Annual Report
October 31, 1999
CitiSelect(R) Portfolios
BUILT FOR
TODAY'S INVESTOR
CitiSelect(R) Folio 100 Income
CitiSelect(R) Folio 200 Conservative
CitiSelect(R) Folio 300 Balanced
CitiSelect(R) Folio 400 Growth
CitiSelect(R) Folio 500 Growth Plus
Asset Allocation Funds Designed to Make Your Money Work
INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
<PAGE>
TABLE OF CONTENTS
Letter to Our Shareholders 1
- --------------------------------------------------------------------------------
Portfolio Environment and Outlook 2
- --------------------------------------------------------------------------------
CitiSelect Portfolios Q.A 3
- --------------------------------------------------------------------------------
Risk Reward Trade-Off 4
- --------------------------------------------------------------------------------
Fund Facts 5
- --------------------------------------------------------------------------------
Portfolio Highlights 6
- --------------------------------------------------------------------------------
Fund Performance 7
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities 12
- --------------------------------------------------------------------------------
Statements of Operations 14
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets 16
- --------------------------------------------------------------------------------
Financial Highlights 18
- --------------------------------------------------------------------------------
Notes to Financial Statements 22
- --------------------------------------------------------------------------------
Independent Auditors' Report 29
- --------------------------------------------------------------------------------
<PAGE>
LETTER TO OUR SHAREHOLDERS
Dear CitiSelect Portfolios Shareholder:
The stock and bond markets around the world provided volatile and mixed
returns during the 12-month reporting period ended October 31, 1999. U.S. large
cap equities continued to be among the best performing sectors. International
and small cap growth equities rebounded from their previous doldrums and also
provided competitive returns. U.S. small cap value stocks, U.S. fixed income,
high yield bonds and international bonds all had flat or negative returns during
the reporting period. The diversification strategy that is the essence of
CitiSelect Portfolios' (the "Funds") investment approach helped performance by
providing a cushion against the underperforming markets. Yet, overall,
management is disappointed by the Funds' returns since they are below their
expected long-term performance. And while no guarantees can be made, management
continues to believe that for long-term investors, the Funds' diversification
strategy should provide attractive returns while managing risk.
Throughout the reporting period, the Funds' investment adviser, Citibank,
N.A., continued to manage the Funds according to their individual investment
objectives and risk characteristics. Accordingly, on a relative basis,
CitiSelect Folio 500 Growth Plus produced the highest returns with the greatest
level of risk, while CitiSelect Folios 400 Growth, 300 Balanced and 200
Conservative provided incrementally lower returns and risks, respectively.
CitiSelect Folio 100 Income, which began operations on May 3, 1999 and invests
primarily in fixed income securities, provided the lowest returns with the least
risk.
This report reviews the Funds' investment activities and performance during
the reporting period, and provides a summary of Citibank's perspective on and
outlook for the financial markets. An interview with Senior Portfolio Manager
Richard Goldman appears on page 3 of this report. On behalf of the Board of
Trustees, I want to thank you for your continued confidence and participation.
/S/Philip W. Coolidge
- ---------------------
Philip W. Coolidge
President
November 15, 1999
1
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
THE LARGE CAP MARKET CONTINUED TO REPORT HIGH RETURNS DURING THE REPORTING
PERIOD, LARGELY DUE TO A REBOUND FROM THE GLOBAL MARKET SELL-OFF, PRECIPITATED
BY THE INTERNATIONAL CURRENCY AND CREDIT CRISIS THAT STARTED IN THE SUMMER OF
1998. While the economic and market conditions that fueled the domestic stock
market's rise over the past few years have remained largely intact -- including
strong economic growth, low inflation, robust consumer spending and, more
recently, rising demand for U.S. exports -- many investors have become concerned
that inflationary pressures might resurface. In fact, in an attempt to forestall
a potential reacceleration of inflation, the Federal Reserve Board (the "Fed")
raised interest rates twice during the summer of 1999.
These economic conditions stand in stark contrast to the trends that
prevailed when the reporting period began. In November 1998, the Fed completed a
series of interest rate cuts that were intended to stimulate global economic
growth, which was threatened by the spread of an international currency and
credit crisis, and to help insulate the U.S. economy from the adverse effects of
a global economic slowdown. The Fed's strategy and the strategy of other central
banks around the world were apparently effective. Many overseas economies began
to recover in 1999 and the U.S. economy continued to grow.
AS PREVIOUSLY NOTED, CHANGING ECONOMIC CONDITIONS RAISED INFLATION CONCERNS
AMONG BOTH EQUITY AND FIXED-INCOME INVESTORS WORLDWIDE. According to management,
the U.S. equity markets were characterized by higher levels of volatility
primarily due to concerns regarding the direction and magnitude of interest rate
changes and economic growth.
Although growth and value stocks both provided positive returns in the U.S.
market, value stocks underperformed growth stocks. As a result, the performance
of the growth sector was a more positive contributor to the Funds' performance.
Despite relative valuations that have widened to historical proportions relative
to growth stocks, investors have for the most part continued to avoid value
stocks. It is the opinion of management that the degree to which small cap
stocks and value stocks have underperformed growth stocks cannot continue
indefinitely, thereby making the small cap and value sectors attractive
investment opportunities.
In the U.S. fixed income markets, most bond prices declined as a result of
higher interest rates. This was especially true for U.S. Treasury and government
agency securities, which declined sharply in price. While higher yielding
sectors of the bond market, such as corporate bonds, also experienced lower
prices, they generally suffered less severe declines.
AFTER SEVERAL YEARS OF UNDERPERFORMANCE RELATIVE TO U.S. STOCKS, THE
INTERNATIONAL STOCK MARKETS REPRESENTED ONE OF THE BETTER PERFORMING AREAS IN
WHICH THE FUNDS INVEST. Returns in Asia and Japan were especially attractive,
largely because of higher inflows of capital, as those regions began to recover
from the severe economic and financial problems that had previously constrained
their performance. European stocks also provided positive returns in local
currency terms, but prices generally remained flat for U.S. investors after
accounting for the effects of currency relationships.
Looking ahead, the CitiSelect management team expects heightened market
volatility to continue in the world's financial markets through the end of 1999.
Management also believes that investor uncertainty regarding inflation and
interest rates may be compounded by Y2K-related concerns as year-end approaches.
Over the long term, however, management remains convinced that conditions remain
generally positive for both stocks and bonds and investing across all of these
markets makes good long-term sense. According to management, when prevailing
uncertainty dissipates, investors over time should once again recognize the
compelling values offered by several market sectors, including value, small cap
and international stocks.
Please note that international investing involves certain risks, such as
currency fluctuations, differing accounting and financial disclosure standards
and the potential for adverse political developments.
2
<PAGE>
CITISELECT PORTFOLIOS Q.A.
AN INTERVIEW WITH SENIOR PORTFOLIO MANAGER
RICHARD GOLDMAN
[Photo Omitted)
RICHARD GOLDMAN WAS APPOINTED SENIOR PORTFOLIO MANAGER OF CITISELECT(R)
PORTFOLIOS ON JANUARY 4, 1999. RICH, WHO HAS BEEN A MEMBER OF THE FUNDS'
INVESTMENT MANAGEMENT TEAM SINCE THEIR INCEPTION, HAS MORE THAN 14 YEARS OF
INVESTMENT EXPERIENCE AND HOLDS A B.S. FROM LEHIGH UNIVERSITY AND AN MBA FROM
NEW YORK UNIVERSITY. WE RECENTLY HAD THE PLEASURE OF SPEAKING WITH RICH ABOUT
CITISELECT PORTFOLIOS WHEREIN HE DISCUSSED IN DETAIL HIS INVESTMENT APPROACH.
Q: RICH, WHAT ARE THE DIFFERENCES BETWEEN THE VARIOUS FUNDS' INVESTMENT
ALLOCATIONS?
RICH: Each Fund is designed to achieve the highest returns possible while
keeping risk at or below a desired level. Accordingly, we allocate the
investments differently in each Fund. Although ranges may vary, under normal
conditions the most aggressive, CitiSelect Folio 500 Growth Plus, has a 75%-100%
equity asset class range while the most conservative Fund, CitiSelect Folio 100
Income has a 0%-20% equity asset class range. Being a more conservative fund,
more of Folio 100's assets are targeted to the relatively conservative fixed
income asset classes. Your investment objective, time frame and comfort level
with risk should help you decide which Fund may be right for you. As a general
rule, the longer your investment time frame and the more tolerant you are of
risk, the more aggressive you can be.
As its name implies, CitiSelect Folio 100 Income's primary objective is income,
whereas the other Funds are total-return oriented, offering investors varying
degrees of exposure to the equity markets.
Q: IN YOUR VIEW, WHAT ARE SOME OF THE BENEFITS OF INVESTING IN CITISELECT
PORTFOLIOS?
RICH: CitiSelect Portfolios allow individual investors to take advantage of the
potential benefits provided by diversifying across many asset classes worldwide.
Until recently, only very large and sophisticated institutional investors had
enough assets to invest this broadly. Another benefit is that we maintain what
we believe is the optimum asset allocation mix needed to achieve each Fund's
stated investment objective. Investors also receive broad diversification and
the services of seasoned managers with expertise in specific markets in one
convenient investment.
Q: IN 1999, YOUR INVESTMENT TEAM MADE SOME ADJUSTMENTS TO THE ASSET CLASS MIX,
PARTICULARLY IN SMALL CAP AND INTERNATIONAL STOCKS. WHAT IMPACT DID THOSE
ADJUSTMENTS HAVE ON THE FUNDS' PERFORMANCE?
RICH: Our primary adjustment was to eliminate cash as a separate asset class.
This was done to broaden the Funds' overall exposure to the capital markets and
increase their return potential. We also modestly reduced the Funds' exposure to
the small cap sector to help dampen the effects of volatility in that asset
class. And while past performance is not indicative of future results, we are
pleased with the restructuring to date.
Q: RICH, CITISELECT FOLIO 100 INCOME WAS RECENTLY ADDED TO CITISELECT WITH 90%
OF ITS ASSETS IN A DIVERSE ARRAY OF BONDS AND 10% IN STOCKS. WHY WAS THIS FUND
ADDED?
RICH: Investors today are seeking other options to earn income. We think that
even the most conservative investors can benefit from bond fund diversification
as well as a modest exposure to the large-cap sector of the equity markets. In
addition, the ten percent equity exposure of Folio 100 Income can help provide
better inflation-adjusted returns while still seeking to generate competitive
levels of income.
Q: RICH, WHAT DO YOU LIKE MOST ABOUT BEING A PORTFOLIO MANAGER?
RICH: Being a portfolio manager is exciting. I view recent momentous events such
as globalization and technology advances as opportunities to improve the
performance of CitiSelect Portfolios. In my opinion, my line of work lets me be
both a scientist and an artist. The science is applying solid quantitative
disciplines to identify investment opportunities and the art is sifting through
the research to arrive at, hopefully, the right investment decision.
RICH, THANK YOU FOR SPENDING SOME TIME WITH US TODAY.
3
<PAGE>
RISK REWARD TRADE-OFF
CitiSelect portfolios use a proprietary asset allocation which seeks an optimal
mix of stocks, bonds and cash to help maximize potential return (without sales
charge) for any given level of risk. CitiSelect Folio 100 Income and CitiSelect
Folio 200 Conservative have the lowest risk level -- and the lowest returns.
CitiSelect Folio 300 Balanced scores slightly higher on both counts, followed by
CitiSelect Folio 400 Growth, then CitiSelect Folio 500 Growth Plus.
[The following table represents a chart in the printed material]
<TABLE>
<CAPTION>
CitiSelect CitiSelect CitiSelect CitiSelect CitiSelect
Date Folio 100 Folio 200 Folio 300 Folio 400 Folio 500
---- -------------------- -------------------- ------------------- ----------------- ---------------
<S> <C> <C> <C> <C> <C>
06/17/1996 $10,000 $10,000 $10,000
06/30/1996 $9,569 $9,569 $9,491
07/31/1996 $9,455 $9,369 $9,215
08/31/1996 $9,670 $9,655 $9,605 $10,000
09/30/1996 $9,857 $9,889 $9,880 $9,719
10/31/1996 $9,938 $9,966 $9,918 $9,709
11/30/1996 $10,203 $10,321 $10,346 $10,156
12/31/1996 $10,159 $10,277 $10,340 $10,184
01/31/1997 $10,212 $10,354 $10,435 $10,308
02/28/1997 $10,169 $10,296 $10,368 $10,261
03/31/1997 $9,984 $10,074 $10,120 $10,032
04/30/1997 $10,013 $10,113 $10,082 $9,984
05/31/1997 $10,430 $10,643 $10,770 $10,756
06/30/1997 $10,654 $10,947 $11,161 $11,185
07/31/1997 $10,848 $11,227 $11,439 $11,509
08/31/1997 $10,789 $11,111 $11,305 $11,366
09/30/1997 $11,119 $11,536 $11,880 $11,976
10/31/1997 $10,993 $11,314 $11,506 $11,509
11/30/1997 $10,974 $11,304 $11,449 $11,471
12/31/1997 $10,974 $11,290 $11,399 $11,405
01/31/1998 $10,994 $11,300 $11,369 $11,366
02/28/1998 $11,335 $11,780 $12,039 $12,164
03/31/1998 $11,506 $12,030 $12,394 $12,611
04/30/1998 $11,576 $12,100 $12,483 $12,689
05/31/1998 $11,435 $11,890 $12,148 $12,290
06/30/1998 $11,506 $11,970 $12,197 $12,339
07/31/1998 $11,295 $11,650 $11,724 $11,765
08/31/1998 $10,684 $10,731 $10,345 $9,995
09/30/1998 $11,015 $11,070 $10,640 $10,171
10/31/1998 $11,305 $11,470 $11,192 $10,803
11/30/1998 $11,446 $11,670 $11,487 $11,182
12/31/1998 $11,736 $12,034 $11,916 $11,587
01/31/1999 $11,725 $11,990 $11,786 $11,390
02/28/1999 $11,351 $11,532 $11,233 $10,852
03/31/1999 $11,479 $11,707 $11,461 $11,131
04/30/1999 $10,000 $11,714 $12,045 $11,970 $11,752
05/31/1999 $9,477 $11,607 $11,936 $11,873 $11,628
06/30/1999 $9,503 $11,734 $12,196 $12,241 $12,135
07/31/1999 $9,419 $11,616 $12,098 $12,166 $12,093
08/31/1999 $9,384 $11,541 $11,988 $12,079 $12,021
09/30/1999 $9,441 $11,513 $11,912 $11,938 $11,835
10/31/1999 $9,452 $11,546 $11,989 $12,035 $11,969
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
This graph shows how the performance of each CitiSelect Portfolio compares to
the other CitiSelect Portfolios over the same period.
+ CitiSelect Folio 100 Income commenced operations on May 3, 1999.
The following is a details table pertaining to the shareholder vote by
proposals:
<TABLE>
<CAPTION>
CITISELECT FOLIO 200 CONSERVATIVE CITISELECT FOLIO 300 BALANCED
- ------------------------------------------------------------------------------------------------------------------------------------
FOR AGAINST ABSTAIN FOR AGAINST ABSTAIN
--- ------- ------- --- ------- -------
<S> <C> <C> <C> <C> <C> <C>
1. An agreement between Mutual
Management Corp. and Asset
Allocation Portfolios 10,362,581 183,878 1,110,603 17,931,000 881,646 2,106,789
2. An agreement between Salomon
Brothers Asset Management Limited
and Asset Allocation Portfolios 10,343,625 244,154 1,069,285 17,889,301 969,541 2,060,592
3. To vote on the transfer of
assets to U.S. Fixed Income Portfolio 10,313,630 207,325 1,136,108 17,721,181 889,564 2,308,691
4. To vote on the the selection
of PricewaterhouseCoopers LLP as the
independent accountants 10,656,370 81,774 918,918 18,324,021 737,000 1,858,414
CITISELECT FOLIO 400 GROWTH CITISELECT FOLIO 500 GROWTH PLUS
- ------------------------------------------------------------------------------------------------------------------------------------
FOR AGAINST ABSTAIN FOR AGAINST ABSTAIN
--- ------- ------- --- ------- -------
1. An agreement between Mutual
Management Corp. and Asset
Allocation Portfolios 17,679,043 767,131 2,215,644 6,957,554 384,068 818,644
2. An agreement between Salomon
Brothers Asset Management Limited
and Asset Allocation Portfolios 17,788,642 629,114 2,244,062 6,990,356 414,396 755,514
3. To vote on the transfer of
assets to U.S. Fixed Income Portfolio 17,681,998 663,543 2,316,277 6,927,455 405,100 827,711
4. To vote on the the selection
of PricewaterhouseCoopers LLP as the
independent accountants 18,395,008 442,735 1,824,074 7,178,357 247,390 734,519
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
4
<PAGE>
FUND FACTS
MANAGER
Citibank N.A.
SUBADVISERS
Franklin Advisory Services, Inc. -- Small Cap Value Portfolio
Hotchkis and Wiley -- International Portfolio
SSB Citi Fund Management LLC -- Large Cap Value Portfolio
Salomon Brothers Asset Management Inc. -- High Yield Bond Portfolio
Salomon Brothers Asset Management Ltd. -- Foreign Bond Portfolio
CITISELECT FOLIO 100 INCOME
FUND OBJECTIVE
As high a level of current income as is consistent with a dominant emphasis on
fixed income securities and a small allocation to equity securities.
COMMENCEMENT OF OPERATIONS DIVIDENDS
May 3, 1999 Declared daily; paid monthly
NET ASSETS AS OF 10/31/99 CAPITAL GAINS
$321,560 Class A Paid annually, if any
$197,217 Class B
CITISELECT FOLIO 200 CONSERVATIVE
FUND OBJECTIVE
As high a total return over time as is consistent with a primary emphasis on a
combination of fixed income and money market securities, and a secondary
emphasis on equity securities.
COMMENCEMENT OF OPERATIONS DIVIDENDS
June 17, 1996 Paid quarterly, if any
NET ASSETS AS OF 10/31/99 CAPITAL GAINS
$95.9 million Class A Paid annually, if any
$858,817 Class B
CITISELECT FOLIO 300 BALANCED
FUND OBJECTIVE
As high a total return over time as is consistent with a balanced emphasis on
equity and fixed income securities.
COMMENCEMENT OF OPERATIONS DIVIDENDS
June 17, 1996 Paid quarterly, if any
NET ASSETS AS OF 10/31/99 CAPITAL GAINS
$163.6 million Class A Paid annually, if any
$932,953 Class B
CITISELECT FOLIO 400 GROWTH
FUND OBJECTIVE
As high a total return over time as is consistent with a primary emphasis on
equity securities and a secondary emphasis on fixed income securities.
COMMENCEMENT OF OPERATIONS DIVIDENDS
June 17, 1996 Paid annually, if any
NET ASSETS AS OF 10/31/99 CAPITAL GAINS
$183.6 million Class A Paid annually, if any
$797,107 Class B
CITISELECT FOLIO 500 GROWTH PLUS
FUND OBJECTIVE
As high a total return over time as is consistent with a dominant emphasis on
equity securities and a small allocation to fixed income securities.
COMMENCEMENT OF OPERATIONS DIVIDENDS
September 3, 1996 Paid annually, if any
NET ASSETS AS OF 10/31/99 CAPITAL GAINS
$75.8 million Class A Paid annually, if any
$314,339 Class B
5
<PAGE>
PORTFOLIO HIGHLIGHTS
TOP FIVE SECURITIES (STOCKS)
LARGE CAP GROWTH PORTFOLIO
<TABLE>
<CAPTION>
COMPANY INDUSTRY % NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
General Electric Co. Conglomerates 9.08%
Microsoft Corp. Computer Software 6.63%
Cisco Systems Computer & Telecommunications Equipment 4.91%
Lucent Technologies Computer & Telecommunications Equipment 4.32%
Wal-Mart Stores Inc. Retail 4.43%
LARGE CAP VALUE PORTFOLIO
COMPANY INDUSTRY % NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. Finance 3.69%
Enron Corp. Utilities 3.53%
Mobil Corp. Energy 3.50%
General Electric Co. Capital Goods 3.45%
Williams Companies Inc. Utilities 3.09%
SMALL CAP GROWTH PORTFOLIO
COMPANY INDUSTRY % NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
Mercury Interactive Corp. Technology Services 3.32%
Macromedia, Inc. Electronics/Technical Services 2.57%
Roberts Pharmaceutical Corp. Health Services 2.49%
Pinnicle Holdings, Inc. Electronics/Technical Services 2.46%
Westwood One, Inc. Consumer Services 2.17%
SMALL CAP VALUE PORTFOLIO
COMPANY INDUSTRY % NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
JLG Industries, Inc. Producer Manufacturing 4.34%
Timberland Co. Consumer Non-Durables 3.58%
Presidential Life Corp. Finance 3.56%
Timken Co. Producer Manufacturing 3.16%
RPM Inc. Process Industries 2.63%
DOMESTIC FIXED INCOME
HIGH YIELD PORTFOLIO
COMPANY INDUSTRY % NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
Safety Kleen Services, Inc. Services/Other 2.44%
Triarc Consumer Products Group Consumer Products/Tobacco 2.41%
P&L Coal Holdings Corp. Metals/Mining/Steel 2.40%
Telewest PLC Cable & Other Media 2.37%
Waterford Gaming Finance Corp. Gaming 2.37%
DOMESTIC FIXED INCOME
U.S. FIXED INCOME PORTFOLIO
INSTRUMENTS % NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
Mortgage and Asset Backed Securities 59.10%
Corporate Bonds 32.90%
U.S. Treasury Issues 21.30%
Short Term Obligations 2.10%
Preferred Stock 1.15%
TOP 5 COUNTRIES (INTERNATIONAL ASSET CLASSES)
FOREIGN BOND PORTFOLIO
COUNTRY % NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
Japan 27.60%
Greece 14.30%
Germany 11.30%
United States (excludes short-term) 9.10%
Great Britain 9.00%
INTERNATIONAL PORTFOLIO
COUNTRY % NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
Great Britain 25.40%
Germany 10.10%
France 9.80%
Netherlands 8.80%
Switzerland 8.50%
</TABLE>
6
<PAGE>
FUND PERFORMANCE CITISELECT FOLIO 100 INCOME
TOTAL RETURNS
SINCE
5/3/99
ALL PERIODS ENDED OCTOBER 31, 1999 INCEPTION**
- --------------------------------------------------------------------------------
CitiSelect(R) Folio 100 Income (Class A)
without sales charge (1.03)%
CitiSelect(R) Folio 100 Income (Class A)
with a maximum sales charge of 4.50% (5.48)%
Composite Benchmark+ (Class A) (0.66)%
CitiSelect(R) Folio 100 Income (Class B)
without deferred sales charge (1.16)%
CitiSelect(R) Folio 100 Income (Class B)
with a maximum deferred sales charge of 4.50% (5.61)%
Composite Benchmark+ (Class B) (0.66)%
**Not Annualized
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would be worth $9,452
with sales charge (as of 10/31/99). The graph shows how the Fund compares to its
benchmarks over the same period.
[The following table represents a chart in the printed material]
<TABLE>
<CAPTION>
DATE CITISELECT FOLIO 100 S&P 500 INDEX COMPOSITE BENCHMARK LEHMAN AGGREGATE BOND INDEX
---- -------------------- ------------- ------------------- ---------------------------
<S> <C> <C> <C> <C>
04/30/1999 $10,000 $10,000 $10,000 $10,000
05/31/1999 $9,477 $9,764 $9,884 $9,912
06/30/1999 $9,503 $10,306 $9,911 $9,880
07/31/1999 $9,419 $9,984 $9,856 $9,838
08/31/1999 $9,384 $9,934 $9,823 $9,833
09/30/1999 $9,441 $9,662 $9,860 $9,947
10/31/1999 $9,452 $10,273 $9,934 $9,984
</TABLE>
The graph includes the initial sales charge on the Fund (no comparable charge
exists for the other indices) and assumes all dividends and distributions from
the Fund are reinvested at Net Asset Value.
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Aggregate Bond Index, which
securities regulations require us to include. All Fund performance numbers
represent past performance, and are no guarantee of future results. The Fund's
share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower. Investors
may not invest directly in an index or in the Composite Benchmark.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used as of 10/31/99: S&P 500 Index -- Large Cap Stocks (10%);
Lehman Bros. Aggregate Bond Index -- Domestic Bonds (70%); Salomon Bros.
High Yield Bond Index -- High Yield (20%). Unlike the Fund's total return
the Composite Benchmark total return does not reflect any fees or expenses.
Components of the Composite Benchmark may change at any time.
7
<PAGE>
FUND PERFORMANCE CITISELECT FOLIO 200 CONSERVATIVE
TOTAL RETURNS
SINCE
ONE 6/17/96
ALL PERIODS ENDED OCTOBER 31, 1999 YEAR INCEPTION*
- --------------------------------------------------------------------------------
CitiSelect(R) Folio 200 Conservative (Class A)
without sales charge 2.13% 5.79%
CitiSelect(R)Folio 200 Conservative (Class A)
with a maximum sales charge of 4.50% (2.47)% 4.35%
Composite Benchmark+ (Class A) 5.94% 8.74%
CitiSelect(R) Folio 200 Conservative (Class B)
without deferred sales charge -- (2.13)%#**
CitiSelect(R) Folio 200 Conservative (Class B)
with a maximum deferred sales charge of 4.50% -- (6.53)%#**
Composite Benchmark+ (Class B) -- 1.54%**
* Average Annual Total Return
** Not Annualized
# Commencement of Operations 1/4/99
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$11,546 with sales charge (as of 10/31/99). The graph shows how the Fund
compares to its benchmarks over the same period.
[The following table represents a chart in the printed material]
<TABLE>
<CAPTION>
DATE CITISELECT FOLIO 200 S&P 500 INDEX COMPOSITE BENCHMARK LEHMAN AGGREGATE BOND INDEX
---- -------------------- ------------- ------------------- ---------------------------
<S> <C> <C> <C> <C>
06/17/1996 $10,000 $10,000 $10,000 $10,000
06/30/1996 $9,569 $10,086 $10,023 $10,134
07/31/1996 $9,455 $9,640 $9,882 $10,161
08/31/1996 $9,670 $9,844 $10,026 $10,144
09/30/1996 $9,857 $10,397 $10,222 $10,321
10/31/1996 $9,938 $10,684 $10,324 $10,550
11/30/1996 $10,203 $11,490 $10,592 $10,730
12/31/1996 $10,159 $11,263 $10,572 $10,630
01/31/1997 $10,212 $11,966 $10,618 $10,663
02/28/1997 $10,169 $12,060 $10,588 $10,690
03/31/1997 $9,984 $11,566 $10,425 $10,571
04/30/1997 $10,013 $12,255 $10,520 $10,730
05/31/1997 $10,430 $13,000 $10,941 $10,832
06/30/1997 $10,654 $13,583 $11,174 $10,961
07/31/1997 $10,848 $14,662 $11,403 $11,257
08/31/1997 $10,789 $13,841 $11,310 $11,161
09/30/1997 $11,119 $14,598 $11,656 $11,325
10/31/1997 $10,993 $14,111 $11,572 $11,489
11/30/1997 $10,974 $14,764 $11,592 $11,542
12/31/1997 $10,974 $15,018 $11,667 $11,659
01/31/1998 $10,994 $15,183 $11,749 $11,808
02/28/1998 $11,335 $16,278 $12,086 $11,799
03/31/1998 $11,506 $17,111 $12,253 $11,839
04/30/1998 $11,576 $17,286 $12,366 $11,901
05/31/1998 $11,435 $16,989 $12,261 $12,014
06/30/1998 $11,506 $17,678 $12,363 $12,116
07/31/1998 $11,295 $17,491 $12,224 $12,141
08/31/1998 $10,684 $14,962 $11,652 $12,339
09/30/1998 $11,015 $15,921 $12,119 $12,628
10/31/1998 $11,305 $17,216 $12,520 $12,561
11/30/1998 $11,446 $18,259 $12,721 $12,632
12/31/1998 $11,736 $19,311 $13,063 $12,670
01/31/1999 $11,725 $20,119 $13,154 $12,760
02/28/1999 $11,351 $19,494 $12,780 $12,537
03/31/1999 $11,479 $20,273 $12,965 $12,606
04/30/1999 $11,714 $21,059 $13,301 $12,675
05/31/1999 $11,607 $20,561 $13,150 $12,564
06/30/1999 $11,734 $21,703 $13,298 $12,524
07/31/1999 $11,616 $21,025 $13,201 $12,470
08/31/1999 $11,541 $20,920 $13,108 $12,463
09/30/1999 $11,513 $20,347 $13,107 $12,608
10/31/1999 $11,546 $21,634 $13,263 $12,655
</TABLE>
The graph includes the initial sales charge on the Fund (no comparable charge
exists for the other indices) and assumes all dividends and distributions from
the Fund are reinvested at Net Asset Value.
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Aggregate Bond Index, which
securities regulations require us to include. All Fund performance numbers
represent past performance, and are no guarantee of future results. The Fund's
share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower. The maximum
sales charge of 4.50% went into effect on January 4, 1999. Investors may not
invest directly in an index or in the Composite Benchmark.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used as of 10/31/99: S&P 500 Index -- Large Cap Stocks (15%);
Russell 2000 Index -- Small Cap Stocks (10%); Morgan Stanley EAFE Index --
International Stocks (5%); Lehman Bros. Aggregate Bond Index -- Domestic
Bonds (40%); Salomon Bros. Non-$ World Gov't Index -- Foreign Gov't Bonds
(10%); Salomon Bros. High Yield Bond Index -- High Yield (20%). Unlike the
Fund's total return the Composite Benchmark total return does not reflect
any fees or expenses. Components of the Composite Benchmark may change at
any time.
8
<PAGE>
FUND PERFORMANCE CITISELECT FOLIO 300 BALANCED
TOTAL RETURNS
<TABLE>
<CAPTION>
SINCE
ONE 6/17/96
ALL PERIODS ENDED OCTOBER 31, 1999 YEAR INCEPTION*
- -----------------------------------------------------------------------------------------
<S> <C> <C>
CitiSelect(R) Folio 300 Balanced (Class A)
without sales charge 4.52% 6.98%
CitiSelect(R)Folio 300 Balanced (Class A)
with a maximum sales charge of 4.50% (0.18)% 5.53%
Composite Benchmark+ (Class A) 8.92% 10.37%
Citiselect(r) Folio 300 Balanced (Class B)
without deferred sales charge -- (0.99)%#**
CitiSelect(R) Folio 300 Balanced (Class B)
with a maximum deferred sales charge of 4.50% -- (5.44)%#**
Composite Benchmark+ (Class B) -- 2.89%**
</TABLE>
** Average Annual Total Return
** Not Annualized
# Commencement of Operations 1/4/99
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$11,989 with sales charge (as of 10/31/99). The graph shows how the Fund
compares to its benchmarks over the same period.
[The following table represents a chart in the printed material]
<TABLE>
<CAPTION>
DATE CITISELECT FOLIO 300 S&P 500 INDEX COMPOSITE BENCHMARK LEHMAN AGGREGATE BOND INDEX
---- -------------------- ------------- ------------------- ---------------------------
<S> <C> <C> <C> <C>
06/17/1996 $10,000 $10,000 $10,000 $10,000
06/30/1996 $9,569 $10,086 $10,018 $10,134
07/31/1996 $9,369 $9,640 $9,790 $10,161
08/31/1996 $9,655 $9,844 $9,966 $10,144
09/30/1996 $9,889 $10,397 $10,216 $10,321
10/31/1996 $9,966 $10,684 $10,313 $10,550
11/30/1996 $10,321 $11,490 $10,654 $10,730
12/31/1996 $10,277 $11,263 $10,624 $10,630
01/31/1997 $10,354 $11,966 $10,688 $10,663
02/28/1997 $10,296 $12,060 $10,651 $10,690
03/31/1997 $10,074 $11,566 $10,435 $10,571
04/30/1997 $10,113 $12,255 $10,557 $10,730
05/31/1997 $10,643 $13,000 $11,100 $10,832
06/30/1997 $10,947 $13,583 $11,409 $10,961
07/31/1997 $11,227 $14,662 $11,716 $11,257
08/31/1997 $11,111 $13,841 $11,550 $11,161
09/30/1997 $11,536 $14,598 $12,003 $11,325
10/31/1997 $11,314 $14,111 $11,815 $11,489
11/30/1997 $11,304 $14,764 $11,846 $11,542
12/31/1997 $11,290 $15,018 $11,941 $11,659
01/31/1998 $11,300 $15,183 $12,042 $11,808
02/28/1998 $11,780 $16,278 $12,506 $11,799
03/31/1998 $12,030 $17,111 $12,748 $11,839
04/30/1998 $12,100 $17,286 $12,873 $11,901
05/31/1998 $11,890 $16,989 $12,706 $12,014
06/30/1998 $11,970 $17,678 $12,836 $12,116
07/31/1998 $11,650 $17,491 $12,630 $12,141
08/31/1998 $10,731 $14,962 $11,738 $12,339
09/30/1998 $11,070 $15,921 $12,268 $12,628
10/31/1998 $11,470 $17,216 $12,805 $12,561
11/30/1998 $11,670 $18,259 $13,108 $12,632
12/31/1998 $12,034 $19,311 $13,556 $12,670
01/31/1999 $11,990 $20,119 $13,676 $12,760
02/28/1999 $11,532 $19,494 $13,189 $12,537
03/31/1999 $11,707 $20,273 $13,434 $12,606
04/30/1999 $12,045 $21,059 $13,891 $12,675
05/31/1999 $11,936 $20,561 $13,732 $12,564
06/30/1999 $12,196 $21,703 $14,021 $12,524
07/31/1999 $12,098 $21,025 $13,887 $12,470
08/31/1999 $11,988 $20,920 $13,745 $12,463
09/30/1999 $11,912 $20,347 $13,713 $12,608
10/31/1999 $11,989 $21,634 $13,946 $12,655
</TABLE>
The graph includes the initial sales charge on the Fund (no comparable charge
exists for the other indices) and assumes all dividends and distributions from
the Fund are reinvested at Net Asset Value.
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Aggregate Bond Index, which
securities regulations require us to include. All Fund performance numbers
represent past performance, and are no guarantee of future results. The Fund's
share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower. The maximum
sales charge of 4.50% went into effect on January 4, 1999. Investors may not
invest directly in an index or in the Composite Benchmark.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used as of 10/31/99: S&P 500 Index -- Large Cap Stocks (20%);
Russell 2000 Index -- Small Cap Stocks (20%); Morgan Stanley EAFE Index --
International Stocks (10%); Lehman Bros. Aggregate Bond Index -- Domestic
Bonds (25%); Salomon Bros. Non-$ World Gov't Index -- Foreign Gov't Bonds
(10%); Salomon Bros. High Yield Bond Index -- High Yield (15%). Unlike the
Fund's total return the Composite Benchmark total return does not reflect
any fees or expenses. Components of the Composite Benchmark may change at
any time.
9
<PAGE>
FUND PERFORMANCE CITISELECT FOLIO 400 GROWTH
TOTAL RETURNS
<TABLE>
<CAPTION>
SINCE
ONE 6/17/96
ALL PERIODS ENDED OCTOBER 31, 1999 YEAR INCEPTION*
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
CitiSelect(R) Folio 400 Growth (Class A)
without sales charges 7.63% 7.29%
CitiSelect(R)Folio 400 Growth (Class A)
with a maximum sales charge of 5.00% 2.25% 5.68%
Composite Benchmark+ (Class A) 13.13% 11.07%
CitiSelect(R) Folio 400 Growth (Class B)
without deferred sales charge -- 0.09%#**
CitiSelect(R) Folio 400 Growth (Class B)
with a maximum deferred sales charge of 5.00% -- (4.91)%#**
Composite Benchmark+ (Class B) -- 4.85%**
</TABLE>
** Average Annual Total Return
** Not Annualized
# Commencement of Operations 1/4/99
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$12,046 with sales charge (as of 10/31/99). The graph shows how the Fund
compares to its benchmarks over the same period.
<TABLE>
<CAPTION>
[The following table represents a chart in the printed material]
DATE CITISELECT FOLIO 400 S&P 500 INDEX COMPOSITE BENCHMARK LEHMAN AGGREGATE BOND INDEX
---- -------------------- ------------- ------------------- ---------------------------
<S> <C> <C> <C> <C>
06/17/1996 $10,000 $10,000 $10,000 $10,000
06/30/1996 $9,491 $10,086 $9,987 $10,134
07/31/1996 $9,215 $9,640 $9,637 $10,161
08/31/1996 $9,605 $9,844 $9,868 $10,144
09/30/1996 $9,880 $10,397 $10,153 $10,321
10/31/1996 $9,918 $10,684 $10,187 $10,550
11/30/1996 $10,346 $11,490 $10,580 $10,730
12/31/1996 $10,340 $11,263 $10,577 $10,630
01/31/1997 $10,435 $11,966 $10,618 $10,663
02/28/1997 $10,368 $12,060 $10,567 $10,690
03/31/1997 $10,120 $11,566 $10,320 $10,571
04/30/1997 $10,082 $12,255 $10,424 $10,730
05/31/1997 $10,770 $13,000 $11,130 $10,832
06/30/1997 $11,161 $13,583 $11,529 $10,961
07/31/1997 $11,439 $14,662 $11,865 $11,257
08/31/1997 $11,305 $13,841 $11,648 $11,161
09/30/1997 $11,880 $14,598 $12,228 $11,325
10/31/1997 $11,506 $14,111 $11,863 $11,489
11/30/1997 $11,449 $14,764 $11,869 $11,542
12/31/1997 $11,399 $15,018 $11,976 $11,659
01/31/1998 $11,369 $15,183 $12,082 $11,808
02/28/1998 $12,039 $16,278 $12,718 $11,799
03/31/1998 $12,394 $17,111 $13,047 $11,839
04/30/1998 $12,483 $17,286 $13,180 $11,901
05/31/1998 $12,148 $16,989 $12,913 $12,014
06/30/1998 $12,197 $17,678 $13,041 $12,116
07/31/1998 $11,724 $17,491 $12,731 $12,141
08/31/1998 $10,345 $14,962 $11,388 $12,339
09/30/1998 $10,640 $15,921 $11,900 $12,628
10/31/1998 $11,192 $17,216 $12,597 $12,561
11/30/1998 $11,487 $18,259 $13,026 $12,632
12/31/1998 $11,916 $19,311 $13,591 $12,670
01/31/1999 $11,786 $20,119 $13,704 $12,760
02/28/1999 $11,233 $19,494 $13,122 $12,537
03/31/1999 $11,461 $20,273 $13,423 $12,606
04/30/1999 $11,970 $21,059 $14,045 $12,675
05/31/1999 $11,873 $20,561 $13,838 $12,564
06/30/1999 $12,241 $21,703 $14,260 $12,524
07/31/1999 $12,166 $21,025 $14,132 $12,470
08/31/1999 $12,079 $20,920 $13,972 $12,463
09/30/1999 $11,938 $20,347 $13,915 $12,608
10/31/1999 $12,035 $21,634 $14,247 $12,655
</TABLE>
The graph includes the initial sales charge on the Fund (no comparable charge
exists for the other indices) and assumes all dividends and distributions from
the Fund are reinvested at Net Asset Value.
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Aggregate Bond Index, which
securities regulations require us to include. All Fund performance numbers
represent past performance, and are no guarantee of future results. The Fund's
share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower. The maximum
sales charge of 5.00% went into effect on January 4, 1999. Investors may not
invest directly in an index or in the Composite Benchmark.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used as of 10/31/99: S&P 500 Index -- Large Cap Stocks (25%);
Russell 2000 Index -- Small Cap Stocks (25%); Morgan Stanley EAFE Index --
International Stocks (20%); Lehman Bros. Aggregate Bond Index -- Domestic
Bonds (10%); Salomon Bros. Non-$ World Gov't Index -- Foreign Gov't Bonds
(10%); Salomon Bros. High Yield Bond Index -- High Yield (10%). Unlike the
Fund's total return the Composite Benchmark total return does not reflect
any fees or expenses. Components of the Composite Benchmark may change at
any time.
10
<PAGE>
FUND PERFORMANCE CITISELECT FOLIO 500 GROWTH PLUS
TOTAL RETURNS
<TABLE>
<CAPTION>
SINCE
ONE 9/3/96
ALL PERIODS ENDED OCTOBER 31, 1999 YEAR INCEPTION*
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
CitiSelect(R) Folio 500 Growth Plus (Class A)
without sales charge 10.80% 7.59%
CitiSelect(R)Folio 500 Growth Plus (Class A)
with a maximum sales charge of 5.00% 5.26% 5.86%
Composite Benchmark+ (Class A) 17.07% 13.61%
CitiSelect(R) Folio 500 Growth Plus (Class B)
without deferred sales charge -- 2.22%#**
CitiSelect(R) Folio 500 Growth Plus (Class B)
with deferred sales charge of 5.00% -- (2.89)%#**
Composite Benchmark+ (Class B) -- 7.07%**
</TABLE>
** Average Annual Total Return
** Not Annualized
# Commencement of Operations 1/4/99
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$11,969 with sales charge (as of 10/31/99). The graph shows how the Fund
compares to its benchmarks over the same period.
<TABLE>
<CAPTION>
[The following table represents a chart in the printed material]
DATE CITISELECT FOLIO 500 LEHMAN BROS. AGGREGATE BOND INDEX MSCI EAFE INDEX COMPOSITE BENCHMARK
---- -------------------- --------------------------------- --------------- -------------------
<S> <C> <C> <C> <C>
08/31/1996 $10,000 $10,000 $10,000 $10,000
09/30/1996 $9,719 $10,029 $10,315 $10,356
10/31/1996 $9,709 $10,199 $10,212 $10,345
11/30/1996 $10,156 $10,316 $10,621 $10,787
12/31/1996 $10,184 $10,242 $10,487 $10,797
01/31/1997 $10,308 $9,826 $10,122 $10,853
02/28/1997 $10,261 $9,712 $10,290 $10,817
03/31/1997 $10,032 $9,650 $10,330 $10,553
04/30/1997 $9,984 $9,454 $10,387 $10,681
05/31/1997 $10,756 $9,802 $11,065 $11,492
06/30/1997 $11,185 $9,923 $11,678 $11,972
07/31/1997 $11,509 $9,664 $11,870 $12,388
08/31/1997 $11,366 $9,707 $10,985 $12,080
09/30/1997 $11,976 $9,943 $11,603 $12,758
10/31/1997 $11,509 $10,166 $10,714 $12,216
11/30/1997 $11,471 $9,905 $10,607 $12,236
12/31/1997 $11,405 $9,805 $10,702 $12,375
01/31/1998 $11,366 $9,872 $11,195 $12,516
02/28/1998 $12,164 $10,011 $11,916 $13,284
03/31/1998 $12,611 $9,846 $12,285 $13,717
04/30/1998 $12,689 $10,063 $12,384 $13,838
05/31/1998 $12,290 $10,047 $12,328 $13,510
06/30/1998 $12,339 $10,010 $12,424 $13,657
07/31/1998 $11,765 $10,022 $12,553 $13,287
08/31/1998 $9,995 $10,297 $11,000 $11,546
09/30/1998 $10,171 $10,972 $10,666 $11,985
10/31/1998 $10,803 $11,467 $11,780 $12,783
11/30/1998 $11,182 $11,233 $12,387 $13,344
12/31/1998 $11,587 $11,550 $12,879 $13,976
01/31/1999 $11,390 $11,369 $12,844 $14,114
02/28/1999 $10,852 $10,970 $12,541 $13,486
03/31/1999 $11,131 $11,099 $13,068 $13,846
04/30/1999 $11,752 $11,240 $13,599 $14,587
05/31/1999 $11,628 $11,211 $12,902 $14,312
06/30/1999 $12,135 $11,029 $13,407 $14,904
07/31/1999 $12,093 $11,012 $13,810 $14,775
08/31/1999 $12,021 $10,997 $13,864 $14,593
09/30/1999 $11,835 $11,056 $14,006 $14,517
10/31/1999 $11,969 $11,078 $14,534 $14,965
</TABLE>
The graph includes the initial sales charge on the Fund (no comparable charge
exists for the other indices) and assumes all dividends and distributions from
the Fund are reinvested at Net Asset Value.
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as The Lehman Brothers Aggregate Bond Index or the Morgan Stanley EAFE
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower. The maximum
sales charge of 5.00% went into effect on January 4, 1999. Investors may not
invest directly in an index or in the Composite Benchmark.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used as of 10/31/99: S&P 500 Index -- Large Cap Stocks (30%);
Russell 2000 Index -- Small Cap Stocks (30%); Morgan Stanley EAFE Index --
International Stocks (30%); Lehman Bros. Aggregate Bond Index -- Domestic
Bonds (5.00%); Salomon Bros. High Yield Bond Index -- High Yield (5.00%).
Unlike the Fund's total return the Composite Benchmark total return does not
reflect any fees or expenses. Components of the Composite Benchmark may
change at any time.
11
<PAGE>
CITISELECT PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
CITISELECT CITISELECT
FOLIO 100 FOLIO 200
OCTOBER 31, 1999 INCOME CONSERVATIVE
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:
Investment in, at value:
Large Cap Growth Portfolio $ 25,200 $ 6,386,843
Large Cap Value Portfolio 25,345 7,725,668
Small Cap Growth Portfolio -- 4,931,686
Small Cap Value Portfolio -- 5,228,437
International Portfolio -- 5,081,003
U.S. Fixed Income Portfolio 335,454 38,126,491
Foreign Bond Portfolio -- 10,754,179
High Yield Portfolio 95,368 19,537,211
- -----------------------------------------------------------------------------------------------------------------------------
Total Investments (Note 1A) 481,367 97,771,518
Receivable from Sub-Administrator 73,349 --
Receivable for shares of beneficial interest sold -- 716
Other assets -- 51,755
- -----------------------------------------------------------------------------------------------------------------------------
Total Assets 554,716 97,823,989
- -----------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Dividends payable 722 --
Payable for shares of beneficial interest repurchased 40 1,006,704
Payable to affiliates-- Management fees (Note 2) -- 18,099
Accrued expenses 35,177 87,652
- -----------------------------------------------------------------------------------------------------------------------------
Total Liabilities 35,939 1,112,455
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS $518,777 $96,711,534
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital $532,429 $94,103,878
Undistributed net investment income (loss) -- --
Accumulated net realized gain (loss) on investments (4,985) 404,549
Unrealized appreciation (depreciation) of investments
and foreign currency transactions (8,667) 2,203,107
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets $518,777 $96,711,534
- -----------------------------------------------------------------------------------------------------------------------------
COMPUTATION OF
CLASS A SHARES:
Net Asset Value per share ($321,560/33,278,
$95,852,717/9,040,660, $163,635,459/15,097,871,
$183,559,209/16,529,137, $75,768,253/6,548,359,
respectively) $ 9.66 $10.60
Offering price per share based on a 4.50% sales charges
for CitiSelect Folios 100, 200 and 300 and on a
5.00% sales charge on CitiSelect Folios 400 and
500 ($9.66 / 0.955, $10.60 / 0.955, $10.84 / 0.955,
$11.11 / 0.950, $11.57 / 0.950, respectively) $10.12* $11.10*
- -----------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Net Asset Value per share and offering price
($197,217/20,419, $858,817/81,100, $932,953/86,159,
$797,107/72,103, $314,339/27,264, shares
outstanding, respectively) $ 9.66** $10.59**
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Based upon single purchases of less than $25,000.
** Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charges.
See notes to financial statements
12
<PAGE>
<TABLE>
<CAPTION>
CITISELECT CITISELECT CITISELECT
FOLIO 300 FOLIO 400 FOLIO 500
OCTOBER 31, 1999 BALANCED GROWTH GROWTH PLUS
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investment in, at value:
Large Cap Growth Portfolio $ 14,578,926 $ 20,678,119 $10,039,583
Large Cap Value Portfolio 17,193,567 24,492,729 12,266,904
Small Cap Growth Portfolio 16,907,912 23,551,105 11,678,103
Small Cap Value Portfolio 17,564,007 24,164,219 11,907,290
International Portfolio 17,355,045 38,102,231 23,333,552
U.S. Fixed Income Portfolio 40,311,442 17,664,524 3,265,257
Foreign Bond Portfolio 17,539,166 18,523,161 --
High Yield Portfolio 24,919,547 18,655,213 3,818,047
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Note 1A) 166,369,612 185,831,301 76,308,736
Receivable from Sub-Administrator -- -- --
Receivable for shares of beneficial interest sold 21,393 1,347 1,287
Other assets 181,521 445,463 267,580
- ----------------------------------------------------------------------------------------------------------------------------------
Total Assets 166,572,526 186,278,111 76,577,603
- ----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Dividends payable -- -- --
Payable for shares of beneficial interest repurchased 1,646,757 1,547,165 489,613
Payable to affiliates-- Management fees (Note 2) 21,876 14,550 3,193
Accrued expenses 335,481 360,080 2,205
- ----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 2,004,114 1,921,795 495,011
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $164,568,412 $184,356,316 $76,082,592
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital $154,538,203 $170,066,279 $69,113,875
Undistributed net investment income (loss) -- -- 13,228
Accumulated net realized gain (loss) on investments (5,631,877) (11,059,899) 105,432
Unrealized appreciation (depreciation) of investments
and foreign currency transactions 15,662,086 25,349,936 6,850,057
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets $164,568,412 $184,356,316 $76,082,592
- ----------------------------------------------------------------------------------------------------------------------------------
COMPUTATION OF
CLASS A SHARES:
Net Asset Value per share ($321,560/33,278,
$95,852,717/9,040,660, $163,635,459/15,097,871,
$183,559,209/16,529,137, $75,768,253/6,548,359,
respectively) $10.84 $11.11 $11.57
Offering price per share based on a 4.50% sales charges
for CitiSelect Folios 100, 200 and 300 and on a
5.00% sales charge on CitiSelect Folios 400 and
500 ($9.66 / 0.955, $10.60 / 0.955, $10.84 / 0.955,
$11.11 / 0.950, $11.57 / 0.950, respectively) $11.35* $11.69* $12.18*
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
NetAsset Value per share and offering price
($197,217/20,419, $858,817/81,100, $932,953/86,159,
$797,107/72,103, $314,339/27,264, shares
outstanding, respectively) $10.83** $11.06** $11.53**
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE>
CITISELECT PORTFOLIOS
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
CITISELECT CITISELECT
FOLIO 100 FOLIO 200
FOR THE YEAR ENDED OCTOBER 31, 1999 INCOME+ CONSERVATIVE
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME (Note 6):
Interest* $12,707 $6,303,844
Dividends* 387 668,660
Allocated net expenses (946) (1,003,117)
Foreign tax reclaims -- 13,757
- -------------------------------------------------------------------------------------------------------------------------------
12,148 5,983,144
- -------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 2) 2,124 337,386
Service fees Class A (Note 3) 471 765,125
Service fees Class B (Note 3) 803 4,113
Transfer agent fees 19,084 47,350
Legal fees 18,202 36,308
Custody and fund accounting fees 11,975 25,654
Audit fees 8,343 31,080
Shareholder reports 8,000 25,935
Trustees fees 3,875 10,759
Registration fees -- 4,014
Other 4,361 19,601
- -------------------------------------------------------------------------------------------------------------------------------
Total expenses 77,238 1,307,325
Less aggregate amount waived by the Manager (Note 2) (2,048) --
Less expenses assumed by the Sub-Administrator (Note 7) (73,349) --
- -------------------------------------------------------------------------------------------------------------------------------
Net expenses 1,841 1,307,325
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 10,307 4,675,819
- -------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (Note 6):
Net realized gain (loss) (4,985) 1,357,465
Net change in unrealized appreciation (depreciation) (8,667) (1,235,326)
- -------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (13,652) 122,139
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $(3,345) $4,797,958
- -------------------------------------------------------------------------------------------------------------------------------
*Net of foreign taxes withheld $ 1 $ 63,228
</TABLE>
+May 3, 1999 (Commencement of Operations) to October 31, 1999.
See notes to financial statements
14
<PAGE>
<TABLE>
<CAPTION>
CITISELECT CITISELECT CITISELECT
FOLIO 300 FOLIO 400 FOLIO 500
FOR THE YEAR ENDED OCTOBER 31, 1999 BALANCED GROWTH GROWTH PLUS
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME (Note 6):
Interest* $ 7,732,128 $ 5,077,303 $ 862,010
Dividends* 1,689,188 2,768,694 1,439,632
Allocated net expenses (1,817,388) (2,285,260) (954,663)
Foreign tax reclaims 46,156 101,795 59,906
- --------------------------------------------------------------------------------------------------------------------------------
7,650,084 5,662,532 1,406,885
- -------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 2) 396,763 258,013 52,167
Service fees Class A (Note 3) 1,265,907 1,442,983 571,518
Service fees Class B (Note 3) 3,457 5,081 1,419
Transfer agent fees 90,447 42,016 36,158
Legal fees 67,268 29,579 33,226
Custody and fund accounting fees 26,016 20,463 24,494
Audit fees 32,180 30,680 22,180
Shareholder reports 88,608 63,344 31,263
Trustees fees 12,770 17,206 8,314
Registration fees -- -- --
Other 5,852 1,094 1,957
- --------------------------------------------------------------------------------------------------------------------------------
Total expenses 1,989,268 1,910,459 782,696
Less aggregate amount waived by the Manager (Note 2) -- -- --
Less expenses assumed by the Sub-Administrator (Note 7) -- -- (66,322)
- --------------------------------------------------------------------------------------------------------------------------------
Net expenses 1,989,268 1,910,459 716,374
- --------------------------------------------------------------------------------------------------------------------------------
Net investment income 5,660,816 3,752,073 690,511
- --------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (Note 6):
Net realized gain (loss) 4,083,333 5,977,259 3,218,138
Net change in unrealized appreciation (depreciation) 4,334,465 15,299,428 9,229,350
- --------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 8,417,798 21,276,687 12,447,488
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $14,078,614 $25,028,760 $13,137,999
- --------------------------------------------------------------------------------------------------------------------------------
*Net of foreign taxes withheld $ 152,029 $ 270,231 $ 129,708
</TABLE>
15
<PAGE>
CITISELECT PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CITISELECT FOLIO 100 CITISELECT FOLIO 200
INCOME CONSERVATIVE
- ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD
MAY 3, 1999
(COMMENCEMENT YEAR YEAR
OF OPERATIONS) TO ENDED ENDED
OCTOBER 31, 1999 OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
<S> <C> <C> <C>
Net investment income $10,307 $4,675,819 $5,543,132
Net realized gain (loss) (4,985) 1,357,465 3,990,987
Net change in unrealized appreciation
(depreciation) of investments (8,667) (1,235,326) (4,954,426)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations (3,345) 4,797,958 4,579,693
- ------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS FROM:
Net income (Class A) (5,104) (8,439,415) (2,765,372)
(Class B) (5,203) (16,857) --
Net realized gain on investments (Class A) -- (5,996,539) (2,990,460)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from distributions (10,307) (14,452,811) (5,755,832)
- ------------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST (Note 5):
CLASS A
Net proceeds from sale of shares 344,182 13,705,529 156,198,374
Net asset value of shares issued to
shareholders from reinvestment
of distributions 4,653 14,428,481 5,752,937
Cost of shares repurchased (22,027) (128,964,342) (120,664,972)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A 326,808 (100,830,332) 41,286,339
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B*
Net proceeds from sale of shares 301,013 980,874 --
Net asset value of shares issued to
shareholders from reinvestment
of distributions 3,854 13,840 --
Cost of shares repurchased (99,246) (111,437) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class B 205,621 883,277 --
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM TRANSACTIONS
IN SHARES OF BENEFICIAL INTEREST 532,429 (99,947,055) 41,286,339
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS 518,777 (109,601,908) 40,110,200
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period -- $206,313,442 166,203,242
- ------------------------------------------------------------------------------------------------------------------------------------
End of period* $518,777 $96,711,534 $206,313,442
- ------------------------------------------------------------------------------------------------------------------------------------
*Including undistributed
(overdistributed) net
investment income $ -- $ -- $3,932,440
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* January 4, 1999 (Commencement of Operations) to October 31, 1999.
See notes to financial statements
16
<PAGE>
<TABLE>
<CAPTION>
CITISELECT FOLIO 300
BALANCED
- ------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR
ENDED ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
<S> <C> <C>
Net investment income $ 5,660,816 $ 7,523,867
Net realized gain (loss) 4,083,333 9,220,072
Net change in unrealized appreciation
(depreciation) of investments 4,334,465 (12,789,550)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 14,078,614 3,954,389
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS FROM:
Net income (Class A) (10,844,955) (4,055,263)
(Class B) (9,785) --
Net realized gain on investments (Class A) (20,082,498) (7,140,789)
- ------------------------------------------------------------------------------------------------------------------------------
Total from distributions (30,937,238) (11,196,052)
- ------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST (Note 5):
CLASS A
Net proceeds from sale of shares 10,176,905 155,429,504
Net asset value of shares issued to
shareholders from reinvestment
of distributions 30,927,441 11,196,052
Cost of shares repurchased (201,073,561) (144,121,491)
- ------------------------------------------------------------------------------------------------------------------------------
Total Class A (159,969,215) 22,504,065
- ------------------------------------------------------------------------------------------------------------------------------
CLASS B*
Net proceeds from sale of shares 958,471 --
Net asset value of shares issued to
shareholders from reinvestment
of distributions 8,794 --
Cost of shares repurchased (26,067) --
- ------------------------------------------------------------------------------------------------------------------------------
Total Class B 941,198 --
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM TRANSACTIONS
IN SHARES OF BENEFICIAL INTEREST (159,028,017) 22,504,065
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS (175,886,641) 15,262,402
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 340,455,053 325,192,651
- ------------------------------------------------------------------------------------------------------------------------------
End of period* $ 164,568,412 $ 340,455,053
- ------------------------------------------------------------------------------------------------------------------------------
*Including undistributed
(overdistributed) net
investment income $ -- $ 4,752,923
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CITISELECT FOLIO 400
GROWTH
- ------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR
ENDED ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $ 3,752,073 $ 5,864,942
Net realized gain (loss) 5,977,259 11,257,648
Net change in unrealized appreciation
(depreciation) of investments 15,299,428 (30,768,997)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 25,028,760 (13,646,407)
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS FROM:
Net income (Class A) (7,033,484) (3,075,835)
(Class B) -- --
Net realized gain on investments (Class A) (29,317,452) (9,500,048)
- ------------------------------------------------------------------------------------------------------------------------------
Total from distributions (36,350,936) (12,575,883)
- ------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST (Note 5):
CLASS A
Net proceeds from sale of shares 8,811,457 156,349,445
Net asset value of shares issued to
shareholders from reinvestment
of distributions 36,350,930 12,574,806
Cost of shares repurchased (260,612,272) (188,099,086)
- ------------------------------------------------------------------------------------------------------------------------------
Total Class A (215,449,885) (19,174,835)
- ------------------------------------------------------------------------------------------------------------------------------
CLASS B*
Net proceeds from sale of shares 916,036 --
Net asset value of shares issued to
shareholders from reinvestment
of distributions -- --
Cost of shares repurchased (137,286) --
- ------------------------------------------------------------------------------------------------------------------------------
Total Class B 778,750 --
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM TRANSACTIONS
IN SHARES OF BENEFICIAL INTEREST (214,671,135) (19,174,835)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS (225,993,311) (45,397,125)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 410,349,627 455,746,752
- ------------------------------------------------------------------------------------------------------------------------------
End of period* $ 184,356,316 $ 410,349,627
- ------------------------------------------------------------------------------------------------------------------------------
*Including undistributed
(overdistributed) net
investment income $ -- $ 2,111,319
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CITISELECT FOLIO 500
GROWTH PLUS
- ------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR
ENDED ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $ 690,511 $ 1,443,836
Net realized gain (loss) 3,218,138 5,206,249
Net change in unrealized appreciation
(depreciation) of investments 9,229,350 (19,385,626)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 13,137,999 (12,735,541)
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS FROM:
Net income (Class A) (1,880,597) (1,425,110)
(Class B) -- --
Net realized gain on investments (Class A) (7,715,623) (2,644,180)
- ------------------------------------------------------------------------------------------------------------------------------
Total from distributions (9,596,220) (4,069,290)
- ------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST (Note 5):
CLASS A
Net proceeds from sale of shares 4,457,544 69,424,820
Net asset value of shares issued to
shareholders from reinvestment
of distributions 9,596,217 4,068,438
Cost of shares repurchased (105,357,073) (95,971,232)
- ------------------------------------------------------------------------------------------------------------------------------
Total Class A (91,303,312) (22,477,974)
- ------------------------------------------------------------------------------------------------------------------------------
CLASS B*
Net proceeds from sale of shares 358,761 --
Net asset value of shares issued to
shareholders from reinvestment
of distributions -- --
Cost of shares repurchased (55,004) --
- ------------------------------------------------------------------------------------------------------------------------------
Total Class B 303,757 --
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM TRANSACTIONS
IN SHARES OF BENEFICIAL INTEREST (90,999,555) (22,477,974)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS (87,457,776) (39,282,805)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 163,540,368 202,823,173
- ------------------------------------------------------------------------------------------------------------------------------
End of period* $ 76,082,592 $ 163,540,368
- ------------------------------------------------------------------------------------------------------------------------------
*Including undistributed
(overdistributed) net
investment income $ 13,228 $ 193,366
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE>
CITISELECT PORTFOLIOS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CITISELECT FOLIO 100 INCOME CITISELECT FOLIO 200 CONSERVATIVE
CLASS A CLASS A
- ------------------------------------------------------------------------------------------------------------------------------------
TEN MONTHS JUNE 17, 1996+
MAY 3, 1999+ YEAR YEAR ENDED TO
TO ENDED ENDED OCTOBER 31, 1997 DECEMBER 31,
OCTOBER 31, 1999 OCTOBER 31, 1999 OCTOBER 31, 1998 (Note 1F) 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $10.00 $11.28 $11.33 $10.50 $10.00
- ------------------------------------------------------------------------------------------------------------------------------------
Income From
Operations:
Net investment income 0.242+++ 0.333+++ 0.240 0.138 0.128
Net realized and unrealized
gain (loss) on investments (0.345) (0.091) 0.068++ 0.722 0.506
- ------------------------------------------------------------------------------------------------------------------------------------
Total from operations (0.103) 0.242 0.308 0.860 0.634
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (0.237) (0.574) (0.172) (0.007) (0.112)
Net realized gain
on investments -- (0.348) (0.186) (0.023) (0.022)
In excess of net income -- -- -- -- --
In excess of realized gains
on investments -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total from distributions (0.237) (0.922) (0.358) (0.030) (0.134)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
end of period $9.66 $10.60 $11.28 $11.33 $10.50
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $322 $95,853 $206,313 $166,203 $102,775
Ratio of expenses to
average net assets (A) 1.25%* 1.50% 1.50% 1.50%* 1.50%*
Ratio of net investment
income to average
net assets 5.42%* 3.04% 2.70% 2.88%* 2.84%*
Total return (1.03)%** 2.13% 2.84% 8.21%** 6.38%**
Note: If Agents of the Funds and Agents of the respective Portfolios had not
voluntarily agreed to waive a portion of their fees, and the
Sub-administrator had not assumed expenses for the periods indicated, the
net investment income per share and the ratios would have been as follows:
Net investment income
per share $(1.434)++ $0.333+++ $0.238 $0.126 $0.076
RATIOS:
Expenses to average
net assets (A) 37.47%* 1.50% 1.52% 1.75%* 2.66%*
Net investment income to
average net assets (30.80)%* 3.04% 2.68% 2.63%* 1.68%*
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CITISELECT FOLIO 300 BALANCED
CLASS A
- ------------------------------------------------------------------------------------------------------------------------------------
TEN MONTHS JUNE 17, 1996+
YEAR YEAR ENDED TO
ENDED ENDED OCTOBER 31, 1997 DECEMBER 31,
OCTOBER 31, 1999 OCTOBER 31, 1998 (Note 1F) 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $11.48 $11.71 $10.66 $10.00
- ------------------------------------------------------------------------------------------------------------------------------------
Income From
Operations:
Net investment income 0.246+++ 0.187 0.101 0.088
Net realized and unrealized
gain (loss) on investments 0.258 (0.036) 0.974 0.671
- ------------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.504 0.151 1.075 0.759
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (0.437) (0.138) (0.002) (0.075)
Net realized gain
on investments (0.707) (0.243) (0.023) (0.024)
In excess of net income -- -- -- --
In excess of realized gains
on investments -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total from distributions (1.144) (0.381) (0.025) (0.099)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
end of period $10.84 $11.48 $11.71 $10.66
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $163,635 $340,455 $325,193 $195,428
Ratio of expenses to
average net assets (A) 1.50% 1.50% 1.50%* 1.50%*
Ratio of net investment
income to average
net assets 2.23% 2.09% 2.30%* 2.38%*
Total return 4.52% 1.38% 10.09%** 7.61%**
Net investment income
per share $0.246+++ $0.187 $0.100 $0.060
RATIOS:
Expenses to average
net assets (A) 1.50% 1.50% 1.52%* 2.26%*
Net investment income to
average net assets 2.23% 2.09% 2.28%* 1.62%*
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(A)Includes allocated expenses for the periods indicated from the respective
portfolios.
* Annualized
** Not Annualized
+ Commencement of Operations
++ The amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments for the
period ended due to the timing of sales of Fund shares in relation to
fluctuating market value of the investments.
+++ The per share amounts were computed using a monthly average number of shares
outstanding during the period.
See notes to financial statements
18
<PAGE>
<TABLE>
<CAPTION>
CITISELECT FOLIO 400 GROWTH
CLASS A
- ------------------------------------------------------------------------------------------------------------------------------------
TEN MONTHS JUNE 17, 1996+
YEAR YEAR ENDED TO
ENDED ENDED OCTOBER 31, 1997 DECEMBER 31,
OCTOBER 31, 1999 OCTOBER 31, 1998 (Note 1F) 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $11.36 $12.01 $10.82 $10.00
- ------------------------------------------------------------------------------------------------------------------------------------
Income From
Operations:
Net investment income 0.143+++ 0.090 0.037 0.042
Net realized and unrealized
gain (loss) on investments 0.682 (0.417) 1.183 0.841
- ------------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.825 (0.327) 1.220 0.883
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (0.208) (0.079) (0.003) (0.029)
Net realized gain
on investments (0.867) (0.244) (0.027) (0.034)
In excess of net income -- -- -- --
In excess of realized gains
on investments -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total from distributions (1.075) (0.323) (0.030) (0.063)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
end of period $11.11 $11.36 $12.01 $10.82
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $183,559 $410,350 $455,747 $253,556
Ratio of expenses to
average net assets (A) 1.45% 1.47% 1.65%* 1.75%*
Ratio of net investment
income to average
net assets 1.30% 1.26% 1.39%* 1.39%*
Total return 7.63% (2.73)% 11.28%** 8.84%**
Net investment income
per share $0.143+++ $0.090 $0.037 $0.028
RATIOS:
Expenses to average
net assets (A) 1.45% 1.47% 1.65%* 2.20%*
Net investment income to
average net assets 1.30% 1.26% 1.39%* 0.93%*
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CITISELECT FOLIO 500 GROWTH PLUS
CLASS A
- ------------------------------------------------------------------------------------------------------------------------------------
TEN MONTHS SEPTEMBER 3, 1996+
YEAR YEAR ENDED TO
ENDED ENDED OCTOBER 31, 1997 DECEMBER 31,
OCTOBER 31, 1999 OCTOBER 31, 1998 (Note 1F) 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $11.11 $12.08 $10.69 $10.00
- ------------------------------------------------------------------------------------------------------------------------------------
Income From
Operations:
Net investment income 0.068+++ 0.053 0.044 0.019
Net realized and unrealized
gain (loss) on investments 1.086 (0.786) 1.346 0.701
- ------------------------------------------------------------------------------------------------------------------------------------
Total from operations 1.154 (0.733) 1.390 0.720
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (0.136) (0.083) -- (0.019)
Net realized gain
on investments (0.558) (0.154) -- --
In excess of net income -- -- -- (0.001)
In excess of realized gains
on investments -- -- -- (0.010)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from distributions (0.694) (0.237) -- (0.030)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
end of period $11.57 $11.11 $12.08 $10.69
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $75,768 $163,540 $202,823 $85,072
Ratio of expenses to
average net assets (A) 1.45% 1.48% 1.72%* 1.75%*
Ratio of net investment
income to average
net assets 0.60% 0.72% 0.88%* 1.09%*
Total return 10.80% (6.14)% 13.00%** 7.20%**
Net investment income
per share $0.062+++ $0.053 $0.040 $0.001
RATIOS:
Expenses to average
net assets (A) 1.51% 1.48% 1.80%* 2.80%*
Net investment income to
average net assets 0.54% 0.72% 0.80%* 0.04%*
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
CITISELECT PORTFOLIOS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CITISELECT FOLIO 100 CITISELECT FOLIO 200 CITISELECT FOLIO 300
INCOME CONSERVATIVE BALANCED
CLASS B CLASS B CLASS B
- --------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
MAY 3, 1999 JANUARY 4, 1999 JANUARY 4, 1999
(COMMENCEMENT (COMMENCEMENT (COMMENCEMENT
OF OPERATIONS) OF OPERATIONS) OF OPERATIONS)
TO OCTOBER 31, 1999 TO OCTOBER 31, 1999 TO OCTOBER 31, 1999
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $10.00 $11.03 $11.07
- --------------------------------------------------------------------------------------------------------------------------
Income From
Operations:
Net investment income 0.218+++ 0.292+++ 0.201+++
Net realized and unrealized
gain (loss) on investments (0.333) (0.526) (0.310)
- --------------------------------------------------------------------------------------------------------------------------
Total from operations (0.115) (0.234) (0.109)
- --------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (0.225) (0.206) (0.131)
Net realized gain
on investments -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total from distributions (0.225) (0.206) (0.131)
- --------------------------------------------------------------------------------------------------------------------------
Net Asset Value
end of period $9.66 $10.59 $10.83
- --------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net assets, end of period
(000's omitted) $197 $859 $933
Ratio of expenses to
average net assets (A) 1.50%* 1.75%* 1.75%*
Ratio of net investment
income to average
net assets 5.17%* 2.79%* 1.84%*
Total return (1.16)%** (2.13)%** (0.99)%**
Note: If agents of the Funds and the Agents of Asset Allocation Portfolios had
not voluntarily agreed to waive a portion of their fees, and the
Sub-administrator had not assumed expenses for the periods indicated, the net
investment income per share and the ratios would have been as follows:
Net investment income
per share $(1.459)+++ $0.292+++ $0.201+++
Ratios:
Expenses to average
net assets (A) 37.72%* 1.75%* 1.75%*
Net investment income to
average net assets (31.05)%* 2.79%* 1.84%*
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
(A) Includes allocated expenses for the periods indicated from the respective
portfolios.
* Annualized
** Not Annualized
+++ The per share amounts were computed using a monthly average number of shares
outstanding during the period.
See notes to financial statements
20
<PAGE>
<TABLE>
<CAPTION>
CITISELECT FOLIO 400 CITISELECT FOLIO 500
GROWTH GROWTH PLUS
CLASS B CLASS B
- ----------------------------------------------------------------------------------------------------------
FOR THE PERIOD FOR THE PERIOD
MAY 3, 1999 JANUARY 4, 1999
(COMMENCEMENT (COMMENCEMENT
OF OPERATIONS) OF OPERATIONS)
TO OCTOBER 31, 1999 TO OCTOBER 31, 1999
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $11.05 $11.28
- ----------------------------------------------------------------------------------------------------------
Income From
Operations:
Net investment income 0.098+++ 0.027+++
Net realized and unrealized
gain (loss) on investments (0.088) 0.223
- ----------------------------------------------------------------------------------------------------------
Total from operations 0.010 0.250
- ----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income -- --
Net realized gain
on investments -- --
- ----------------------------------------------------------------------------------------------------------
Total from distributions -- --
- ----------------------------------------------------------------------------------------------------------
Net Asset Value
end of period $11.06 $11.53
- ----------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $797 $314
Ratio of expenses to
average net assets (A) 1.95%* 1.95%*
Ratio of net investment
income to average
net assets 0.80%* 0.10%*
Total return 0.09%** 2.22%**
Net investment income
per share $0.098+++ $0.021+++
Ratios:
Expenses to average
net assets (A) 1.95%* 2.01%*
Net investment income to
average net assets 0.80%* 0.04%*
- ----------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
CITISELECT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies CitiSelect Folio 100 Income, CitiSelect Folio
200 Conservative, CitiSelect Folio 300 Balanced, CitiSelect Folio 400 Growth and
CitiSelect Folio 500 Growth Plus (individually, the "Fund", or collectively, the
"Funds") are each a separate series of CitiFunds Trust I (the "Trust"), a
Massachusetts business trust. The Trust is registered under the Investment
Company Act of 1940, as amended, as an open-end, management investment company.
CitiSelect Folio 100 Income, CitiSelect Folio 200 Conservative, CitiSelect Folio
300 Balanced, CitiSelect Folio 400 Growth and CitiSelect Folio 500 Growth Plus
each invest all of their investable assets in some or all of the following:
Large Cap Growth Portfolio, Large Cap Value Portfolio, Small Cap Growth
Portfolio, Small Cap Value Portfolio, International Portfolio, U.S. Fixed Income
Portfolio, Foreign Bond Portfolio, and High Yield Bond Portfolio, (the
"Portfolios"). All portfolios are registered under the Investment Company Act of
1940, as amended, as open-end, diversified management investment companies and
have multiple investors. These Portfolios are organized as trusts under the laws
of the state of New York and are treated as partnerships for U.S. tax purposes.
The Declarations of Trust permit the Trustees to issue beneficial interests in
the respective Portfolios. The financial statements of the Portfolios, including
the portfolio of investments (which are not part of the Funds' financial
statements), may be obtained without charge, and further inquiries about the
Portfolios may be made, by calling 1-800-625-4554.
Citibank, N.A. ("Citibank") is the Investment Manager of each of the
Portfolios and has hired Subadvisers for certain Portfolios. CFBDS, Inc.
("CFBDS") acts as each Fund's Sub-Administrator and Distributor.
The Funds offer Class A and Class B shares. The Funds commenced their public
offering of Class B shares on January 4, 1999 (except for CitiSelect 100
Income--on May 3, 1999). Class A shares have a front-end, or initial, sales
charge effective January 4, 1999. This sales charge may be reduced or eliminated
in certain circumstances. Class B shares have no front-end sales charges, pay a
higher ongoing distribution fee than Class A shares and are subject to a
deferred sales charge if sold within five years of purchase. Class B shares
automatically convert into Class A shares after eight years. Expenses of the
Funds are borne pro-rata by the holders of each class of shares, except that
each class bears expenses unique to that class (including the Rule 12b-1 service
and distribution fees applicable to such class), and votes as a class only with
respect to its own Rule 12b-1 plan. Shares of each class would receive their
pro-rata share of the assets of the Fund if the Funds were liquidated. Class A
shares have lower expenses than Class B shares. For the period ended October 31,
1999, CFBDS, acting as the distributor received $6,374, $43,746, $59,311,
$77,203, and $42,722 from sales charges of Class A shares and $7, $3,762, $101,
$7, and $7 in deferred sales charges from redemptions of Class B shares of
CitiSelect 100, CitiSelect 200, CitiSelect 300, CitiSelect 400 and CitiSelect
500, respectively.
CitiSelect Folio 100 Income seeks to achieve as high a level of current
income as is consistent with a dominant emphasis on fixed income securities and
a small allocation to equity securities by investing all of its investable
assets in the Portfolios.
CitiSelect Folio 200 Conservative seeks to achieve its investment objective
of as high a total return over time as is consistent with a primary emphasis on
a combination of fixed income and money market securities, and a secondary
emphasis on equity securities by investing all of its investable assets in the
Portfolios.
CitiSelect Folio 300 Balanced seeks to achieve its investment objective of
as high a total return over time as is consistent with a balanced emphasis on
equity and fixed income securities by investing all of its investable assets in
the Portfolios.
CitiSelect Folio 400 Growth seeks to achieve its investment objective of as
high a total return over time as is consistent with a primary emphasis on equity
securities, and a secondary emphasis on fixed income securities by investing all
of its investable assets in the Portfolios.
CitiSelect Folio 500 Growth Plus seeks to achieve its investment objective
of as high a total return over time as is consistent with a dominant emphasis on
equity securities and a small allocation to fixed income securities by investing
all of its investable assets in the Portfolios.
The preparation of financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
The significant accounting policies consistently followed by the Funds are
as follows:
A. Investment Valuation Each Fund's net asset value will fluctuate based on
changes in the values of the underlying Portfolios' securities. The values of
each Fund's beneficial interest in its Portfolios are determined by multiplying
the net asset value of a Portfolio by a Fund's percentage of the aggregate
beneficial interest in that Portfolio for that day. This proportionate
percentage of interest in a Portfolio, including the effects of the prior day's
contributions and withdrawals, is then applied to determine the value of each
Fund's interest in a Portfolio as of the close of regular trading on the New
York Stock Exchange on each business day.
Portfolios' investments are valued primarily on the basis of market
quotations, or if market quotations are not available, by a method believed to
accurately reflect fair value. An equity security that is primarily traded on a
U.S. or foreign exchange (including securities traded through the NASDAQ
national market system) is valued at the last sale price on that exchange or, if
there were no sales during the day (or for unlisted securities not reported on
the NASDAQ system), at the quoted bid price. Securities quoted in foreign
currencies are translated into U.S. dollars at the current exchange rate. Bonds,
foreign bonds and other fixed income securities (other than short term
securities maturing in sixty days or less) are valued on the basis of valuations
furnished by pricing services authorized by the Board of
22
<PAGE>
CITISELECT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
Trustees, which utilize market quotations and transactions, quotations from
dealers and various relationships among securities in determining value.
Short-term obligations (maturing in 60 days or less) are valued at amortized
cost. Other assets and securities for which no quotations are readily available
are valued at fair value as determined in good faith by or under guidelines
established by the Trustees.
B. Investment Income Each Fund earns income, net of Portfolio expenses,
daily based on its investment in each Portfolio. Additionally, each Fund
reclaims its pro rata portion of recoverable foreign taxes.
C. Federal Taxes The Funds' policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its taxable income, including any net realized
gain on investment transactions. Accordingly, no provision for federal income or
excise tax is necessary. At October 31, 1999, CitiSelect Folio 100, for federal
income tax purposes, had a capital loss carryover of $2,623 which will expire on
October 31, 2007.
D. Expenses Each Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and CFBDS. Expenses incurred by the Trust with
respect to any two or more funds or series are allocated in proportion to the
average net assets of each fund, except when allocations of direct expenses to
each fund can otherwise be made fairly. Expenses directly attributable to a fund
are charged to that fund. A fund's share of the Portfolio's expenses are charged
against and reduce the amount of the Fund's investment in that Portfolio.
E. Distributions Distributions to shareholders are recorded on the
ex-dividend date. The amount and character of income and net realized gains to
be distributed are determined in accordance with income tax rules and
regulations, which may differ from generally accepted accounting principles.
These differences are attributable to permanent book and tax accounting
differences. Reclassifications are made to each Fund's capital accounts to
reflect income and net realized gains available for distribution (or available
capital loss carryovers) under income tax rules and regulations. For the year
ended October 31, 1999 CitiSelect Folio 200, reclassified $151,987 from
undistributed net investment income to accumulated net realized gains,
CitiSelect Folio 300, CitiSelect Folio 400 and CitiSelect Folio 500 reclassified
$441,001, $1,170, 092 and $1,009,948 from accumulated realized gains to
undistributed net investment income, respectively.
F. Change in Fiscal Year End During fiscal year 1997, the Funds changed
their fiscal year ends from December 31 to October 31.
G. Other All the realized and unrealized gain and loss of the Portfolios are
allocated pro rata, based on respective ownership interests, among the Funds and
the other investors in each Portfolio at the time of such determination.
2. Management Fees Citibank is responsible for overall management of each Fund's
business affairs, and has a separate Management Agreement with each of the
Funds. Citibank also provides certain administrative services to the Funds.
These administrative services include providing general office facilities and
supervising the overall administration of the Funds. CFBDS acts as
Sub-Administrator and performs certain duties and receives compensation from
Citibank from time to time as agreed to by Citibank and CFBDS. Citibank is a
wholly-owned subsidiary of Citicorp, which in turn, is a wholly-owned subsidiary
of Citigroup Inc. Citigroup Inc. was formed as a result of the merger of
Citicorp and Travelers Group, Inc. which was completed on October 8, 1998.
For the services of Citibank under the Management Agreements which covers
the Funds and respective Portfolios and the services of the Subadvisers, the
Funds and respective Portfolios pay an aggregate fee, which is accrued daily and
paid monthly, of 0.75% (0.50% for CitiSelect 100 Income) of the average daily
net assets on an annualized basis for the current fiscal year. Citibank may
voluntarily agree to waive a portion of its management fee from any Fund.
The management fees paid to Citibank for CitiSelect Folio 100 Income,
CitiSelect Folio 200 Conservative, CitiSelect Folio 300 Balanced, CitiSelect
Folio 400 Growth and CitiSelect Folio 500 Growth Plus for the period ended
October 31, 1999 amounted to $2,124, (of which $2,048 was voluntarily waived for
the period May 3, 1999 to October 31, 1999), $337,386, $396,763, $258,013, and
$52,167, respectively.
The Trust pays no compensation directly to any Trustee or any other officer
who is affiliated with the Sub-Administrator, all of whom receive remuneration
for their services to the Trust from the Sub-Administrator or its affiliates.
3. Service Fees The Funds maintain separate Service Plans for Class A and Class
B shares, which have been adopted in accordance with Rule 12b-1 under the
Investment Company Act of 1940, as amended. Under the Class A Service Plan, the
Funds may pay monthly fees at an annual rate not to exceed 0.50% of the average
daily net assets represented by Class A shares of the Funds. TheService fees for
Class A shares of CitiSelect Folio 100 Income, CitiSelect Folio 200
Conservative, CitiSelectFolio 300 Balanced, CitiSelect Folio 400 Growth and
CitiSelect Folio 500 Growth Plus amounted to $471, $765,125, $1,265,907,
$1,442,983, and $571,518, respectively, for the period ended October 31, 1999.
Under the Class B Service Plan, the Funds may pay a combined monthly
distribution and service fee at an annual rate not to exceed 0.75% of the
average daily net assets represented by Class B shares of CitiSelect Folio 100
Income, CitiSelect Folio 200 Conservative and CitiSelect Folio 300 Balanced and
1.00% of the average daily net assets represented by Class B shares of
CitiSelect Folio 400 Growth and CitiSelect Folio 500 Growth Plus. TheService
fees for Class B shares of CitiSelect Folio 100 Income, CitiSelect Folio 200
Conservative, CitiSelectFolio 300 Balanced, CitiSelect Folio 400 Growth and
CitiSelect Folio 500 Growth Plus amounted to $803, $4,113, $3,457, $5,081, and
$1,419, respectively, for the period ended October 31, 1999. These fees may be
used to make payments to the Distributor for distribution services and to others
as compensation for the sale of shares of the applicable class of the Funds, for
advertising, marketing or other promotional activity, and for preparation,
printing and distribution of prospectuses, statements of additional information
and reports for recipients other than regulators and existing shareholders. The
Funds may make payments to the Distributor and others for providing personal
service or the maintenance of shareholder accounts.
23
<PAGE>
CITISELECT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
4. Investment Transactions Contributions and withdrawals in the Funds'
investment in the Portfolios for the year ended October 31, 1999 were as
follows:
CONTRIBUTIONS WITHDRAWALS
- --------------------------------------------------------------------------------
CitiSelect Folio 100 Income $ 644,349 $ 161,478
CitiSelect Folio 200 Conservative $ 55,565,715 $170,655,347
CitiSelect Folio 300 Balanced $ 49,972,868 $241,142,249
CitiSelect Folio 400 Growth $ 64,919,518 $317,388,012
CitiSelect Folio 500 Growth Plus $ 31,518,938 $132,506,736
5. Shares of Beneficial Interest The Declaration of Trust permits the Trustees
to issue an unlimited number of full and fractional shares of beneficial
interest (without par value). Transactions in shares of beneficial interest were
as follows:
<TABLE>
<CAPTION>
CITISELECT FOLIO 100 INCOME
- ------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
CLASS A
Shares sold 35,027 --
Shares reinvested 480 --
Shares repurchased (2,229) --
- ------------------------------------------------------------------------------------------------------
Net increase 33,278 --
- ------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------
CLASS B
Shares sold 30,273 --
Shares reinvested 395 --
Shares repurchased (10,249) --
- ------------------------------------------------------------------------------------------------------
Net increase 20,419 --
- ------------------------------------------------------------------------------------------------------
CITISELECT FOLIO 200 CONSERVATIVE
- ------------------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------
CLASS A
Shares sold 1,228,419 13,850,585
Shares reinvested 1,335,448 529,249
Shares repurchased (11,810,906) (10,763,390)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) (9,247,039) 3,616,444
- ------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------
CLASS B
Shares sold 90,155 --
Shares reinvested 1,301 --
Shares repurchased (10,356) --
- ------------------------------------------------------------------------------------------------------
Net increase 81,100 --
- ------------------------------------------------------------------------------------------------------
CITISELECT FOLIO 300 BALANCED
- ------------------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------
CLASS A
Shares sold 905,284 13,293,751
Shares reinvested 2,859,378 1,002,332
Shares repurchased (18,321,523) (12,417,139)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) (14,556,861) 1,878,944
- ------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------
CLASS B
Shares sold 87,722 --
Shares reinvested 809 --
Shares repurchased (2,372) --
- ------------------------------------------------------------------------------------------------------
Net increase 86,159 --
- ------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE>
<TABLE>
<CAPTION>
CITISELECT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
CITISELECT FOLIO 400 GROWTH
- ------------------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
CLASS A
Shares sold 786,829 13,008,116
Shares reinvested 3,400,461 1,103,053
Shares Repurchased (23,777,463) (15,946,902)
Net decrease (19,590,173) (1,835,733)
- ------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------
CLASS B
Shares sold 84,676 --
Shares reinvested -- --
Shares repurchased (12,573) --
- ------------------------------------------------------------------------------------------------------
Net increase 72,103 --
- ------------------------------------------------------------------------------------------------------
CITISELECT FOLIO 500 GROWTH PLUS
- ------------------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------
CLASS A
Shares sold 393,517 5,673,025
Shares reinvested 884,444 353,470
Shares repurchased (9,445,712) (8,094,784)
- ------------------------------------------------------------------------------------------------------
Net decrease (8,167,751) (2,068,289)
- ------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
- ------------------------------------------------------------------------------------------------------
CLASS B
Shares sold 32,179 --
Shares reinvested -- --
Shares repurchased (4,915) --
- ------------------------------------------------------------------------------------------------------
Net increase 27,264 --
- ------------------------------------------------------------------------------------------------------
</TABLE>
6. Pertinent details as to various amounts allocated from each Portfolio to
CitiSelect Folio 100 Income for the period from May 3, 1999 (Commencement of
Operations) to October 31, 1999 are noted below. With respect to the Portfolios,
investment transactions are accounted for on the trade date basis and realized
gains and losses are determined on the identified cost basis.
<TABLE>
<CAPTION>
PORTFOLIO
INTEREST DIVIDENDS EXPENSES
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Large Cap Growth Portfolio $ 10 $ 59 $ (63)
Large Cap Value Portfolio 7 174 (71)
High Yield Portfolio 3,681 -- (272)
U.S. Fixed Income Portfolio 9,009 154 (540)
- -----------------------------------------------------------------------------------------------------------------------------
Total $12,707 $387 $(946)
- -----------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERCENTAGE
REALIZED UNREALIZED OF OWNERSHIP
GAIN (LOSS) GAIN (LOSS) OF THE PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------------
Large Cap Growth Portfolio $ 1,797 $ 3 --%
Large Cap Value Portfolio (38) (1,622) --%
High Yield Portfolio (654) (6,345) 0.1%
U.S. Fixed Income Portfolio (6,090) (703) 0.1%
- -----------------------------------------------------------------------------------------------------------------------------
Total $(4,985) $(8,667)
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
CITISELECT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
Pertinent details as to various amounts allocated from each Portfolio to
Citiselect Folio 200 Conservative for the year ended october 31, 1999 are noted
below. With respect to the Portfolios, investment transactions are accounted for
on the trade date basis and realized gains and losses are determined on the
identified cost basis.
<TABLE>
<CAPTION>
PORTFOLIO
INTEREST DIVIDENDS EXPENSES
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Large Cap Growth Portfolio $ 14,858 $ 67,101 $ (76,599)
Large Cap Value Portfolio 7,225 236,359 (88,627)
Small Cap Growth Portfolio 10,440 21,175 (87,109)
Small Cap Value Portfolio 8,570 100,901 (81,201)
International Portfolio 2,496 186,433 (79,131)
Intermediate Income Portfolio 1,413,698 31,264 (137,605)
Foreign Bond Portfolio 1,226,385 -- (185,629)
Short-Term Portfolio 902,460 -- (81,973)
High Yield Portfolio 1,124,501 -- (87,103)
U.S. Fixed Income Portfolio 1,593,211 25,427 (98,140)
- ------------------------------------------------------------------------------------------------------------------------------------
Total $ 6,303,844 $ 668,660 $(1,003,117)
- ------------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERCENTAGE
REALIZED UNREALIZED OF OWNERSHIP
GAIN (LOSS) GAIN (LOSS) OF THE PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
Large Cap Growth Portfolio $2,013,008 $ 1,063,510 0.9%
Large Cap Value Portfolio (705,426) 1,277,618 2.8%
Small Cap Growth Portfolio 1,110,652 1,085,935 5.1%
Small Cap Value Portfolio (2,450,041) 2,530,048 6.2%
International Portfolio 880,558 583,709 4.8%
Intermediate Income Portfolio 758,207 (1,698,229) --
Foreign Bond Portfolio 765,330 (2,809,650) 19.5%
Short-Term Portfolio 7,461 (46,246) --
High Yield Portfolio (139,140) (1,995,431) 24.4%
U.S. Fixed Income Portfolio (882,922) (1,222,711) 13.1%
Foreign Tax Reclaim (222) (3,879) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total $1,357,465 $ (1,235,326)
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pertinent details as to various amounts allocated from each Portfolio to
CitiSelect Folio 300 Balanced for the year ended October 31, 1999 are noted
below. With respect to the Portfolios, investment transactions are accounted for
on the trade date basis and realized gains and losses are determined on the
identified cost basis.
<TABLE>
<CAPTION>
PORTFOLIO
INTEREST DIVIDENDS EXPENSES
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Large Cap Growth Portfolio $ 32,816 $ 148,695 $ (169,585)
Large Cap Value Portfolio 16,536 535,724 (199,946)
Small Cap Growth Portfolio 27,947 53,795 (219,815)
Small Cap Value Portfolio 22,017 256,746 (205,276)
International Portfolio 8,175 616,594 (256,595)
Intermediate Income Portfolio 2,345,765 51,500 (228,427)
Foreign Bond Portfolio 2,064,819 -- (313,691)
Short-Term Portfolio 249,654 -- (22,223)
High Yield Portfolio 1,284,110 -- (98,282)
U.S. Fixed Income Portfolio 1,680,289 26,134 (103,548)
- ------------------------------------------------------------------------------------------------------------------------------------
Total $7,732,128 $1,689,188 $(1,817,388)
- ------------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERCENTAGE
REALIZED UNREALIZED OF OWNERSHIP
GAIN (LOSS) GAIN (LOSS) OF THE PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
Large Cap Growth Portfolio $4,494,611 $2,357,690 2.1%
Large Cap Value Portfolio (1,999,702) 2,997,625 6.2%
Small Cap Growth Portfolio 2,912,404 3,105,299 17.4%
Small Cap Value Portfolio (5,899,993) 5,487,405 20.8%
International Portfolio 2,897,545 1,687,890 16.5%
Intermediate Income Portfolio 1,258,678 (2,828,394) --
Foreign Bond Portfolio 1,510,709 (4,839,306) 31.8%
Short-Term Portfolio 1,005 (12,121) --
High Yield Portfolio (175,656) (2,245,053) 31.1%
U.S. Fixed Income Portfolio (915,673) (1,363,347) 13.8%
Foreign Tax Reclaim (595) (13,223) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total $4,083,333 $4,334,465
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
CITISELECT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
Pertinent details as to various amounts allocated from each Portfolio to
CitiSelect Folio 400 Growth for the year ended October 31, 1999 are noted below.
With respect to the Portfolios, investment transactions are accounted for on the
trade date basis and realized gains and losses are determined on the identified
cost basis.
<TABLE>
<CAPTION>
PORTFOLIO
INTEREST DIVIDENDS EXPENSES
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Large Cap Growth Portfolio $ 39,430 $ 180,781 $ (205,328)
Large Cap Value Portfolio 20,728 659,434 (246,448)
Small Cap Growth Portfolio 44,793 86,423 (354,501)
Small Cap Value Portfolio 36,167 429,926 (343,789)
International Portfolio 18,299 1,388,076 (578,995)
Intermediate Income Portfolio 564,252 12,429 (55,032)
Foreign Bond Portfolio 2,306,432 -- (351,036)
Short-Term Portfolio 274,022 -- (24,339)
High Yield Portfolio 1,042,543 -- (80,772)
U.S. Fixed Income Portfolio 730,637 11,625 (45,020)
- ------------------------------------------------------------------------------------------------------------------------------------
Total $5,077,303 $2,768,694 $(2,285,260)
- ------------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERCENTAGE
REALIZED UNREALIZED OF OWNERSHIP
GAIN (LOSS) GAIN (LOSS) OF THE PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
Large Cap Growth Portfolio $5,480,485 $ 2,906,535 2.9%
Large Cap Value Portfolio (2,343,308) 3,045,589 8.9%
Small Cap Growth Portfolio 4,531,263 5,139,829 24.3%
Small Cap Value Portfolio (9,920,527) 9,342,847 28.6%
International Portfolio 6,467,106 3,606,610 36.2%
Intermediate Income Portfolio 303,457 (682,256) --
Foreign Bond Portfolio 1,998,789 (5,587,743) 33.6%
Short-Term Portfolio 1,113 (13,260) --
High Yield Portfolio (132,088) (1,852,105) 23.3%
U.S. Fixed Income Portfolio (406,622) (573,546) 6.1%
Foreign Tax Reclaim (2,409) (33,072) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total $5,977,259 $15,299,428
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pertinent details as to various amounts allocated from each Portfolio to
CitiSelect Folio 500 Growth Plus for the year ended October 31, 1999 are noted
below. With respect to the Portfolios, investment transactions are accounted for
on the trade date basis and realized gains and losses are determined on the
identified cost basis.
<TABLE>
<CAPTION>
PORTFOLIO
INTEREST DIVIDENDS EXPENSES
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Large Cap Growth Portfolio $ 15,928 $ 74,527 $ (84,221)
Large Cap Value Portfolio 9,026 281,461 (105,605)
Small Cap Growth Portfolio 21,374 40,927 (166,659)
Small Cap Value Portfolio 17,296 205,522 (164,091)
International Portfolio 11,040 834,992 (348,075)
Intermediate Income Portfolio -- -- --
Foreign Bond Portfolio 336,310 -- (52,086)
Short-Term Portfolio 100,956 -- (8,999)
High Yield Portfolio 212,682 -- (16,475)
U.S. Fixed Income Portfolio 137,398 2,203 (8,452)
- ------------------------------------------------------------------------------------------------------------------------------------
Total $862,010 $1,439,632 $(954,663)
- ------------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERCENTAGE
REALIZED UNREALIZED OF OWNERSHIP
GAIN (LOSS) GAIN (LOSS) OF THE PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
Large Cap Growth Portfolio $2,278,734 $1,035,406 1.4%
Large Cap Value Portfolio (942,214) 973,039 4.5%
Small Cap Growth Portfolio 2,112,805 2,557,808 12.1%
Small Cap Value Portfolio (4,627,365) 4,209,631 14.1%
International Portfolio 3,874,992 2,010,329 22.2%
Intermediate Income Portfolio -- -- --
Foreign Bond Portfolio 625,024 (1,042,717) --
Short-Term Portfolio 403 (4,524) --
High Yield Portfolio (26,888) (375,876) 4.7%
U.S. FIXED INCOME PORTFOLIO (77,051) (111,741) 1.1%
Foreign Tax Reclaim (302) (22,005) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total $3,218,138 $9,229,350
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
CITISELECT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
7. ASSUMPTION OF EXPENSES CFBDS, as Sub-Administrator has voluntarily agreed to
pay a portion of the unwaived expenses of the Fund for the year ended October
31, 1999, which amounted to $66,322 for CitiSelect Folio 500 Growth Plus and
CitiSelect Folio 100 Income for the period May 3, 1999 (Commencement of
Operations) to October 31, 1999, which amounted to $73,349.
28
<PAGE>
CITISELECT PORTFOLIOS
INDEPENDENT AUDITORS' REPORT
TO THE TRUSTEES OF CITIFUNDS TRUST I (THE "TRUST") AND
THE SHAREHOLDERS OF CITISELECT FOLIO 100 INCOME, CITISELECT FOLIO 200
CONSERVATIVE, CITISELECT FOLIO 300 BALANCED, CITISELECT FOLIO 400 GROWTH AND
CITISELECT FOLIO 500 GROWTH PLUS:
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
CitiSelect Folio 100 Income, CitiSelect Folio 200 Conservative, CitiSelect Folio
300 Balanced, CitiSelect Folio 400 Growth and CitiSelect Folio 500 Growth Plus
(the "Funds"), each a series of CitiFunds Trust I, at October 31, 1999, the
results of each of their operations, the changes in their net assets and their
financial highlights for the periods indicated, in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of investments owned at
October 31, 1999 by correspondence with the custodian, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 14, 1999
29
<PAGE>
TRUSTEES AND OFFICERS
C. Oscar Morong, Jr., Chairman
Philip W. Coolidge*, President
Riley C. Gilley
Diana R. Harrington
Susan B. Kerley
Heath B. McLendon**
E. Kirby Warren
William S. Woods, Jr.
SECRETARY
Linda T. Gibson*
TREASURER
John R. Elder*
**Affiliated Person of Sub-Administrator and Distributor
**Affiliated Person of Investment Manager
INVESTMENT MANAGER
Citibank, N.A.
153 East 53rd Street, New York, NY 10043
DISTRIBUTOR
CFBDS, Inc.
21 Milk Street, 5th floor
Boston, MA 02109
TRANSFER AGENT AND CUSTODIAN
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110
AUDITORS
PricewaterhouseCoopers LLP
160 Federal Street, Boston, MA 02110
LEGAL COUNSEL
Bingham Dana LLP
150 Federal Street, Boston, MA 02110
This report is prepared for the information of shareholders. It is authorized
for distribution to prospective investors only when preceded or accompanied by
an effective prospectus.
(C) 1999 Citicorp [Logo] Printed on recycled paper CSA/1099
<PAGE>
ANNUAL REPORT o OCTOBER 31, 1999
CITIFUNDS(SM)
Balanced Portfolio
GROWTH WITH INCOME
- --------------------------------------------------------------------------------
INVESTMENT PRODUCTS:
NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
Letter to Our Shareholders 1
- --------------------------------------------------------------------------------
Portfolio Environment and Outlook 2
- --------------------------------------------------------------------------------
Fund Facts 4
- --------------------------------------------------------------------------------
Portfolio Highlights 5
- --------------------------------------------------------------------------------
Fund Performance 6
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities 7
- --------------------------------------------------------------------------------
Statement of Operations 8
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets 9
- --------------------------------------------------------------------------------
Financial Highlights 10
- --------------------------------------------------------------------------------
Notes to Financial Statements 12
- --------------------------------------------------------------------------------
Independent Auditors' Report 17
- --------------------------------------------------------------------------------
<PAGE>
LETTER TO OUR SHAREHOLDERS
Dear CitiFunds Shareholders:
This annual report covers the 10-month period ended October 31, 1999 for
CitiFundsSM Balanced Portfolio. Inside, the CitiFunds' investment manager,
Citibank, N.A., discusses the market conditions it faced, the strategies it
employed and its outlook for the future. Please note that effective May 17,
1999, the equity portion of CitiFunds Balanced Portfolio is being managed by SSB
Citi Fund Management LLC.
CitiFunds Balanced Portfolio held a Special Meeting of Shareholders on July
30, 1999 where shareholders voted on a proposal to appoint SSB Citi Fund
Management LLC (formerly SSBC Fund Management Inc.) as portfolio subadviser of
the equity portion of the Fund. SSB Citi Fund Management LLC is a wholly-owned
subsidiary of Salomon Smith Barney Holdings, Inc., which in turn is a
wholly-owned subsidiary of Citigroup Inc.
Economic conditions during the reporting period were characterized by strong
growth both in the United States and overseas, leading to higher interest rates
during the reporting period. In this environment, equity investors focused
primarily on growth-oriented technology and internet stocks and, except for a
brief rally in the second quarter of 1999, stayed away from value-oriented
stocks. Fixed-income securities had a difficult time during the reporting period
largely due to economic conditions. Because bond prices generally decline when
interest rates rise, there was a predominantly negative impact overall on the
fixed-income market.
CitiFunds Balanced Portfolio held a Special Meeting of Shareholders on July
30, 1999 in which shareholders voted to transfer the assets of Balanced
Portfolio, an underlying investment company in which the Fund invests to Large
Cap Value Portfolio and U.S. Fixed Income Portfolio, investment companies with a
similiar investment objective. Shareholders were also asked to vote on certain
changes to the Fund's investment restrictions and governing documents, as well
as other matters, to permit these changes. Also considered were proposals to
approve a Management agreement and to approve selection of the Fund's
accountants. All proposals were approved by shareholders. A detail table
pertaining to the shareholder votes appears on page 4 on this report.
This report reviews the Fund's activities and performance during the
reporting period and provides a summary of the advisers' perspective on and
outlook for the U.S. equity and bond markets. Thank you for your continued
confidence and participation.
Sincerely,
/s/Philip W. Coolidge
- ----------------------
Philip W. Coolidge
President
November 15, 1999
1
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
DURING THE 10-MONTH REPORTING PERIOD ENDED OCTOBER 31, 1999, STOCKS AND
BONDS PROVIDED DISPARATE PERFORMANCE BOTH AMONG AND WITHIN THEIR INDIVIDUAL
MARKETS IN THIS STRONGER-THAN-EXPECTED ECONOMIC ENVIRONMENT. A broad look at the
reporting period shows that stocks generally advanced while bonds declined.
THE REPORTING PERIOD WAS NOT REWARDING FOR VALUE STOCKS, WHICH LAGGED THE
GROWTH SECTOR, A DIRECT BENEFICIARY OF CONTINUED SPECULATION IN INTERNET STOCKS.
(Value investing consists of identifying securities of companies that are
believed to be undervalued in the market but have good long term business
prospects. Growth investing consists of investing in companies with historically
strong and relatively predictable earnings growth rates.)
Because of the continued weaknesses of the overall stock market outside of
the technology sector, the differences in valuations between growth and value
stocks widened to historical proportions. In fact, at current price levels, the
Portfolio's management believes that many value-oriented stocks represent
attractive bargains. Many investors began to recognize these values during a
brief value-stock rally that took place in April and May 1999, but that rally
subsequently gave way to a continuation of investors' focus on a handful of
large, established growth stocks--primarily within the technology sector.
The Portfolio's management believes that the outlook for international
economies improved substantially during the reporting period. The Federal
Reserve Board (the "Fed") shifted its focus from containing last year's global
crisis to curbing inflationary pressures. The Fed recently reversed the three
reductions in short-term interest rates that it made last fall due to factors
including a strong recovery in manufacturing industries, unrestrained consumer
spending, and rising commodity prices. The Fed's actions removed the extra
liquidity it supplied last year when economic conditions seemed bleak and panic
swept global financial markets. The Portfolio's managers believe that these rate
increases should effectively lessen the risk of inflation going forward.
Recent economic data shows signs of a return to the "global Goldilocks
economy," meaning a global economy that is not too hot or too cold, but just
right. The managers expect that data about inflation and economic strength
should remain the dominant influence of market activity going forward. Although
the managers expect continued market volatility and anticipate stock returns to
be more in line with historical trends, their outlook for the stock market for
the remainder of 1999 remains positive.
In management's opinion, individual stock performance has recently shown a
bias toward stocks that can generate sustainable growth in non-interest rate
sensitive industries, and which have met earnings expectations. The Fund's
managers continue to see the market react negatively to companies that announce
earnings shortfalls. In most cases, the shares of such companies saw quick,
striking declines in value, reflecting what management believes to be a
considerably lower tolerance for risk among many investors.
2
<PAGE>
THE BOND MARKET EXPERIENCED HEIGHTENED LEVELS OF VOLATILITY, PARTICULARLY
DURING THE THIRD QUARTER OF 1999, IN REACTION TO INCREASING INFLATIONARY
PRESSURES. In the opinion of management, this higher volatility reflected
investor confusion over the direction and magnitude of changes in monetary
policy and their effects on interest rates and bond yields. While a dramatic
increase in the annual rate of inflation did not materialize during the
reporting period, investors were increasingly concerned by extremely low levels
of unemployment, robust consumer spending and a weakening U.S. dollar relative
to other major currencies.
DESPITE THESE MARKET CONDITIONS, CITIFUNDS BALANCED PORTFOLIO (CLASS A
SHARES) PROVIDED COMPETITIVE RETURNS OF 3.79% FOR THE 10-MONTH PERIOD ENDED
OCTOBER 31, 1999. In comparison, its Lipper Inc. balanced funds peer group
average posted a 10-month return of 3.83% for the same period. (Lipper is a
major fund-tracking organization.)
Within the stock portion of the Portfolio, there were competitive results
from investments in a number of industries and economic sectors. In addition,
the Portfolio generated positive results from its increased exposure to capital
goods and the addition of raw materials and energy companies as global economies
gained strength. The equity portion of the Portfolio increased its holdings of
financial services companies that management believes will benefit from
globalization, demographic changes and the explosive growth of the Internet.
The Portfolio's fixed-income segment, its sector allocations and average
duration (duration is a measure of a bond's sensitivity to changes in interest
rates) continued to be actively managed. During the reporting period, the
Portfolio's exposure to corporate bonds, mortgage-backed securities and
asset-backed securities was increased. Conversely, the fixed-income investment
team substantially reduced the Portfolio's holdings of underperforming U.S.
Treasury securities. At the same time, the Portfolio's average duration was
gradually reduced to the neutral range, enabling management to respond more
quickly to investment opportunities as they became available.
GOING FORWARD, THE FUND'S MANAGEMENT TEAM EXPECTS HIGHER MARKET VOLATILITY
IN THE EQUITY AND FIXED INCOME MARKETS TO CONTINUE THROUGH THE END OF 1999.
Management also believes that investor uncertainty regarding economic growth and
interest rates may be compounded by Y2K-related concerns as the year ends. And
while no guarantees can be made, management remains convinced that many
high-quality, higher yielding bonds represent value at current prices over the
long term.
3
<PAGE>
FUND FACTS
FUND OBJECTIVE
To provide high current income by investing in a broad range of securities, to
preserve capital and to provide growth potential with reduced risk.
DIVIDENDS CAPITAL GAINS
Paid quarterly, if any Distributed semi-annually, if any
INVESTMENT MANAGER PORTFOLIO SUBADVISER
U.S. Fixed Income Portfolio Large Cap Value Portfolio
Citibank, N.A. SSB Citi Fund Management LLC
COMMENCEMENT OF OPERATIONS BENCHMARKS
October 19, 1990 o Lipper Balanced Funds Average*
o Standard and Poor's Barra Value
NET ASSETS AS OF 10/31/99 Index**
Class A shares $215.5 million o Lehman Brothers Aggregate Bond
Class B shares $2.0 million Index***
* The Lipper Balanced Funds Average reflects the performance (excluding sales
charges) of mutual funds with similar objectives.
** The Standard and Poor's Barra Value Index is an index of U.S. common stocks
and is used as a gauge of general U.S. stock market performance. The S&P
Barra Value Index represents the value of stocks in the S&P500.
*** The Lehman Brothers Aggregate Bond Index is a broad measure of the
performance of taxable bonds in the U.S. market, with maturities of at least
one year.
The following is a detailed table pertaining to the shareholder vote by
proposals:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
---- ------- --------
<S> <C> <C> <C>
Proposal 1. Amend the Fund's Declaration of Trust. 8,744,833 359,071 643,534
Proposal 2. Amend fundamental policy to allow investments
in Investment Firms. 8,715,989 397,817 633,633
Proposal 3. To vote on a Management Agreement for the Fund. 8,730,404 351,913 665,122
Proposal 4. To authorize Trustees to change Sub-Advisors
without shareholder approval. 8,244,298 838,835 664,306
Proposal 5a. Vote on Amendments to policy's regarding
borrowing. 7,988,018 1,041,439 717,979
Proposal 5b. Vote on Amendments to policy's regarding loans. 7,897,005 1,090,238 760,195
Proposal 5c. Vote on Amendments to policy's regarding futures
contracts. 8,041,912 1,000,196 705,331
Proposal 6a. To adopt fundamental policies limiting
underwriting securities. 8,579,546 411,641 756,249
Proposal 6b. To adopt fundamental policies limiting real estate
transactions. 8,541,375 459,129 746,934
Proposal 6c. To adopt fundamental policies limiting
commodities transactions. 8,455,816 542,166 749,456
Proposal 6d. To adopt fundamental policies limiting the
issuance of senior securities. 8,535,168 461,179 751,091
Proposal 7. To vote on the selection of Price
WaterhouseCoopers LLP 8,869,468 281,314 596,655
</TABLE>
4
<PAGE>
PORTFOLIO HIGHLIGHTS
TOP FIVE SECURITIES (STOCKS)
LARGE CAP VALUE PORTFOLIO
COMPANY SECTOR % OF NET ASSETS
Chase Manhattan Corp. Finance 3.69%
- --------------------------------------------------------------------------------
Enron Corp. Utilities 3.53%
- --------------------------------------------------------------------------------
Mobil Corp. Energy 3.50%
- --------------------------------------------------------------------------------
General Electric Co. Capital Goods 3.45%
- --------------------------------------------------------------------------------
Williams Companies Inc. Utilities 3.09%
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
U.S. FIXED INCOME PORTFOLIO
INSTRUMENTS % OF NET ASSETS
Mortgage and Asset Backed Securities 59.1%
- --------------------------------------------------------------------------------
Corporate Bonds 32.9%
- --------------------------------------------------------------------------------
U.S. Treasury Issues 21.3%
- --------------------------------------------------------------------------------
Preferred Stock 1.1%
- --------------------------------------------------------------------------------
5
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
FUND PERFORMANCE
TOTAL RETURNS
<TABLE>
<CAPTION>
TEN MONTHS
ENDED SINCE
OCTOBER 31,1999 FIVE 10/19/90
ALL PERIODS ENDED OCTOBER 31, 1999 (Note 1G)** YEARS* INCEPTION*
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CitiFunds Balanced Portfolio (Class A) 3.79% 11.98% 12.00%
without sales charge
Lipper Balanced Funds Average 3.83% 14.83% 13.23%+
S&P Barra Value Index 9.28% 21.47% 18.88%+
Lehman Brothers Aggregate Bond Index (0.33)% 7.94% 8.08%+
CitiFunds Balanced Portfolio (Class A)
with a maximum sales charge of 5.00% (1.40)% 10.84% 11.37%
CitiFunds Balanced Portfolio (Class B)
without deferred sales charge -- -- 2.99%#**
Lipper Balanced Funds Average -- -- 3.83%++**
S&P Barra Value Index -- -- 9.28%++**
Lehman Brothers Aggregate Bond Index -- -- (0.33)%++**
CitiFunds Balanced Portfolio (Class B)
with a maximum deferred
sales charge of 5.00% -- -- (2.16)%#**
</TABLE>
* Average Annual Total Return
** Not Annualized
+ From 10/31/90
++ From 12/31/98
# Commencement of Operations 1/4/99
GROWTH OF
$10,000 INVESTMENT
A $10,000 investment in the Fund made on 10/31/90 would have grown to $26,465
with sales charge (as of 10/31/99). The graph shows how the Fund compares to its
benchmarks for the same period.
[The following table represents a chart in the printed material]
<TABLE>
<CAPTION>
CITIFUNDS
DATE BALANCE FUND LIPPER BALANCED FUNDS AVG. S&P BARRA VALUE INDEX LEHMAN AGGREGATE BOND INDEX
<S> <C> <C> <C> <C>
10/19/90 $10,000
10/31/90 $9,334 $10,000 $10,000 $10,000
11/30/90 $9,851 $10,435 $10,683 $10,215
12/31/90 $10,079 $10,677 $10,924 $10,374
1/31/91 $10,550 $11,034 $11,441 $10,503
2/28/91 $11,090 $11,521 $12,187 $10,592
3/31/91 $11,225 $11,725 $12,298 $10,665
4/30/91 $11,235 $11,753 $12,395 $10,781
5/31/91 $11,650 $12,099 $12,986 $10,843
6/30/91 $11,245 $11,726 $12,341 $10,838
7/31/91 $11,783 $12,122 $12,831 $10,988
8/31/91 $12,242 $12,434 $13,017 $11,226
9/30/91 $12,077 $12,450 $12,880 $11,454
10/31/91 $12,298 $12,633 $13,068 $11,581
11/30/91 $12,087 $12,354 $12,339 $11,687
12/31/91 $13,064 $13,358 $13,389 $12,034
1/31/92 $12,821 $13,242 $13,389 $11,871
2/29/92 $13,013 $13,401 $13,661 $11,948
3/31/92 $12,853 $13,203 $13,447 $11,881
4/30/92 $12,904 $13,323 $14,103 $11,966
5/31/92 $12,975 $13,462 $14,142 $12,192
6/30/92 $12,746 $13,317 $14,026 $12,360
7/31/92 $13,175 $13,714 $14,533 $12,612
8/31/92 $12,981 $13,584 $14,111 $12,740
9/30/92 $13,214 $13,755 $14,266 $12,891
10/31/92 $13,409 $13,756 $14,152 $12,720
11/30/92 $13,840 $14,096 $14,536 $12,723
12/31/92 $13,955 $14,357 $14,799 $12,925
1/31/93 $14,058 $14,551 $15,207 $13,173
2/28/93 $14,038 $14,647 $15,732 $13,403
3/31/93 $14,523 $14,922 $16,166 $13,460
4/30/93 $14,337 $14,738 $16,102 $13,553
5/31/93 $14,565 $14,980 $16,403 $13,570
6/30/93 $14,560 $15,148 $16,619 $13,816
7/31/93 $14,446 $15,172 $16,825 $13,894
8/31/93 $14,904 $15,630 $17,485 $14,138
9/30/93 $14,893 $15,683 $17,478 $14,177
10/31/93 $15,019 $15,824 $17,572 $14,230
11/30/93 $14,862 $15,593 $17,258 $14,109
12/31/93 $15,139 $15,869 $17,551 $14,185
1/31/94 $15,468 $16,255 $18,369 $14,377
2/28/94 $15,160 $15,936 $17,704 $14,127
3/31/94 $14,582 $15,350 $16,976 $13,779
4/30/94 $14,668 $15,379 $17,334 $13,669
5/31/94 $14,860 $15,451 $17,622 $13,667
6/30/94 $14,518 $15,168 $17,134 $13,637
7/31/94 $14,917 $15,511 $17,713 $13,907
8/31/94 $15,219 $15,908 $18,214 $13,925
9/30/94 $14,810 $15,620 $17,573 $13,720
10/31/94 $15,027 $15,712 $17,956 $13,707
11/30/94 $14,658 $15,325 $17,229 $13,677
12/31/94 $14,827 $15,454 $17,441 $13,772
1/31/95 $15,013 $15,646 $17,914 $14,044
2/28/95 $15,485 $16,117 $18,609 $14,378
3/31/95 $15,771 $16,393 $19,122 $14,466
4/30/95 $15,970 $16,693 $19,752 $14,668
5/31/95 $16,578 $17,231 $20,630 $15,236
6/30/95 $16,743 $17,553 $20,787 $15,348
7/31/95 $16,954 $17,957 $21,504 $15,313
8/31/95 $16,943 $18,111 $21,687 $15,498
9/30/95 $17,321 $18,515 $22,442 $15,649
10/31/95 $17,344 $18,471 $22,092 $15,852
11/30/95 $17,948 $19,036 $23,249 $16,090
12/31/95 $18,187 $19,295 $23,893 $16,316
1/31/96 $18,500 $19,642 $24,608 $16,424
2/29/96 $18,326 $19,713 $24,839 $16,139
3/31/96 $18,372 $19,790 $25,420 $16,026
4/30/96 $18,361 $19,996 $25,680 $15,936
5/31/96 $18,535 $20,242 $26,068 $15,904
6/30/96 $18,759 $20,262 $25,942 $16,118
7/31/96 $18,231 $19,709 $24,848 $16,162
8/31/96 $18,430 $20,068 $25,533 $16,135
9/30/96 $19,124 $20,811 $26,626 $16,416
10/31/96 $19,289 $21,198 $27,529 $16,779
11/30/96 $19,974 $22,146 $29,635 $17,067
12/31/96 $19,567 $21,913 $29,149 $16,908
1/31/97 $20,206 $22,513 $30,493 $16,960
2/28/97 $20,144 $22,540 $30,715 $17,002
3/31/97 $19,427 $21,913 $29,665 $16,813
4/30/97 $20,485 $22,511 $30,777 $17,065
5/31/97 $21,115 $23,465 $32,707 $17,227
6/30/97 $21,824 $24,148 $33,956 $17,431
7/31/97 $22,959 $25,500 $36,673 $17,901
8/31/97 $21,864 $24,834 $35,015 $17,748
9/30/97 $22,632 $25,765 $37,067 $18,010
10/31/97 $22,540 $25,322 $35,703 $18,272
11/30/97 $23,341 $25,697 $37,063 $18,356
12/31/97 $23,647 $26,034 $37,886 $18,540
1/31/98 $23,947 $26,195 $37,420 $18,778
2/28/98 $24,786 $27,274 $40,227 $18,764
3/31/98 $25,807 $28,040 $42,266 $18,829
4/30/98 $25,883 $28,219 $42,765 $18,927
5/31/98 $25,416 $27,934 $42,162 $19,107
6/30/98 $25,503 $28,350 $42,482 $19,269
7/31/98 $24,741 $27,933 $41,560 $19,310
8/31/98 $22,550 $25,486 $34,877 $19,624
9/30/98 $23,308 $26,521 $36,998 $20,083
10/31/98 $24,450 $27,571 $39,876 $19,977
11/30/98 $24,919 $28,553 $41,954 $20,091
12/31/98 $25,498 $29,515 $43,427 $20,151
1/31/99 $26,053 $29,975 $44,304 $20,294
2/28/99 $25,463 $29,157 $43,350 $19,939
3/31/99 $25,937 $29,816 $44,664 $20,048
4/30/99 $27,288 $30,758 $48,515 $20,159
5/31/99 $27,252 $30,346 $47,658 $19,981
6/30/99 $27,617 $31,141 $49,488 $19,917
7/31/99 $26,944 $30,571 $47,966 $19,832
8/31/99 $26,363 $30,174 $46,743 $19,822
9/30/99 $25,859 $29,776 $44,916 $20,052
10/31/99 $26,465 $30,616 $47,451 $20,126
</TABLE>
The graph includes the initial sales charge on the Fund (no comparable charge
exists for other indices) and assumes all dividends and distributions are
reinvested at Net Asset Value.
Note: All Fund performance numbers represent past performance, and are no
guarantee of future results. The Fund's share price and investment return will
fluctuate, so that the value of an investor's shares, when redeemed, may be
worth more or less than their original cost. Total returns include change in
share price and reinvestment of dividends and distributions, if any. Total
return figures are provided in accordance with SEC guidelines for comparative
purposes for prospective investors and reflect certain voluntary fee waivers
which may be terminated at any time. If the waivers were not in place, the
Fund's return would have been lower. The maximum sales charge of 5.00% went into
effect on January 4, 1999. Investors may not invest directly in an index.
6
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1999
- -----------------------------------------------------------------------------
ASSETS:
Investment in, at value:
Large Cap Value Portfolio $ 120,250,562
U.S Fixed Income Portfolio 97,571,531
- -----------------------------------------------------------------------------
Total Investments (Note 1A) 217,822,093
Receivable for shares of beneficial interest sold 8,039
Other receivables 53,639
- -----------------------------------------------------------------------------
Total assets 217,883,771
- -----------------------------------------------------------------------------
LIABILITIES:
Payable for shares of beneficial interest repurchased 285,283
Accrued expenses and other liabilities 85,902
- -----------------------------------------------------------------------------
Total liabilities 371,185
- -----------------------------------------------------------------------------
NET ASSETS $ 217,512,586
- -----------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital $ 200,903,171
Unrealized depreciation (563,665)
Accumulated net realized gain 16,450,539
Undistributed net investment income 722,541
- -----------------------------------------------------------------------------
Total $ 217,512,586
- -----------------------------------------------------------------------------
COMPUTATION OF
CLASS A SHARES:
Net Asset Value per share ($215,476,817/14,939,507
shares outstanding) $14.42
Offering Price per share ($14.42/0.95) $15.18*
- -----------------------------------------------------------------------------
CLASS B SHARES:
Net Asset Value per share and offering price
($2,035,769/141,221 shares outstanding) $14.42**
- -----------------------------------------------------------------------------
* Based upon single purchases of less than $25,000.
** Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charges.
See notes to financial statements
7
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
TEN MONTHS
ENDED YEAR ENDED
OCTOBER 31,1999 DECEMBER 31,
(Note 1G) 1998
- ------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME (Note 7):
<S> <C> <C>
Interest Income $ 5,298,759 $ 5,923,820
Dividend Income (net of foreign
withholding tax of $9,934) 2,039,471 2,476,289
Allocated Expenses (1,088,112) (1,272,207)
- ------------------------------------------------------------------------------------------------------------
6,250,118 7,127,902
- ------------------------------------------------------------------------------------------------------------
EXPENSES (Note 6):
Administrative Fees (Note 2) 344,536 577,968
Management fees (Note 2A) 120,780 --
Service fees Class A (Note 3) 479,918 346,780
Service fees Class B (Note 3) 12,832 --
Legal fees 57,150 --
Shareholder reports 54,129 --
Audit fees 26,850 --
Custody and fund accounting fees 22,705 --
Trustee fees 13,142 --
Transfer agent fees 13,000 --
Other 15,497 --
Shareholder Servicing Agents' fees -- 577,968
Expense fees -- 46,721
- ------------------------------------------------------------------------------------------------------------
Total expenses 1,160,539 1,549,437
Less aggregate amount waived by Administrator,
Manager and Distributor (Note 2) (267,844) (462,905)
- ------------------------------------------------------------------------------------------------------------
Net expenses 892,695 1,086,532
- ------------------------------------------------------------------------------------------------------------
Net investment income 5,357,423 6,041,370
- ------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (Note 7):
Net realized gain 17,693,990 26,888,409
Unrealized depreciation on investments (13,913,368) (15,478,163)
- ------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain 3,780,622 11,410,246
- ------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations $ 9,138,045 $ 17,451,616
- ------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
8
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
TEN MONTHS
ENDED YEAR ENDED DECEMBER 31,
OCTOBER 31, 1999 -------------------------
(Note 1G) 1998 1997
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 5,357,423 $ 6,041,370 $ 5,566,995
Net realized gain 17,693,990 26,888,409 31,219,711
Unrealized appreciation (depreciation)
on investments (13,913,368) (15,478,163) 6,454,406
- ------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 9,138,045 17,451,616 43,241,112
- ------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (Class A) (5,213,004) (5,439,336) (5,565,112)
Net Investment Income (Class B) (30,009) -- --
Net realized gain (Class A) (348,563) (34,018,101) (32,774,535)
Net realized gain (Class B) (3,267) -- --
- ------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions
to shareholders (5,594,843) (39,457,437) (38,339,647)
- ------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5):
CLASS A
Net proceeds from sale of shares 6,618,624 23,637,486 1,958,850
Net asset value of shares issued to shareholders
from reinvestment of distributions 5,561,567 39,433,879 38,314,267
Cost of shares repurchased (36,653,939) (31,497,141) (48,766,609)
- ------------------------------------------------------------------------------------------------------------------
Total Class A (24,473,748) 31,574,224 (8,493,492)
- ------------------------------------------------------------------------------------------------------------------
CLASS B*
Net proceeds from sale of shares 2,678,077 -- --
Net asset value of shares issued to shareholders
from reinvestment of distributions 33,276 -- --
Cost of shares repurchased (627,087) -- --
- ------------------------------------------------------------------------------------------------------------------
Total Class B 2,084,266 -- --
- ------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
transactions in shares of beneficial interest (22,389,482) 31,574,224 (8,493,492)
- ------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (18,846,280) 9,568,403 (3,592,027)
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 236,358,866 226,790,463 230,382,490
- ------------------------------------------------------------------------------------------------------------------
End of period (including undistributed net
investment income of $722,541,
$608,131 and $6,097, respectively) $217,512,586 $236,358,866 $226,790,463
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* January 4, 1999 (Commencement of Operations) to October 31, 1999.
See notes to financial statements
9
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CLASS A
---------------------------------------------------------------------------
TEN MONTHS
ENDED
OCTOBER 31,
1999 YEAR ENDED DECEMBER 31,
----------------------------------------------------------
(NOTE 1G) 1998 1997 1996 1995 1994+
<S> <C> <C> <C> <C> <C> <C>
=============================================================================================================
Net Asset Value,
beginning of period $14.24 $15.77 $15.61 $15.71 $13.52 $14.24
- -------------------------------------------------------------------------------------------------------------
Income From Operations:
Net investment income 0.340++ 0.420 0.421 0.497 0.486 0.399
Net realized and
unrealized gain (loss) 0.201 0.795 2.726 0.680 2.540 (0.695)
- -------------------------------------------------------------------------------------------------------------
Total from operations 0.541 1.215 3.147 1.177 3.026 (0.296)
- -------------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.338) (0.380) (0.421) (0.497) (0.495) (0.394)
Net realized gain (0.023) (2.365) (2.566) (0.780) (0.341) (0.030)
- -------------------------------------------------------------------------------------------------------------
Total distributions (0.361) (2.745) (2.987) (1.277) (0.836) (0.424)
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, end of period $14.42 $14.24 $15.77 $15.61 $15.71 $13.52
=============================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $215,477 $236,359 $226,790 $230,382 $246,002 $227,309
Ratio of expenses to
average net assets (A) 1.02%* 1.02% 1.02% 1.02% 1.02% 1.02%
Ratio of net investment income to
average net assets 2.78%* 2.61% 2.44% 3.04% 3.21% 2.82%
Portfolio turnover (B) -- -- -- -- -- 29%
Total return 3.79%** 7.83% 20.85% 7.59% 22.66% (2.06)%
Note: If Agents of the Fund for the periods indicated had not voluntarily waived
a portion of their fees the net investment income per share and the ratios would
have been as follows:
Net investment income $0.323++ $0.390 $0.387 $0.464 $0.463 $0.378
RATIOS:
Expenses to average net assets (A) 1.16%* 1.22% 1.22% 1.22% 1.17% 1.17%
Net investment income to
average net assets 2.64%* 2.41% 2.24% 2.84% 3.06% 2.67%
=============================================================================================================
</TABLE>
* Annualized
** Not Annualized
(A) Includes allocated expenses for the periods indicated from the respective
Portfolios.
(B) Portfolio turnover represents the rate of portfolio activity for the period
while the Fund was making investments directly in securities.
+ On May 1, 1994 the Fund began investing all of its investable assets in
Balanced Portfolio.
++ The per share amounts were computed using monthly average shares during the
period.
See notes to financial statements
10
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
CLASS B
------------------
JANUARY 4, 1999
(COMMENCEMENT
OF OPERATIONS) TO
OCTOBER 31, 1999
================================================================================
Net Asset Value,
beginning of period $14.28
- --------------------------------------------------------------------------------
Income From Operations:
Net investment income 0.249+
Net realized and
unrealized gain 0.180
- --------------------------------------------------------------------------------
Total from operations 0.429
- --------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.266)
Net realized gain (0.023)
- --------------------------------------------------------------------------------
Total Distributions (0.289)
- --------------------------------------------------------------------------------
Net Asset Value, end of period $14.42
================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) $2,036
Ratio of expenses to average net assets (A) 1.77%*
Ratio of net investment income to average net assets 2.03%*
Total return 2.99%**
Note: If Agents of the Fund for the periods indicated had not voluntarily waived
a portion of their fees the net investment income per share and the ratios would
have been as follows:
Net investment income $0.232+
RATIOS:
Expenses to average net assets (A) 1.91%*
Net investment income to average net assets 1.89%*
================================================================================
* Annualized
** Not Annualized
(A) Includes the allocated expenses for the periods indicated from the
respective portfolios.
+ The per share amounts were computed using monthly average shares during the
period.
See notes to financial statements
11
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES CitiFunds Balanced Portfolio (the "Fund") is
a separate diversified series of CitiFunds Trust I (the "Trust"), a
Massachusetts business trust. The Trust is registered under the Investment
Company Act of 1940, as amended, as an open-end, management investment company.
The Fund invested all of its investable assets in Balanced Portfolio until July
31, 1999. On August 1, 1999, the Fund began investing all of its investable
assets between Large Cap Value Portfolio and U.S. Fixed Income Portfolio (the
"Portfolios"). The Portfolios are registered under the Investment Company Act of
1940, as amended, as open-end, diversified management investment companies and
have multiple investors. These Portfolios are organized as trusts under the laws
of the state of New York and are treated as partnerships for U.S. tax purposes.
The Declaration of Trust permits the Trustees to issue beneficial interests in
the Portfolios. Citibank, N.A. ("Citibank") is the Investment Manager of each of
the Portfolios and has hired a Subadviser for one of the Portfolios. CFBDS, Inc.
("CFBDS") acts as the Fund's Sub-Administrator and Distributor.
The financial statements of the Portfolios, including the Portfolio of
Investments (which are not part of the Fund's financial statements), may be
obtained without charge, and further inquiries about the Portfolios may be made
by calling 1-800-625-4554.
The Fund offers Class A shares and Class B shares. The Fund commenced its
public offering of Class B shares on January 4, 1999. Class A shares have a
front-end, or initial, sales charge effective January 4, 1999. This sales charge
may be reduced or eliminated in certain circumstances. Class B shares have no
front-end sales charge, pay a higher ongoing distribution fee than Class A
shares and are subject to a deferred sales charge if sold within five years of
purchase. Class B shares automatically convert into Class A shares after eight
years. Expenses of the Fund are borne pro-rata by the holders of each class of
shares, except that each class bears expenses unique to that class (including
Rule 12b-1 service and distribution fees applicable to such class), and votes as
a class only with respect to its own Rule 12b-1 plan. Shares of each class would
receive their pro-rata share of the net assets of the Fund if the Fund was
liquidated. Class A shares have lower expenses than Class B shares. For the
period ended October 31, 1999, CFBDS, acting as the distributor, received net
commissions paid by investors $33,822 from sales of Class A and $7 in deferred
sales charges from redemptions of Class B shares.
The preparation of financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates. The significant
accounting policies consistently followed by the Fund are as follows:
A. Investment Valuation The Fund's net asset value will fluctuate based on
changes in the values of the underlying portfolio's securities. The values of
the Fund's beneficial interest in the Portfolios are determined by multiplying
the net asset value of a Portfolio by a Fund's percentage of the aggregate
beneficial
12
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
interest in the Portfolio for that day. This proportionate percentage of
interest in a Portfolio, including the effects of the prior day's contributions
and withdrawals, is then applied to determine the value of the Fund's interest
in a Portfolio as of the close of regular trading on the New York Stock Exchange
on each business day.
The portfolios' investments are valued primarily on the basis of market
quotations, or if market quotations are not available, by a method believed to
accurately reflect fair value. An equity security that is primarily traded on a
U.S. or foreign exchange (including securities traded through the NASDAQ
national market system) is valued at the last sale price on that exchange or, if
there were no sales during the day (or for unlisted securities not reported on
the NASDAQ system), at the quoted bid price. Securities quoted in foreign
currencies are translated into U.S. dollars at the current exchange rate. Bonds,
foreign bonds and other fixed income securities (other than short term
securities maturing in sixty days or less) are valued on the basis of valuations
furnished by pricing services authorized by the Board of Trustees, which utilize
market quotations and transactions, quotations from dealers and various
relationships among securities in determining value. Short-term obligations
(maturing in 60 days or less) are valued at amortized cost. Other assets and
securities for which no quotations are readily available are valued at fair
value as determined in good faith by or under guidelines established by the
Trustees.
B. Investment Income The Fund earns income, net of Portfolios expenses,
daily based on its investment in the Portfolios.
C. Federal Taxes The Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its taxable income, including any net realized
gain on investment transactions. Accordingly, no provision for federal income or
excise tax is necessary.
D. Expenses The Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and CFBDS. Expenses incurred by the Trust with
respect to any two or more funds or series are allocated in proportion to the
average net assets of each fund, except when allocations of direct expenses to
each fund can otherwise be made fairly. Expenses directly attributable to a fund
are charged to that fund. The Fund's share of the Portfolios' expenses are
charged against and reduce the amount of the Fund's investment in each
Portfolios.
E. Distributions Distributions to shareholders are recorded on ex-dividend
date. The amount and character of income and net realized gains to be
distributed are determined in accordance with income tax rules and regulations,
which may differ from generally accepted accounting principles. These
differences are attributable to permanent book and tax accounting differences.
Reclassifications are made to the Fund's capital accounts to reflect income and
net realized gains available for distribution (or available capital loss
carryovers) under income tax rules and regulations.
13
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Continued)
F. Other All realized and unrealized gain and loss of the Portfolios is
allocated pro rata, based on respective ownership interests, among the Fund and
the other investors in the Portfolios at the time of such determination.
G. Change in Fiscal Year End During fiscal year 1999, the Fund changed its
fiscal year end from December 31 to October 31.
2. ADMINISTRATIVE FEES/MANAGEMENT FEES Under the terms of an Administrative
Services Agreements which was terminated on July 31, 1999 (See note 6), the
administrative fees paid to the Administrator, as compensation for overall
administrative services and general office facilities, may not exceed an annual
rate of 0.25% of the Fund's average daily net assets. The Administrative fees
amounted to $344,536 of which $147,064 was voluntarily waived for the period
January 1, 1999 to July 31, 1999. Citibank acts as Sub-Administrator and
performs certain duties and receives compensation from CFBDS from time to time
as agreed to by CFBDS and Citibank.
A. Management Fees Effective August 1, 1999, Citibank is responsible for
overall management of the Fund's business affairs, and has a separate Management
Agreement with the Fund. Citibank also provides certain administrative services
to the Fund. These administrative services include providing general office
facilities and supervising the overall administration of the Fund. CFBDS acts as
Sub-Administrator and performs certain duties and receives compensation from
Citibank from time to time as agreed to by Citibank and CFBDS. Citibank is a
wholly-owned subsidiary of Citicorp, which in turn, is a wholly-owned subsidiary
of Citigroup Inc. Citigroup Inc. was formed as a result of the merger of
Citicorp and Travelers Group, Inc. which was completed on October 8, 1998.
For the services of Citibank under the Management Agreement which covers the
Fund and respective Portfolios and the services of SSBCiti Fund Management LLC,
the Subadviser to the Portfolio. The Fund and respective Portfolios pay an
aggregate fee, which is accrued daily and paid monthly, of 0.70% of the average
daily net assets on an annualized basis for the current fiscal year. Citibank
may voluntarily agree to waive a portion of its management fee from any Fund.
The management fees paid to Citibank amounted to $120,780, all of which was
voluntarily waived for the period August 1, 1999 to October 31, 1999.
The Trust pays no compensation directly to any Trustee or any other officer
who is affiliated with the Sub-Administrator, all of whom receive remuneration
for their services to the Trust from the Sub-Administrator or its affiliates.
3. SERVICE FEES The Fund maintains separate Service Plans for Class A and Class
B shares, which have been adopted in accordance with Rule 12b-1 under the 1940
Act. Under the Class A Service Plan, the Fund may pay monthly fees at an annual
rate not to exceed 0.25% of the average daily net assets represented by Class A
shares of the Fund. The Service fees for Class A shares amounted to $479,918 for
the ten months ended October 31, 1999. Under the Class B Ser-
14
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
vice Plan, the Fund may pay a combined monthly distribution and service fee at
an annual rate not to exceed 1.00% of the average daily net assets represented
by Class B shares of the Fund. The Service fees for Class B shares amounted to
$12,832 for the period January 4, 1999 to October 31, 1999. These fees may be
used to make payments to the Distributor for distribution services and to others
as compensation for the sale of shares of the applicable class of the Fund, for
advertising, marketing or other promotional activity, and for preparation,
printing and distribution of prospectuses, statements of additional information
and reports for recipients other than regulators and existing shareholders. The
Fund may also make payments to the Distributor and others for providing personal
service of the maintenance of shareholder accounts.
4. INVESTMENT TRANSACTIONS Increases and decreases in the Fund's investment in
the Portfolios for the ten months ended October 31, 1999 were as follows:
CONTRIBUTIONS WITHDRAWALS
================================================================================
Large Cap Value Portfolio $ 324,231 $ 2,407,807
U.S. Fixed Income Portfolio 988,446 6,691,898
Balanced Portfolio 1,923,747 22,006,100
================================================================================
5. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees
to issue an unlimited number of full and fractional shares of beneficial
interest (without par value). Transactions in shares of beneficial interest were
as follows:
<TABLE>
<CAPTION>
TEN MONTHS
ENDED
OCTOBER 31, YEAR ENDED YEAR ENDED
1999 DECEMBER 31, DECEMBER 31,
(Note 1G) 1998 1997
===========================================================================================
<S> <C> <C> <C>
CLASS A
Shares sold 451,225 1,473,554 118,898
Shares issued to shareholders from
reinvestment of distribution 381,264 2,695,888 2,424,021
Shares repurchased (2,488,481) (1,950,608) (2,924,022)
- --------------------------------------------------------------------------------------------
Class A net increase (decrease) (1,655,992) 2,218,834 (381,103)
===========================================================================================
CLASS B*
Shares sold 181,981 -- --
Shares issued to shareholders from
reinvestment of distribution 2,011 -- --
Shares repurchased (42,771) -- --
- --------------------------------------------------------------------------------------------
Class B net increase 141,221 -- --
===========================================================================================
</TABLE>
*January 4, 1999 (Commencement of Operations) to October 31, 1999.
15
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Continued)
6. SHAREHOLDER APPROVAL/TRUSTEE APPROVAL At a Special Meeting on July 30, 1999,
the shareholders of the Fund approved certain proposals to allow the assets of
the Fund to be invested in one or more investment companies. Additionally, the
shareholders approved a Management Agreement with Citibank, to provide
administrative services. This new agreement simplifies and terminates the Fund's
existing Administration Service Agreement.
The Board of Trustees voted to terminate the Trust's Administrative Services
Plan and Expense Fee Agreement with respect to the Fund. At the same time, the
Trustees approved an Amended and Restated Distribution Plan for Class A Shares
pursuant to Rule 12b-1 under the Investment Company Act of 1940 which, effective
January 1999, permits the Fund to compensate the Distributor at an annual rate
not to exceed 0.25% of the Fund's average daily net assets. As a result of the
termination of the Administrative Services Plan, the Fund's Shareholder
Servicing Agent agreements were terminated, effective January 1, 1999, and
replaced with revised shareholder servicing agent arrangements. The Fund's
existing Administration Agreement with CFBDS remains in place.
7. Pertinent details as to various amounts allocated from each Portfolio to
CitiFunds Balanced Portfolio for the ten months ended October 31, 1999 are noted
below. With respect to the Portfolios, investment transactions are accounted for
on the trade date basis and realized gains and losses are determined on the
identified cost basis.
<TABLE>
<CAPTION>
PORTFOLIO
INTEREST DIVIDENDS EXPENSES
====================================================================================================
<S> <C> <C> <C>
Large Cap Value Portfolio $ 30,077 $ 598,620 $ (224,746)
U.S. Fixed Income Portfolio 1,672,707 23,636 (99,971)
Balanced Portfolio* 3,595,975 1,417,215 (763,395)
- ----------------------------------------------------------------------------------------------------
Total $ 5,298,759 $ 2,039,471 $(1,088,112)
====================================================================================================
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE
REALIZED UNREALIZED OF OWNERSHIP
GAIN (LOSS) GAIN (LOSS) OF THE PORTFOLIO
====================================================================================================
<S> <C> <C> <C>
Large Cap Value Portfolio $ (1,575,862) $ (3,896,422) 43.6%
U.S. Fixed Income Portfolio (1,370,952) 1,035,042 33.5%
Balanced Portfolio* 20,640,804 (11,051,988) 0%*
- ----------------------------------------------------------------------------------------------------
Total $17,693,990 $(13,913,368)
====================================================================================================
</TABLE>
*Portfolio closed as of 7/31/99.
16
<PAGE>
CITIFUNDS BALANCED PORTFOLIO
INDEPENDENT AUDITORS' REPORT
TO THE TRUSTEES AND SHAREHOLDERS OF CITIFUNDS TRUST I (THE "TRUST"):
CITIFUNDS BALANCED PORTFOLIO
In our opinion, the accompanying statement of assets and liabilities, and
the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of CitiFunds Balanced Portfolio (the "Fund"), a series of CitiFunds
Trust I, at October 31, 1999, the results of its operations, the changes in its
net assets and the financial highlights for the periods indicated in conformity
with accounting principles generally accepted in the United States. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of investments owned at October 31, 1999 by correspondence with the custodian,
provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 14, 1999
17
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK.
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK.
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK.
<PAGE>
TRUSTEES AND OFFICERS
C. Oscar Morong, Jr., Chairman
Philip W. Coolidge*, President
Elliott J. Berv
Mark T. Finn
Riley C. Gilley
Diana R. Harrington
Susan B. Kerley
Heath B. McLendon**
Walter E. Robb, III
E. Kirby Warren
William S. Woods, Jr.
SECRETARY
Linda T. Gibson*
TREASURER
John R. Elder*
*AFFILIATED PERSON OF ADMINISTRATOR AND DISTRIBUTOR
**AFFILIATED PERSON OF INVESTMENT ADVISER
INVESTMENT MANAGER
Citibank, N.A.
153 East 53rd Street, New York, NY 10043
DISTRIBUTOR
CFBDS, Inc.
21 Milk Street, 5th Floor, Boston, MA 02109
(617) 423-1679
TRANSFER AGENT AND CUSTODIAN
State Street Bank and Trust Company
225 FRANKLIN STREET, BOSTON, MA 02110
AUDITORS
PricewaterhouseCoopers LLP
160 Federal Street, Boston, MA 02110
LEGAL COUNSEL
Bingham Dana LLP
150 Federal Street, Boston, MA 02110
<PAGE>
THE CITIFUNDS FAMILY
LARGE CAP STOCKS
o CitiFunds Growth & Income Portfolio
o CitiFunds Large Cap Growth Portfolio
SMALL CAP STOCKS
o CitiFunds Small Cap Value Portfolio
o CitiFunds Small Cap Growth Portfolio
INTERNATIONAL STOCKS
o CitiFunds International Growth & Income Portfolio
o CitiFunds International Growth Portfolio
GROWTH WITH INCOME
o CitiFunds Balanced Portfolio
BONDS
o CitiFunds Short-Term U.S. Government Income Portfolio
o CitiFunds Intermediate Income Portfolio
o CitiFunds National Tax Free Income Portfolio
o CitiFunds California Tax Free Income Portfolio
o CitiFunds New York Tax Free Income Portfolio
MONEY MARKETS
o CitiFunds Cash Reserves
o CitiFunds U.S. Treasury Reserves
o CitiFunds Tax Free Reserves
o CitiFunds California Tax Free Reserves
o CitiFunds Connecticut Tax Free Reserves
o CitiFunds New York Tax Free Reserves
This report is prepared for the information of shareholders of CitiFunds
Balanced Portfolio. It is authorized for distribution to prospective investors
only when preceded or accompanied by an effective prospectus of CitiFunds
Balanced Portfolio.
For more information about any of the CitiFunds listed above, ask for a
prospectus (except for CitiFunds Balanced Portfolio, which preceded or
accompanies this report) containing more complete information, including all
sales charges (if any), fees and expenses. Please read the propectus carefully
before you invest or send money.
Although each money market fund seeks to maintain the value of your investment
at $1.00 per share, it is possible to lose money by investing in the funds.
Mutual fund shares are not guaranteed or insured by the Federal Deposit
Insurance Corporation or any other government agency.
CitiFunds are made available by CFBDS, Inc. as distributor .For more information
contact your Service Agent or call 1-800-625-4554.
(C)1999 Citicorp (R) Printed on recycled paper CFA/BAL/1099
