIES FUND
Date: September 9, 2004