UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6465
THE TRAVELERS SERIES TRUST
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Smith Barney Fund Management LLC
300 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 451-2010
Date of fiscal year end: DECEMBER 31
Date of reporting period: JUNE 30, 2004
ITEM 1. REPORT TO STOCKHOLDERS.
The Semi-Annual Report to Stockholders is filed herewith.
[INSERT SHAREHOLDER REPORT]
SEMI-ANNUAL REPORT
JUNE 30, 2004
[UMBRELLA ART TOP]
[UMBRELLA ART BOTTOM]
MANAGED ASSETS TRUST
HIGH YIELD BOND TRUST
CAPITAL APPRECIATION FUND
MONEY MARKET PORTFOLIO
THE TRAVELERS SERIES TRUST:
U.S. GOVERNMENT SECURITIES PORTFOLIO
SOCIAL AWARENESS STOCK PORTFOLIO
PIONEER FUND PORTFOLIO
[TRAVELERS LOGO]
The Travelers Insurance Company
The Travelers Life and Annuity Company
One Cityplace
Hartford, CT 06103
SEMI-ANNUAL REPORT FOR MANAGED ASSETS TRUST, HIGH YIELD BOND TRUST, CAPITAL
APPRECIATION FUND, MONEY MARKET PORTFOLIO AND THE TRAVELERS SERIES TRUST
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WHAT'S INSIDE
<Table>
LETTER FROM THE CHAIRMAN.................................... 1
MANAGED ASSETS TRUST, HIGH YIELD BOND TRUST, CAPITAL
APPRECIATION FUND AND MONEY MARKET PORTFOLIO:
SCHEDULES OF INVESTMENTS:
MANAGED ASSETS TRUST................................... 5
HIGH YIELD BOND TRUST.................................. 20
CAPITAL APPRECIATION FUND.............................. 29
MONEY MARKET PORTFOLIO................................. 32
STATEMENTS OF ASSETS AND LIABILITIES........................ 34
STATEMENTS OF OPERATIONS.................................... 35
STATEMENTS OF CHANGES IN NET ASSETS......................... 36
NOTES TO FINANCIAL STATEMENTS............................... 40
FINANCIAL HIGHLIGHTS........................................ 44
THE TRAVELERS SERIES TRUST - U.S. GOVERNMENT SECURITIES
PORTFOLIO, SOCIAL AWARENESS STOCK PORTFOLIO AND PIONEER FUND
PORTFOLIO:
SCHEDULES OF INVESTMENTS:
U.S. GOVERNMENT SECURITIES PORTFOLIO................... 46
SOCIAL AWARENESS STOCK PORTFOLIO....................... 48
PIONEER FUND PORTFOLIO................................. 53
STATEMENTS OF ASSETS AND LIABILITIES........................ 59
STATEMENTS OF OPERATIONS.................................... 60
STATEMENTS OF CHANGES IN NET ASSETS......................... 61
NOTES TO FINANCIAL STATEMENTS............................... 64
FINANCIAL HIGHLIGHTS........................................ 68
</Table>
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LETTER FROM THE CHAIRMAN
[R. JAY GERKEN PHOTO]
R. JAY GERKEN, CFA
Chairman, President and
Chief Executive Officer
DEAR SHAREHOLDER,
Both the stock and bond markets switched gears during the first half of this
year, largely due 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, inflation, and the presidential election. The
good news -- solid corporate earnings, the improving economy, renewed job
growth, and the still low level of interest rates -- largely was ignored. As a
result, stock market returns for the first six months of 2004 generally were
modest, as opposed to the strong, double-digit gains late last year.
As was the case in 2003, small- and mid-capitalization stocks generally
outperformed their larger brethren in the first half of this year. Value- and
growth-oriented stocks frequently traded short-term performance leadership
during the past six months, but value stocks slightly outperformed growth stocks
over the full six-month period. The performance of foreign stock markets in the
first half largely was in-line with that of the broad U.S. market.
Although the bond market got off to a formidable start, its performance also was
hampered by heightened worries about resurgent inflation, rising rates, and
anticipation that the Federal Reserve Bank ("Fed") would begin to raise key
short-term rates after a long accommodative stance on monetary policy. Higher
interest rates can act as a brake on robust economic growth to help 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 target
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 on a flat note. However, mortgage-backed securities, U.S.
Agencies, and corporate issues in general held up better than those of U.S.
Treasury bonds(ii) on a total return basis. Signs during the period of economic
recovery, which is favorable for corporate earnings and the credit environment,
helped the high-yield market outperform Treasuries.(iii) 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(iv) 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.
FUND PERFORMANCE
Within this environment, the funds performed as follows:(1)
MANAGED ASSETS TRUST
During the period ended June 30, 2004, the Managed Assets Trust returned 2.40%.
Its unmanaged benchmarks, the S&P 500 Index(v) and Lehman Brothers
Government/Credit Bond Index(vi), returned 3.44% and -0.19%, respectively. The
Fund outperformed its Lipper flexible portfolio variable funds category
average(2), which returned 2.05%.
HIGH YIELD BOND TRUST
During the period ended June 30, 2004, the High Yield Bond Trust returned 0.74%.
The Fund underperformed its unmanaged benchmark, the Credit Suisse First Boston
High Yield Index,(vii) which returned 2.47%. The Fund also underperformed its
Lipper high current yield variable funds category average(3), which returned
1.07%.
(1) Each fund is an underlying investment option of various variable annuity and
life products. Fund performance returns do not reflect the deduction of sales
charges and expenses imposed in connection with investing in variable annuity
and life contracts such as administrative fees, account charges, and surrender
charges, which if reflected, would reduce the performance of the fund. An
investor may not invest directly in an index. PAST PERFORMANCE IS NO
INDICATION OF FUTURE RESULTS.
(2) Lipper is a major independent mutual fund tracking organization. Average
annual returns are based on the six-month period ended June 30, 2004,
calculated among 84 funds in the Lipper flexible portfolio variable funds
category with reinvestment of dividends and capital gains, if any.
(3) Lipper is a major independent mutual fund tracking organization. Average
annual returns are based on the six-month period ended June 30, 2004,
calculated among 88 funds in the Lipper high current yield variable funds
category with reinvestment of dividends and capital gains, if any.
1
CAPITAL APPRECIATION FUND
During the period ended June 30, 2004, the Capital Appreciation Fund returned
4.85%. Its unmanaged benchmarks, the S&P 500 Index and the Russell 2000
Index,(viii) returned 3.44% and 6.76%, respectively. The Fund outperformed its
Lipper large-cap growth variable funds category average(4), which returned
2.56%.
MONEY MARKET PORTFOLIO
During the period ended June 30, 2004, the Money Market Portfolio returned
0.33%. The Portfolio slightly outperformed its Lipper money market variable
funds category average(5), which returned 0.26%.
U.S. GOVERNMENT SECURITIES PORTFOLIO
During the period ended June 30, 2004, the U.S. Government Securities Portfolio
returned -0.06%. The Portfolio performed in-line with its unmanaged benchmarks,
the Merrill Lynch U.S. Treasury/Agency Master Index,(ix) returned -0.18% and a
composite index which is an equally-weighted average of the Merrill Lynch U.S.
Treasuries 15 Plus Year(x) and Merrill Lynch Mortgage Master Index,(xi) returned
0.29%. The Portfolio underperformed its Lipper general U.S. government variable
funds category average(6), which returned 0.03%.
SOCIAL AWARENESS STOCK PORTFOLIO
During the period ended June 30, 2004, the Social Awareness Stock Portfolio
returned -0.32%. The Portfolio underperformed its unmanaged benchmark, the S&P
500 Index, which returned 3.44%. The Portfolio also underperformed its Lipper
specialty/miscellaneous variable funds category average(7), which returned
2.17%.
PIONEER FUND PORTFOLIO
During the period ended June 30, 2004, the Pioneer Fund Portfolio returned
1.83%. The Portfolio underperformed its unmanaged benchmark, the S&P 500 Index,
which returned 3.44%. The Portfolio also underperformed its Lipper large cap
core variable funds category average(8), which returned 2.37%.
(4) Lipper is a major independent mutual fund tracking organization. Average
annual returns are based on the six-month period ended June 30, 2004,
calculated among 163 funds in the Lipper large-cap growth variable funds
category with reinvestment of dividends and capital gains, if any.
(5) Lipper is a major independent mutual fund tracking organization. Average
annual returns are based on the six-month period ended June 30, 2004,
calculated among 108 funds in the Lipper money market variable funds category
with reinvestment of dividends and capital gains, if any.
(6) Lipper is a major independent mutual fund tracking organization. Average
annual returns are based on the six-month period ended June 30, 2004,
calculated among 54 funds in the Lipper general U.S. government variable funds
category with reinvestment of dividends and capital gains, if any.
(7) Lipper is a major independent mutual fund tracking organization. Average
annual returns are based on the six-month period ended June 30, 2004,
calculated among 128 funds in the Lipper specialty/miscellaneous variable
funds category with reinvestment of dividends and capital gains, if any.
(8) Lipper is a major independent mutual fund tracking organization. Average
annual returns are based on the six-month period ended June 30, 2004,
calculated among 215 funds in the Lipper large-cap core variable funds
category with reinvestment of dividends and capital gains, if any.
2
PERFORMANCE OF THE FUNDS
AS OF JUNE 30, 2004
<Table>
<Caption>
6 MONTHS
MANAGED ASSETS TRUST 2.40%
S&P 500 Index 3.44%
Lehman Brothers Government/Credit Bond Index -0.19%
Lipper Flexible Portfolio Variable Funds Category Average 2.05%
HIGH YIELD BOND TRUST 0.74%
Credit Suisse First Boston High Yield Index 2.47%
Lipper High Current Yield Variable Funds Category Average 1.07%
CAPITAL APPRECIATION FUND 4.85%
S&P 500 Index 3.44%
Russell 2000 Index 6.76%
Lipper Large-Cap Growth Variable Funds Category Average 2.56%
MONEY MARKET PORTFOLIO 0.33%
Lipper Money Market Variable Funds Category Average 0.26%
U.S. GOVERNMENT SECURITIES PORTFOLIO -0.06%
Merrill Lynch U.S. Treasury/Agency Master Index -0.18%
Merrill Lynch U.S. Treasury 15+/Mortgage Master Index 0.29%
Lipper General U.S. Government Variable Funds Category
Average 0.03%
SOCIAL AWARENESS STOCK PORTFOLIO -0.32%
S&P 500 Index 3.44%
Lipper Specialty/Miscellaneous Variable Funds Category
Average 2.17%
PIONEER FUND PORTFOLIO 1.83%
S&P 500 Index 3.44%
Lipper Large-Cap Core Variable Funds Category Average 2.37%
</Table>
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS
NO GUARANTEE OF FUTURE RESULTS AND CURRENT PERFORMANCE MAY BE HIGHER
OR LOWER THAN THE PERFORMANCE SHOWN ABOVE. PRINCIPAL VALUE AND
INVESTMENT RETURNS WILL FLUCTUATE AND INVESTORS' SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
The performance returns set forth above do not reflect the reduction
of sales charges and expenses imposed in connection with investing in
variable annuity and life contracts such as administrative fees,
account charges, and surrender charges; which, if reflected, would
reduce the performance of the funds.
MONEY MARKET PORTFOLIO
YIELDS AS OF JUNE 30, 2004
<Table>
<Caption>
SEVEN-DAY SEVEN-DAY
CURRENT YIELD EFFECTIVE YIELD
MONEY MARKET PORTFOLIO 0.75% 0.76%
</Table>
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO
GUARANTEE OF FUTURE RESULTS AND CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THE PERFORMANCE SHOWN ABOVE. PRINCIPAL VALUE AND INVESTMENT RETURNS
WILL FLUCTUATE AND INVESTORS' SHARES, WHEN REDEEMED MAY BE WORTH MORE OR
LESS THAN THEIR ORIGINAL COST. THE PORTFOLIO'S YIELDS WILL VARY.
PLEASE NOTE THAT YOUR INVESTMENT IS NEITHER INSURED NOR GUARANTEED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION ("FDIC") OR ANY OTHER GOVERNMENT
AGENCY. ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT
AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND.
Both yields include a voluntary fee waiver, which may be reduced or
terminated at any time. Without these fee waivers, the seven-day current
yield and the seven-day effective yield would have been 0.74% and 0.74%,
respectively.
Performance figures may reflect fee waivers and/or expense reimbursements,
if any. In the absence of fee waivers and/or expense reimbursements, if
any, the total return would be reduced.
The seven-day current yield reflects the amount of income generated by the
investment during that seven-day period and assumes that the income is
generated each week over a 365-day period. The yield is shown as a
percentage of the investment. 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.
3
INFORMATION ABOUT YOUR FUNDS
In recent months several issues in the mutual fund and variable product
industries have come under the scrutiny of federal and state regulators.
Travelers Life & Annuity and some of its affiliates have received requests for
information from various government regulators regarding market timing, late
trading, revenue sharing, and other mutual fund and variable product issues in
connection with various investigations. The funds have been informed that
Travelers Life & Annuity and its affiliates are responding to those information
requests and cooperating with the regulators, but are not in a position to
predict the outcome of these requests and investigations.
In November 2003, Citigroup Asset Management disclosed an investigation by the
Securities and Exchange Commission ("SEC") and the U.S. Attorney relating to
Citigroup Asset Management's entry into the transfer agency business during
1997-1999. On July 20, 2004, Citigroup disclosed that it had been notified by
the Staff of the SEC that the Staff is considering recommending a civil
injunctive action and/or an administrative proceeding against certain advisory
and transfer agent entities affiliated with Citigroup relating to the creation
and operation of its internal transfer agent unit to serve primarily the Smith
Barney family of mutual funds. Citigroup is cooperating with the SEC and will
seek to resolve this matter in discussion with the SEC Staff. Although there can
be no assurance, Citigroup does not believe that this matter will have a
material adverse effect on the funds.
As always, thank you for your continued confidence in our stewardship of your
assets. We look forward to helping you continue to meet your financial goals.
Sincerely,
/s/ R. Jay Gerken
R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer
July 20, 2004
The information provided is not intended to be a forecast of future events, a
guarantee of future results or investment advice. Views expressed may differ
from those of the firm as a whole. Please note that an investor cannot invest
directly in an index.
Past performance is no guarantee of future results. The performance returns set
forth do not reflect the deduction of sales charges and expenses imposed in
connection with investing in variable annuity and life contracts including, but
not limited to, administrative fees, account charges, and surrender charges,
which if reflected, would reduce performance.
Portfolio holdings and breakdowns are as of June 30, 2004 and are subject to
change. Please refer to pages 5 through 32 and 46 through 58 for a list and
percentage breakdown of the fund's holdings.
The commentary provided is as of July 20, 2004 and is subject to change based on
the market and other conditions. The views expressed are those of the portfolio
manager and are not intended to be a forecast of future events, a guarantee of
future results or investment advice. These views may differ from those of other
portfolio managers or the firm as a whole.
(i) The federal funds rate is the interest rate that banks with excess
reserves at a Federal Reserve district bank charge other banks that need
overnight loans.
(ii) Government bonds are guaranteed by the full faith and credit of the U.S.
government as to timely payment of principal and interest. Government
bonds do fluctuate in price.
(iii) Based upon Citigroup total rate of return indices that reflect the
performance for each respective category of fixed-income securities over
the six months ended June 30, 2004.
(iv) Source: June 2004 Consumer Confidence Index, The Conference Board.
(v) The S&P 500 Index is a market-capitalization weighted index of 500 widely
held common stocks.
(vi) The Lehman Brothers Intermediate Government/Credit Index is a
market-value weighted performance benchmark for government and corporate
fixed-rate debt issues (rated Baa/BBB or higher) with maturities between
one and ten years.
(vii) The Credit Suisse First Boston High Yield Index is a market-weighted
index that includes publicly traded bonds rated below BBB by S&P and Baa
by Moody's. Moody's Investors Service is a nationally recognized credit
rating agency. Standard & Poor's Ratings Service is a nationally
recognized credit rating agency.
(viii) The Russell 2000 Index measures the performance of the 2000 smallest
companies in the Russell 3000 Index, which represents approximately eight
percent of the total market capitalization of the Russell 3000 Index.
(ix) The Merrill Lynch/U.S. Treasury/Agency Index is an index comprised of
U.S. Treasury and Agency securities.
(x) The Merrill Lynch U.S. Treasuries 15 Plus Years Index is an index
consisting of U.S. dollar denominated U.S. Treasury Notes and Bonds
having at least 15 years remaining term to maturity and a minimum amount
outstanding of $1 billion.
(xi) The Merrill Lynch Mortgage Master Index consists of fixed-rate
coupon-bearing pools of mortgage pass-through securities that have
various maturities.
4
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SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
COMMON STOCK -- 62.2%
- -----------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 10.1%
AUTOMOBILES -- 1.1%
56,008 Ford Motor Co. ............................................. $ 876,525
22,840 General Motors Corp. ....................................... 1,064,116
21,192 Harley-Davidson, Inc. ...................................... 1,312,632
- -----------------------------------------------------------------------------------------------------
3,253,273
- -----------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE -- 1.8%
31,757 Carnival Corp. ............................................. 1,492,579
18,609 Harrah's Entertainment, Inc. ............................... 1,006,747
16,581 Marriott International, Inc., Class A Shares................ 827,060
35,306 McDonald's Corp. ........................................... 917,956
3,024 Starwood Hotels & Resorts Worldwide, Inc. .................. 135,626
20,967 Yum! Brands, Inc. .......................................... 780,392
- -----------------------------------------------------------------------------------------------------
5,160,360
- -----------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.9%
4,979 The Black & Decker Corp. ................................... 309,345
9,630 Fortune Brands, Inc. ....................................... 726,391
10,447 KB HOME..................................................... 716,978
14,280 Pulte Homes, Inc. .......................................... 742,988
- -----------------------------------------------------------------------------------------------------
2,495,702
- -----------------------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL -- 0.4%
13,706 eBay Inc. (a)............................................... 1,260,267
- -----------------------------------------------------------------------------------------------------
MEDIA -- 1.7%
14,978 Comcast Corp., Class A Shares (a)........................... 419,833
20,086 Fox Entertainment Group Inc., Class A Shares (a)............ 536,296
8,056 Gannett Co., Inc. .......................................... 683,552
25,384 Time Warner Inc. (a)........................................ 446,251
41,689 Viacom Inc., Class B Shares................................. 1,489,131
58,696 The Walt Disney Co. ........................................ 1,496,161
- -----------------------------------------------------------------------------------------------------
5,071,224
- -----------------------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 1.9%
32,836 Big Lots, Inc. (a).......................................... 474,809
7,819 Costco Wholesale Corp. ..................................... 321,126
4,483 Federated Department Stores, Inc. .......................... 220,115
34,199 Target Corp. ............................................... 1,452,432
58,619 Wal-Mart Stores, Inc. ...................................... 3,092,738
- -----------------------------------------------------------------------------------------------------
5,561,220
- -----------------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.8%
2,060 AutoZone, Inc. (a).......................................... 165,006
11,079 Best Buy Co., Inc. ......................................... 562,148
12,032 The Gap, Inc. .............................................. 291,776
62,692 The Home Depot, Inc. ....................................... 2,206,758
16,784 Limited Brands.............................................. 313,861
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.8% (CONTINUED)
6,851 Lowe's Cos., Inc. .......................................... $ 360,020
28,518 Staples, Inc. .............................................. 835,863
25,629 Toys "R" Us, Inc. (a)....................................... 408,270
- -----------------------------------------------------------------------------------------------------
5,143,702
- -----------------------------------------------------------------------------------------------------
TEXTILES & APPAREL -- 0.5%
2,525 Jones Apparel Group, Inc. .................................. 99,687
17,138 NIKE, Inc., Class B Shares.................................. 1,298,204
- -----------------------------------------------------------------------------------------------------
1,397,891
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TOTAL CONSUMER DISCRETIONARY................................ 29,343,639
- -----------------------------------------------------------------------------------------------------
CONSUMER STAPLES -- 4.5%
BEVERAGES -- 1.7%
3,843 Anheuser-Busch Co., Inc. ................................... 207,522
4,432 Brown-Forman Corp., Class B Shares.......................... 213,933
41,864 The Coca-Cola Co. .......................................... 2,113,295
23,041 Coca-Cola Enterprises Inc. ................................. 667,959
34,384 PepsiCo, Inc. .............................................. 1,852,610
- -----------------------------------------------------------------------------------------------------
5,055,319
- -----------------------------------------------------------------------------------------------------
FOOD & DRUG RETAILING -- 0.4%
8,112 CVS Corp. .................................................. 340,866
19,883 Walgreen Co. ............................................... 719,963
- -----------------------------------------------------------------------------------------------------
1,060,829
- -----------------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 0.6%
41,549 Archer-Daniels-Midland Co. ................................. 697,192
6,026 Hormel Foods Corp. ......................................... 187,409
3,549 Kellogg Co. ................................................ 148,526
36,154 Sara Lee Corp. ............................................. 831,180
- -----------------------------------------------------------------------------------------------------
1,864,307
- -----------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 1.2%
5,750 Colgate-Palmolive Co. ...................................... 336,087
8,611 Kimberly-Clark Corp. ....................................... 567,293
44,556 The Procter & Gamble Co. ................................... 2,425,629
- -----------------------------------------------------------------------------------------------------
3,329,009
- -----------------------------------------------------------------------------------------------------
TOBACCO -- 0.6%
34,569 Altria Group, Inc. ......................................... 1,730,178
- -----------------------------------------------------------------------------------------------------
TOTAL CONSUMER STAPLES...................................... 13,039,642
- -----------------------------------------------------------------------------------------------------
ENERGY -- 3.9%
ENERGY EQUIPMENT & SERVICES -- 0.5%
8,383 Baker Hughes Inc. .......................................... 315,620
7,077 Halliburton Co. ............................................ 214,150
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES -- 0.5% (CONTINUED)
11,645 Schlumberger Ltd. .......................................... $ 739,574
7,657 Transocean Inc. (a)......................................... 221,594
- -----------------------------------------------------------------------------------------------------
1,490,938
- -----------------------------------------------------------------------------------------------------
OIL & GAS -- 3.4%
5,200 Anadarko Petroleum Corp. ................................... 304,720
15,000 Burlington Resources, Inc. ................................. 542,700
18,345 ChevronTexaco Corp. ........................................ 1,726,448
11,958 ConocoPhillips.............................................. 912,276
2,798 Devon Energy Corp. ......................................... 184,668
113,242 Exxon Mobil Corp. .......................................... 5,029,077
11,117 Marathon Oil Corp. ......................................... 420,667
6,700 Occidental Petroleum Corp. ................................. 324,347
2,778 Sunoco, Inc. ............................................... 176,736
3,289 Valero Energy Corp. ........................................ 242,597
- -----------------------------------------------------------------------------------------------------
9,864,236
- -----------------------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 11,355,174
- -----------------------------------------------------------------------------------------------------
FINANCIALS -- 12.8%
BANKS -- 3.6%
45,569 Bank of America Corp. ...................................... 3,856,049
21,851 Bank One Corp. ............................................. 1,114,401
69 First Horizon National Corp. ............................... 3,137
7,512 KeyCorp. ................................................... 224,534
6,425 Marshall & Ilsley Corp. .................................... 251,153
23,293 National City Corp. ........................................ 815,488
17,970 U.S. Bancorp................................................ 495,253
37,249 Wachovia Corp. ............................................. 1,657,580
4,665 Washington Mutual, Inc. .................................... 180,256
34,645 Wells Fargo & Co. .......................................... 1,982,733
- -----------------------------------------------------------------------------------------------------
10,580,584
- -----------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.1%
31,011 American Express Co. ....................................... 1,593,345
12,680 The Bear Stearns Cos. Inc. ................................. 1,069,051
14,913 Capital One Financial Corp. ................................ 1,019,751
14,518 Countrywide Financial Corp. ................................ 1,019,889
21,564 Fannie Mae.................................................. 1,538,807
11,446 Freddie Mac................................................. 724,532
14,428 The Goldman Sachs Group, Inc. .............................. 1,358,540
49,276 J.P. Morgan Chase & Co. .................................... 1,910,431
10,548 Lehman Brothers Holdings Inc. .............................. 793,737
38,983 MBNA Corp. ................................................. 1,005,372
13,422 Merrill Lynch & Co., Inc. .................................. 724,520
23,469 Morgan Stanley.............................................. 1,238,459
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.1% (CONTINUED)
10,583 Principal Financial Group, Inc. ............................ $ 368,077
21,880 Providian Financial Corp. (a).............................. 320,980
- -----------------------------------------------------------------------------------------------------
14,685,491
- -----------------------------------------------------------------------------------------------------
INSURANCE -- 4.1%
5,050 ACE Ltd. ................................................... 213,514
9,150 AFLAC, Inc. ................................................ 373,412
27,255 Allstate Corp. ............................................. 1,268,720
9,864 Ambac Financial Group, Inc. ................................ 724,412
44,839 American International Group, Inc. ......................... 3,196,124
8,937 Aon Corp. .................................................. 254,436
16,040 The Chubb Corp. ............................................ 1,093,607
3,647 The Hartford Financial Services Group, Inc. ................ 250,695
7,408 Jefferson-Pilot Corp. ...................................... 376,326
3,328 Lincoln National Corp. ..................................... 157,248
16,565 Marsh & McLennan Cos., Inc. ................................ 751,720
25,813 MetLife, Inc. .............................................. 925,396
6,337 MGIC Investment Corp. ...................................... 480,725
5,509 The Progressive Corp. ...................................... 469,918
28,930 Prudential Financial, Inc. ................................. 1,344,377
- -----------------------------------------------------------------------------------------------------
11,880,630
- -----------------------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 37,146,705
- -----------------------------------------------------------------------------------------------------
HEALTHCARE -- 8.0%
BIOTECHNOLOGY -- 0.8%
22,235 Amgen Inc. (a).............................................. 1,213,364
11,225 Biogen Idec Inc. (a)........................................ 709,981
7,054 Genentech, Inc. (a)......................................... 396,435
- -----------------------------------------------------------------------------------------------------
2,319,780
- -----------------------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT & SUPPLIES -- 1.1%
19,265 Becton Dickinson & Co. ..................................... 997,927
35,786 Boston Scientific Corp. (a)................................. 1,531,641
15,415 Medtronic, Inc. ............................................ 751,019
- -----------------------------------------------------------------------------------------------------
3,280,587
- -----------------------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS & SERVICES -- 1.8%
13,237 Aetna, Inc. ................................................ 1,125,145
6,002 AmerisourceBergen Corp. .................................... 358,800
8,971 Anthem, Inc. (a)............................................ 803,443
2,898 Cardinal Health, Inc. ...................................... 203,005
10,822 Caremark Rx, Inc. (a)....................................... 356,477
6,580 CIGNA Corp. ................................................ 452,770
24,476 UnitedHealth Group Inc. .................................... 1,523,631
2,473 WellPoint Health Networks, Inc. (a)......................... 277,001
- -----------------------------------------------------------------------------------------------------
5,100,272
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 4.3%
11,954 Abbott Laboratories......................................... $ 487,245
15,248 Eli Lilly and Co. .......................................... 1,065,988
11,998 Forest Laboratories, Inc. (a)............................... 679,447
1,503 Hospira, Inc. (a)........................................... 41,483
61,206 Johnson & Johnson........................................... 3,409,174
4,825 Medco Health Solutions, Inc. (a)............................ 180,938
26,069 Merck & Co., Inc. .......................................... 1,238,277
142,976 Pfizer Inc. ................................................ 4,901,217
15,864 Wyeth....................................................... 573,642
- -----------------------------------------------------------------------------------------------------
12,577,411
- -----------------------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 23,278,050
- -----------------------------------------------------------------------------------------------------
INDUSTRIALS -- 7.0%
AEROSPACE & DEFENSE -- 0.9%
10,216 The Boeing Co. ............................................. 521,935
9,171 General Dynamics Corp. ..................................... 910,680
10,625 Lockheed Martin Corp. ...................................... 553,350
13,960 Northrop Grumman Corp. ..................................... 749,652
- -----------------------------------------------------------------------------------------------------
2,735,617
- -----------------------------------------------------------------------------------------------------
AIR FREIGHT & COURIERS -- 0.5%
19,243 United Parcel Service, Inc., Class B Shares................. 1,446,496
- -----------------------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 0.1%
12,565 Masco Corp. ................................................ 391,777
- -----------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES -- 0.3%
4,600 Avery Dennison Corp. ....................................... 294,446
18,666 Cendant Corp. .............................................. 456,944
4,415 Fiserv, Inc. (a)............................................ 171,699
- -----------------------------------------------------------------------------------------------------
923,089
- -----------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.4%
9,729 Cooper Industries, Inc., Class A Shares..................... 578,000
15,618 Thomas & Betts Corp. (a).................................... 425,278
- -----------------------------------------------------------------------------------------------------
1,003,278
- -----------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 2.6%
2,379 3M Co. ..................................................... 214,134
155,247 General Electric Co. ....................................... 5,030,003
26,062 Honeywell International Inc. ............................... 954,651
35,733 Tyco International Ltd. .................................... 1,184,191
- -----------------------------------------------------------------------------------------------------
7,382,979
- -----------------------------------------------------------------------------------------------------
MACHINERY -- 2.1%
23,980 Danaher Corp. .............................................. 1,243,363
17,578 Deere & Co. ................................................ 1,232,921
13,499 Dover Corp. ................................................ 568,308
3,470 Eaton Corp. ................................................ 224,648
16,370 Ingersoll-Rand Co. Ltd., Class A Shares..................... 1,118,235
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
MACHINERY -- 2.1% (CONTINUED)
5,834 ITT Industries, Inc. ....................................... $ 484,222
12,313 PACCAR Inc. ................................................ 714,031
18,712 Pentair, Inc. .............................................. 629,472
- -----------------------------------------------------------------------------------------------------
6,215,200
- -----------------------------------------------------------------------------------------------------
ROAD & RAIL -- 0.1%
6,069 Norfolk Southern Corp....................................... 160,950
- -----------------------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 20,259,386
- -----------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 10.0%
COMMUNICATIONS EQUIPMENT -- 2.3%
132,297 Cisco Systems, Inc. (a)..................................... 3,135,439
29,606 Comverse Technology, Inc. (a)............................... 590,344
24,096 Corning, Inc. (a)........................................... 314,694
63,896 Motorola, Inc. ............................................. 1,166,102
12,534 QUALCOMM, Inc. ............................................. 914,731
17,927 Scientific-Atlanta, Inc. ................................... 618,481
- -----------------------------------------------------------------------------------------------------
6,739,791
- -----------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS -- 2.0%
32,738 Dell Inc. (a)............................................... 1,172,675
13,156 EMC Corp. (a)............................................... 149,978
41,849 Gateway, Inc. (a)........................................... 188,320
38,279 Hewlett-Packard Co. ........................................ 807,687
27,797 International Business Machines Corp. ...................... 2,450,306
9,335 NCR Corp. (a)............................................... 462,923
21,138 NVIDIA Corp. (a)............................................ 433,329
- -----------------------------------------------------------------------------------------------------
5,665,218
- -----------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.1%
16,515 Jabil Circuit, Inc. (a)..................................... 415,848
- -----------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES -- 0.5%
35,050 Yahoo! Inc. (a)............................................. 1,273,366
- -----------------------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 2.1%
30,371 Advanced Micro Devices, Inc. (a)............................ 482,899
18,793 Analog Devices, Inc. ....................................... 884,774
97,200 Intel Corp. ................................................ 2,682,720
10,758 KLA-Tencor Corp. (a)........................................ 531,230
36,129 Micron Technology, Inc. (a)................................. 553,135
33,941 Texas Instruments Inc. ..................................... 820,693
- -----------------------------------------------------------------------------------------------------
5,955,451
- -----------------------------------------------------------------------------------------------------
SOFTWARE -- 3.0%
12,044 Autodesk, Inc. ............................................. 515,604
17,082 BMC Software, Inc. (a)...................................... 316,017
14,865 Electronic Arts Inc. (a).................................... 810,886
196,683 Microsoft Corp. ............................................ 5,617,266
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
SOFTWARE -- 3.0% (CONTINUED)
80,978 Oracle Corp. (a)............................................ $ 966,068
19,509 VERITAS Software Corp. (a).................................. 540,399
- -----------------------------------------------------------------------------------------------------
8,766,240
- -----------------------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 28,815,914
- -----------------------------------------------------------------------------------------------------
MATERIALS -- 2.3%
CHEMICALS -- 0.8%
19,810 The Dow Chemical Co. ....................................... 806,267
7,393 E.I. du Pont de Nemours & Co. .............................. 328,397
12,710 Ecolab, Inc. ............................................... 402,907
19,406 Monsanto Co. ............................................... 747,131
- -----------------------------------------------------------------------------------------------------
2,284,702
- -----------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING -- 0.6%
3,858 Ball Corp. ................................................. 277,969
39,788 Pactiv Corp. (a)............................................ 992,313
9,562 Sealed Air Corp. (a)........................................ 509,368
- -----------------------------------------------------------------------------------------------------
1,779,650
- -----------------------------------------------------------------------------------------------------
METALS & MINING -- 0.6%
37,591 Alcoa Inc. ................................................. 1,241,631
7,010 Newmont Mining Corp. ....................................... 271,707
2,270 Nucor Corp. ................................................ 174,245
- -----------------------------------------------------------------------------------------------------
1,687,583
- -----------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS -- 0.3%
6,300 Georgia-Pacific Corp. ...................................... 232,974
8,532 International Paper Co. .................................... 381,380
3,635 Weyerhaeuser Co. ........................................... 229,441
- -----------------------------------------------------------------------------------------------------
843,795
- -----------------------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 6,595,730
- -----------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 1.8%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4%
44,893 BellSouth Corp. ............................................ 1,177,094
4,563 CenturyTel, Inc. ........................................... 137,073
32,863 SBC Communications Inc. .................................... 796,928
40,269 Sprint Corp., (FON Group)................................... 708,734
35,196 Verizon Communications Inc. ................................ 1,273,743
- -----------------------------------------------------------------------------------------------------
4,093,572
- -----------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.4%
9,158 AT&T Wireless Services, Inc. (a)............................ 131,143
41,925 Nextel Communications, Inc., Class A Shares (a)............. 1,117,720
- -----------------------------------------------------------------------------------------------------
1,248,863
- -----------------------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 5,342,435
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
UTILITIES -- 1.8%
ELECTRIC UTILITIES -- 1.3%
22,628 American Electric Power Co., Inc. .......................... $ 724,096
16,944 Constellation Energy Group, Inc. ........................... 642,178
16,862 Edison International ....................................... 431,161
20,414 Exelon Corp. ............................................... 679,582
19,243 FirstEnergy Corp. .......................................... 719,881
4,809 Public Service Enterprise Group Inc. ....................... 192,504
9,894 The Southern Co. ........................................... 288,410
- -----------------------------------------------------------------------------------------------------
3,677,812
- -----------------------------------------------------------------------------------------------------
GAS UTILITIES -- 0.5%
17,770 KeySpan Corp. .............................................. 652,159
10,895 Kinder Morgan, Inc. ........................................ 645,964
4,433 National Fuel Gas Co. ...................................... 110,825
- -----------------------------------------------------------------------------------------------------
1,408,948
- -----------------------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 5,086,760
- -----------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $163,992,929)................... 180,263,435
- -----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK -- 3.2%
- -----------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.2%
AUTOMOBILES -- 1.3%
36,000 Ford Motor Co. Capital Trust II, 6.500% Cumulative Trust
Preferred Securities...................................... 1,971,360
General Motors Corp., Sr. Debentures:
37,000 5.250% Series B........................................... 914,270
33,000 6.250% Series C........................................... 958,320
- -----------------------------------------------------------------------------------------------------
3,843,950
- -----------------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.1%
4,000 Amcor Ltd., 7.250% PRIDES(SM)............................... 212,500
- -----------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.3%
21,000 Newell Financial Trust I, 5.250% Cumulative QUIPS(SM)....... 934,500
- -----------------------------------------------------------------------------------------------------
MEDIA -- 0.5%
17,000 Tribune Co., 2.000% PHONES(SM).............................. 1,388,900
- -----------------------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 6,379,850
- -----------------------------------------------------------------------------------------------------
FINANCIALS -- 0.7%
BANKS -- 0.5%
3,000 Washington Mutual Capital Trust I, 5.375% Cumulative (b).... 162,151
25,000 Washington Mutual Inc., 5.375% Cumulative (b)............... 1,346,750
- -----------------------------------------------------------------------------------------------------
1,508,901
- -----------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
7,000 Equity Office Properties Trust, 5.250% Cumulative, Series
B......................................................... 351,575
9,000 Reckson Associates Realty Corp., 7.625% Cumulative, Series
A......................................................... 234,900
- -----------------------------------------------------------------------------------------------------
586,475
- -----------------------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 2,095,376
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
UTILITIES -- 0.3%
ELECTRIC UTILITIES -- 0.2%
10,000 CalEnergy Capital Trust II, 6.250% Trust Preferred
Securities................................................ $ 495,300
- -----------------------------------------------------------------------------------------------------
GAS UTILITIES -- 0.1%
9,100 El Paso Energy Capital Trust I, 4.750% Trust Preferred
Securities................................................ 254,345
- -----------------------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 749,645
- -----------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE PREFERRED STOCK (Cost -- $8,783,368)...... 9,224,871
- -----------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 7.5%
- --------------------------------------------------------------------------------------------------
U.S. Treasury Notes:
$ 2,080,000 5.875% due 11/15/05............................................. 2,179,045
2,320,000 3.000% due 2/15/08.............................................. 2,288,736
3,300,000 3.250% due 8/15/08.............................................. 3,260,169
500,000 3.375% due 12/15/08............................................. 493,789
800,000 3.000% due 2/15/09.............................................. 775,438
6,225,000 5.750% due 8/15/10.............................................. 6,789,147
4,921,000 4.750% due 5/15/14.............................................. 4,973,866
1,082,000 U.S. Treasury Bonds, 5.375% due 2/15/31........................... 1,091,595
- --------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost -- $22,484,013)........... 21,851,785
- --------------------------------------------------------------------------------------------------
</Table>
<Table>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.1%
- --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY NOTES AND BONDS -- 3.4%
Federal Home Loan Mortgage Corp. (FHLMC):
500,000 Medium-Term Notes, 2.900% due 2/27/19 (d)....................... 496,430
Reference Notes:
6,000,000 2.125% due 11/15/05........................................... 5,964,216
500,000 4.875% due 11/15/13........................................... 490,933
2,100,000 4.500% due 1/15/14............................................ 1,999,570
1,000,000 Federal National Mortgage Association (FNMA),
Benchmark Notes, 1.750% due 6/16/06............................. 976,690
- --------------------------------------------------------------------------------------------------
9,927,839
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE PASS-THROUGHS -- 0.7%
Federal National Mortgage Association (FNMA):
$ 1,807 8.500% due 3/1/05........................................ $ 1,857
618,850 6.000% due 1/1/13........................................ 647,072
61,985 6.500% due 12/1/27....................................... 64,832
154,679 6.000% due 3/1/28........................................ 158,738
42,253 6.000% due 4/1/28........................................ 43,384
119,672 6.000% due 5/1/28........................................ 122,814
190,672 6.000% due 6/1/28........................................ 195,676
118,302 6.000% due 7/1/28........................................ 121,408
425,736 5.500% due 8/1/28........................................ 426,993
596,909 6.000% due 8/1/28........................................ 175,666
Government National Mortgage Association (GNMA):
24,506 9.000% due 11/15/19...................................... 27,660
7,343 9.500% due 1/15/20....................................... 8,307
9,689 7.500% due 5/15/23....................................... 10,500
- --------------------------------------------------------------------------------------------------
2,004,907
- --------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost -- $11,883,353)...................................... 11,932,746
- --------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 12.7%
- -------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 3.8%
AUTOMOBILES -- 0.4%
1,000,000 A3* DaimlerChrylser North America Holding Corp., Notes, 8.500%
due 1/18/31............................................... 1,152,211
- -------------------------------------------------------------------------------------------------------
MEDIA -- 3.4%
4,000,000 BBB- Clear Channel Communications, Inc., Sr. Notes, 6.625% due
6/15/08................................................... 4,286,744
2,000,000 BBB Comcast Cable Communications, Inc., Notes, 8.875% due
5/1/17.................................................... 2,443,672
800,000 BBB- Liberty Media Corp., Sr. Notes, 3.020% due 9/17/06 (d)...... 815,024
2,000,000 BBB+ Time Warner, Inc., Guaranteed Debentures, 7.625% due
4/15/31................................................... 2,170,730
- -------------------------------------------------------------------------------------------------------
9,716,170
- -------------------------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY........................................... 10,868,381
- -------------------------------------------------------------------------------------------------------
CONSUMER STAPLES -- 0.4%
FOOD AND DRUG RETAILING -- 0.2%
420,000 BBB Albertson's Inc., Sr. Notes, 8.000% due 5/1/31.............. 482,582
- -------------------------------------------------------------------------------------------------------
TOBACCO -- 0.2%
700,000 BBB Altria Group, Inc., Notes, 5.625% due 11/4/08............... 703,716
- -------------------------------------------------------------------------------------------------------
TOTAL CONSUMER STAPLES................................................. 1,186,298
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
ENERGY -- 0.4%
OIL AND GAS -- 0.4%
$ 300,000 BBB+ Anadarko Finance Co., Sr. Notes, Series B, 6.750% due
5/1/11.................................................... $ 330,417
200,000 A- Cooper Cameron Corp., Sr. Notes, 2.650% due 4/15/07......... 194,143
420,000 BBB Devon Energy Corp., Sr. Debentures, 7.950% due 4/15/32...... 486,614
- -------------------------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 1,011,174
- -------------------------------------------------------------------------------------------------------
FINANCIALS -- 4.8%
BANKS -- 0.7%
700,000 AA- ABN AMRO Bank NV, Sr. Notes, 1.250% due 5/11/07 (d)......... 701,300
1,000,000 A+ Fleet National Bank, Sub. Notes, 5.750% due 1/15/09......... 1,057,188
300,000 A1* Huntington National Bank, Sr. Notes, 4.650% due 6/30/09..... 301,126
- -------------------------------------------------------------------------------------------------------
2,059,614
- -------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 1.8%
420,000 Baa2* Capital One Bank, Notes, 5.000% due 6/15/09................. 421,659
480,000 A Countrywide Home Loans, Inc., Medium-Term Notes, Series L,
4.000% due 3/22/11........................................ 448,342
300,000 A+ Credit Suisse First Boston (USA), Inc., Notes, 6.125% due
11/15/11.................................................. 316,226
1,000,000 BBB- Ford Motor Credit Co., Global Landmark Securities(TM),
7.000% due 10/1/13........................................ 1,011,169
1,000,000 A3* General Motors Acceptance Corp., Bonds, 8.000% due
11/1/31................................................... 1,027,465
400,000 A1* Goldman Sachs Capital I, Capital Securities, 6.345% due
2/15/34................................................... 376,835
500,000 A Lehman Brothers Holdings Inc., Medium-Term Notes, Series G,
4.800% due 3/13/14........................................ 468,363
600,000 A+ Merrill Lynch & Co., Inc., Medium-Term Notes, Series B,
3.375% due 9/14/07........................................ 594,428
500,000 A+ National Rural Utilities Cooperative Finance, Collateral
Trust Bonds, 4.750% due 3/1/14............................ 481,150
- -------------------------------------------------------------------------------------------------------
5,145,637
- -------------------------------------------------------------------------------------------------------
INSURANCE -- 0.6%
1,000,000 AA+ New York Life Global Funding, Notes, 5.375% due
9/15/13 (e)............................................... 1,005,795
600,000 AA Principal Life Global Funding I, Bonds, 6.125% due
10/15/33 (e).............................................. 590,867
- -------------------------------------------------------------------------------------------------------
1,596,662
- -------------------------------------------------------------------------------------------------------
REAL ESTATE -- 1.7%
5,000,000 BBB- Nationwide Health Properties, Inc., Medium-Term Notes,
Series C, 6.900% due 10/1/37.............................. 5,069,685
- -------------------------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 13,871,598
- -------------------------------------------------------------------------------------------------------
HEALTHCARE -- 0.2%
PHARMACEUTICALS -- 0.2%
500,000 A Wyeth, Notes, 6.500% due 2/1/34............................. 472,763
- -------------------------------------------------------------------------------------------------------
INDUSTRIALS -- 0.3%
AEROSPACE/DEFENSE -- 0.2%
400,000 BBB Lockheed Martin Corp., Debentures, 8.500% due 12/1/29....... 503,227
- -------------------------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.1%
420,000 BBB CSX Corp., Debentures, 7.950% due 5/1/27.................... 488,807
- -------------------------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 992,034
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
MATERIALS -- 0.6%
CONSTRUCTION SERVICES -- 0.1%
$ 300,000 BBB- MDC Holdings, Inc., Sr. Notes, 5.500% due 5/15/13........... $ 291,286
- -------------------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.1%
200,000 BBB Sealed Air Corp., Sr. Notes, 5.625% due 7/15/13 (e)......... 197,909
- -------------------------------------------------------------------------------------------------------
METALS AND MINING -- 0.2%
700,000 A- Alcan Inc., Notes, 6.125% due 12/15/33...................... 679,553
- -------------------------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.2%
560,000 BBB International Paper Co., Notes, 5.500% due 1/15/14.......... 549,225
- -------------------------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 1,717,973
- -------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 1.1%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1%
800,000 BBB+ Deutsche Telekom International Finance BV, Bonds, 8.250% due
6/15/05................................................... 841,334
1,000,000 BBB+ France Telecom S.A., Sr. Notes, 9.500% due 3/1/31........... 1,258,595
300,000 BBB- Sprint Capital Corp., Notes, 8.750% due 3/15/32............. 350,586
900,000 BBB+ Telecom Italia Capital SA, Global Notes, 6.375% due
11/15/33 (e).............................................. 871,632
- -------------------------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 3,322,147
- -------------------------------------------------------------------------------------------------------
UTILITIES -- 1.1%
ELECTRIC UTILITIES -- 1.0%
2,000,000 BB- PSEG Energy Holdings LLC, Sr. Notes, 8.500% due 6/15/11..... 2,150,000
700,000 AA+ SP PowerAssets Ltd., Notes, 5.000% due 10/22/13 (e)......... 682,835
200,000 Baa2* TransAlta Corp., Sr. Notes, 5.750% due 12/15/13............. 198,385
- -------------------------------------------------------------------------------------------------------
3,031,220
- -------------------------------------------------------------------------------------------------------
GAS UTILITIES -- 0.1%
300,000 A+ Southern California Gas Co., First Mortgage Bonds, Series
II, 4.375% due 1/15/11.................................... 293,879
- -------------------------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 3,325,099
- -------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $34,068,427)....... 36,767,467
- -------------------------------------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS -- 6.2%
- -------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 3.1%
AUTO COMPONENTS -- 0.4%
25,000 BBB American Axle & Manufacturing Holdings, Inc., Sr. Notes,
2.000% due 2/15/24 (e).................................... 23,531
2,150,000 BBB- Lear Corp., Sr. Notes, zero coupon due 2/20/22.............. 1,101,875
- -------------------------------------------------------------------------------------------------------
1,125,406
- -------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 0.4%
660,000 BBB- Four Seasons Hotels Inc., Sr. Notes, 1.875% due 7/30/24..... 697,950
1,050,000 BB+ Royal Caribbean Cruises Ltd., Sr. LYO(TM)Ns, zero coupon due
2/2/21.................................................... 567,000
- -------------------------------------------------------------------------------------------------------
1,264,950
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
MEDIA -- 1.1%
Liberty Media Corp., Sr. Exchangeable Debentures:
$ 500,000 BBB- 0.750% due 3/30/23 (e).................................... $ 573,125
650,000 BBB- 4.000% due 11/15/29....................................... 458,250
750,000 BBB- 3.500% due 1/15/31........................................ 680,625
1,500,000 BBB+ The Walt Disney Co., Sr. Notes, 2.125% due 4/15/23.......... 1,616,250
- -------------------------------------------------------------------------------------------------------
3,328,250
- -------------------------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 0.6%
J.C. Penney Co., Inc., Sub. Notes:
650,000 BB- 5.000% due 10/15/08 (e)................................... 872,625
550,000 BB- 5.000% due 10/15/08....................................... 738,375
- -------------------------------------------------------------------------------------------------------
1,611,000
- -------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 0.6%
200,000 BB+ Best Buy Co., Inc., Sub. Debentures, 2.250% due
1/15/22 (e)............................................... 208,250
1,000,000 BB+ The Gap, Inc., Sr. Notes, 5.750% due 3/15/09................ 1,560,000
- -------------------------------------------------------------------------------------------------------
1,768,250
- -------------------------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 9,097,856
- -------------------------------------------------------------------------------------------------------
ENERGY -- 1.3%
ENERGY EQUIPMENT AND SERVICES -- 1.3%
175,000 A- Cooper Cameron Corp., Sr. Debentures, 1.500% due
5/15/24 (e)............................................... 174,563
1,215,000 A Diamond Offshore Drilling Inc., Sr. Debentures, 1.500% due
4/15/31................................................... 1,129,950
Global Marine Inc., Debentures:
300,000 A- Zero coupon due 6/23/20 (e)............................... 175,125
1,000,000 A- Zero coupon due 6/23/20................................... 583,750
500,000 BBB Halliburton Co., Sr. Notes, 3.125% due 7/15/23 (e).......... 537,500
100,000 B Hanover Compressor Co., Sr. Notes, 4.750% due 3/15/08....... 93,375
900,000 A+ Schlumberger Ltd., Sr. Notes, 1.500% due 6/1/23............. 957,375
- -------------------------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 3,651,638
- -------------------------------------------------------------------------------------------------------
FINANCIALS -- 0.8%
DIVERSIFIED FINANCIALS -- 0.3%
1,662,000 A+ Merrill Lynch & Co., Inc., LYO(TM)Ns, zero coupon due
5/23/31................................................... 916,177
- -------------------------------------------------------------------------------------------------------
INSURANCE -- 0.5%
2,150,000 AAA American International Group Inc., Sr. Debentures, zero
coupon due 11/9/31........................................ 1,421,688
- -------------------------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 2,337,865
- -------------------------------------------------------------------------------------------------------
HEALTHCARE -- 0.5%
HEALTHCARE PROVIDERS AND SERVICES -- 0.4%
Health Management Associates, Inc., Sr. Sub. Notes:
200,000 BBB+ 1.500% due 8/1/23......................................... 210,750
800,000 BBB+ 1.500% due 8/1/23 (e)..................................... 843,000
- -------------------------------------------------------------------------------------------------------
1,053,750
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 0.1%
$ 250,000 A Allergan, Inc., Sr. Notes, zero coupon due 11/6/22 (e)...... $ 266,250
140,000 BBB- Watson Pharmaceuticals, Inc., Sr. Debentures, 1.750% due
3/15/23 (e)............................................... 132,825
- -------------------------------------------------------------------------------------------------------
399,075
- -------------------------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 1,452,825
- -------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.4%
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.1%
440,000 BBB- Arrow Electronics, Inc., Sr. Debentures, zero coupon due
2/21/21................................................... 235,400
- -------------------------------------------------------------------------------------------------------
IT CONSULTING & SERVICES -- 0.3%
955,000 BBB- Electronic Data Systems Corp., Sr. Notes, 3.875% due
7/15/23................................................... 921,575
- -------------------------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 1,156,975
- -------------------------------------------------------------------------------------------------------
MATERIALS -- 0.0%
METALS AND MINING -- 0.0%
50,000 BBB+ Placer Dome Inc., Sr. Notes, 2.750% due 10/15/23 (a)........ 56,750
- -------------------------------------------------------------------------------------------------------
UTILITIES -- 0.1%
ELECTRIC UTILITIES -- 0.1%
250,000 BBB PPL Energy Supply LLC, Sr. Notes, 2.625% due 5/15/23 (e).... 258,750
- -------------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE CORPORATE BONDS (Cost -- $16,314,435)..... 18,012,659
- -------------------------------------------------------------------------------------------------------
SOVEREIGN DEBT -- 0.2%
- -------------------------------------------------------------------------------------------------------
CANADA -- 0.2%
500,000 AAA Canada Mortgage and Housing Corp., Notes, 3.375% due 12/1/08
(Cost -- $498,817).......................................... 491,506
- -------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 2.1%
500,000 AAA Chase Funding Mortgage Loan, Series 2002-2, Class 1A5,
5.833% due 4/25/32........................................ 520,556
337,585 AAA Delta Funding Mortgage Corp., Series 1987-1, 9.250% due
1/2/07.................................................... 239,685
5,000,000 AAA PP&L Transition Bond Co. LLC, Series 1999-1, Class A7,
7.050% due 6/25/09........................................ 5,419,846
- -------------------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES (Cost -- $5,859,484).......... 6,180,087
- -------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.5%
Bank of America Commercial Mortgage Inc.:
500,000 AAA Series 2004-2, Class A5, 4.580% due 11/10/38.............. 472,653
400,000 AAA Series 2004-3, Class A4, 5.176% due 6/10/39............... 402,001
500,000 AAA CS First Boston Mortgage Securities Corp., Series 2003-C5,
Class A4, 4.900% due 12/15/36............................. 485,540
LB-UBS Commercial Mortgage Trust:
2,000,000 AAA Series 2003-C3, Class A2, 3.086% due 5/15/27.............. 1,923,624
1,000,000 AAA Series 2004-C2, Class A4, 4.367% due 3/15/36.............. 930,173
- -------------------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost -- $4,336,046)........................................ 4,213,991
- -------------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $268,220,872)................ 288,938,547
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MANAGED ASSETS TRUST
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.3%
- --------------------------------------------------------------------------------------------------
U.S. TREASURY BILLS -- 0.3%
$ 721,000 U.S. Treasury Bills, due 8/26/04 (Cost -- $719,693)......... $ 719,693
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.0%
74,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due
7/1/04; Proceeds at maturity -- $74,002; (Fully
collateralized by U.S. Treasury Bonds, 8.125% due 8/15/19;
Market value -- $79,990) (Cost -- $74,000)................ 74,000
- --------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (Cost -- $793,693)............. 793,693
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $269,014,565**)........ $289,732,240
- --------------------------------------------------------------------------------------------------
</Table>
(a) Non-income producing security.
(b) Security is issued with attached warrants.
(c) 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.
(d) Variable rate security.
(e) 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 established by the Board of
Trustees.
** Aggregate cost for Federal income tax purposes is substantially the same.
<Table>
Abbreviations used in this schedule:
</Table>
<Table>
HIGH -- Remarketable Term Income Deferrable Equity
TIDES(SM) Securities(SM) -- Service Mark of CS First Boston Corp.
LYO(TM)Ns -- Liquid Yield Option(TM) Notes -- Trademark of Merrill Lynch
& Co., Inc.
PHONES(SM) -- Participation Hybrid Option Note Exchangeable
Securities(SM) -- Service Mark of Merrill Lynch & Co., Inc.
PIERS(SM) -- Preferred Income Equity Redeemable Securities(SM) -- Service
Mark of Merrill Lynch & Co., Inc.
PRIDES(SM) -- Perpetual Redeemable Income Debt, Exchangeable for
Stock(SM) -- Service Mark of Merrill Lynch & Co., Inc.
QUIPS(SM) -- Quarterly Income Preferred Securities(SM) -- Service Mark of
Goldman Sachs & Co.
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 80.9%
- --------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE -- 1.1%
$ 75,000 B Argo-Tech Corp., Sr. Notes, 9.250% due 6/1/11 (b)........... $ 77,625
475,000 B- BE Aerospace, Inc., Sr. Sub. Notes, Series B, 8.875% due
5/1/11.................................................... 444,125
500,000 CCC+ Hexcel Corp., Sr. Sub. Notes, 9.750% due 1/15/09............ 526,875
- --------------------------------------------------------------------------------------------------
1,048,625
- --------------------------------------------------------------------------------------------------
AIRLINES -- 0.5%
1,150,000 CCC Delta Air Lines, Inc., Notes, 8.300% due 12/15/29........... 483,000
- --------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 3.6%
Collins & Aikman Products Co., Sr. Sub. Notes:
500,000 B- 11.500% due 4/15/06....................................... 495,000
500,000 B- 10.750% due 12/31/11...................................... 505,000
325,000 B Intermet Corp., Sr. Notes, 9.750% due 6/15/09............... 294,125
1,150,000 B Metaldyne Corp., Sr. Sub. Notes, 11.000% due 6/15/12........ 983,250
575,000 B- RJ Tower Corp., Sr. Notes, 12.000% due 6/1/13............... 553,438
500,000 B- Tenneco Automotive Inc., Sr. Notes, 11.625% due 10/15/09.... 540,000
- --------------------------------------------------------------------------------------------------
3,370,813
- --------------------------------------------------------------------------------------------------
BROADCASTING -- 0.5%
200,000 BBB- Chancellor Media Corp., Sr. Notes, 8.000% due 11/1/08....... 227,269
250,000 CCC Granite Broadcasting Corp., Sr. Secured Notes, 9.750% due
12/1/10 (b)............................................... 233,750
- --------------------------------------------------------------------------------------------------
461,019
- --------------------------------------------------------------------------------------------------
BUILDING/CONSTRUCTION -- 1.6%
Armstrong World Industries, Inc., Sr. Notes:
475,000 NR 6.500% due 8/15/05 (c).................................... 292,125
175,000 NR 7.450% due 5/15/29 (c).................................... 106,313
KB Home:
425,000 BB+ Sr. Notes, 6.375% due 8/15/11 (b)......................... 422,875
Sr. Sub. Notes:
125,000 BB- 8.625% due 12/15/08.................................... 135,000
325,000 BB- 9.500% due 2/15/11..................................... 359,938
225,000 B William Lyon Homes, Inc., Sr. Notes, 10.750% due 4/1/13..... 249,750
- --------------------------------------------------------------------------------------------------
1,566,001
- --------------------------------------------------------------------------------------------------
BUSINESS SERVICES -- 0.7%
525,000 B+ Danka Business Systems PLC, Sr. Notes, 11.000% due
6/15/10................................................... 548,625
125,000 B- Vertis, Inc., Sr. Notes, Series B, 10.875% due 6/15/09...... 135,000
- --------------------------------------------------------------------------------------------------
683,625
- --------------------------------------------------------------------------------------------------
CABLE -- 7.9%
Adelphia Communications Corp., Sr. Notes:
875,000 NR 10.250% due 6/15/11 (c)................................... 901,250
Series B:
725,000 NR 8.375% due 2/1/08 (c).................................. 712,313
250,000 NR 8.125% due 12/31/49 (c)................................ 243,750
1,200,000 CCC- CCO Holdings, LLC/CCO Holdings Capital Corp., Sr. Notes,
8.750% due 11/15/13 (b)................................... 72,188
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
CABLE -- 7.9% (CONTINUED)
Charter Communications Holdings, LLC/Charter Communications
Holdings Capital Corp:
Sr. Discount Notes:
$ 550,000 CCC- Step bond to yield 9.920% due 4/1/11................. $ 437,250
1,250,000 CCC- Step bond to yield 18.487% due 5/15/11............... 815,625
100,000 B- Sr. Notes, 8.375% due 4/30/14 (b)...................... 97,250
1,200,000 BB- CSC Holdings Inc., Sr. Notes, Series B, 7.625% due 4/1/11... 1,209,000
100,000 NR Frontiervision Holdings LP, Sr. Discount Notes, 11.875% due
9/15/07 (c)............................................... 124,500
725,000 B+ Insight Midwest, L.P./Insight Capital, Inc., Sr. Notes,
9.750% due 10/1/09........................................ 768,500
125,000 B Kabel Deutschland GmbH, Sr. Notes, 10.625% due 7/1/14 (b)... 129,062
1,350,000 B+ Mediacom LLC/Mediacom Capital Corp., Sr. Notes, 9.500% due
1/15/13................................................... 1,309,500
375,000 BB+ Shaw Communications Inc., Sr. Notes, 7.250% due 4/6/11...... 391,020
175,000 B- Telenet Communications NV, Sr. Notes, 9.000% due 12/15/13
(b)....................................................... 214,233
- --------------------------------------------------------------------------------------------------
7,425,441
- --------------------------------------------------------------------------------------------------
CHEMICALS -- 7.4%
325,000 BBB- Georgia Gulf Corp., Notes, 7.625% due 11/15/05.............. 342,875
475,000 CCC+ Huntsman ICI Chemicals LLC, Sr. Sub. Notes, 10.125% due
7/1/09.................................................... 486,875
450,000 B- Huntsman International LLC, Sr. Notes, 9.875% due 3/1/09.... 488,250
Lyondell Chemical Co.:
450,000 B+ Sr. Notes, Series B, 9.875% due 5/1/07.................... 472,500
825,000 B- Sr. Sub. Notes, 10.875% due 5/1/09........................ 866,250
1,500,000 BB- Millennium America Inc., Sr. Notes, 7.000% due 11/15/06..... 1,548,750
Nalco Co.:
75,000 B- Sr. Notes, 7.750% due 11/15/11 (b)........................ 78,937
125,000 B- Sr. Sub. Notes, 8.875% due 11/15/13 (b)................... 131,563
125,000 BB+ NOVA Chemicals Corp., Sr. Notes, 6.500% due 1/15/12......... 123,750
PolyOne Corp., Sr. Notes:
200,000 B+ 10.625% due 5/15/10....................................... 213,000
50,000 B+ 8.875% due 5/1/12......................................... 49,500
Resolution Performance Products LLC/RPP Capital Corp.:
225,000 B+ Sr. Secured Notes, 8.000% due 12/15/09.................... 234,563
400,000 B- Sr. Second Secured Notes, 9.500% due 4/15/10.............. 414,000
Rhodia SA:
750,000 CCC+ Sr. Notes, 7.625% due 6/1/10 (b).......................... 682,500
425,000 CCC+ Sr. Sub. Notes, 8.875% due 6/1/11 (b)..................... 361,250
475,000 BBB- Union Carbide Corp., Debentures, 6.790% due 6/1/25.......... 482,125
- --------------------------------------------------------------------------------------------------
6,976,688
- --------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS & SERVICES -- 2.0%
50,000 B+ Adesa, Inc., Sr. Sub. Notes, 7.625% due 6/15/12............. 50,688
675,000 NR Alderwoods Group, Inc., Sr. Notes, 12.250% due 1/2/09....... 749,250
450,000 CCC- Home Products International, Inc., Sr. Sub. Notes,
9.625% due 5/15/08........................................ 369,000
525,000 CCC+ Playtex Products, Inc., Sr. Sub. Notes, 9.375% due 6/1/11... 513,187
225,000 B- Sealy Mattress Co., Sr. Sub. Notes, 8.250% due 6/15/14
(b)....................................................... 227,250
- --------------------------------------------------------------------------------------------------
1,909,375
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
ENERGY -- 3.6%
$ 150,000 CCC+ Belden & Blake Corp., Sr. Sub. Notes, Series B,
9.875% due 6/15/07........................................ $ 154,125
650,000 B El Paso Production Holding Co., Sr. Notes, 7.750% due
6/1/13.................................................... 599,625
50,000 B Encore Acquisition Co., Sr. Sub. Notes, 6.250% due 4/15/14
(b)....................................................... 47,250
50,000 BB- Evergreen Resources, Inc., Sr. Sub. Notes, 5.875% due
3/15/12 (b)............................................... 50,750
150,000 BB- Forest Oil Corp., Sr. Notes, 8.000% due 12/15/11............ 161,625
300,000 B Key Energy Services, Inc., Sr. Notes, Series C, 8.375% due
3/1/08.................................................... 312,000
325,000 BB Pogo Producing Co., Sr. Sub. Notes, Series B, 8.250% due
4/15/11................................................... 357,500
Pride International, Inc., Sr. Notes:
150,000 BB- 10.000% due 6/1/09........................................ 159,000
125,000 BB- 7.375% due 7/15/14 (b).................................... 126,875
225,000 B- Seitel, Inc., Sr. Notes, 11.750% due 7/15/11 (b)............ 226,125
Tesoro Petroleum Corp.:
125,000 BB Sr. Secured Notes, Series B, 8.000% due 4/15/08........... 134,375
225,000 B Sr. Sub. Notes, 9.625% due 4/1/12......................... 253,687
775,000 BB- USEC Inc., Sr. Notes, 6.625% due 1/20/06.................... 771,125
- --------------------------------------------------------------------------------------------------
3,354,062
- --------------------------------------------------------------------------------------------------
EQUIPMENT RENTAL -- 1.2%
150,000 BB- NationsRent, Inc., Sr. Secured Notes, 9.500% due 10/15/10
(b)....................................................... 160,500
Williams Scotsman, Inc.:
850,000 B- Sr. Notes, 9.875% due 6/1/07.............................. 847,875
75,000 B+ Sr. Secured Notes, 10.000% due 8/15/08.................... 82,125
- --------------------------------------------------------------------------------------------------
1,090,500
- --------------------------------------------------------------------------------------------------
FABRICATED GLASS, PLASTIC & FIBER -- 2.4%
Crown Cork & Seal Co. Inc.:
850,000 B Debentures, 7.375% due 12/15/26........................... 709,750
75,000 B Notes, 7.000% due 12/15/06................................ 76,500
150,000 B Crown European Holdings SA, Third Priority Sr. Secured
Notes, 10.875% due 3/1/13................................. 171,750
350,000 B Jefferson Smurfit Corp., Notes, 8.250% due 10/1/12.......... 365,750
Owens-Brockway Glass Container, Inc., Sr. Secured Notes:
575,000 BB- 8.875% due 2/15/09........................................ 623,875
300,000 BB- 7.750% due 5/15/11........................................ 313,500
- --------------------------------------------------------------------------------------------------
2,261,125
- --------------------------------------------------------------------------------------------------
FINANCE -- 0.6%
550,000 B- BCP Caylux Holdings, Luxembourg SCA, Sr. Sub. Notes,
9.625% due 6/15/14 (b).................................... 572,688
- --------------------------------------------------------------------------------------------------
FOOD/BEVERAGE/TOBACCO -- 0.3%
50,000 B Land O'Lakes Inc., Sr. Secured Notes, 9.000% due 12/15/10
(b)....................................................... 52,312
50,000 B+ Swift & Co., Sr. Notes, 10.125% due 10/1/09................. 53,625
150,000 B+ The Wornick Co., Sr. Second Secured Notes, 10.875% due
7/15/11 (b)............................................... 154,125
- --------------------------------------------------------------------------------------------------
260,062
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
FREIGHT/CONTAINERS/SHIPPING -- 1.1%
$ 200,000 NR Atlas Air, Inc., Sr. Notes, 10.750% due 8/1/05 (c).......... $ 95,000
200,000 B CHC Helicopter Corp., Sr. Sub. Notes, 7.375% due 5/1/14
(b)....................................................... 197,500
450,000 CCC- Evergreen International Aviation, Inc., Sr. Second Secured
Notes, 12.000% due 5/15/10................................ 281,250
475,000 B2* TFM, S.A. de C.V., Sr. Notes, 12.500% due 6/15/12........... 508,250
- --------------------------------------------------------------------------------------------------
1,082,000
- --------------------------------------------------------------------------------------------------
GAMING -- 4.8%
Aztar Corp., Sr. Sub. Notes:
675,000 B+ 8.875% due 5/15/07........................................ 700,852
275,000 B+ 7.875% due 6/15/14 (b).................................... 279,125
175,000 B+ Boyd Gaming Corp., Sr. Sub. Notes, 6.750% due 4/15/14 (b)... 165,813
275,000 BB+ Harrah's Operating Co., Inc., Sr. Sub. Notes, 7.875% due
12/15/05.................................................. 291,156
275,000 B Isle of Capri Casinos, Inc., Sr. Sub. Notes, 7.000% due
3/1/14 (b)................................................ 256,437
475,000 BB- MGM Mirage Inc., Notes, 8.375% due 2/1/11................... 498,750
Park Place Entertainment Corp., Sr. Sub. Notes:
325,000 BB- 7.875% due 12/15/05....................................... 342,469
800,000 BB- 7.875% due 3/15/10........................................ 848,000
52,000 CCC+ Pinnacle Entertainment, Inc., Sr. Sub. Notes, Series B,
9.250% due 2/15/07........................................ 53,560
525,000 B Resorts International Hotel and Casino, Inc., First Mortgage
Notes, 11.500% due 3/15/09................................ 595,875
Station Casinos, Inc.:
200,000 BB- Sr. Notes, 6.000% due 4/1/12.............................. 194,500
50,000 B+ Sr. Sub. Notes, 6.500% due 2/1/14......................... 48,375
200,000 B Sun International Hotels Ltd., Sr. Sub. Notes, 8.875% due
8/15/11................................................... 214,500
- --------------------------------------------------------------------------------------------------
4,489,412
- --------------------------------------------------------------------------------------------------
HEALTHCARE -- 3.2%
375,000 B- Alliance Imaging Inc., Sr. Sub. Notes, 10.375% due
4/15/11................................................... 394,687
650,000 NR HEALTHSOUTH Corp., Sr. Notes, 7.625% due 6/1/12............. 615,875
525,000 B Radiologix, Inc., Notes, Series B, 10.500% due 12/15/08..... 553,875
Tenet Healthcare Corp., Sr. Notes:
150,000 BB- 7.375% due 2/1/13......................................... 136,500
1,675,000 BB- 6.875% due 11/15/31....................................... 1,323,250
- --------------------------------------------------------------------------------------------------
3,024,187
- --------------------------------------------------------------------------------------------------
INDUSTRIAL PRODUCTS -- 3.1%
100,000 CCC+ Ames True Temper Inc., Sr. Sub. Notes, 10.000% due 7/15/12
(b)....................................................... 100,750
550,000 CCC- BGF Industries, Inc., Sr. Sub. Notes, Series B, 10.250% due
1/15/09................................................... 511,500
375,000 BB- Case New Holland, Inc., Sr. Notes, 9.250% due 8/1/11 (b).... 395,625
Foamex L.P., Sr. Sub. Notes:
250,000 CCC+ 13.500% due 8/15/05....................................... 251,250
400,000 CCC+ 9.875% due 6/15/07........................................ 342,000
1,025,000 B- The Goodyear Tire & Rubber Co., Notes, 7.857% due 8/15/11... 940,437
275,000 B- MAAX Corp., Sr. Sub. Notes, 9.750% due 6/15/12 (b).......... 284,625
50,000 BB- Trinity Industries, Inc., Sr. Notes, 6.500% due 3/15/14
(b)....................................................... 46,000
100,000 B+ Wolverine Tube, Inc., Sr. Notes, Series B, 10.500% due
4/1/09.................................................... 110,000
- --------------------------------------------------------------------------------------------------
2,982,187
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
LODGING AND LEISURE -- 5.6%
Felcor Lodging LP, Sr. Notes:
$ 185,000 B- 10.000% due 9/15/08....................................... $ 196,100
200,000 B- 9.000% due 6/1/11......................................... 207,500
334,000 B+ HMH Properties, Inc., Sr. Notes, Series B, 7.875% due
8/1/08.................................................... 344,020
650,000 BB+ ITT Corp., Notes, 6.750% due 11/15/05....................... 672,750
50,000 BB K2 Inc., Sr. Notes, 7.375% due 7/1/14 (b)................... 51,125
MeriStar Hospitality Corp., Sr. Notes:
125,000 CCC+ 9.000% due 1/15/08........................................ 126,875
725,000 CCC+ 9.125% due 1/15/11........................................ 735,875
1,625,000 BB+ Royal Caribbean Cruises Ltd., Sr. Debentures, 7.500% due
10/15/27.................................................. 1,527,500
1,350,000 B- Six Flags Inc., Sr. Notes, 9.750% due 4/15/13............... 1,363,500
100,000 B+ Steinway Musical Instruments, Inc., Sr. Notes, 8.750% due
4/15/11................................................... 108,500
- --------------------------------------------------------------------------------------------------
5,333,745
- --------------------------------------------------------------------------------------------------
METAL/MINING -- 2.4%
1,525,000 B+ AK Steel Corp., Sr. Notes, 7.750% due 6/15/12............... 1,383,937
300,000 BB IPSCO Inc., Sr. Notes, 8.750% due 6/1/13.................... 336,000
504,000 BB- U.S. Steel LLC, Sr. Notes, 10.750% due 8/1/08............... 578,340
- --------------------------------------------------------------------------------------------------
2,298,277
- --------------------------------------------------------------------------------------------------
MOTION PICTURES -- 1.0%
AMC Entertainment Inc., Sr. Sub. Notes:
360,000 CCC+ 9.500% due 2/1/11......................................... 376,200
375,000 CCC+ 8.000% due 3/1/14 (b)..................................... 360,000
325,000 B- Cinemark, Inc., Sr. Discount Notes, step bond to yield
9.743% due 3/15/14 (b).................................... 213,687
- --------------------------------------------------------------------------------------------------
949,887
- --------------------------------------------------------------------------------------------------
PAPER/FORESTRY PRODUCTS -- 3.4%
425,000 D Doman Industries Ltd., Sr. Notes, 12.000% due 7/1/04 (c).... 422,875
750,000 BB+ Fort James Corp., Sr. Notes, 6.875% due 9/15/07............. 791,250
300,000 BB+ Georgia-Pacific Corp., Sr. Notes, 9.375% due 2/1/13......... 345,000
75,000 BB Norske Skog Canada Ltd., Sr. Notes, 7.375% due 3/1/14 (b)... 72,938
1,600,000 BB- Tembec Inc., Sr. Notes, 7.750% due 3/15/12.................. 1,552,000
- --------------------------------------------------------------------------------------------------
3,184,063
- --------------------------------------------------------------------------------------------------
PRINTING/PUBLISHING -- 2.5%
275,000 B American Color Graphics, Inc., Sr. Second Secured Notes,
10.000% due 6/15/10....................................... 246,812
Dex Media, Inc.:
575,000 B Discount Notes, step bond to yield 8.560% due 11/15/13
(b)....................................................... 373,750
125,000 B Notes, 8.000% due 11/15/13 (b)............................ 120,625
700,000 BB- Houghton Mifflin Co., Notes, 7.200% due 3/15/11............. 738,500
900,000 B Primedia, Inc., Sr. Notes, 8.875% due 5/15/11 895,500
- --------------------------------------------------------------------------------------------------
2,375,187
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
RETAIL -- 1.5%
$ 380,000 BB+ J.C. Penney Co., Inc., Debentures, 8.125% due 4/1/27........ $ 416,100
250,000 B- The Pantry, Inc., Sr. Sub. Notes, 7.750% due 2/15/14........ 245,000
700,000 BB Saks Inc., Notes, 7.500% due 12/1/10........................ 731,500
- --------------------------------------------------------------------------------------------------
1,392,600
- --------------------------------------------------------------------------------------------------
SUPERMARKETS & DISTRIBUTORS -- 2.0%
425,000 BB+ Delhaize America, Inc., Debentures, 9.000% due 4/15/31...... 469,419
750,000 B The Great Atlantic & Pacific Tea Co., Inc., Sr. Notes,
9.125% due 12/15/11....................................... 641,250
375,000 B Roundy's, Inc., Sr. Sub. Notes, Series B, 8.875% due
6/15/12................................................... 399,375
350,000 BB- Stater Bros. Holdings Inc., Sr. Notes, 8.125% due 6/15/12
(b)....................................................... 353,062
- --------------------------------------------------------------------------------------------------
1,863,106
- --------------------------------------------------------------------------------------------------
TECHNOLOGY -- 1.7%
50,000 B1* Amkor Technology, Inc., Sr. Notes, 9.250% due 2/15/08....... 52,500
1,325,000 B Lucent Technologies, Inc., Debentures, 6.450% due 3/15/29... 1,030,188
100,000 B+ Solectron Corp., Sr. Notes, 9.625% due 2/15/09.............. 110,250
175,000 BBB- Thomas & Betts Corp., Sr. Notes, 7.250% due 6/1/13.......... 186,238
225,000 BB+ Unisys Corp., Sr. Notes, 8.125% due 6/1/06.................. 240,187
- --------------------------------------------------------------------------------------------------
1,619,363
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 6.3%
499,000 CCC Alamosa (Delaware), Inc., Sr. Discount Notes, step bond to
yield 11.482% due 7/31/09................................. 484,030
50,000 CCC American Tower Corp., Notes, 9.375% due 2/1/09.............. 53,625
300,000 B3* American Tower Escrow Corp., Discount Notes, zero coupon
bond to yield 10.240% due 8/1/08.......................... 220,500
141,314 Caa1* Calpoint Receivables Structured Trust 2001, Notes,
7.440% due 12/10/06 (b)................................... 142,374
700,000 CCC Centennial Communications Corp./Centennial Cellular
Operating Co. LLC, Sr. Notes, 10.125% due 6/15/13......... 726,250
375,000 B- Cincinnati Bell Inc., Sr. Sub. Notes, 8.375% due 1/15/14.... 335,625
Dobson Communications Corp., Sr. Notes:
325,000 CCC+ 10.875% due 7/1/10........................................ 281,125
700,000 CCC+ 8.875% due 10/1/13........................................ 535,500
75,000 NR Horizon PCS, Inc., Sr. Discount Notes, step bond to yield
30.460% due 10/1/10 (c)................................... 26,250
MCI, Inc., Sr. Notes:
76,000 NR 5.908% due 5/1/07......................................... 73,910
76,000 NR 6.688% due 5/1/09......................................... 70,490
65,000 NR 7.735% due 5/1/14......................................... 58,338
Nextel Communications, Inc., Sr. Serial Redeemable Notes:
50,000 BB 9.375% due 11/15/09....................................... 53,687
125,000 BB 5.950% due 3/15/14........................................ 115,625
925,000 BB- Qwest Corp., Notes, 7.200% due 11/1/04...................... 936,562
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 6.3% (CONTINUED)
Rural Cellular Corp.:
$ 100,000 B- Sr. Secured Notes, 8.250% due 3/15/12 (b)................. $ 102,750
750,000 CCC Sr. Sub. Notes, 9.750% due 1/15/10........................ 684,375
550,000 B- Syniverse Technologies Inc., Notes, Series B
12.750% due 2/1/09........................................ 594,000
550,000 B- Triton PCS, Inc., Sr. Sub. Notes, 8.750% due 11/15/11....... 456,500
- --------------------------------------------------------------------------------------------------
5,951,516
- --------------------------------------------------------------------------------------------------
TEXTILES/APPAREL -- 0.9%
850,000 CCC Levi Strauss & Co., Sr. Notes, 12.250% due 12/15/12......... 841,500
- --------------------------------------------------------------------------------------------------
UTILITIES -- 8.0%
Allegheny Energy Supply Co. LLC, Secured Bonds:
158,293 B Series A, 10.250% due 11/15/07 (b)........................ 171,352
16,706 B Series B, 13.000% due 11/15/07 (b)........................ 17,124
600,000 B Calpine Corp., Sr. Secured Notes, 8.750% due 7/15/13 (b).... 495,000
375,000 B+ Calpine Generating Co., LLC, First Priority Secured Notes,
5.000% due 4/1/09 (b)(d).................................. 375,937
100,000 BBB- Consumers Energy Co., First Mortgage Bonds, 7.375% due
9/15/23................................................... 101,964
325,000 B- Dynegy Holdings Inc., Sr. Secured Notes, 10.125% due 7/15/13
(b)....................................................... 353,438
270,930 CCC+ El Paso CGP Co., Sr. Debentures, 6.700% due 2/15/27......... 255,352
1,100,000 CCC+ NGC Corp., Sr. Debentures, 7.125% due 5/15/18............... 863,500
Northwestern Corp., Notes:
575,000 D 7.875% due 3/15/07 (c).................................... 481,563
250,000 D 8.750% due 3/15/12 (c).................................... 209,375
Reliant Resources, Inc., Sr. Secured Notes:
150,000 B 9.250% due 7/15/10........................................ 160,875
425,000 B 9.500% due 7/15/13........................................ 460,062
275,000 CCC+ Sonat Inc., Notes, 6.625% due 2/1/08........................ 259,187
1,525,000 B- Southern Natural Gas Co., Notes, 7.350% due 2/15/31......... 1,372,500
375,000 B+ Transcontinental Gas Pipe Line Corp., Sr. Notes, Series B,
8.875% due 7/15/12........................................ 425,625
The Williams Cos., Inc., Notes:
650,000 B+ 6.625% due 11/15/04....................................... 659,750
850,000 B+ 7.125% due 9/1/11......................................... 867,000
- --------------------------------------------------------------------------------------------------
7,529,604
- --------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $72,778,882)....... 76,379,658
- --------------------------------------------------------------------------------------------------
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
COMMON STOCK(E) -- 0.4%
- --------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.1%
4,812 Hayes Lemmerz International, Inc. .......................... 72,661
- --------------------------------------------------------------------------------------------------
CABLE -- 0.0%
1,057 Classic Holdco LLC.......................................... 34,500
- --------------------------------------------------------------------------------------------------
MANUFACTURING -- 0.0%
303 AGY Holding Corp. .......................................... 17,862
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
HIGH YIELD BOND TRUST
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.3%
25,745 Dobson Communications Corp., Class A shares................. 83,929
9,809 MCI Inc. ................................................... 141,544
- --------------------------------------------------------------------------------------------------
225,473
- --------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $973,553)....................... 350,496
- --------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.6%
- --------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.0%
40 Hayes Lemmerz International Operating Co.,
8.000% Cumulative Exchangeable, Series A.................. 2,837
- --------------------------------------------------------------------------------------------------
BROADCASTING -- 0.4%
350 Granite Broadcasting Corp., 12.750% Cumulative
Exchangeable.............................................. 198,625
2,100 Paxson Communications Corp., 14.250% Cumulative Jr.
Exchangeable.............................................. 184,537
- --------------------------------------------------------------------------------------------------
383,162
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.2%
284 Alamosa Holdings Inc., 7.500% Cumulative Exchangeable,
Series B.................................................. 164,826
400 Dobson Communications Corp., 6.000% Cumulative Exchangeable,
Series F (b).............................................. 39,018
- --------------------------------------------------------------------------------------------------
203,844
- --------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $602,720).................... 589,843
- --------------------------------------------------------------------------------------------------
<Caption>
WARRANTS SECURITY VALUE
- --------------------------------------------------------------------------------------------------
WARRANTS (e) -- 0.0%
- --------------------------------------------------------------------------------------------------
TECHNOLOGY -- 0.0%
9,411 Viasystems Group, Inc., Expire 1/31/10...................... 0
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.0%
275 Horizon PCS Inc., Expire 10/1/10 (b)........................ 0
- --------------------------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $147,600)........................... 0
- --------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $74,502,755)................. 77,319,997
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
HIGH YIELD BOND TRUST
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 18.1%
$17,120,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due
7/1/04; Proceeds at maturity -- $17,120,547; (Fully
collateralized by U.S. Treasury Bonds, 8.750% due 5/15/17;
Market value -- $17,462,400)
(Cost -- $17,120,000)..................................... $17,120,000
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $91,622,755**)......... $94,439,997
- --------------------------------------------------------------------------------------------------
</Table>
(a) All ratings are by Standard & Poor's Ratings Service, except for those that
are identified by an asterisk (*), which are rated by Moody's Investors
Service.
(b) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be sold in transactions that are exempt from
registration, normally to qualified institutional buyers. These securities
have been deemed liquid pursuant to guidelines established by the Board of
Trustees.
(c) Security is currently in default.
(d) Variable rate security.
(e) Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 33 for definitions of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
28
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
CAPITAL APPRECIATION FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
COMMON STOCK -- 97.6%
- ----------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 20.3%
HOTELS, RESTAURANTS & LEISURE -- 0.4%
91,990 Outback Steakhouse, Inc. ................................... $ 3,804,706
- ----------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL -- 7.1%
425,500 Amazon.com, Inc.+........................................... 23,147,200
497,700 eBay Inc.+.................................................. 45,763,515
- ----------------------------------------------------------------------------------------
68,910,715
- ----------------------------------------------------------------------------------------
MEDIA -- 4.5%
55,165 EchoStar Communications Corp., Class A Shares+.............. 1,696,324
1,549,745 XM Satellite Radio Holdings Inc., Class A Shares+........... 42,292,541
- ----------------------------------------------------------------------------------------
43,988,865
- ----------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 2.0%
457,090 Kohl's Corp.+............................................... 19,325,765
- ----------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.8%
385,180 Advance Auto Parts+......................................... 17,017,252
- ----------------------------------------------------------------------------------------
TEXTILES & APPAREL -- 4.5%
569,510 NIKE, Inc., Class B Shares.................................. 43,140,382
- ----------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 196,187,685
- ----------------------------------------------------------------------------------------
ENERGY -- 7.1%
OIL & GAS -- 7.1%
800,500 Murphy Oil Corp. ........................................... 58,996,850
376,800 Suncor Energy, Inc. ........................................ 9,649,848
- ----------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 68,646,698
- ----------------------------------------------------------------------------------------
FINANCIALS -- 13.6%
BANKS -- 6.6%
390,650 Bank of America Corp. ...................................... 33,056,803
529,990 Wells Fargo & Co. .......................................... 30,331,328
- ----------------------------------------------------------------------------------------
63,388,131
- ----------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.9%
278,855 The Goldman Sachs Group, Inc. .............................. 26,256,987
770,320 SLM Corp. .................................................. 31,159,444
- ----------------------------------------------------------------------------------------
57,416,431
- ----------------------------------------------------------------------------------------
INSURANCE -- 1.1%
3,697 Berkshire Hathaway, Inc., Class B Shares+................... 10,924,635
- ----------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 131,729,197
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
CAPITAL APPRECIATION FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
HEALTHCARE -- 22.7%
BIOTECHNOLOGY -- 8.1%
982,580 Genentech, Inc.+............................................ $ 55,220,996
113,155 Gilead Sciences, Inc.+...................................... 7,581,385
212,335 Invitrogen Corp.+........................................... 15,285,997
- ----------------------------------------------------------------------------------------
78,088,378
- ----------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS & SERVICES -- 9.1%
125,745 Anthem, Inc.+............................................... 11,261,722
1,100,920 UnitedHealth Group Inc. .................................... 68,532,270
68,795 WellPoint Health Networks, Inc.+............................ 7,705,728
- ----------------------------------------------------------------------------------------
87,499,720
- ----------------------------------------------------------------------------------------
PHARMACEUTICALS -- 5.5%
403,595 Forest Laboratories, Inc.+.................................. 22,855,585
309,765 Roche Holding AG............................................ 30,682,051
- ----------------------------------------------------------------------------------------
53,537,636
- ----------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 219,125,734
- ----------------------------------------------------------------------------------------
INDUSTRIALS -- 4.7%
AEROSPACE & DEFENSE -- 1.1%
203,200 Lockheed Martin Corp. ...................................... 10,582,656
- ----------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 1.9%
400,000 Energizer Holdings, Inc.+................................... 18,000,000
- ----------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 1.7%
185,830 3M Co. ..................................................... 16,726,558
- ----------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 45,309,214
- ----------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 23.8%
COMMUNICATIONS EQUIPMENT -- 1.8%
233,220 QUALCOMM, Inc. ............................................. 17,020,396
- ----------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS -- 6.4%
1,031,120 Apple Computer, Inc.+....................................... 33,552,645
1,066,840 NVIDIA Corp.+............................................... 21,870,220
300,010 SanDisk Corp.+.............................................. 6,507,217
- ----------------------------------------------------------------------------------------
61,930,082
- ----------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES -- 2.3%
612,520 Yahoo! Inc.+................................................ 22,252,852
- ----------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 8.2%
1,542,985 Applied Materials, Inc.+.................................... 30,273,366
531,450 KLA-Tencor Corp.+........................................... 26,243,001
952,795 Texas Instruments Inc. ..................................... 23,038,583
- ----------------------------------------------------------------------------------------
79,554,950
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
CAPITAL APPRECIATION FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
SOFTWARE -- 5.1%
903,910 Electronic Arts Inc.+....................................... $ 49,308,290
- ----------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 230,066,570
- ----------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 5.4%
WIRELESS TELECOMMUNICATION SERVICES -- 5.4%
1,241,040 Nextel Communications, Inc., Class A Shares+................ 33,086,126
708,250 Vodafone Group PLC.......................................... 1,550,415
804,640 Vodafone Group PLC, Sponsored ADR........................... 17,782,544
- ----------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 52,419,085
- ----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $696,633,839)................... 943,484,183
- ----------------------------------------------------------------------------------------
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 0.2%
$ 2,195,000 U.S. Treasury Notes, 1.875% due 9/30/04
(Cost -- $2,200,144)...................................... 2,198,431
- ----------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $698,833,983)................ 945,682,614
- ----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.2%
21,386,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due
7/1/04; Proceeds at maturity -- $21,386,683; (Fully
collateralized by U.S. Treasury Bonds, 8.125% due 8/15/19;
Market value -- $21,817,327) (Cost -- $21,386,000)........ 21,386,000
- ----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $720,219,983*)......... $967,068,614
- ----------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviations used in this schedule:
---------------------------------------
ADR -- American Depositary Receipt
SEE NOTES TO FINANCIAL STATEMENTS.
31
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MONEY MARKET PORTFOLIO
<Table>
<Caption>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- ------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY INSTRUMENTALITIES -- 9.7%
$20,468,000 Federal Home Loan Bank matures 7/16/04...................... 1.28% $ 20,457,879
12,725,000 Federal National Mortgage Association mature 7/21/04 to
3/29/05..................................................... 1.26 to 1.40 12,719,593
- ------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY INSTRUMENTALITIES
(Cost -- $33,177,472)....................................... 33,177,472
- ------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 90.3%
10,731,000 American Honda Finance Corp. mature 7/7/04 to 8/4/04........ 1.07 to 1.13 10,729,978
5,000,000 Amstel Funding Corp. matures 8/11/04........................ 1.11 4,993,679
16,893,000 Amsterdam Funding Corp. mature 7/6/04 to 7/7/04............. 1.08 to 1.11 16,890,063
3,125,000 Atomium Funding Corp. mature 7/1/04 to 7/7/04............... 1.14 to 1.15 3,124,617
17,470,000 BMW US Capital Corp. matures 7/7/04......................... 1.15 17,466,914
5,000,000 CIT Group Inc. matures 12/1/04.............................. 1.39 5,000,000
15,000,000 Coca-Cola Co. matures 7/14/04............................... 1.28 14,993,175
13,465,000 Coca-Cola Enterprises Inc. mature 7/1/04 to 7/19/04......... 1.04 to 1.18 13,461,654
13,145,000 Galleon Capital LLC mature 7/6/04 to 7/7/04................. 1.08 to 1.09 13,142,770
15,000,000 Goldman Sachs Group L.P. matures 7/12/04.................... 1.13 15,000,000
8,000,000 Hannover Funding Corp. matures 7/19/04...................... 1.26 7,994,960
3,000,000 HBOS Treasury Services PLC matures 8/2/04................... 1.18 2,996,853
11,700,000 Household Financial Corp. matures 7/8/04.................... 1.15 11,697,384
1,700,000 ING U.S. Funding LLC matures 7/2/04......................... 1.07 1,699,949
10,425,000 JP Morgan Chase mature 7/1/04 to 7/12/04.................... 1.05 to 1.07 10,423,226
4,018,000 Jupiter Securitization Corp. matures 7/12/04................ 1.19 4,016,539
5,000,000 Marsh & McLennan Cos. Inc. matures 7/26/04.................. 1.26 4,995,625
13,077,000 Merrill Lynch & Co., Inc. matures 7/1/04.................... 1.45 13,077,000
16,086,000 Morgan Stanley Dean Witter mature 7/1/04 to 7/21/04......... 1.06 to 1.25 16,076,365
17,400,000 Nestle Capital Corp. matures 7/1/04......................... 1.05 17,400,000
7,785,000 Nieuw Amsterdam matures 7/8/04.............................. 1.28 7,783,062
16,700,000 Norddeutsche Landesbank mature 7/8/04 to 7/15/04............ 1.08 to 1.11 16,695,987
12,590,000 Nordea North America Inc. matures 7/19/04................... 1.17 12,582,635
6,858,000 Preferred Receivable Funding matures 7/6/04................. 1.08 6,856,971
15,776,000 Province of Quebec mature 7/12/04 to 8/3/04................. 1.08 to 1.10 15,767,428
5,000,000 Receivables Capital Corp. matures 7/9/04.................... 1.18 4,998,689
7,900,000 Royal Bank of Scotland PLC matures 7/6/04................... 1.12 7,898,817
2,384,000 Sheffield Receivable Funding Corp. matures 7/9/04........... 1.17 2,383,412
5,100,000 ST Germain Holdings matures 7/8/04.......................... 1.22 5,098,790
8,070,000 Toronto Dominion Holdings matures 7/29/04................... 1.27 8,062,029
5,200,000 Toyota Motor Credit Corp. matures 7/13/04................... 1.08 5,198,128
4,700,000 UBS Finance Inc. matures 7/6/04............................. 1.10 4,699,282
4,197,000 Victory Receivable Corp. matures 7/6/04..................... 1.13 4,196,341
- ------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost -- $307,402,322)............... 307,402,322
- ------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $340,579,794*)......... $340,579,794
- ------------------------------------------------------------------------------------------------------
</Table>
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
32
- --------------------------------------------------------------------------------
BOND RATINGS (UNAUDITED)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA" to
"CCC" may be modified by the addition of a plus (+) or a minus (-) sign to show
relative standings within the major rating categories.
<Table>
AAA -- Bonds rated "AAA" have the highest rating assigned by
Standard & Poor's. Capacity to pay interest and repay
principal is extremely strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest
and repay principal and differs from the highest rated issue
only in a small degree.
A -- Bonds rated "A" have a strong capacity to pay interest and
repay principal although it is somewhat more susceptible to
the adverse effects of changes in circumstances and economic
conditions than debt in higher rated categories.
BBB -- Bonds rated "BBB" have an adequate capacity to pay interest
and repay principal. Whereas they normally exhibit adequate
protection parameters, adverse economic conditions or
changing circumstances are more likely to lead to a weakened
capacity to pay interest and repay principal for bonds in
this category than for bonds in higher rated categories.
BB, B -- Bonds rated "BB", "B", "CCC" and "CC" are regarded, on
CCC and balance, as predominantly speculative with respect to
CC capacity to pay interest and repay principal in accordance
with the terms of the obligation. "BB" represents the lowest
degree of speculation and "CC" the highest degree of
speculation. While such bonds will likely have some quality
and protective characteristics, these are outweighed by
large uncertainties or major risk exposures to adverse
conditions.
C -- Bonds rated "C" are income bonds on which no interest is
being paid.
D -- Bonds rated "D" are in default, and payment of interest
and/or repayment of principal is in arrears.
</Table>
Moody's Investors Service ("Moody's") -- Numerical modifiers 1, 2, and 3 may be
applied to each generic rating from "Aa" to "Caa", where 1 is the highest and 3
the lowest rating within its generic category.
<Table>
Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They
carry the smallest degree of investment risk and are
generally referred to as "gilt edge." Interest payments are
protected by a large or by an exceptionally stable margin
and principal is secure. While the various protective
elements are likely to change, such changes as can be
visualized are most unlikely to impair the fundamentally
strong position of such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what
are generally known as high grade bonds. They are rated
lower than the best bonds because margins of protection may
not be as large as in "Aaa" securities or fluctuation of
protective elements may be of greater amplitude or there may
be other elements present which make the long-term risks
appear somewhat larger than in "Aaa" securities.
A -- Bonds rated "A" are judged to have many favorable investment
attributes and are to be considered as upper medium grade
obligations. Factors giving security to principal and
interest are considered adequate but elements may be present
which suggest a susceptibility to impairment some time in
the future.
Baa -- Bonds rated "Baa" are considered to be medium grade
obligations; that is, they are neither highly protected nor
poorly secured. Interest payment and principal security
appear adequate for the present but certain protective
elements may be lacking or may be characteristically
unreliable over any great length of time. These bonds lack
outstanding investment characteristics and may have
speculative characteristics as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements;
their future cannot be considered as well assured. Often the
protection of interest and principal payments may be very
moderate and thereby not well safeguarded during both good
and bad times over the future. Uncertainty of position
characterizes bonds in this class.
B -- Bonds rated "B" generally lack characteristics of desirable
investments. Assurance of interest and principal payments or
of maintenance of other terms of the contract over any long
period of time may be small.
Caa -- Bonds rated "Caa" are of poor standing. These issues may be
in default, or present elements of danger may exist with
respect to principal or interest.
Ca -- Bonds rated "Ca" are speculative in a high degree. Such
issues are often in default or have other marked
shortcomings.
C -- Bonds rated "C" are the lowest rated class of bonds, and
issues so rated can be regarded as having extremely poor
prospects of ever attaining any real investment standing.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
</Table>
33
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
<Table>
<Caption>
MANAGED HIGH YIELD CAPITAL MONEY
ASSETS BOND APPRECIATION MARKET
TRUST TRUST FUND PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost........................... $268,220,872 $74,502,755 $ 698,833,983 --
Short-term investments, at cost................ 793,693 17,120,000 21,386,000 $340,579,794
Foreign currency, at cost...................... 9 -- -- --
- -------------------------------------------------------------------------------------------------------------
Investments, at value.......................... $288,938,547 $77,319,997 $ 945,682,614 --
Short-term investments, at value............... 793,693 17,120,000 21,386,000 $340,579,794
Foreign currency, at value..................... 11 -- -- --
Cash........................................... 525 687 339 5,902
Dividends and interest receivable.............. 1,168,287 1,446,706 351,114 46,302
Receivable for securities sold................. 242,899 241,360 -- --
Receivable for Fund shares sold................ 26,636 -- -- --
- -------------------------------------------------------------------------------------------------------------
TOTAL ASSETS................................... 291,170,598 96,128,750 967,420,067 340,631,998
- -------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased............... 975,316 808,056 -- --
Investment advisory fees payable............... 117,685 32,179 582,017 87,918
Administration fees payable.................... 14,156 4,662 46,561 17,194
Payable for Fund shares reacquired............. -- 7,137 2,176,070 272,380
Dividends payable.............................. -- -- -- 88,645
Accrued expenses............................... 46,091 34,078 66,202 44,442
- -------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES.............................. 1,153,248 886,112 2,870,850 510,579
- -------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS................................. $290,017,350 $95,242,638 $ 964,549,217 $340,121,419
- -------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in capital................................ $267,871,387 $88,865,463 $1,137,204,724 $340,121,228
Undistributed net investment income............ 3,046,456 3,432,888 -- 7,965
Accumulated net investment loss................ -- -- (790,402) --
Accumulated net realized gain (loss) from
investment transactions and foreign
currencies.................................. (1,618,170) 127,045 (418,715,700) (7,774)
Net unrealized appreciation of investments and
foreign currencies.......................... 20,717,677 2,817,242 246,850,595 --
- -------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS................................. $290,017,350 $95,242,638 $ 964,549,217 $340,121,419
- -------------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING............................... 18,026,841 9,696,017 16,602,159 340,121,228
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE....................... $16.09 $9.82 $58.10 $1.00
- -------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
<Table>
<Caption>
MANAGED HIGH YIELD CAPITAL MONEY
ASSETS BOND APPRECIATION MARKET
TRUST TRUST FUND PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest............................................ $ 2,321,894 $ 3,717,647 $ 222,424 $1,812,993
Dividends........................................... 1,599,042 19,009 3,177,613 --
Less: Foreign withholding tax....................... (118) -- (77,770) --
- -------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME............................. 3,920,818 3,736,656 3,322,267 1,812,993
- -------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees (Note 3)................... 722,956 216,424 3,624,024 546,602
Administration fees (Note 3)........................ 86,755 28,734 289,922 101,442
Audit and legal..................................... 29,972 24,812 19,457 13,650
Custody............................................. 17,682 18,123 21,106 16,744
Shareholder communications.......................... 17,212 6,761 46,372 19,838
Trustees' fees...................................... 3,468 3,469 1,995 2,184
Transfer agency services............................ 2,493 2,494 2,493 2,548
Other............................................... 2,949 2,559 1,903 1,585
- -------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES...................................... 883,487 303,376 4,007,272 704,593
Less: Expense reimbursement (Note 3)................ -- -- -- (28,314)
- -------------------------------------------------------------------------------------------------------------
NET EXPENSES........................................ 883,487 303,376 4,007,272 676,279
- -------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS).......................... 3,037,331 3,433,280 (685,005) 1,136,714
- -------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCIES
(NOTES 4 AND 6):
Realized Gain (Loss) From:
Investment transactions.......................... 6,240,277 436,015 (36,689,819) 47
Foreign currency transactions.................... -- 111 (105,397) --
- -------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)............................ 6,240,277 436,126 (36,795,216) 47
- -------------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation From:
Investments...................................... (2,436,763) (3,178,511) 83,578,132 --
Foreign currencies............................... -- -- 1,453 --
- -------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET UNREALIZED
APPRECIATION..................................... (2,436,763) (3,178,511) 83,579,585 --
- -------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCIES.......................................... 3,803,514 (2,742,385) 46,784,369 47
- -------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS................ $ 6,840,845 $ 690,895 $ 46,099,364 $1,136,761
- -------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
AND THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
MANAGED ASSETS TRUST 2004 2003
- ------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 3,037,331 $ 6,949,844
Net realized gain......................................... 6,240,277 2,083,564
Increase (decrease) in net unrealized appreciation........ (2,436,763) 43,648,703
- ------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 6,840,845 52,682,111
- ------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income..................................... (142,358) (6,863,313)
- ------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (142,358) (6,863,313)
- ------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares.......................... 4,679,796 9,228,282
Net asset value of shares issued for reinvestment of
dividends.............................................. 142,358 6,863,313
Cost of shares reacquired................................. (11,377,591) (22,946,314)
- ------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... (6,555,437) (6,854,719)
- ------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 143,050 38,964,079
NET ASSETS:
Beginning of period....................................... 289,874,300 250,910,221
- ------------------------------------------------------------------------------------------
END OF PERIOD*............................................ $290,017,350 $289,874,300
- ------------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... $3,046,456 $151,483
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
- --------------------------------------------------------------------------------
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>
HIGH YIELD BOND TRUST 2004 2003
- -----------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 3,433,280 $ 6,424,038
Net realized gain......................................... 436,126 4,327,306
Increase (decrease) in net unrealized appreciation........ (3,178,511) 8,815,307
- -----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 690,895 19,566,651
- -----------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income..................................... (54,166) (6,515,534)
Net realized gains........................................ (65,774) --
- -----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (119,940) (6,515,534)
- -----------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares.......................... 7,653,533 27,613,135
Net asset value of shares issued for reinvestment of
dividends.............................................. 119,940 6,515,534
Cost of shares reacquired................................. (8,954,120) (12,145,093)
- -----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... (1,180,647) 21,983,576
- -----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... (609,692) 35,034,693
NET ASSETS:
Beginning of period....................................... 95,852,330 60,817,637
- -----------------------------------------------------------------------------------------
END OF PERIOD*............................................ $95,242,638 $ 95,852,330
- -----------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... $3,432,888 $53,663
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
- --------------------------------------------------------------------------------
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>
CAPITAL APPRECIATION FUND 2004 2003
- -------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss).............................. $ (685,005) $ 1,291,989
Net realized loss......................................... (36,795,216) (94,520,746)
Increase in net unrealized appreciation................... 83,579,585 297,635,244
- -------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 46,099,364 204,406,487
- -------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income..................................... -- (389,109)
Capital................................................... -- (64,253)
- -------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... -- (453,362)
- -------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares.......................... 1,361,209 14,007,803
Net asset value of shares issued for reinvestment of
dividends.............................................. -- 453,362
Cost of shares reacquired................................. (68,653,395) (97,001,290)
- -------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... (67,292,186) (82,540,125)
- -------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... (21,192,822) 121,413,000
NET ASSETS:
Beginning of period....................................... 985,742,039 864,329,039
- -------------------------------------------------------------------------------------------------
END OF PERIOD*............................................ $964,549,217 $985,742,039
- -------------------------------------------------------------------------------------------------
* Includes accumulated net investment loss of:.............. $(790,402) --
- -------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
- --------------------------------------------------------------------------------
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>
MONEY MARKET PORTFOLIO 2004 2003
- --------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 1,136,714 $ 3,029,174
Net realized gain (loss).................................. 47 (146)
- --------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 1,136,761 3,029,028
- --------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income..................................... (1,136,714) (3,028,884)
- --------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (1,136,714) (3,028,884)
- --------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares.......................... 108,773,658 265,892,702
Net asset value of shares issued for reinvestment of
dividends.............................................. 1,130,878 3,072,564
Cost of shares reacquired................................. (115,608,516) (316,384,220)
- --------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... (5,703,980) (47,418,954)
- --------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS...................................... (5,703,933) (47,418,810)
NET ASSETS:
Beginning of period....................................... 345,825,352 393,244,162
- --------------------------------------------------------------------------------------------
END OF PERIOD*............................................ $ 340,121,419 $ 345,825,352
- --------------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... $7,965 $7,965
- --------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Managed Assets Trust ("MAT"), High Yield Bond Trust ("HYBT"), Capital
Appreciation Fund ("CAF") and Money Market Portfolio ("MMP") (collectively,
"Fund(s)") are each a Massachusetts business trust registered under the
Investment Company Act of 1940, as amended, as diversified, open-end management
investment companies. Shares of the Funds are offered exclusively for use with
certain variable annuity and variable life insurance contracts offered through
the separate accounts of various affiliated life insurance companies.
The following are significant accounting policies consistently followed by
the Funds and are in conformity with U.S. generally accepted accounting
principles ("GAAP"): (a) security transactions are accounted for on trade date;
(b) securities traded on national securities markets are valued at the closing
prices on such markets; securities for which no sales price were reported and
U.S. government and agency obligations are valued at the mean between the last
reported bid and asked prices or on the basis of quotations received from
unaffiliated reputable brokers or other recognized sources; securities listed on
the NASDAQ National Market System for which market quotations are available are
valued at the official closing price or, if there is no official closing price
on that day, at the last sale price; (c) securities for which market quotations
are not available will be valued in good faith at fair value by or under the
direction of the Board of Trustees; (d) securities maturing within 60 days are
valued at cost plus accreted discount, or minus amortized premium, which
approximates value; (e) securities, other than U.S. government agencies and
obligations, that have a maturity of more than 60 days are valued at prices
based on market quotations for securities of similar type, yield and maturity;
(f) interest income, adjusted for amortization of premium and accretion of
discount, is recorded on an accrual basis and dividend income is recorded on the
ex-dividend date; foreign dividends are recorded on the ex-dividend date or as
soon as practical after the Fund determines the existence of a dividend
declaration after exercising reasonable due diligence; (g) gains or losses on
the sale of securities are calculated by using the specific identification
method; (h) dividends and distributions to shareholders are recorded on the
ex-dividend date; (i) the accounting records of the 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 and expense amounts recorded and collected or paid are adjusted when
reported by the custodian; (j) the character of income and gains to be
distributed is determined in accordance with income tax regulations which may
differ from GAAP; (k) 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 (l)
estimates and assumptions are required to be made regarding assets, liabilities
and changes in net assets resulting from operations when financial statements
are prepared. Changes in the economic environment, financial markets and any
other parameters used in determining these estimates could cause actual results
to differ.
HYBT invests in high-yield instruments that are subject to certain credit
and market risks. The yields of high yield debt obligations reflect, among other
things, perceived credit risk. HYBT's investment in securities rated below
investment-grade typically involve risks not associated with higher rated
securities including, among others, greater risk of timely and ultimate payment
of interest and principal, greater market price volatility and less liquid
secondary market trading.
In addition, HYBT and CAF may enter into forward exchange contracts in
order to hedge against foreign currency risk. These contracts are marked to
market daily, by recognizing the difference between the contract exchange rate
and the current forward rate as an unrealized gain or loss. Realized gains or
losses are recognized when the contracts are settled or offset by entering into
another forward exchange contract.
2. DIVIDENDS
MMP declares and records a dividend of substantially all of its net
investment income on each business day. Such dividends are paid or reinvested on
the payable date.
In addition, MAT, HYBT and CAF distribute dividends and capital gains, if
any, at least annually.
40
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
3. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS
Travelers Asset Management International Company LLC ("TAMIC"), an indirect
wholly-owned subsidiary of Citigroup Inc. ("Citigroup"), acts as investment
adviser to MAT, HYBT, CAF and MMP. MAT, CAF and MMP pay TAMIC an investment
advisory fee calculated at the annual rate of 0.50%, 0.75% and 0.3233%,
respectively, of their average daily net assets. HYBT pays TAMIC an investment
advisory fee calculated at an annual rate of 0.50% on the first $50 million,
0.40% on the next $100 million, 0.30% on the next $100 million and 0.25% on the
amount over $250 million of the average daily net assets of HYBT. These fees are
calculated daily and paid monthly.
TAMIC has a sub-advisory agreement with The Travelers Investment Management
Company ("TIMCO"), another indirect wholly-owned subsidiary of Citigroup.
Pursuant to the sub-advisory agreement, TIMCO is responsible for the day-to-day
portfolio operations and investment decisions for the equity portion of MAT. As
a result, TAMIC pays TIMCO, as sub-adviser, an advisory fee calculated at an
annual rate of 0.25% of the average daily net assets of MAT.
TAMIC also has a sub-advisory agreement with Janus Capital Management LLC
("Janus"). Pursuant to the sub-advisory agreement, Janus is responsible for the
day-to-day portfolio operations and investment decisions for CAF. As a result,
TAMIC pays Janus, as sub-adviser, an advisory fee calculated at an annual rate
of 0.55% on the first $100 million, 0.50% on the next $400 million and 0.45% on
the amount over $500 million of the average daily net assets of CAF.
The Travelers Insurance Company ("TIC"), another indirect wholly-owned
subsidiary of Citigroup, acts as administrator to the Funds. The Funds pay TIC
an administration fee calculated at an annual rate of 0.06% of the average daily
net assets of each respective Fund. This fee is calculated daily and paid
monthly. TIC has entered into a sub-administrative services agreement with Smith
Barney Fund Management LLC ("SBFM"), another indirect wholly-owned subsidiary of
Citigroup. TIC pays SBFM, as sub-administrator, a fee calculated at an annual
rate of 0.02% of the average daily net assets of each Fund, plus $30,000 per
Fund, subject to a maximum of 0.06% of each Fund's average daily net assets.
During the six months ended June 30, 2004, MMP had a voluntary expense
limitation in place of 0.40% of the average daily net assets of MMP, resulting
in an expense reimbursement of $28,314. This expense limitation can be
terminated at any time by TIC.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as
the Funds' transfer agent. CTB receives account fees and asset-based fees that
vary according to the size and type of account. For the six months ended June
30, 2004, each Fund paid transfer agent fees of $2,500 to CTB.
For the six months ended June 30, 2004, Citigroup Global Markets Inc.,
another indirect wholly-owned subsidiary of Citigroup, and its affiliates did
not receive any brokerage commissions from the Funds.
One Trustee and all officers of the Funds are employees of Citigroup or its
affiliates.
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 proceeds from paydowns)
were as follows:
<Table>
<Caption>
MAT HYBT CAF
- -------------------------------------------------------------------------------------------------------
Purchases................................................... $110,679,822 $12,928,068 $ 91,295,840
- -------------------------------------------------------------------------------------------------------
Sales....................................................... 109,758,094 15,527,134 142,026,835
- -------------------------------------------------------------------------------------------------------
</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>
MAT HYBT CAF
- ------------------------------------------------------------------------------------------------------
Gross unrealized appreciation............................... $30,302,318 $ 5,240,862 $255,840,439
Gross unrealized depreciation............................... (9,584,643) (2,423,620) (8,991,808)
- ------------------------------------------------------------------------------------------------------
Net unrealized appreciation................................. $20,717,675 $ 2,817,242 $246,848,631
- ------------------------------------------------------------------------------------------------------
</Table>
41
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
5. 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.
At June 30, 2004, MMP did not have any repurchase agreements outstanding.
6. FORWARD FOREIGN CURRENCY CONTRACTS
HYBT and CAF may enter into forward foreign currency contracts. A forward
foreign currency contract is an agreement between two parties to buy and sell a
currency at a set price on a future date. The contract is marked-to-market daily
and the change in value is recorded by the Fund as an unrealized gain or loss.
When a forward foreign currency contract is extinguished, through either
delivery or offset by entering into another forward foreign currency contract,
the Fund records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value of the contract at
the time it was extinguished or offset. The Fund bears the market risk that
arises from changes in foreign currency exchange rates and the credit risk
should a counterparty be unable to meet the terms of such contracts.
At June 30, 2004, HYBT and CAF did not have any open forward foreign
currency contracts.
7. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of beneficial interest without par value. Transactions in shares of each
Fund were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
- --------------------------------------------------------------------------------------------------
MANAGED ASSETS TRUST
Shares sold................................................. 293,107 620,844
Shares issued on reinvestment............................... 8,886 437,644
Shares reacquired........................................... (711,874) (1,625,662)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (409,881) (567,174)
- --------------------------------------------------------------------------------------------------
HIGH YIELD BOND TRUST
Shares sold................................................. 776,659 2,977,348
Shares issued on reinvestment............................... 12,227 668,649
Shares reacquired........................................... (912,173) (1,324,438)
- --------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... (123,287) 2,321,559
- --------------------------------------------------------------------------------------------------
CAPITAL APPRECIATION FUND
Shares sold................................................. 24,222 308,890
Shares issued on reinvestment............................... -- 8,160
Shares reacquired........................................... (1,212,533) (2,001,426)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (1,188,311) (1,684,376)
- --------------------------------------------------------------------------------------------------
MONEY MARKET PORTFOLIO
Shares sold................................................. 108,773,658 265,892,702
Shares issued on reinvestment............................... 1,130,878 3,072,564
Shares reacquired........................................... (115,608,516) (316,384,220)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (5,703,980) (47,418,954)
- --------------------------------------------------------------------------------------------------
</Table>
42
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
8. ADDITIONAL INFORMATION
Citigroup has been notified by the Staff of the Securities and Exchange
Commission ("SEC") that the Staff is considering recommending a civil injunctive
action and/or an administrative proceeding against Citigroup Asset Management
("CAM"), including its applicable investment advisory companies and Citicorp
Trust Bank ("CTB"), an internal transfer agent, relating to the creation and
operation of the internal transfer agent unit to serve certain CAM-managed
funds, including the Funds. This notification arises out of a previously
disclosed investigation by the SEC and the U.S. Attorney and relates to CTB's
entry in 1999 into the transfer agency business, CAM's retention of, and
agreements with an unaffiliated sub transfer agent, the adequacy of the
disclosures made to the fund boards that approved the transfer agency
arrangements, (including CAM's failure to disclose a related revenue guarantee
agreement benefiting CAM and its affiliates), and CAM's operation of and
compensation for the transfer agency business. The revenue guarantee described
above was terminated in 1999 and CAM will be paying the applicable funds,
primarily through fee waivers, a total of approximately $17 million (plus
interest) that is the amount of the revenue received by Citigroup relating to
the revenue guarantee. Citigroup is cooperating fully in the investigation and
will seek to resolve the matter in discussions with the SEC Staff. Although
there can be no assurance, Citigroup does not believe that this matter will have
a material adverse effect on the Funds. On August 12, 2004, CAM paid each Fund
their allocable share of the amount described above through a waiver of their
fees. The amount paid to each Fund is as follows:
<Table>
<Caption>
- --------------------------------------------------------------------
Managed Assets Trust........................................ $1,726
High Yield Bond Trust....................................... 1,679
Capital Appreciation Fund................................... 1,698
Money Market Portfolio...................................... 1,726
- --------------------------------------------------------------------
</Table>
9. SUBSEQUENT EVENT
The Board of Trustees of the Trust, on behalf of CAF, has approved an
amendment to the investment advisory agreement between the Fund and TAMIC, and
an amendment to the sub-advisory agreement between TAMIC and Janus. Effective
September 1, 2004, the investment advisory fee will be revised from the annual
rate of 0.75% of the daily net assets of the Fund, to a fee calculated at the
annual rates in accordance with the following schedule.
<Table>
<Caption>
INVESTMENT
AVERAGE DAILY NET ASSETS ADVISORY FEE
- ---------------------------------------------------------------------------
First $1.5 billion.......................................... 0.700%
Over $1.5 billion........................................... 0.650%
- ---------------------------------------------------------------------------
</Table>
The sub-advisory fee will be revised from the current schedule:
<Table>
<Caption>
AVERAGE DAILY NET ASSETS SUB-ADVISORY FEE
- -------------------------------------------------------------------------------
First $100 million.......................................... 0.550%
Next $400 million........................................... 0.500%
Over $500 million........................................... 0.450%
- -------------------------------------------------------------------------------
</Table>
to a fee calculated at the annual rates in accordance with the following
schedule:
<Table>
<Caption>
AVERAGE DAILY NET ASSETS SUB-ADVISORY FEE
- -----------------------------------------------------------------------------------
First $100 million.......................................... 0.500%
Next $400 million........................................... 0.450%
Next $1 billion............................................. 0.400%
Over $1.5 billion........................................... 0.350%
- -----------------------------------------------------------------------------------
</Table>
43
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
MANAGED ASSETS TRUST 2004(1) 2003 2002 2001(2) 2000(2) 1999
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $15.72 $13.20 $15.55 $17.94 $21.12 $19.99
- --------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............... 0.17 0.39 0.45 0.49 0.48 0.39
Net realized and unrealized gain
(loss)........................... 0.21 2.51 (1.79) (1.40) (0.71) 2.30
- --------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations... 0.38 2.90 (1.34) (0.91) (0.23) 2.69
- --------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... (0.01) (0.38) (0.92) (0.46) (0.41) (0.39)
Net realized gains(3)............... -- -- (0.09) (1.02) (2.54) (1.17)
- --------------------------------------------------------------------------------------------------------
Total Distributions................... (0.01) (0.38) (1.01) (1.48) (2.95) (1.56)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $16.09 $15.72 $13.20 $15.55 $17.94 $21.12
- --------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)....................... 2.40%++ 21.98% (8.60)% (5.08)% (1.62)% 14.22%
- --------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S)...... $290,017 $289,874 $250,910 $307,520 $342,834 $339,438
- --------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(5)......................... 0.61%+ 0.59% 0.61% 0.59% 0.59% 0.60%
Net investment income............... 2.10+ 2.64 2.80 2.95 2.47 2.17
- --------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 38% 84% 39% 59% 56% 51%
- --------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
HIGH YIELD BOND TRUST 2004(1) 2003(2) 2002(2) 2001(2) 2000(2) 1999
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $9.76 $8.11 $9.04 $8.77 $9.47 $9.85
- --------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............... 0.35 0.77 0.78 0.80 0.79 0.81
Net realized and unrealized gain
(loss)........................... (0.27) 1.59 (0.40) 0.04 (0.70) (0.38)
- --------------------------------------------------------------------------------------------------------
Total Income From Operations.......... 0.08 2.36 0.38 0.84 0.09 0.43
- --------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... (0.01) (0.71) (1.31) (0.57) (0.79) (0.81)
Net realized gains.................. (0.01) -- -- -- -- --
- --------------------------------------------------------------------------------------------------------
Total Distributions................... (0.02) (0.71) (1.31) (0.57) (0.79) (0.81)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $9.82 $9.76 $8.11 $9.04 $8.77 $9.47
- --------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)....................... 0.74%++ 29.15% 4.57% 9.55% 0.97% 4.42%
- --------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S)...... $95,243 $95,852 $60,818 $50,016 $34,678 $30,317
- --------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(5)......................... 0.63%+ 0.65% 0.71% 0.73% 0.83% 0.81%
Net investment income............... 7.17+ 8.28 8.81 8.79 8.74 8.85
- --------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 16% 80% 100% 110% 80% 112%
- --------------------------------------------------------------------------------------------------------
</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) Distributions from realized gains include both net realized short-term and
long-term capital gains.
(4) Total returns do not reflect expenses associated with your variable contract
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown.
(5) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 1.25%.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
44
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
CAPITAL APPRECIATION FUND 2004(1)(2) 2003(2) 2002(2) 2001(2) 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $55.41 $44.38 $60.30 $82.01 $108.80 $ 72.74
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss)...... (0.04) 0.07 0.14 0.61 0.29 0.04
Net realized and unrealized gain
(loss)......................... 2.73 10.99 (15.24) (22.01) (23.29) 38.08
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations........................ 2.69 11.06 (15.10) (21.40) (23.00) 38.12
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............. -- (0.03) (0.81) (0.31) (0.04) (0.07)
Net realized gains(3)............. -- -- -- -- (3.75) (1.99)
Capital........................... -- (0.00)* (0.01) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions................. -- (0.03) (0.82) (0.31) (3.79) (2.06)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD...... $58.10 $55.41 $44.38 $60.30 $ 82.01 $108.80
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)..................... 4.85%++ 24.91% (25.09)% (26.09)% (21.88)% 53.52%
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(MILLIONS)........................ $965 $986 $864 $1,300 $1,797 $1,915
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(5)....................... 0.83%+ 0.82% 0.84% 0.84% 0.83% 0.83%
Net investment income (loss)...... (0.14)+ 0.14 0.27 0.91 0.30 0.07
- ---------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............. 15% 59% 52% 47% 30% 37%
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
MONEY MARKET PORTFOLIO 2004(1) 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(6)............ 0.003 0.008 0.014 0.036 0.060 0.049
Distributions from net investment
income............................ (0.003) (0.008) (0.014) (0.036) (0.060) (0.049)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD...... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)(7).................. 0.33%++ 0.78% 1.39% 3.71% 6.18% 4.96%
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000s).... $340,121 $345,825 $393,244 $353,269 $147,117 $119,970
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(6)(8).................... 0.40%+ 0.40% 0.40% 0.40% 0.40% 0.37%
Net investment income............. 0.67+ 0.78 1.38 3.46 6.04 4.96
- ---------------------------------------------------------------------------------------------------------------------------------
</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) Distributions from realized gains include both net realized short-term and
long-term capital gains.
(4) Total returns do not reflect expenses associated with your variable contract
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown.
(5) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 1.25%.
(6) The Travelers Insurance Company has reimbursed Money Market Portfolio for
$28,314, $63,316, $71,805, $44,028, $47,023 and $85,612 in expenses for the
six months ended June 30, 2004 and the years ended December 31, 2003, 2002,
2001, 2000 and 1999, respectively. If such expenses were not reimbursed, the
per share decreases to net investment income and the actual expense ratios
would have been:
<Table>
<Caption>
DECREASES TO EXPENSE RATIO
NET INVESTMENT INCOME WITHOUT REIMBURSEMENTS
-------------------------------------------------------- -------------------------
2004 2003 2002 2001 2000 1999 2004 2003 2002
------ ------ ------ ------ ------ ------ ------ ------ -----
MMP $0.000** $0.000** $0.000** $0.000** $0.000** $0.001 0.42%+ 0.42% 0.42%
<Caption>
EXPENSE RATIO
WITHOUT REIMBURSEMENTS
-----------------------
2001 2000 1999
----- ----- -----
MMP 0.42% 0.44% 0.50%
</Table>
(7) 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.
(8) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 0.40%.
* Amount represents less than $0.01 per share.
** Amount represents less than $0.001 per share.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
45
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
U.S. GOVERNMENT SECURITIES PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 22.8%
$ 3,850,000 U.S. Treasury Notes, 4.750% due 5/15/14..................... $ 3,891,361
U.S. Treasury Bonds:
8,000,000 8.875% due 8/15/17 (a).................................... 10,964,688
7,500,000 6.000% due 2/15/26........................................ 8,083,890
13,000,000 6.375% due 8/15/27........................................ 14,677,312
15,000,000 5.500% due 8/15/28 (a).................................... 15,200,985
- ----------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost -- $53,802,015)..... 52,818,236
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 58.0%
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE PASS-THROUGHS -- 32.5%
Federal Home Loan Mortgage Corp. (FHLMC):
11,154,654 4.000% due 5/1/19 (b)..................................... 10,725,932
415,678 7.000% due 7/1/29......................................... 432,954
72,970 8.000% due 9/1/30......................................... 79,261
740,450 7.500% due 5/1/32......................................... 796,761
9,320,575 4.500% due 4/1/33......................................... 8,722,465
Federal National Mortgage Association (FNMA):
2,489,084 5.500% due 6/1/16 (b)..................................... 2,556,924
22,150,000 4.000% due 7/1/19 (c)(d).................................. 21,097,875
6,605,166 4.500% due 10/1/23 (b).................................... 6,427,722
932,078 7.500% due 11/1/29 (b).................................... 996,429
1,257,780 6.500% due 5/1/32 (b)..................................... 1,313,427
5,570,539 4.000% due 5/1/33 (b)..................................... 5,395,996
16,726,141 5.000% due 6/1/34 (b)..................................... 16,288,353
Government National Mortgage Association (GNMA):
384,778 9.000% due 9/15/09 (b).................................... 418,979
130,853 8.500% due 5/15/18 (b).................................... 146,145
- ----------------------------------------------------------------------------------------
75,399,223
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY NOTES AND BONDS -- 25.5%
Federal Home Loan Bank (FHLB):
3,000,000 5.875% due 2/15/11........................................ 3,186,693
8,000,000 5.750% due 5/15/12........................................ 8,456,016
Federal Home Loan Mortgage Corp. (FHLMC):
6,500,000 4.875% due 11/15/13....................................... 6,382,123
4,330,000 6.000% due 6/27/17........................................ 4,371,252
3,000,000 Federal National Mortgage Association (FNMA), 6.250% due
5/15/29................................................... 3,166,149
13,949,000 Financing Corp. (FICO) Strips, Series 13, due 6/27/11....... 10,050,171
5,731,794 National Archives Facility Trust, COP, 8.500% due 9/1/19.... 6,888,264
10,000,000 Resolution Funding Corp. Strips, due 1/15/21................ 3,911,030
4,680,000 Student Loan Marketing Association (SLMA), zero coupon due
5/15/14................................................... 2,144,540
9,000,000 Tennessee Valley Authority, Global Power Bonds 2000, Series
G, 7.125% due 5/1/30...................................... 10,492,434
- ----------------------------------------------------------------------------------------
59,048,672
- ----------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost -- $135,671,116).................................... 134,447,895
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
U.S. GOVERNMENT SECURITIES PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 10.6%
Federal Home Loan Mortgage Corp. (FHLMC):
$ 553,396 Series 1103, Class J, 8.500% due 6/15/21.................. $ 556,089
3,000,000 Series 2422, Class CH, 6.500% due 2/15/32................. 3,094,141
Federal National Mortgage Association (FNMA):
5,399,000 Series 1999-15, Class PD, 6.000% due 4/25/19.............. 5,548,922
5,593,000 Series 2002-52, Class PC, 6.000% due 9/25/32.............. 5,682,179
5,000,000 Series 2003-63, Class GU, 4.000% due 7/25/33.............. 5,018,794
4,000,000 Government National Mortgage Association (GNMA),
Series 2001-21, Class PE, 6.500% due 5/16/31.............. 4,192,329
500,000 LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A4,
4.367% due 3/15/36........................................ 465,086
- ----------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost -- $25,004,226)....................................... 24,557,540
- ----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 8.6%
19,937,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due
7/1/04; Proceeds at maturity -- $19,937,637; (Fully
collateralized by U.S. Treasury Notes, 6.500% due
10/15/06; Market value -- $20,338,366)
(Cost -- $19,937,000)..................................... 19,937,000
- ----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $234,414,357*)......... $231,760,671
- ----------------------------------------------------------------------------------------
</Table>
(a) All or a portion of this security is segregated for "to be announced"
securities.
(b) Date shown represents the last in range of maturity dates.
(c) Security is traded on a "to be announced" basis (See Note 6).
(d) Security acquired under mortgage dollar roll agreement (See Note 5).
* Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviation used in this schedule:
COP -- Certificate of Participation
SEE NOTES TO FINANCIAL STATEMENTS.
47
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SOCIAL AWARENESS STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
COMMON STOCK -- 99.7%
- --------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 12.8%
HOUSEHOLD DURABLES -- 1.3%
6,900 The Black & Decker Corp..................................... $ 428,697
6,000 Centex Corp. ............................................... 274,500
7,117 KB Home..................................................... 488,440
- --------------------------------------------------------------------------------------
1,191,637
- --------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL -- 2.0%
59,300 InterActiveCorp+............................................ 1,787,302
- --------------------------------------------------------------------------------------
MEDIA -- 6.2%
24,400 Cablevision Systems -- NY Group, Class A Shares+............ 479,460
4,700 Clear Channel Communications, Inc........................... 173,665
18,600 Comcast Corp., Special Class A Shares+...................... 513,546
13,400 Omnicom Group Inc........................................... 1,016,926
73,300 Time Warner Inc.+........................................... 1,288,614
41,950 Viacom Inc., Class B Shares................................. 1,498,454
22,900 Westwood One, Inc.+......................................... 545,020
- --------------------------------------------------------------------------------------
5,515,685
- --------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 1.3%
10,000 Target Corp. ............................................... 424,700
14,300 Wal-Mart Stores, Inc. ...................................... 754,468
- --------------------------------------------------------------------------------------
1,179,168
- --------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 2.0%
28,000 The Home Depot, Inc. ....................................... 985,600
15,200 Lowe's Cos., Inc. .......................................... 798,760
- --------------------------------------------------------------------------------------
1,784,360
- --------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 11,458,152
- --------------------------------------------------------------------------------------
CONSUMER STAPLES -- 6.0%
BEVERAGES -- 2.3%
22,400 The Coca-Cola Co. .......................................... 1,130,752
17,500 PepsiCo, Inc. .............................................. 942,900
- --------------------------------------------------------------------------------------
2,073,652
- --------------------------------------------------------------------------------------
FOOD & DRUG RETAILING -- 0.8%
19,000 Sysco Corp. ................................................ 681,530
- --------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 2.4%
7,700 The Clorox Co. ............................................. 414,106
29,500 Colgate-Palmolive Co. ...................................... 1,724,275
- --------------------------------------------------------------------------------------
2,138,381
- --------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 0.5%
10,500 The Gillette Co. ........................................... 445,200
- --------------------------------------------------------------------------------------
TOTAL CONSUMER STAPLES...................................... 5,338,763
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SOCIAL AWARENESS STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
ENERGY -- 5.7%
ENERGY EQUIPMENT & SERVICES -- 1.2%
17,300 GlobalSantaFe Corp. ........................................ $ 458,450
17,400 Noble Corp.+................................................ 659,286
- --------------------------------------------------------------------------------------
1,117,736
- --------------------------------------------------------------------------------------
OIL & GAS -- 4.5%
23,100 Apache Corp. ............................................... 1,006,005
32,726 BP PLC, Sponsored ADR....................................... 1,753,132
24,800 Royal Dutch Petroleum Co., NY Shares........................ 1,281,416
- --------------------------------------------------------------------------------------
4,040,553
- --------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 5,158,289
- --------------------------------------------------------------------------------------
FINANCIALS -- 18.3%
BANKS -- 4.0%
45,000 The Bank of New York Co., Inc. ............................. 1,326,600
16,400 Bank One Corp. ............................................. 836,400
7,200 Comerica Inc. .............................................. 395,136
6,500 Fifth Third Bancorp......................................... 349,570
11,500 Wells Fargo & Co. .......................................... 658,145
- --------------------------------------------------------------------------------------
3,565,851
- --------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 9.1%
28,900 American Express Co. ....................................... 1,484,882
7,100 The Bear Stearns Cos. Inc. ................................. 598,601
5,100 Capital One Financial Corp. ................................ 348,738
16,200 The Charles Schwab Corp. ................................... 155,682
20,000 J.P. Morgan Chase & Co. .................................... 775,400
29,750 MBNA Corp. ................................................. 767,252
10,000 Merrill Lynch & Co., Inc. .................................. 539,800
16,500 Morgan Stanley.............................................. 870,705
44,900 SLM Corp. .................................................. 1,816,205
11,100 State Street Corp. ......................................... 544,344
4,500 T. Rowe Price Group Inc. ................................... 226,800
- --------------------------------------------------------------------------------------
8,128,409
- --------------------------------------------------------------------------------------
INSURANCE -- 5.2%
22,000 Ambac Financial Group, Inc. ................................ 1,615,680
22,460 American International Group, Inc. ......................... 1,600,949
14,000 Prudential Financial, Inc. ................................. 650,580
11,300 XL Capital Ltd., Class A Shares............................. 852,698
- --------------------------------------------------------------------------------------
4,719,907
- --------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 16,414,167
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SOCIAL AWARENESS STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
HEALTHCARE -- 15.1%
BIOTECHNOLOGY -- 3.2%
31,800 Amgen Inc.+................................................. $ 1,735,326
15,400 Genzyme Corp.+.............................................. 728,882
15,600 MedImmune, Inc.+............................................ 365,040
- --------------------------------------------------------------------------------------
2,829,248
- --------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT & SUPPLIES -- 2.4%
11,900 Guidant Corp. .............................................. 664,972
22,200 Medtronic, Inc. ............................................ 1,081,584
5,600 St. Jude Medical, Inc.+..................................... 423,640
- --------------------------------------------------------------------------------------
2,170,196
- --------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS & SERVICES -- 1.5%
6,000 Aetna, Inc. ................................................ 510,000
5,000 Anthem, Inc.+............................................... 447,800
5,000 HCA Inc. ................................................... 207,950
16,200 Tenet Healthcare Corp.+..................................... 217,242
- --------------------------------------------------------------------------------------
1,382,992
- --------------------------------------------------------------------------------------
PHARMACEUTICALS -- 8.0%
8,000 Eli Lilly and Co. .......................................... 559,280
14,000 Johnson & Johnson........................................... 779,800
65,000 Pfizer Inc. ................................................ 2,228,200
34,400 Teva Pharmaceutical Industries Ltd., Sponsored ADR.......... 2,314,776
34,200 Wyeth....................................................... 1,236,672
- --------------------------------------------------------------------------------------
7,118,728
- --------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 13,501,164
- --------------------------------------------------------------------------------------
INDUSTRIALS -- 11.5%
AIR FREIGHT & COURIERS -- 0.9%
10,800 United Parcel Service, Inc., Class B Shares................. 811,836
- --------------------------------------------------------------------------------------
AIRLINES -- 1.5%
81,430 Southwest Airlines Co. ..................................... 1,365,581
- --------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES -- 1.4%
10,200 First Data Corp. ........................................... 454,104
24,500 Paychex, Inc. .............................................. 830,060
- --------------------------------------------------------------------------------------
1,284,164
- --------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 1.7%
76,700 American Power Conversion Corp. ............................ 1,507,155
- --------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 3.2%
12,800 Honeywell International Inc. ............................... 468,864
72,000 Tyco International Ltd. .................................... 2,386,080
- --------------------------------------------------------------------------------------
2,854,944
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SOCIAL AWARENESS STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
MACHINERY -- 2.0%
9,000 Illinois Tool Works Inc. ................................... $ 863,010
23,200 Navistar International Corp.+............................... 899,232
- --------------------------------------------------------------------------------------
1,762,242
- --------------------------------------------------------------------------------------
ROAD & RAIL -- 0.8%
26,800 Norfolk Southern Corp. ..................................... 710,736
- --------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 10,296,658
- --------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 23.5%
COMMUNICATIONS EQUIPMENT -- 6.2%
57,500 Cisco Systems, Inc.+........................................ 1,362,750
63,300 Juniper Networks, Inc.+..................................... 1,555,281
44,300 Motorola, Inc. ............................................. 808,475
112,200 Nokia Oyj, Sponsored ADR.................................... 1,631,388
49,100 Nortel Networks Corp.+...................................... 245,009
- --------------------------------------------------------------------------------------
5,602,903
- --------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS -- 2.9%
33,300 Dell Inc.+.................................................. 1,192,806
54,900 EMC Corp.+.................................................. 625,860
38,300 Network Appliance, Inc.+.................................... 824,599
- --------------------------------------------------------------------------------------
2,643,265
- --------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.1%
33,100 Agilent Technologies, Inc.+................................. 969,168
50,000 Vishay Intertechnology, Inc.+............................... 929,000
- --------------------------------------------------------------------------------------
1,898,168
- --------------------------------------------------------------------------------------
IT CONSULTING & SERVICES -- 1.2%
38,600 Accenture Ltd., Class A Shares+............................. 1,060,728
- --------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 3.1%
17,700 Applied Materials, Inc.+.................................... 347,274
87,500 Intel Corp. ................................................ 2,415,000
- --------------------------------------------------------------------------------------
2,762,274
- --------------------------------------------------------------------------------------
SOFTWARE -- 8.0%
25,000 Amdocs Ltd.+................................................ 585,750
55,300 BEA Systems, Inc.+.......................................... 454,566
100,300 Microsoft Corp. ............................................ 2,864,568
64,900 Oracle Corp.+............................................... 774,257
35,500 Siebel Systems, Inc.+....................................... 379,140
75,100 VERITAS Software Corp.+..................................... 2,080,270
- --------------------------------------------------------------------------------------
7,138,551
- --------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 21,105,889
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
SOCIAL AWARENESS STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
MATERIALS -- 6.0%
CHEMICALS -- 3.4%
22,400 Air Products & Chemicals, Inc. ............................. $ 1,174,880
25,000 E.I. du Pont de Nemours & Co. .............................. 1,110,500
20,000 Praxair, Inc. .............................................. 798,200
- --------------------------------------------------------------------------------------
3,083,580
- --------------------------------------------------------------------------------------
METALS & MINING -- 1.7%
46,400 Alcoa Inc. ................................................. 1,532,592
- --------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS -- 0.9%
10,000 International Paper Co. .................................... 447,000
5,000 Weyerhaeuser Co. ........................................... 315,600
- --------------------------------------------------------------------------------------
762,600
- --------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 5,378,772
- --------------------------------------------------------------------------------------
UTILITIES -- 0.8%
ELECTRIC UTILITIES -- 0.8%
10,000 Consolidated Edison, Inc. .................................. 397,600
10,000 The Southern Co. ........................................... 291,500
- --------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 689,100
- --------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $77,876,757).................... 89,340,954
- --------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.3%
$ 228,000 UBS Securities LLC dated 6/30/04, 1.280% due 7/1/04;
Proceeds at maturity -- $228,008;
(Fully collateralized by U.S. Treasury Bonds, 5.500% to
13.250% due 8/15/13 to 8/15/28; Market value -- $232,561)
(Cost -- $228,000)........................................ 228,000
- --------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $78,104,757*).......... $89,568,954
- --------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviation used in this schedule:
ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS.
52
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
COMMON STOCK -- 98.7%
- --------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 13.3%
AUTO COMPONENTS -- 0.9%
5,090 Johnson Controls, Inc. ..................................... $ 271,704
- --------------------------------------------------------------------------------------
AUTOMOBILES -- 1.2%
22,923 Ford Motor Co. ............................................. 358,745
- --------------------------------------------------------------------------------------
MEDIA -- 6.4%
4,542 Gannett Co., Inc. .......................................... 385,389
7,307 The McGraw Hill Cos., Inc. ................................. 559,497
4,022 Omnicom Group Inc. ......................................... 305,230
17,489 Reed Elsevier NV, Sponsored ADR............................. 497,212
3,833 The Walt Disney Co. ........................................ 97,703
- --------------------------------------------------------------------------------------
1,845,031
- --------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 3.3%
3,161 Family Dollar Stores, Inc. ................................. 96,158
5,520 The May Department Stores Co. .............................. 151,745
12,484 Target Corp. ............................................... 530,195
3,468 Wal-Mart Stores, Inc. ...................................... 182,972
- --------------------------------------------------------------------------------------
961,070
- --------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.2%
2,745 Barnes & Noble, Inc.+....................................... 93,275
4,546 Lowe's Cos., Inc. .......................................... 238,892
- --------------------------------------------------------------------------------------
332,167
- --------------------------------------------------------------------------------------
TEXTILES & APPAREL -- 0.3%
2,275 Liz Claiborne, Inc. ........................................ 81,854
- --------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 3,850,571
- --------------------------------------------------------------------------------------
CONSUMER STAPLES -- 10.9%
BEVERAGES -- 1.2%
6,144 PepsiCo, Inc. .............................................. 331,039
- --------------------------------------------------------------------------------------
FOOD & DRUG RETAILING -- 2.6%
7,854 Sysco Corp. ................................................ 281,723
12,950 Walgreen Co. ............................................... 468,919
- --------------------------------------------------------------------------------------
750,642
- --------------------------------------------------------------------------------------
FOOD PRODUCTS -- 3.7%
7,969 Campbell Soup Co. .......................................... 214,207
4,321 General Mills, Inc. ........................................ 205,377
6,788 H.J. Heinz Co. ............................................. 266,090
4,956 Hershey Foods Corp. ........................................ 229,314
7,104 Sara Lee Corp. ............................................. 163,321
- --------------------------------------------------------------------------------------
1,078,309
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 3.0%
1,329 The Clorox Co. ............................................. $ 71,474
6,158 Colgate-Palmolive Co. ...................................... 359,935
8,206 The Procter & Gamble Co. ................................... 446,735
- --------------------------------------------------------------------------------------
878,144
- --------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 0.4%
2,045 The Estee Lauder Cos. Inc., Class A Shares.................. 99,755
- --------------------------------------------------------------------------------------
TOTAL CONSUMER STAPLES...................................... 3,137,889
- --------------------------------------------------------------------------------------
ENERGY -- 8.1%
ENERGY EQUIPMENT & SERVICES -- 1.0%
5,128 Smith International, Inc.+.................................. 285,937
- --------------------------------------------------------------------------------------
OIL & GAS -- 7.1%
2,161 Apache Corp. ............................................... 94,112
1,534 BP PLC, Sponsored ADR....................................... 82,176
6,687 ChevronTexaco Corp. ........................................ 629,314
3,023 ConocoPhillips.............................................. 230,625
13,625 Exxon Mobil Corp. .......................................... 605,086
3,936 Occidental Petroleum Corp. ................................. 190,542
6,293 Pioneer Natural Resources Co. .............................. 220,758
- --------------------------------------------------------------------------------------
2,052,613
- --------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 2,338,550
- --------------------------------------------------------------------------------------
FINANCIALS -- 16.5%
BANKS -- 7.7%
4,863 The Bank of New York Co., Inc. ............................. 143,361
3,629 Charter One Financial, Inc. ................................ 160,366
3,426 First Horizon National Corp. ............................... 155,780
12,988 National City Corp. ........................................ 454,710
3,781 SouthTrust Corp. ........................................... 146,741
5,198 SunTrust Banks, Inc. ....................................... 337,818
8,848 U.S. Bancorp................................................ 243,851
6,143 Washington Mutual, Inc. .................................... 237,366
4,085 Wells Fargo & Co. .......................................... 233,784
2,002 Zions Bancorp. ............................................. 123,023
- --------------------------------------------------------------------------------------
2,236,800
- --------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.2%
4,086 American Express Co. ....................................... 209,939
4,612 Federated Investors, Inc., Class B Shares................... 139,928
5,660 Merrill Lynch & Co., Inc. .................................. 305,527
7,340 State Street Corp. ......................................... 359,954
9,502 T. Rowe Price Group Inc. ................................... 478,901
- --------------------------------------------------------------------------------------
1,494,249
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
INSURANCE -- 3.6%
4,381 American International Group, Inc. ......................... $ 312,278
5,344 The Chubb Corp. ............................................ 364,354
2,983 SAFECO Corp. ............................................... 131,252
5,942 The St. Paul Travelers Cos., Inc. .......................... 240,889
- --------------------------------------------------------------------------------------
1,048,773
- --------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 4,779,822
- --------------------------------------------------------------------------------------
HEALTHCARE -- 12.8%
HEALTHCARE EQUIPMENT & SUPPLIES -- 2.8%
6,966 Becton Dickinson & Co. ..................................... 360,839
4,091 Biomet, Inc. ............................................... 181,804
2,909 Guidant Corp. .............................................. 162,555
1,483 St. Jude Medical, Inc.+..................................... 112,189
- --------------------------------------------------------------------------------------
817,387
- --------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS & SERVICES -- 1.1%
1,329 Cardinal Health, Inc. ...................................... 93,096
2,165 UnitedHealth Group Inc. .................................... 134,771
764 WellPoint Health Networks, Inc.+............................ 85,576
- --------------------------------------------------------------------------------------
313,443
- --------------------------------------------------------------------------------------
PHARMACEUTICALS -- 8.9%
5,588 Abbott Laboratories......................................... 227,767
3,618 Barr Pharmaceuticals, Inc.+................................. 121,927
4,347 Eli Lilly and Co. .......................................... 303,899
8,643 Johnson & Johnson........................................... 481,415
6,364 Merck & Co., Inc. .......................................... 302,290
7,286 Mylan Laboratories Inc. .................................... 147,541
5,452 Novartis AG, ADR............................................ 242,614
7,296 Pfizer Inc. ................................................ 250,107
1,737 Roche Holding AG, Sponsored ADR............................. 171,980
17,236 Schering-Plough Corp. ...................................... 318,521
- --------------------------------------------------------------------------------------
2,568,061
- --------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 3,698,891
- --------------------------------------------------------------------------------------
INDUSTRIALS -- 12.9%
AEROSPACE & DEFENSE -- 2.7%
4,566 General Dynamics Corp. ..................................... 453,404
3,407 United Technologies Corp. .................................. 311,672
- --------------------------------------------------------------------------------------
765,076
- --------------------------------------------------------------------------------------
AIR FREIGHT & COURIERS -- 0.5%
2,046 United Parcel Service, Inc., Class B Shares................. 153,798
- --------------------------------------------------------------------------------------
AIRLINES -- 0.9%
16,062 Southwest Airlines Co. ..................................... 269,360
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES -- 1.4%
4,589 Automatic Data Processing Inc. ............................. $ 192,187
2,560 DST Systems, Inc.+.......................................... 123,110
2,488 Fiserv, Inc.+............................................... 96,758
- --------------------------------------------------------------------------------------
412,055
- --------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.5%
2,031 Emerson Electric Co. ....................................... 129,070
- --------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 0.3%
2,865 General Electric Co. ....................................... 92,826
- --------------------------------------------------------------------------------------
MACHINERY -- 4.4%
4,094 Caterpillar Inc. ........................................... 325,227
5,911 Deere & Co. ................................................ 414,598
2,188 Illinois Tool Works, Inc. .................................. 209,807
5,619 PACCAR Inc. ................................................ 325,846
- --------------------------------------------------------------------------------------
1,275,478
- --------------------------------------------------------------------------------------
ROAD & RAIL -- 2.2%
4,819 Burlington Northern Santa Fe Corp. ......................... 169,002
17,035 Norfolk Southern Corp. ..................................... 451,768
- --------------------------------------------------------------------------------------
620,770
- --------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 3,718,433
- --------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 13.3%
COMMUNICATIONS EQUIPMENT -- 2.0%
20,030 Motorola, Inc. ............................................. 365,547
14,083 Nokia Oyj, Sponsored ADR.................................... 204,767
- --------------------------------------------------------------------------------------
570,314
- --------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS -- 3.1%
1,909 Apple Computer, Inc.+....................................... 62,119
7,345 Dell Inc.+.................................................. 263,098
7,892 Hewlett-Packard Co. ........................................ 166,521
2,834 International Business Machines Corp. ...................... 249,817
32,653 Sun Microsystems, Inc.+..................................... 141,714
- --------------------------------------------------------------------------------------
883,269
- --------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.4%
2,478 Diebold, Inc. .............................................. 131,012
- --------------------------------------------------------------------------------------
IT CONSULTING & SERVICES -- 0.9%
3,528 Computer Sciences Corp.+.................................... 163,805
3,504 SunGard Data Systems Inc.+.................................. 91,104
- --------------------------------------------------------------------------------------
254,909
- --------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 1.0%
5,638 Canon Inc., Sponsored ADR................................... 301,069
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 3.4%
14,032 Applied Materials, Inc.+.................................... $ 275,308
14,713 Intel Corp. ................................................ 406,079
13,033 Texas Instruments Inc. ..................................... 315,138
- --------------------------------------------------------------------------------------
996,525
- --------------------------------------------------------------------------------------
SOFTWARE -- 2.5%
4,168 Adobe Systems, Inc. ........................................ 193,812
13,973 Microsoft Corp. ............................................ 399,069
2,698 Symantec Corp.+............................................. 118,118
- --------------------------------------------------------------------------------------
710,999
- --------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 3,848,097
- --------------------------------------------------------------------------------------
MATERIALS -- 5.4%
CHEMICALS -- 1.8%
2,235 Air Products & Chemicals, Inc. ............................. 117,226
4,196 E.I. du Pont de Nemours & Co. .............................. 186,386
2,965 Ecolab Inc. ................................................ 93,990
1,815 PPG Industries, Inc. ....................................... 113,419
- --------------------------------------------------------------------------------------
511,021
- --------------------------------------------------------------------------------------
METALS & MINING -- 3.1%
5,120 Alcoa Inc. ................................................. 169,114
4 Newmont Mining Corp. ....................................... 155
3,636 Phelps Dodge Corp. ......................................... 281,826
4,517 Rio Tinto PLC, Sponsored ADR................................ 442,892
- --------------------------------------------------------------------------------------
893,987
- --------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS -- 0.5%
4,925 MeadWestvaco Corp. ......................................... 144,746
- --------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 1,549,754
- --------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 3.4%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.4%
2,293 ALLTEL Corp. ............................................... 116,072
13,876 BellSouth Corp. ............................................ 363,829
20,474 SBC Communications Inc. .................................... 496,494
- --------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 976,395
- --------------------------------------------------------------------------------------
UTILITIES -- 2.1%
ELECTRIC UTILITIES -- 1.4%
3,243 American Electric Power Co., Inc. .......................... 103,776
3,378 Consolidated Edison, Inc. .................................. 134,309
5,402 The Southern Co. ........................................... 157,468
- --------------------------------------------------------------------------------------
395,553
- --------------------------------------------------------------------------------------
GAS UTILITIES -- 0.3%
2,513 KeySpan Corp. .............................................. 92,227
- --------------------------------------------------------------------------------------
MULTI-UTILITIES -- 0.3%
3,579 Vectren Corp. .............................................. 89,797
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
PIONEER FUND PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------
WATER UTILITIES -- 0.1%
1,672 Aqua America, Inc. ......................................... $ 33,524
- --------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 611,101
- --------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $23,953,830).................... 28,509,503
- --------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.3%
$ 383,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due
7/1/04; Proceeds at maturity -- $383,012; (Fully
collateralized by U.S. Treasury Notes, 6.500% due
10/15/06; Market value -- $392,590) (Cost -- $383,000).... 383,000
- --------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $24,336,830*).......... $28,892,503
- --------------------------------------------------------------------------------------
</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.
58
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
<Table>
<Caption>
U.S. GOVERNMENT SOCIAL AWARENESS PIONEER
SECURITIES STOCK FUND
PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost................................. $234,414,357 $ 78,104,757 $ 24,336,830
- --------------------------------------------------------------------------------------------------------------
Investments, at value................................ $231,760,671 $ 89,568,954 $ 28,892,503
Cash................................................. 439 487 856
Dividends and interest receivable.................... 1,886,812 43,491 30,323
Receivable for Fund shares sold...................... -- 11,882 24,476
- --------------------------------------------------------------------------------------------------------------
TOTAL ASSETS......................................... 233,647,922 89,624,814 28,948,158
- --------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased..................... 21,020,042 -- --
Payable for Fund shares reacquired................... 302,043 -- 488
Investment advisory fees payable..................... 55,857 44,375 17,411
Administration fees payable.......................... 10,371 4,351 1,412
Accrued expenses..................................... 41,989 24,589 28,150
- --------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES.................................... 21,430,302 73,315 47,461
- --------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS....................................... $212,217,620 $ 89,551,499 $ 28,900,697
- --------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in capital...................................... $209,145,991 $ 89,889,289 $ 38,459,116
Undistributed net investment income.................. 4,586,211 160,271 88,425
Accumulated net realized gain (loss) from investment
transactions...................................... 1,139,104 (11,962,258) (14,202,517)
Net unrealized appreciation (depreciation) of
investments....................................... (2,653,686) 11,464,197 4,555,673
- --------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS....................................... $212,217,620 $ 89,551,499 $ 28,900,697
- --------------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING..................................... 16,900,170 3,900,929 2,598,649
- --------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE............................. $12.56 $22.96 $11.12
- --------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
<Table>
<Caption>
U.S. GOVERNMENT SOCIAL AWARENESS PIONEER
SECURITIES STOCK FUND
PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest................................................ $ 5,032,903 $ 6,169 $ 2,283
Dividends............................................... -- 465,076 253,605
Less: Foreign withholding tax........................... -- (9,505) (3,156)
- -------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................. 5,032,903 461,740 252,732
- -------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment management and advisory fees (Note 2)........ 330,680 251,174 105,296
Administration fees (Note 2)............................ 61,370 24,688 8,424
Audit and legal......................................... 23,589 14,910 21,921
Shareholder communications.............................. 11,597 2,338 15,615
Custody................................................. 10,650 4,077 7,156
Trustees' fees.......................................... 5,256 1,561 3,057
Transfer agency services................................ 2,500 2,488 2,484
Other................................................... 1,050 398 657
- -------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES.......................................... 446,692 301,634 164,610
- -------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME..................................... 4,586,211 160,106 88,122
- -------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE
3):
Realized Gain From Investment Transactions (excluding
short-term investments):
Proceeds from sales.................................. 96,515,477 14,312,432 3,569,295
Cost of securities sold.............................. 95,312,547 12,458,431 3,070,672
- -------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN....................................... 1,202,930 1,854,001 498,623
- -------------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) of
Investments:
Beginning of period.................................. 2,751,482 13,416,275 4,628,387
End of period........................................ (2,653,686) 11,464,197 4,555,673
- -------------------------------------------------------------------------------------------------------------
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION).... (5,405,168) (1,952,078) (72,714)
- -------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS............................ (4,202,238) (98,077) 425,909
- -------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... $ 383,973 $ 62,029 $ 514,031
- -------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
60
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
AND THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
U.S. GOVERNMENT SECURITIES PORTFOLIO 2004 2003
- ------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 4,586,211 $ 10,080,394
Net realized gain......................................... 1,202,930 3,472,252
Increase in net unrealized depreciation................... (5,405,168) (7,330,998)
- ------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 383,973 6,221,648
- ------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... -- (10,812,735)
Net realized gains........................................ (382,384) (3,572,312)
- ------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (382,384) (14,385,047)
- ------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares.......................... 25,308,709 29,246,982
Net asset value of shares issued for reinvestment of
dividends.............................................. 382,384 14,385,047
Cost of shares reacquired................................. (23,357,018) (69,457,633)
- ------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... 2,334,075 (25,825,604)
- ------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... 2,335,664 (33,989,003)
NET ASSETS:
Beginning of period....................................... 209,881,956 243,870,959
- ------------------------------------------------------------------------------------------
END OF PERIOD*............................................ $212,217,620 $209,881,956
- ------------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... $4,586,211 --
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
61
- --------------------------------------------------------------------------------
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>
SOCIAL AWARENESS STOCK PORTFOLIO 2004 2003
- ----------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 160,106 $ 404,628
Net realized gain (loss).................................. 1,854,001 (903,133)
Increase (decrease) in net unrealized appreciation........ (1,952,078) 18,313,058
- ----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 62,029 17,814,553
- ----------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (22,632) (392,136)
- ----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (22,632) (392,136)
- ----------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares.......................... 12,818,543 5,724,855
Net asset value of shares issued for reinvestment of
dividends.............................................. 22,632 392,136
Cost of shares reacquired................................. (3,007,504) (6,158,720)
- ----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... 9,833,671 (41,729)
- ----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 9,873,068 17,380,688
NET ASSETS:
Beginning of period....................................... 79,678,431 62,297,743
- ----------------------------------------------------------------------------------------
END OF PERIOD*............................................ $89,551,499 $79,678,431
- ----------------------------------------------------------------------------------------
* Includes undistributed net investment income of: ......... $160,271 $22,797
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
- --------------------------------------------------------------------------------
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>
PIONEER FUND PORTFOLIO 2004 2003
- ----------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 88,122 $ 357,895
Net realized gain (loss).................................. 498,623 (562,398)
Increase (decrease) in net unrealized appreciation........ (72,714) 5,280,877
- ----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 514,031 5,076,374
- ----------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... -- (360,254)
- ----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... -- (360,254)
- ----------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 7):
Net proceeds from sale of shares.......................... 2,587,117 4,118,215
Net asset value of shares issued for reinvestment of
dividends.............................................. -- 360,254
Cost of shares reacquired................................. (1,601,444) (3,354,880)
- ----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... 985,673 1,123,589
- ----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 1,499,704 5,839,709
NET ASSETS:
Beginning of period....................................... 27,400,993 21,561,284
- ----------------------------------------------------------------------------------------
END OF PERIOD*............................................ $28,900,697 $27,400,993
- ----------------------------------------------------------------------------------------
* Includes undistributed net investment income of: ......... $88,425 $303
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
63
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The U.S. Government Securities Portfolio ("USGS"), Social Awareness Stock
Portfolio ("SAS") and Pioneer Fund Portfolio ("PFP") (collectively, "Fund(s)")
are separate diversified investment funds of The Travelers Series Trust
("Trust"). The Trust is a Massachusetts business trust registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company and consists of these funds and 13 other separate investment funds:
Travelers Quality Bond, Lazard International Stock, MFS Emerging Growth,
Federated High Yield, Federated Stock, Large Cap, Equity Income, Disciplined Mid
Cap Stock, Convertible Securities, MFS Mid Cap Growth, Merrill Lynch Large Cap
Core, MFS Value, and Zero Coupon Bond Fund (Series 2005) Portfolios. Shares of
the Trust are offered exclusively for use with certain variable annuity and
variable life insurance contracts offered through the separate accounts of
various affiliated life insurance companies. The financial statements and
financial highlights for the other funds are presented in separate shareholder
reports.
The following are significant accounting policies consistently followed by
the Funds and are in conformity with U.S. generally accepted accounting
principles ("GAAP"): (a) security transactions are accounted for on trade date;
(b) securities traded on national securities markets are valued at the closing
prices on such markets; securities for which no sales prices were reported and
U.S. government and agency obligations are valued at the mean between the last
reported bid and asked prices or on the basis of quotations received from
unaffiliated reputable brokers or other recognized sources; securities listed on
the NASDAQ National Market System for which market quotations are available are
valued at the official closing price or, if there is no official closing price
on that day, at the last sale price; (c) securities for which market quotations
are not available will be valued in good faith at fair value by or under the
direction of the Board of Trustees; (d) securities maturing within 60 days are
valued at cost plus accreted discount, or minus amortized premium, which
approximates value; (e) securities, other than U.S. government agencies and
obligations, that have a maturity of more than 60 days are valued at prices
based on market quotations for securities of similar type, yield and maturity;
(f) interest income, adjusted for amortization of premium and accretion of
discount, is recorded on an accrual basis and dividend income is recorded on the
ex-dividend date; foreign dividends are recorded on the ex-dividend date or as
soon as practical after the Fund determines the existence of a dividend
declaration after exercising reasonable due diligence; (g) gains or losses on
the sale of securities are calculated by using the specific identification
method; (h) dividends and distributions to shareholders are recorded on the ex-
dividend date; the Funds distribute dividends and capital gains, if any, at
least annually; (i) the accounting records of the Funds are maintained in U.S.
dollars. All assets and liabilities denominated in foreign currencies are
translated into U.S. dollars on the date of valuation. Purchases and sales of
securities and income and expenses are translated at the rate of exchange quoted
on the respective date that such transactions are recorded. Differences between
income and expense amounts recorded and collected or paid are adjusted when
reported by the custodian; (j) the character of income and gains to be
distributed is determined in accordance with income tax regulations which may
differ from GAAP; (k) 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 (l)
estimates and assumptions are required to be made regarding assets, liabilities
and changes in net assets resulting from operations when financial statements
are prepared. Changes in the economic environment, financial markets and any
other parameters used in determining these estimates could cause actual results
to differ.
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS
Travelers Asset Management International Company LLC ("TAMIC"), an indirect
wholly-owned subsidiary of Citigroup Inc., ("Citigroup"), acts as investment
adviser to USGS and PFP. USGS and PFP pay TAMIC an investment advisory fee
calculated at the annual rate of 0.3233% and 0.75% of its average daily net
assets, respectively. Prior to May 1, 2003, Smith Barney Fund Management LLC
("SBFM"), another indirect wholly-owned subsidiary of Citigroup, acted as
investment manager to PFP and under the previous agreement, PFP paid SBFM an
investment management and advisory fee calculated at an annual rate of 0.65% of
PFP's average daily net assets. These fees are calculated daily and paid
monthly.
64
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SBFM acts as investment manager and adviser to SAS. SAS pays SBFM an
investment management and advisory fee calculated at an annual rate of: 0.65% on
the first $50 million, 0.55% on the next $50 million, 0.45% on the next $100
million and 0.40% on amounts over $200 million of the average daily net assets
of SAS. This fee is calculated daily and paid monthly.
TAMIC has a sub-advisory agreement with Pioneer Investment Management, Inc.
("Pioneer"). Pursuant to the sub-advisory agreement, Pioneer is responsible for
the day-to-day operations and investment decisions for PFP. As a result, TAMIC
pays Pioneer, as sub-adviser, an advisory fee calculated at an annual rate of
0.375% of the average daily net assets of PFP.
The Travelers Insurance Company ("TIC"), another indirect wholly-owned
subsidiary of Citigroup, acts as administrator to the Funds. The Funds pay TIC
an administration fee calculated at an annual rate of 0.06% of the average daily
net assets of each Fund. This fee is calculated daily and paid monthly. TIC has
entered into a sub-administrative services agreement with SBFM. TIC pays SBFM,
as sub-administrator, a fee calculated at an annual rate of 0.02% of the average
daily net assets of each Fund, plus $30,000 per Fund, subject to a maximum of
0.06% of each Fund's average daily net assets.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as
the Funds' transfer agent. CTB receives account fees and asset-based fees that
vary according to the size and type of account. For the six months ended June
30, 2004, each Fund paid transfer agent fees of $2,500 to CTB.
For the six months ended June 30, 2004, Citigroup Global Markets Inc.,
another indirect wholly-owned subsidiary of Citigroup, and its affiliates
received brokerage commissions of $326 from PFP.
One Trustee and all officers of the Trust are employees of Citigroup or its
affiliates.
3. INVESTMENTS
During the six months ended June 30, 2004, the aggregate cost of purchases
and proceeds from sales of investments (including maturities of long-term
investments, but excluding short-term investments and mortgage dollar rolls)
were as follows:
<Table>
<Caption>
USGS SAS PFP
- -----------------------------------------------------------------------------------------------------
Purchases................................................... $111,751,137 $26,310,563 $4,589,683
- -----------------------------------------------------------------------------------------------------
Sales....................................................... 96,515,477 14,312,432 3,569,295
- -----------------------------------------------------------------------------------------------------
</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>
USGS SAS PFP
- ----------------------------------------------------------------------------------------------------
Gross unrealized appreciation............................... $ 2,534,580 $15,518,313 $4,776,973
Gross unrealized depreciation............................... (5,188,266) (4,054,116) (221,300)
- ----------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation).................. $(2,653,686) $11,464,197 $4,555,673
- ----------------------------------------------------------------------------------------------------
</Table>
4. 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.
65
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
5. MORTGAGE DOLLAR ROLLS
The Funds 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, USGS entered into mortgage
dollar roll transactions in the aggregate amount of $80,238,842.
At June 30, 2004, USGS had outstanding mortgage dollar rolls with a total
cost of $22,053,094. SAS and PFP did not have any outstanding mortgage dollar
rolls.
6. SECURITIES TRADED ON A TO-BE-ANNOUNCED BASIS
The Funds may trade securities on a "to-be-announced" ("TBA") basis. In a
TBA transaction, the Funds commit to purchasing or selling securities for which
specific information is not yet known at the time of the trade, particularly the
face amount and maturity date in GNMA/FNMA transactions. Securities purchased on
a TBA basis normally settle 15 to 45 days after the trade date. These
transactions are subject to market fluctuations and their current value is
determined in the same manner as for other securities.
At June 30, 2004, USGS held TBA securities with a total cost amounting to
$22,053,094.
7. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of beneficial interest without par value. Transactions in shares of each
Fund were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
- --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES PORTFOLIO
Shares sold................................................. 2,041,557 2,193,616
Shares issued on reinvestment............................... 30,542 1,138,891
Shares reacquired........................................... (1,838,547) (5,229,809)
- --------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... 233,552 (1,897,302)
- --------------------------------------------------------------------------------------------------
SOCIAL AWARENESS STOCK PORTFOLIO
Shares sold................................................. 572,403 283,273
Shares issued on reinvestment............................... 989 17,094
Shares reacquired........................................... (130,794) (309,569)
- --------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... 442,598 (9,202)
- --------------------------------------------------------------------------------------------------
PIONEER FUND PORTFOLIO
Shares sold................................................. 235,168 418,833
Shares issued on reinvestment............................... -- 33,048
Shares reacquired........................................... (145,166) (354,955)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 90,002 96,926
- --------------------------------------------------------------------------------------------------
</Table>
66
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
8. ADDITIONAL INFORMATION
Citigroup has been notified by the Staff of the Securities and Exchange
Commission ("SEC") that the Staff is considering recommending a civil injunctive
action and/or an administrative proceeding against Citigroup Asset Management
("CAM"), including its applicable investment advisory companies and Citicorp
Trust Bank ("CTB"), an internal transfer agent, relating to the creation and
operation of the internal transfer agent unit to serve certain CAM-managed
funds, including the Funds. This notification arises out of a previously
disclosed investigation by the SEC and the U.S. Attorney and relates to CTB's
entry in 1999 into the transfer agency business, CAM's retention of, and
agreements with an unaffiliated sub transfer agent, the adequacy of the
disclosures made to the fund boards that approved the transfer agency
arrangements, (including CAM's failure to disclose a related revenue guarantee
agreement benefiting CAM and its affiliates), and CAM's operation of and
compensation for the transfer agency business. The revenue guarantee described
above was terminated in 1999 and CAM will be paying the applicable funds,
primarily through fee waivers, a total of approximately $17 million (plus
interest) that is the amount of the revenue received by Citigroup relating to
the revenue guarantee. Citigroup is cooperating fully in the investigation and
will seek to resolve the matter in discussions with the SEC Staff. Although
there can be no assurance, Citigroup does not believe that this matter will have
a material adverse effect on the Funds. On August 12, 2004, CAM paid each Fund
their allocable share of the amount described above through a waiver of their
fees. The amount paid to each Fund is as follows:
<Table>
<Caption>
- --------------------------------------------------------------------
U.S. Government Securities Portfolio........................ $1,726
Social Awareness Stock Portfolio............................ 1,652
Pioneer Fund Portfolio...................................... 1,707
- --------------------------------------------------------------------
</Table>
67
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
U.S. GOVERNMENT SECURITIES PORTFOLIO 2004(1) 2003(2) 2002(2) 2001(2) 2000(2) 1999(2)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $12.59 $13.14 $12.44 $12.22 $11.30 $11.80
- --------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............. 0.27 0.56 0.63 0.69 0.74 0.68
Net realized and unrealized gain
(loss)......................... (0.28) (0.20) 1.05 0.02 0.84 (1.18)
- --------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations........................ (0.01) 0.36 1.68 0.71 1.58 (0.50)
- --------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............. -- (0.68) (0.89) (0.49) (0.66) (0.00)*
Net realized gains(3)............. (0.02) (0.23) (0.09) -- -- --
- --------------------------------------------------------------------------------------------------------
Total Distributions................. (0.02) (0.91) (0.98) (0.49) (0.66) (0.00)*
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD...... $12.56 $12.59 $13.14 $12.44 $12.22 $11.30
- --------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)..................... (0.06)%++ 2.75% 13.63% 5.82% 14.53% (4.23)%
- --------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S).... $212,218 $209,882 $243,871 $126,491 $90,970 $61,623
- --------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(5)....................... 0.44%+ 0.42% 0.44% 0.45% 0.48% 0.48%
Net investment income............. 4.48+ 4.23 4.82 5.55 6.46 5.97
- --------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............. 47%** 143%** 165% 327% 289% 164%
- --------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
SOCIAL AWARENESS STOCK PORTFOLIO 2004(1) 2003(2) 2002 2001(2) 2000(2) 1999(2)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $23.04 $17.97 $24.14 $28.76 $29.42 $25.92
- --------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............. 0.04 0.12 0.08 0.11 0.14 0.13
Net realized and unrealized gain
(loss)......................... (0.11) 5.06 (6.06) (4.63) (0.29) 3.93
- --------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations........................ (0.07) 5.18 (5.98) (4.52) (0.15) 4.06
- --------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............. (0.01) (0.11) (0.19) (0.10) (0.16) (0.09)
Net realized gains(3)............. -- -- -- -- (0.35) (0.47)
- --------------------------------------------------------------------------------------------------------
Total Distributions................. (0.01) (0.11) (0.19) (0.10) (0.51) (0.56)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD...... $22.96 $23.04 $17.97 $24.14 $28.76 $29.42
- --------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)..................... (0.32)%++ 28.85% (24.81)% (15.71)% (0.49)% 15.84%
- --------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S).... $89,551 $79,678 $62,298 $83,344 $81,184 $68,239
- --------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(5)....................... 0.73%+ 0.78% 0.78% 0.74% 0.75% 0.80%
Net investment income............. 0.39+ 0.59 0.40 0.45 0.48 0.69
- --------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............. 18% 38% 37% 22% 33% 12%
- --------------------------------------------------------------------------------------------------------
</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) Distributions from realized gains include both net realized short-term and
long-term capital gains.
(4) Total returns do not reflect expenses associated with your variable contract
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown.
(5) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 1.25%.
* Amount represents less than $0.01 per share.
** Excluding mortgage dollar roll transactions. If mortgage dollar roll
transactions had been included, the portfolio turnover rate would have been
86% and 168% 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.
68
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
PIONEER FUND PORTFOLIO 2004(1) 2003(2) 2002(2) 2001(2) 2000(2) 1999(2)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $10.92 $ 8.94 $13.87 $19.22 $15.91 $17.18
- --------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............... 0.03 0.15 0.32 0.37 0.43 0.41
Net realized and unrealized gain
(loss)........................... 0.17 1.98 (4.47) (4.65) 3.36 (0.36)
- --------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations... 0.20 2.13 (4.15) (4.28) 3.79 0.05
- --------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... -- (0.15) (0.78) (0.30) (0.45) (0.40)
Net realized gains(3)............... -- -- -- (0.77) (0.03) (0.92)
- --------------------------------------------------------------------------------------------------------
Total Distributions................... -- (0.15) (0.78) (1.07) (0.48) (1.32)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $11.12 $10.92 $ 8.94 $13.87 $19.22 $15.91
- --------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)....................... 1.83%++ 23.78% (30.21)% (23.00)% 24.26% (0.08)%
- --------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S)...... $28,901 $27,401 $21,561 $39,433 $48,456 $31,413
- --------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(5)......................... 1.17%+ 1.12% 0.90% 0.81% 0.84% 0.88%
Net investment income............... 0.63+ 1.56 2.88 2.18 2.47 2.41
- --------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 13% 98% 25% 20% 22% 10%
- --------------------------------------------------------------------------------------------------------
</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) Distributions from realized gains include both net realized short-term and
long-term capital gains.
(4) Total returns do not reflect expenses associated with your variable contract
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown.
(5) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 1.25%.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
69
MANAGED ASSETS TRUST, HIGH YIELD BOND TRUST, CAPITAL APPRECIATION FUND, MONEY
MARKET PORTFOLIO AND THE TRAVELERS SERIES TRUST
- --------------------------------------------------------------------------------
TRUSTEES
R. Jay Gerken, CFA
Chairman
Frances M. Hawk, CFA, CFP
Lewis Mandell
Robert E. McGill, III
OFFICERS
R. Jay Gerken, CFA
President and Chief
Executive Officer
Andrew B. Shoup
Senior Vice President and
Chief Administrative Officer
William D. Wilcox*
Chief Compliance Officer
Andrew Beagley
Chief Anti-Money Laundering
Compliance Officer
Kaprel Ozsolak
Controller
Kathleen A. McGah
Secretary
Ernest J. Wright
Assistant Secretary
*As of July 23, 2004.
INVESTMENT MANAGER
AND ADVISERS
Travelers Asset Management International
Company LLC
Smith Barney Fund Management LLC
(Social Awareness Stock Portfolio)
ADMINISTRATOR
The Travelers Insurance Company
CUSTODIAN
State Street Bank and Trust Company
TRANSFER AGENT
Citicorp Trust Bank, fsb.
U.S. Government Securities Portfolio, Social Awareness Stock Portfolio and
Pioneer Fund Portfolio are separate investment funds of The Travelers Series
Trust, a Massachusetts business trust.
This report is prepared for the general information of variable annuity or life
contract owners and is not an offer of shares of Managed Assets Trust, High
Yield Bond Trust, Capital Appreciation Fund, Money Market Portfolio, The
Travelers Series Trust: U.S. Government Securities Portfolio, Social Awareness
Stock Portfolio and Pioneer Fund Portfolio. All the funds contained in this
report may not be available under your variable annuity or life contract.
Beginning August 31, 2004, information on how the Funds voted proxies relating
to portfolio securities during the 12 month period ended June 30, 2004 will be
available (1) without charge, upon request, by calling 1-800-842-9368 and (2) on
the SEC's website at www.sec.gov.
A description of the policies that the Funds use to determine how to vote
proxies relating to portfolio securities is available without charge, upon
request, by telephoning the Fund (toll-free) at 1-800-842-9368 and by visiting
the SEC's website at www.sec.gov.
VG-181 (Semi-Annual) (8-04) Printed in U.S.A.
ITEM 2. CODE OF ETHICS.
Not Applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 10. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal
financial officer have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-
3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act")) are effective as of a date within 90 days of the
filing date of this report that includes the disclosure
required by this paragraph, based on their evaluation of the
disclosure controls and procedures required by Rule 30a-3(b)
under the 1940 Act and 15d-15(b) under the Securities Exchange
Act of 1934.
(b) There were no changes in the registrant's internal control
over financial reporting (as defined in Rule 30a-3(d) under
the 1940 Act) that occurred during the registrant's last
fiscal half-year (the registrant's second fiscal half-year in
the case of an annual report) that have materially affected,
or are likely to materially affect the registrant's internal
control over financial reporting.
ITEM 11. EXHIBITS.
(a) Not applicable.
(b) Attached hereto.
Exhibit 99.CERT Certifications pursuant to section 302 of the
Sarbanes-Oxley Act of 2002
Exhibit 99.906CERT Certifications pursuant to Section 906 of the
Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this Report
to be signed on its behalf by the undersigned, there unto duly authorized.
THE TRAVELERS SERIES TRUST
By: /s/ R. Jay Gerken
R. Jay Gerken
Chief Executive Officer of
THE TRAVELERS SERIES TRUST
Date: September 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
THE TRAVELERS SERIES TRUST
Date: September 9,2004
By: /s/ Andrew B. Shoup
Andrew B. Shoup
Chief Administrative Officer of
THE TRAVELERS SERIES TRUST
Date: September 9,2004