<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
SEMI-ANNUAL REPORT FOR
SYMPHONY
A TAX-DEFERRED VARIABLE ANNUITY
JUNE 30,
1994
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
___________________________________________________________________________
___
Dear Symphony Annuity Owner:
It is my pleasure to provide you with the Semi-Annual Report for the
various
portfolios of Smith Barney Shearson Series Fund, the underlying mutual fund
for
your Symphony Annuity, for the six-month period ended June 30, 1994. This
letter includes a discussion of the three new Funds added at the end of
1993:
Total Return Portfolio, International Equity Portfolio and Emerging Growth
Portfolio.
THE PAST SIX MONTHS IN REVIEW
The economic and investment environment of this fiscal year is shaping up
to be
quite different from that of last year. When we last reported to you, the
economy appeared to be growing, and interest rates were rebounding after
touching bottom earlier in 1993. Nevertheless, doubt as to the
sustainability
of these changes quite justifiably lingered in the minds of many investors
because of the uneven growth and false starts the economy had exhibited in
previous months. During the first half of 1994, it became clear that the
economy's strong growth was both real and sustainable. Historically low
mortgage rates encouraged a record number of homeowners to refinance
existing
mortgages, which increased their disposable income. After a long period of
financial anxiety and stifled spending, these additional funds were a
welcome
relief and were quickly reflected in higher consumer spending. Since
consumer
spending accounts for approximately two-thirds of GDP (Gross Domestic
Product,
which is the broadest available measure of aggregate economic activity),
the
growth rate of the economy surged in the fourth quarter of 1993.
After maintaining an accommodative policy, which kept interest rates low in
order to encourage economic growth, on February 4, 1994, the Federal
Reserve
Board (the "Board") signaled an important shift in direction and tightened
monetary policy for the first time since 1989. The Board subsequently
increased
the Federal funds rate (an important indicator of the direction of short-
term
interest rates) three more times, most recently on May 17, 1994, when it
also
increased the discount rate.
The goal of the Board's actions was to control the level of growth and
avoid
rising inflation. The textbook result of an increase in short-term rates
is
slower economic growth and lower long-term interest rates. However, at the
time
there were many leveraged investments in the marketplace which relied on
short-term interest rates staying low. As short-term interest rates rose,
investors met liquidity demands by selling U.S. Treasuries. This in turn
caused
an unintended and unwarranted rise in interest rates across the maturity
spectrum.
It is clear to us from the Board's actions of the last few months that it
will
continue to raise interest rates as long as it sees inflation building in
the
economy. The real issue is whether or not the economy reaches the
equilibrium
state of growth with low inflation that the Board is trying to achieve.
Given
this uncertain interest rate backdrop and relatively high historical
valuation
levels, we remain highly cautious in our approach to the U.S. equity
market. It
remains to be seen whether corporate earnings growth will be sufficient to
support the broad
1
<PAGE>
market averages in the current ranges. Nevertheless, we continue to
believe
that there are individual U.S. equity securities that can do well in this
environment.
Overseas, the economic framework continues to be much more fragile than in
the
United States. We, therefore, believe that the interest rates in the
majority
of the non-U.S. countries will most likely continue their downward trend.
Similarly we are more constructive in our attitude toward equities in
established non-U.S. markets.
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
The worldwide financial markets continue to react to every news item with
emotions ranging from total complacency to high anxiety. Because of this
volatile environment, our focus is on attempting to maintain a relatively
stable
net asset value per share. We have adjusted the target allocation of the
Portfolio's assets to 27% U.S. mortgages, 28% high yield bonds, and 45%
foreign
government securities from 30% mortgage-backed securities, 30% high yield
obligations and 40% foreign government holdings. We believe that the
greatest
opportunities appear to be in the foreign markets, providing we are
patient. We
have shifted the Portfolio's holdings to give greater emphasis to the
European
and emerging growth sectors while reducing dollar-block positions. We also
have
attempted to upgrade the credit quality of the high yield sector as market
conditions warranted. The Portfolio's total return for the six-month
period
ended June 30, 1994 was (3.2)%. The average maturity of the Portfolio is
five
years.
INTERMEDIATE HIGH GRADE PORTFOLIO
During the past six months the financial markets warranted caution as they
weeded out unwanted participants gathered over the last year. Investors
waited
to ascertain the full implications of the Federal Reserve Board's increase
in
interest rates. At this point we are positive on the market in the near
term
but remain cautious in light of the volatility experienced so far this
year. We
are using market selloffs to invest cash at attractive rates, while
diligently
avoiding the temptation to chase the market as it trades up. Consistent
with
this outlook, emphasis is being placed on a laddered-maturity structure
using
highly liquid U.S. Treasuries and high quality corporate issues. The
Portfolio's SEC yield on June 30, 1994 was 6.0%.
EQUITY INCOME PORTFOLIO
Since reaching an all-time high in mid-September of 1993, the Dow Jones
Utility
Index has experienced a significant decline as investors focused on rising
interest rates and concerns about the long-term prospects for the utility
industry. The electric utility industry faces increasing competition over
the
next few years as several states adopt new rules for the transmission of
electricity. This is likely to benefit the lower-cost providers of
electricity
and disadvantage those companies which are high-cost providers.
Our strategy continues to focus on long-term total return by using a
combination
of utility stocks and bonds. We have focused on the better-quality,
growing
utilities and special situations with positive earnings momentum. The
Portfolio
mix is now 75% stocks (49% electric utilities, 21% telecommunications, and
5%
natural gas) and 25% fixed income securities. We believe that there are
investment opportunities in the utility sector, but careful
2
<PAGE>
stock selection is essential because of the changing industry. The markets
will
continue to differentiate between those companies with lower dividend
payout
ratios and better growth opportunities, on the one hand, and those
companies
with high payout ratios but limited growth prospects on the other. The
growth
utilities will become less interest rate sensitive and provide a better
opportunity for higher total return. The Portfolio's total return for the
six-month period ended June 30, 1994 was (11.4)%.
EQUITY INDEX PORTFOLIO
The Portfolio seeks to match the price and yield performance of the 500
stocks
comprising the Standard & Poor's Daily Price Index of 500 Common Stocks
("S&P
500"). The Portfolio will, over time, invest in all 500 stocks in the S&P
500
in proportion to their representation in the S&P 500. As of June 30, 1994,
the
Portfolio had 76% of its net assets invested in common stocks of
approximately
487 companies. For the first six months of 1994, the Portfolio had a total
return of (3.7)% as compared to the S&P 500 return of (3.4)% for the same
period.
GROWTH & INCOME PORTFOLIO
Like most actively managed funds, the Portfolio has emphasized a number of
sectors among its stock holdings. Two of the most overweighted areas are
industrial and financial stocks; underweighted areas include health care
and
consumer issues. As rising valuations for manufacturing and industrial
stocks
are beginning to reflect, what was once a contrarian stance is now becoming
more
mainstream. Consequently, we may reduce positions in these sectors going
forward. We will continue to underweight the health care stocks until the
direction of health care policy becomes clearer. Due to the quality of
these
companies and their growing attractiveness on a price basis, this is a
sector
that we are watching closely. The Portfolio's total return for the six-
month
period ended June 30, 1994 was (4.5)%.
APPRECIATION PORTFOLIO
Over the past six months, we have focused on investing the Portfolio in
companies and groups for which we felt expectations were unjustifiably low
or
had been significantly reduced. During periods when we view the market as
vulnerable, as we have in the past few months, it is important to emphasize
areas of the market that are not extended or overvalued. Some of our
largest
investments in the Portfolio, such as Minnesota Mining & Manufacturing,
DuPont
DeNemours & Company, Eastman Kodak Company, AT&T Corporation and Federal
National Mortgage Association ("Fannie Mae"), reflect this approach. We
have
also built a solid representation in the cable stocks, particularly
Telecommunications Inc. and Comcast Corporation. Although depressed, these
stocks have been sufficiently washed out to warrant a good bounce once
their
cable values are recognized through potential mergers, alliances or joint
ventures. We have also increased our exposure to the railroads by adding
to our
positions in Burlington Northern Inc. and Union Pacific Corporation as an
extended play on the economy and as a beneficiary of the pickup in the
inter-modal transport and effective cost-cutting efforts. Our major themes
have
not changed since our year-end letter to you. We continue to emphasize
such
themes as: the Reindustrialization of Middle America, the
Telecommunications/Information Superhighway and Restructuring Candidates.
The
Portfolio continues to maintain a core of great growth companies, including
Gillette Company, Home Depot Inc., Disney Productions Company, Johnson &
Johnson
and Microsoft Corporation.
3
<PAGE>
We believe that these superior growth companies will continue to regain
favor as
we enter an environment where a less buoyant economy no longer gives such a
dramatic edge to cyclical companies. The Portfolio's total return for the
six-month period ended June 30, 1994 was (2.6)%.
TOTAL RETURN PORTFOLIO
The Portfolio's total return for the six months ended June 30, 1994 was
8.7%.
We have emphasized convertible issues, selected REITs, drug stocks and
cyclical
issues in the automotive, semiconductor, chemical and energy industries.
In
addition, we hold a substantial position in financial service companies
with a
concentration on those which will benefit from a recovery in the California
economy. In contrast with the Portfolio's performance, S&P 500 year-to-
date is
down approximately 3.49%.
Currently, the Portfolio has 35% of its assets in cash. In addition, the
Portfolio contains a significant number of put contracts on Standard &
Poor's
Daily Price Index of 100 Common Stocks (the "S&P 100") as an additional
hedge
against the higher risks which have characterized this market for some
time.
Portfolio managers are paid to swing their "investment bats," and we look
forward to being more fully invested for you in the coming months.
However, we
will not rush and will commit our reserves when we feel the time is
appropriate.
INTERNATIONAL EQUITY PORTFOLIO
During the last six months, we focused the Portfolio's investments in the
Japanese and major European markets, while underemphasizing the emerging
markets. This strategy proved rewarding for the most part as the Japanese
market began to recover and the European markets were mixed. Initially,
low or
declining interest rates were the major stimulant to the stock markets.
However, given the recent uncertainty concerning interest rates, economic
growth
will become more important in moving stock prices. Inflation was well
contained
worldwide during the period.
For the balance of this year, we are enthusiastic about opportunities in
selected European markets, especially those which are the beneficiaries of
currency devaluation of the past several years. While cautiously
optimistic
about the prospects for Japan, we have broadened the Pacific Rim exposure,
using
Japanese securities as a source of funds. Given the substantial
corrections in
many smaller capitalized markets earlier this year, we are also adding
exposure
in selected emerging markets. The Portfolio had a total return of (7.7)%
for
the six months ended June 30, 1994.
EMERGING GROWTH PORTFOLIO
The Portfolio's total return for the six months ended June 30, 1994 was
(11.7)%,
declining with the market that has been in a correction caused by rising
interest rates. The NASDAQ Composite fell 9.1% over the same period. The
market correction has more severely impacted the high growth stocks that
comprise the majority of assets in the Portfolio, as many investors decided
to
book the large gains that many of these stocks had enjoyed over the last
three
years.
4
<PAGE>
Also, some equity holders may have wished to reduce perceived risk in a
less
hospitable investment climate.
We continue to remain optimistic about the prospect for small
capitalization
stocks. Small stocks are still selling at historically low valuation
levels
when compared to larger stocks, despite having outperformed for the last
three
years.
Our biggest gainers during the first half of the year reflect the
Portfolio's
diversification and include: Input Output, Inc. (oil service), Callaway
Golf
Company (golf club manufacturer), Wabash National Corporation (cargo
containers), Baybanks, Inc. (regional bank) and Microchip Technology Inc.
(semiconductor manufacturer).
* * * * *
MONEY MARKET PORTFOLIO
The recent economic statistics reveal that employment and manufacturing are
robust, but consumer spending has slowed. Other market participants and
economists are predicting that the increase in interest rates over the last
several months will continue to slow the economy for the remainder of the
year.
Nevertheless, it is still premature to come to this conclusion.
Market participants remain cautious, and daily swings in short-term
interest
rates and the Treasury market are not unusual. Most money market funds
have
kept their average lives on the shorter side, and we continue to do the
same.
Bond investors have refrained from making any real commitment at current
levels.
Since we believe that the Federal Reserve Board will continue to raise
short-term interest rates through the end of the year, the majority of our
investments will be three months and less in maturity.
The past six months were a difficult investment environment, but we believe
we
have been successful in meeting our stated investment objectives. During
the
next six months we will endeavor to do the same.
We appreciate your investment and your continued support. We look forward
to
updating you on our progress in the Annual Report.
Sincerely,
/s/ Heath B. McLendon
HEATH B. MCLENDON
Chairman of the Board
and Investment Officer
August 22, 1994
5
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Diversified
Money
Intermediate Strategic Equity Equity
Market High
Grade Income Income Index
Assets Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ----------------------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Portfolio investments, at value :
(Cost $8,223,835; $14,299,159; $55,378,547;
$53,022,016; $9,004,074; $28,261,938;
$78,743,623; $10,098,579; $13,172,328, and
$25,120,807, respectively).
(Note 1) See accompanying schedules:
Securities................................. $7,418,835
$12,685,380 $44,169,257 $46,115,665 $8,197,789
Repurchase agreements...................... 805,000
1,200,000 9,504,000 2,203,000 944,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Total investments.......................... 8,223,835
13,885,380 53,673,257 48,318,665 9,141,789
Cash and/or foreign currency (a)............... 264
271 2,416,101 923 248,206
Forward foreign exchange contracts to buy,
at value (Contract cost $3,155,572)
(Note 1) See accompanying schedule........... --
- -- 3,157,510 -- --
Receivable for forward foreign exchange
contracts to sell............................ --
- -- 8,126,474 -- --
Financial futures contracts - long position,
at value (Cost $2,293,375)(Note 1)
See accompanying schedule................... --
- -- -- -- 2,225,250
Receivable for investment securites sold....... --
- -- 1,380,052 --
Due from affiliated agents (Note 2)............ 22,870
13,919 -- -- 27,485
Dividends and/or interest receivable........... 128
221,723 1,031,727 523,391 20,565
Receivable for Portfolio shares sold........... 231,617
8,928 -- -- 1,944
Unamortized organization costs (Note 5)........ 11,960
11,955 12,455 12,451 12,105
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Total assets .................................. 8,490,674
14,142,176 69,797,576 48,855,430 11,677,344
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- ----------------------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<CAPTION>
JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- -------------------------------------------------
Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
Assets Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- -------------------------------------------------
- ---------------------------------------------------------------------------
- -------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Portfolio investments, at value :
(Cost $8,223,835; $14,299,159; $55,378,547;
$53,022,016; $9,004,074; $28,261,938;
$78,743,623; $10,098,579; $13,172,328, and
$25,120,807, respectively).
(Note 1) See accompanying schedules:
Securities................................. $25,753,976
$73,701,587 $9,722,655 $11,773,001 $23,955,589
Repurchase agreements...................... 2,592,000
7,850,000 -- 1,556,000 --
- ---------------------------------------------------------------------------
- -------------------------------------------------
Total investments.......................... 28,345,976
81,551,587 9,722,655 13,329,001 23,955,589
Cash and/or foreign currency (a)............... 132
85 3,795 2,183,724 199,500
Forward foreign exchange contracts to buy,
at value (Contract cost $3,155,572)
(Note 1) See accompanying schedule........... --
- -- -- -- --
Receivable for forward foreign exchange
contracts to sell............................ --
- -- -- -- --
Financial futures contracts - long position,
at value (Cost $2,293,375)(Note 1)
See accompanying schedule................... --
- -- -- -- --
Receivable for investment securites sold....... 1,326,330
- -- 309,029 -- 70,856
Due from affiliated agents (Note 2)............ --
- -- 18,083 10,744 21,920
Dividends and/or interest receivable........... 133,860
165,361 3,876 31,077 41,275
Receivable for Portfolio shares sold........... --
68,941 89,144 197,436 121,732
Unamortized organization costs (Note 5)........ 12,140
13,562 28,858 28,912 28,929
- ---------------------------------------------------------------------------
- -------------------------------------------------
Total assets .................................. 29,818,438
81,799,536 10,175,440 15,780,894 24,439,801
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- -------------------------------------------------
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<CAPTION>
JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Diversified
Money
Intermediate Strategic Equity Equity
Market High
Grade Income Income Index
Liabilities Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ----------------------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Aggregate exercise cost of financial
futures-long position........................ --
- -- -- -- 2,293,375
Payable for investment securities purchased.... --
997,350 1,574,066 -- --
Payable for Portfolio shares redeemed.......... --
- -- 44,541 51,839 --
Call option written, at value
(Premiums received $44,274) (Note 1)
See accompanying schedule.................... --
- -- -- -- --
Forward foreign exchange contracts to sell,
at value (Contract cost $8,126,474) (Note 1)
See accompanying schedule.................... --
- -- 8,377,784 -- --
Payable for forward foreign exchange
contracts to buy............................. --
- -- 3,155,572 -- --
Transfer agent fees payable (Note 2)........... 3,000
3,000 3,000 3,000 3,000
Payable to affiliated agents................... --
- -- 6,092 -- --
Organization costs payable (Note 6)............ --
- -- -- -- --
Investment advisory fee payable (Note 2)....... --
1,820 20,689 18,390 1,139
Administration fee payable (Note 2)............ --
910 9,194 8,173 570
Dividends payable.............................. 14,138
- -- -- -- --
Accrued legal and audit fees .................. 2,965
4,526 12,462 15,837 3,951
Custodian fees payable (Note 2) ............... 2,981
1,914 10,020 2,284 7,183
Accrued Trustees' fees and expenses............ 143
143 143 143 143
Accrued registration and filing fee............ 1,618
1,281 5,146 14,000 300
Accrued expenses and other payables............ 2,308
2,000 4,300 5,823 1,000
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Total liabilities ............................. 27,153
1,012,944 13,223,009 119,489 2,310,661
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- ----------------------------------------------------
Net assets applicable to shares of
beneficial interest outstanding ............. $8,463,521
$13,129,232 $56,574,567 $48,735,941 $9,366,683
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<CAPTION>
JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Growth
Emerging Total Internation
& Income
Appreciation Growth Return Equity
Liabilities Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ----------------------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Aggregate exercise cost of financial
futures-long position........................ --
- -- -- -- --
Payable for investment securities purchased.... 1,246,347
122,500 527,915 352,500 383,187
Payable for Portfolio shares redeemed.......... 17,835
- -- --
Call option written, at value
(Premiums received $44,274) (Note 1)
See accompanying schedule.................... --
- -- -- 44,375 --
Forward foreign exchange contracts to sell,
at value (Contract cost $8,126,474) (Note 1)
See accompanying schedule.................... --
- -- -- -- --
Payable for forward foreign exchange
contracts to buy............................. --
- -- -- -- --
Transfer agent fees payable (Note 2)........... 3,000
3,500 3,000 3,000 3,000
Payable to affiliated agents................... 8,571
15,199 -- -- --
Organization costs payable (Note 6)............ --
- -- 16,323 16,323 16,323
Investment advisory fee payable (Note 2)....... 10,584
37,184 13,163 14,518 14,566
Administration fee payable (Note 2)............ 4,705
13,521 3,510 5,314 9,693
Dividends payable.............................. --
- -- -- -- --
Accrued legal and audit fees .................. 8,817
22,946 6,129 3,435 3,931
Custodian fees payable (Note 2) ............... 2,993
3,279 13,669 6,668 23,206
Accrued Trustees' fees and expenses............ 143
160 1,681 1,681 1,681
Accrued registration and filing fee............ 1,460
19,242 2,936 4,086 6,698
Accrued expenses and other payables............ 1,295
4,019 600 600 600
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- --------------------------------------------------
Total liabilities ............................. 1,305,750
241,550 588,926 452,500 462,885
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- --------------------------------------------------
Net assets applicable to shares of
beneficial interest outstanding ............. $28,512,688
$81,557,986 $9,586,514 $15,328,394 $23,976,916
- ---------------------------------------------------------------------------
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</TABLE>
See accompanying Notes to Financial Statements.
6
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
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- -----
<TABLE>
<CAPTION>
JUNE 30, 1994 (UNAUDITED)
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- ------------------------------------------------------
Diversified
Money
Intermediate Strategic Equity Equity
Market High
Grade Income Income Index
Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
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- ---------------------------------------------------------------------------
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<S> <C> <C>
<C> <C> <C>
Net Assets Represented by
- ---------------------------------------------------------------------------
- -------------------------------------------------------
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Shares of beneficial interest outstanding
authorized unlimited number of
shares of $.001 par value......................... $8,464
$1,330 $5,986 $4,890 $839
Additional paid-in capital ......................... 8,455,057
13,794,521 59,066,328 54,164,796 9,219,215
Accumulated net realized gain/(loss)
on securities, futures contracts,
forward foreign exchange contracts, written
options and foreign currency transactions........ --
(385,757) (734,412) (1,163,949) (12,254)
Undistributed net investment income/(distributions
in excess of net investment income).............. --
132,917 128,832 433,555 89,293
Net unrealized appreciation/(depreciation) of
securities, futures contracts, forward foreign
exchange contracts, written options, foreign
currency transactions and net other assets....... --
(413,779) (1,892,167) (4,703,351) 69,590)
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Total-representing net assets applicable
to shares of beneficial interest
outstanding ..................................... $8,463,521
$13,129,232 $56,574,567 $48,735,941 $9,366,683
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Total number of shares
of beneficial interest outstanding............... 8,463,521
1,330,130 5,985,863 4,889,502 839,281
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Net asset value, offering and redemption
price per share of beneficial interest
outstanding...................................... $1.00
$9.87 $9.45 $9.97 $11.16
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<CAPTION>
JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- -------------------------------------------------------
- ---------------------------------------------------------------------------
- -------------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Net Assets Represented by
- ---------------------------------------------------------------------------
- -------------------------------------------------------
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Shares of beneficial interest outstanding
authorized unlimited number of
shares of $.001 par value......................... $2,660
$7,172 $1,043 $1,383 $2,582
Additional paid-in capital ......................... 28,485,257
76,914,541 10,703,649 14,693,166 25,262,232
Accumulated net realized gain/(loss)
on securities, futures contracts,
forward foreign exchange contracts, written
options and foreign currency transactions........ (98,557)
1,157,479 (732,252) 440,262 (215,835)
Undistributed net investment income/(distributions
in excess of net investment income).............. 39,218
670,830 (10,002) 37,011 94,582
Net unrealized appreciation/(depreciation) of
securities, futures contracts, forward foreign
exchange contracts, written options, foreign
currency transactions and net other assets....... 84,110
2,807,964 (375,924) 156,572 (1,166,645)
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Total-representing net assets applicable
to shares of beneficial interest
outstanding ..................................... $28,512,688
$81,557,986 $9,586,514 $15,328,394 $23,976,916
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Total number of shares
of beneficial interest outstanding............... 2,659,659
7,171,713 1,042,986 1,382,556 2,582,475
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Net asset value, offering and redemption
price per share of beneficial interest
outstanding...................................... $10.72
$11.37 $9.19 $11.09 $9.28
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<FN>
(a) Currency cost basis was $2,345,920 and $198,073 for the Diversified
Strategic Income and International Equity Portfolios, respectively.
</TABLE>
See accompanying Notes to Financial Statements.
7
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
STATEMENTS OF OPERATIONS
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30, 1994 (UNAUDITED)
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- ------------------------------------------------
Diversified
Money
Intermediate Strategic Equity Equity
Market High Grade
Income Income Index
Portfolio Portfolio
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Income:
Dividends (net of withholding taxes) (a) -- --
$52,656 $1,257,196 $104,208
Interest ..................................... 99,300 400,075
1,876,002 376,030 29,683
- ---------------------------------------------------------------------------
- ------------------------------------------------
Total income ................................. 99,300 400,075
1,928,658 1,633,226 133,891
- ---------------------------------------------------------------------------
- ------------------------------------------------
Expenses:
Investment advisory fee (Note 2).............. 8,000 22,025
110,454 117,404 17,840
Administration fee (Note 2)................... 5,334 11,012
49,091 52,179 8,921
Custodian fees (Note 2) ...................... 6,797 5,921
35,568 12,098 22,230
Transfer agent fees (Note 2) ................. 2,231 1,940
1,466 838 2,011
Audit fees ................................... 5,553 6,800
10,066 12,071 5,016
Legal fees ................................... 7,326 7,326
7,326 7,326 7,326
Registration and filing fees.................. 2,376 2,039
7,888 4,758 1,058
Trustees' fees and expenses (Note 2).......... 1,681 1,681
1,681 1,681 1,681
Amortization of organization costs (note 6)... 3,023 3,022
3,121 3,121 3,051
Other expenses................................ 50 1,305
9,052 1,716 94
- ---------------------------------------------------------------------------
- ------------------------------------------------
Total expenses before reimbursements
and waivers ................................ 42,371 63,071
235,713 213,192 69,228
Expense reimbursements and
fee waivers (Note 2) ...................... (22,370) (16,348)
- -- (24,642)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Total expenses ............................... 20,001 46,723
235,713 213,192 44,586
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net investment income/(loss).................. 79,299 353,352
1,692,945 1,420,034 89,305
- ---------------------------------------------------------------------------
- ------------------------------------------------
Realized and unrealized gain/(loss) on
investments (Notes 1 and 3):
Net realized gain/loss on:
Securities transactions..................... -- (385,691)
(549,500) (1,164,156) (60)
Futures contracts........................... -- --
- -- -- (8,536)
Written options............................. -- --
- -- -- --
Forward foreign exchange contracts and
foreign currency transactions.............. -- --
(214,783) -- --
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net realized gain/(loss) on investments....... -- (385,691)
(764,283) (1,164,156) (8,596)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net change in unrealized appreciation/
(depreciation) of:
Securities ................................. -- (411,961)
(2,310,675) (6,742,290) (353,345)
Written options............................. -- --
- -- -- --
Forward foreign exchange contracts.......... -- --
(292,239) --
Futures contracts........................... -- --
- -- -- (71,775)
Currencies and net other assets............. -- --
79,117 -- --
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net unrealized gain/(loss) on investments..... -- (411,961)
(2,523,797) (6,742,290) (425,120)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net realized and unrealized gain/(loss)
on investments ............................. -- (797,652)
(3,288,080) (7,906,446) (433,716)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net increase/(decrease) in net assets
resulting from operations .................. $79,299 ($444,300)
($1,595,135) ($6,486,412) ($344,411)
- ---------------------------------------------------------------------------
- ------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
Portfolio Portfolio
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Income:
Dividends (net of withholding taxes) (a)...... $350,672 $809,334
$15,179 $140,600 $145,511
Interest ..................................... 120,175 183,300
17,084 48,487 58,582
- ---------------------------------------------------------------------------
- ------------------------------------------------
Total income ................................. 470,847 992,634
32,263 189,087 204,093
- ---------------------------------------------------------------------------
- ------------------------------------------------
Expenses:
Investment advisory fee (Note 2).............. 59,916 214,642
26,414 24,335 71,602
Administration fee (Note 2)................... 26,629 78,051
7,044 8,850 16,847
Custodian fees (Note 2) ...................... 10,745 6,678
13,118 8,523 31,570
Transfer agent fees (Note 2) ................. 1,168 215
2,952 3,091 3,004
Audit fees ................................... 7,637 7,170
4,430 1,764 2,269
Legal fees ................................... 7,326 7,326
2,182 2,223 2,236
Registration and filing fees.................. 2,218 1,000
3,694 4,844 7,457
Trustees' fees and expenses (Note 2).......... 1,681 1,681
1,681 1,681 1,681
Amortization of organization costs (note 6) 3,059 3,343
3,250 3,250 3,250
Other expenses................................ 1,704 97
530 563 957
- ---------------------------------------------------------------------------
- ------------------------------------------------
Total expenses before reimbursements
and waivers ................................ 122,083 320,203
65,295 59,124 140,873
Expense reimbursements and
fee waivers (Note 2) ...................... -- --
(23,032) (14,878) (31,362)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Total expenses ............................... 122,083 320,203
42,263 44,246 109,511
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net investment income/(loss).................. 348,764 672,431
(10,000) 144,841 94,582
- ---------------------------------------------------------------------------
- ------------------------------------------------
Realized and unrealized gain/(loss) on
investments (Notes 1 and 3):
Net realized gain/loss on:
Securities transactions..................... (17,799) 2,191,845
(731,109) 406,634 (84,818)
Futures contracts........................... -- --
- -- -- --
Written options............................. -- --
- -- 33,628 --
Forward foreign exchange contracts and
foreign currency transactions.............. -- --
- -- -- (131,017)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net realized gain/(loss) on investments....... (17,799) 2,191,845
(731,109) 440,262 (215,835)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net change in unrealized appreciation/
(depreciation) of:
Securities ................................. (1,600,919) (4,886,648)
(442,932) 117,283 (1,194,202)
Written options............................. -- --
- -- (101) --
Forward foreign exchange contracts.......... -- --
- -- -- 4,903
Futures contracts........................... -- --
- -- -- --
Currencies and net other assets............. 72 --
- -- -- (4,723)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net unrealized gain/(loss) on investments..... (1,600,847) (4,886,648)
(442,932) 117,182 (1,194,022)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net realized and unrealized gain/(loss)
on investments ............................. (1,618,646) (2,694,803)
(1,174,041) 557,444 (1,409,857)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Net increase/(decrease) in net assets
resulting from operations .................. ($1,269,882) ($2,022,372)
($1,184,041) $702,285 ($1,315,275)
- ---------------------------------------------------------------------------
- ------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------
<FN>
(a) The Equity Index, Growth & Income, Appreciation and International
Equity
Portfolios had dividend withholding taxes of $297, $3,182, $3,507 and
$19,531, respectively.
</TABLE>
See accompanying Notes to Financial Statements.
8
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Diversified
Money
Intermediate Strategic Equity Equity
Market
High Grade Income Income Index
Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- --------------------------------------------------------
- ---------------------------------------------------------------------------
- --------------------------------------------------------
<S> <C>
<C> <C> <C> <C>
Net investment income/(loss)............................. $79,299
$353,352 $1,692,945 $1,420,034 $89,305
Net realized gain/(loss) on securities
futures contracts, forward foreign
exchange contracts, written options and foreign
currency transactions during the period............... --
(385,691) (764,283) (1,164,156) (8,596)
Net unrealized appreciation/(depreciation)
of securities, forward foreign exchange
contracts, futures contracts, written options,
currencies and net other assets during the period..... --
(411,961) (2,523,797) (6,742,290) (425,120)
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Net increase/(decrease) in net assets
resulting from operations ............................. 79,299
(444,300) (1,595,135) (6,486,412) (344,411)
Dividends from net investment income..................... (79,299)
(340,197) (1,564,113) (1,213,951) (111,770)
Distributions from net realized capital gains............ --
(96,590) -- (117,462) (111,695)
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales ..................................... 7,606,042
4,291,570 15,834,208 2,588,174 1,434,993
Reinvested distributions, at net asset value............. 69,474
436,787 1,564,112 1,331,413 223,465
Payments for redemptions ................................ (2,914,683)
(577,178) (908,920) (7,525,779) (566,004)
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Increase/(decrease) in net assets from shares
of beneficial interest transactions................... 4,760,833
4,151,179 16,489,400 (3,606,192) 1,092,454
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Total increase/(decrease) in net assets.................. 4,760,833
3,270,092 13,330,152 (11,424,017) 524,578
Net assets at beginning of period........................ 3,702,688
9,859,140 43,244,415 60,159,958 8,842,105
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Net assets, at end of period (including
undistributed net investment income/
(distributions in excess of net investment income)
of $0; $132,917; $128,832; $433,555;
$89,293; $39,218; $670,830; ($10,002);
$37,011 and $94,582, respectively...................... $8,463,521
$13,129,232 $56,574,567 $48,735,941 $9,366,683
- ---------------------------------------------------------------------------
- -------------------------------------------------------
- ---------------------------------------------------------------------------
- -------------------------------------------------------
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- --------------------------------------------------------
- ---------------------------------------------------------------------------
- --------------------------------------------------------
<S> <C>
<C> <C> <C> <C>
Net investment income/(loss)............................. $348,764
$672,431 ($10,000) $144,841 $94,582
Net realized gain/(loss) on securities
futures contracts, forward foreign
exchange contracts, written options and foreign
currency transactions during the period............... (17,799)
2,191,845 (731,109) 440,262 (215,835)
Net unrealized appreciation/(depreciation)
of securities, forward foreign exchange
contracts, futures contracts, written options,
currencies and net other assets during the period..... (1,600,847)
(4,886,648) (442,932) 117,182 (1,194,022)
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Net increase/(decrease) in net assets
resulting from operations ............................. (1,269,882)
(2,022,372) (1,184,041) 702,285 (1,315,275)
Dividends from net investment income..................... (339,841)
(893,799) (897) (109,559) --
Distributions from net realized capital gains............ --
- -- -- -- --
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales ..................................... 5,147,606
8,481,130 8,813,831 11,974,643 19,891,609
Reinvested distributions, at net asset value............. 339,842
893,799 897 109,559 --
Payments for redemptions ................................ (913,565)
(2,741,933) (300,744) (125,703) (466,327)
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Increase/(decrease) in net assets from shares
of beneficial interest transactions................... 4,573,883
6,632,996 8,513,984 11,958,499 19,425,282
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Total increase/(decrease) in net assets.................. 2,964,160
3,716,825 7,329,046 12,551,225 18,110,007
Net assets at beginning of period........................ 25,548,528
77,841,161 2,257,468 2,777,169 5,866,909
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Net assets, at end of period (including
undistributed net investment income/
(distributions in excess of net investment income)
of $0; $132,917; $128,832; $433,555;
$89,293; $39,218; $670,830; ($10,002);
$37,011 and $94,582, respectively...................... $28,512,688
$81,557,986 $9,586,514 $15,328,394 $23,976,916
- ---------------------------------------------------------------------------
- --------------------------------------------------------
- ---------------------------------------------------------------------------
- --------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
9
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
FOR THE YEAR ENDED DECEMBER 31, 1993
- ---------------------------------------------------------------------------
- ------------------------------------------------------
Diversified
Money
Intermediate Strategic Equity Equity
Market
High Grade Income Income Index
Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Net investment income/(loss) ........................... $59,637
$337,758 $2,120,233 $2,084,229 $112,931
Net realized gain/(loss) on securities
futures contracts, written options, forward
foreign exchange contracts and foreign
currency transactions during the period.............. --
96,571 (6,325) 117,669 113,540
Net unrealized appreciation/(depreciation)
of securities, forward foreign exchange
contracts, futures contracts, currencies
and net other assets during the period............... --
(5,304) 1,183,331 821,881 295,138
- ---------------------------------------------------------------------------
- ------------------------------------------------------
Net increase in net assets
resulting from operations ............................ 59,637
429,025 3,297,239 3,023,779 521,609
Dividends from net invesment income..................... (59,637)
(218,080) (1,827,578) (1,864,027) (71,439)
Distributions from net realized capital gains........... --
(31,565) (126,471) (38,208) (55,587)
Distributions in excess of realized gains............... --
- -- (157,267) -- --
Distributions from capital.............................. --
- -- (18,540) -- --
- ---------------------------------------------------------------------------
- ------------------------------------------------------
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales .................................... 4,216,138
6,320,318 21,770,932 33,156,315 4,842,485
Reinvested distributions, at net asset value............ 55,327
249,645 2,129,857 1,902,234 127,026
Payments for redemptions ............................... (2,676,898)
(510,783) (1,814,878) (2,005,394) (699,836)
- ---------------------------------------------------------------------------
- ------------------------------------------------------
Increase in net assets from shares
of beneficial interest transactions.................. 1,594,567
6,059,180 22,085,911 33,053,155 4,269,675
- ---------------------------------------------------------------------------
- ------------------------------------------------------
Total increase in net assets ........................... 1,594,567
6,238,560 23,253,294 34,174,699 4,664,258
Net assets at beginning of year......................... 2,108,121
3,620,580 19,991,121 25,985,259 4,177,847
- ---------------------------------------------------------------------------
- ------------------------------------------------------
Net assets at end of period (including
undistributed net investment income
(distributions in excess of net investment income
of $0; $119,762; $0; $227,472;
$111,758; $30,295; $892,198; $895;
$1,729 and $0, respectively) ......................... $3,702,688
$9,859,140 $43,244,415 $60,159,958 $8,842,105
- ---------------------------------------------------------------------------
- ------------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------------
<CAPTION>
FOR THE YEAR ENDED DECEMBER 31, 1993
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
Portfolio
Portfolio Portfolio* Portfolio* Portfolio
- ---------------------------------------------------------------------------
- --------------------------------------------------------
- ---------------------------------------------------------------------------
- --------------------------------------------------------
<S> <C>
<C> <C> <C> <C>
Net investment income/(loss) ........................... $476,532
$896,652 $895 $1,729 ($1,019)
Net realized gain/(loss) on securities
futures contracts, written options, forward
foreign exchange contracts and foreign
currency transactions during the period.............. (80,758)
(501,876) (1,143) -- (1,629)
Net unrealized appreciation/(depreciation)
of securities, forward foreign exchange
contracts, futures contracts, currencies
and net other assets during the period............... 1,276,241
4,310,589 67,008 39,390 27,377
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Net increase in net assets
resulting from operations ............................ 1,672,015
4,705,365 66,760 41,119 24,729
Dividends from net invesment income..................... (446,237)
(579,472) -- -- --
Distributions from net realized capital gains........... --
- -- -- -- --
Distributions in excess of realized gains............... (38,122)
- -- -- -- --
Distributions from capital.............................. --
- -- -- -- --
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales .................................... 13,336,475
22,133,876 2,190,708 2,736,050 5,842,180
Reinvested distributions, at net asset value............ 484,359
579,472 -- -- --
Payments for redemptions ............................... (410,728)
(2,447,740) -- -- --
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Increase in net assets from shares
of beneficial interest transactions.................. 13,410,106
20,265,608 2,190,708 2,736,050 5,842,180
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Total increase in net assets ........................... 14,597,762
24,391,501 2,257,468 2,777,169 5,866,909
Net assets at beginning of year......................... 10,950,766
53,449,660 -- -- --
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Net assets at end of period (including
undistributed net investment income
(distributions in excess of net investment income
of $0; $119,762; $0; $227,472;
$111,758; $30,295; $892,198; $895;
$1,729 and $0, respectively) ......................... $25,548,528
$77,841,161 $2,257,468 $2,777,169 $5,866,909
- ---------------------------------------------------------------------------
- --------------------------------------------------------
- ---------------------------------------------------------------------------
- --------------------------------------------------------
<FN>
* The Portfolios commenced operations on December 3, 1993.
</TABLE>
See accompanying Notes to Financial Statements.
10
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Smith Barney Shearson Series Fund (the "Fund") was organized under the laws
of
the Commonwealth of Massachusetts on May 13, 1991 and commenced operations
on
October 16, 1991. The Fund is registered under the Investment Company Act
of
1940, as amended, as a diversified, open-end management investment company
established as a Massachusetts business trust. As of the date of this
report,
the Fund offers ten managed investment portfolios (the "Portfolios"):
Money
Market Portfolio, Intermediate High Grade Portfolio, Diversified Strategic
Income Portfolio, Equity Income Portfolio, Equity Index Portfolio, Growth &
Income Portfolio, Appreciation Portfolio, Emerging Growth Portfolio, Total
Return Portfolio and International Equity Portfolio. Shares of the Fund
can be
bought through investing in a Symphony Annuity (the "Annuity"), and
individual
flexible premium deferred combination fixed and variable annuity contract
from
IDS Life Insurance Company ("IDS Life") or a certificate evidencing your
interest in a master group, flexible premium deferred annuity from IDS Life
Insurance Company of New York ("IDS Life of New York"). Net purchase
payments
for the Annuity are allocated to one or more of the ten subaccounts of the
IDS
Life Account or the IDS Life of New York Account (the "Variable Accounts").
The
following is a summary of significant accounting policies consistently
followed
by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION:
Generally, a Portfolio's investments are valued at market value or, in the
absence of a market value with respect to any portfolio securities, at fair
value as determined by or under the direction of the Fund's Board of
Trustees.
A security that is primarily traded on a U.S. or foreign exchange
(including
securities traded through the National Market System) is valued at the last
sale
price on that exchange or, if there were no sales during the day, at
current
quoted bid price. Portfolio securities that are primarily traded on
foreign
exchanges are generally valued at the preceding closing values of such
securities on their respective exchanges, except that when an occurrence
subsequent to the time a value was so established is likely to have changed
the
value, then the fair value of those securities will be determined by
consideration of other factors by or under the direction of the Board of
Trustees or its delegates. Over-the-counter securities that are not traded
through the National Market System and securities listed or traded on
certain
foreign exchanges whose operations are similar to the U.S. over-the-counter
market are valued on the basis of the bid price at the close of business on
each
day. Investments in U.S. Government securities (other than short-term
securities) are valued at the average of the quoted bid and asked prices in
the
over-the-counter market. The value of a futures contract equals the
unrealized
gain or loss on the contract, which is determined by marking the contract
to the
current settlement price for a like contract acquired on the day on which
the
futures contract is being valued.
Short-term investments that mature in 60 days or less and securities of the
Money Market Portfolio are valued at amortized cost when the Board of
Trustees
determines that this constitutes fair value. Amortized cost valuation
involves
valuing a portfolio instrument at its cost initially and thereafter,
assuming a
constant amortization to maturity of any discount or premium, regardless of
the
impact of fluctuating interest rates on the market value of the instrument.
The
Money Market Portfolio attempts to maintain a constant net asset value of
$1.00
per share.
FUTURES CONTRACTS (INTERMEDIATE HIGH GRADE, DIVERSIFIED STRATEGIC INCOME,
EQUITY
INCOME, EQUITY INDEX, GROWTH & INCOME, EMERGING GROWTH, TOTAL RETURN AND
INTERNATIONAL EQUITY PORTFOLIOS):
Upon entering into a futures contract, the Portfolio is required to deposit
with
the broker an amount of cash or cash equivalents equal to a certain
percentage
of the contract amount. This is known as the "initial margin." Subsequent
payments ("variation margin") are made or received by the Portfolio each
day,
depending on the daily fluctuation of the value of the contract.
For financial statement purposes, an amount equal to the settlement amount
of
the contract is included in the Portfolio's Statement of Assets and
Liabilities
as an asset and as an equivalent liability. For long futures positions,
the
asset is marked-to-market daily; for short futures positions, the liability
is
marked-to-market daily. The daily changes in the contract are recorded as
unrealized gains or losses. The Portfolio recognizes a realized gain or
loss
when the contract is closed.
There are several risks in connection with the use of futures contracts as
a
hedging device. The change in value of futures contracts primarily
corresponds
with the value of their underlying instruments, which may not correlate
with the
change in value of the hedged investments. In addition, there is the risk
the
Portfolio may not be able to enter into a closing transaction because of an
illiquid secondary market.
11
<PAGE>
FOREIGN CURRENCY (DIVERSIFIED STRATEGIC INCOME, INTERNATIONAL EQUITY AND
EMERGING GROWTH PORTFOLIOS):
The books and records of the Portfolio are maintained in United States
(U.S.)
dollars. Foreign currencies, investments and other assets and liabilities
are
translated into U.S. dollars at the exchange rates prevailing at the end of
the
period, and purchases and sales of investment securities, income and
expenses
are translated on the respective dates of such transactions. Unrealized
gains
and losses which result from changes in foreign currency exchange rates
have
been included in the unrealized appreciation/(depreciation) of investments
and
net other assets. Net realized foreign currency gains and losses resulting
from
changes in exchange rates include foreign currency gains and losses between
trade date and settlement date on investment securities transactions,
foreign
currency transactions and the difference between the amounts of interest
and
dividends recorded on the books of the Portfolio and the amount actually
received. The portion of foreign currency gains and losses related to
fluctuation in exchange rates between the initial purchase trade date and
subsequent sale trade date is included in realized gains and losses on
investment securities sold.
FORWARD FOREIGN CURRENCY CONTRACTS (DIVERSIFIED STRATEGIC INCOME,
INTERNATIONAL
EQUITY AND EMERGING GROWTH PORTFOLIOS):
Forward foreign currency contracts are valued at the forward rate and are
marked-to-market daily. The change in market value is recorded by the
Portfolio
as an unrealized gain or loss. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the value
of the
contract at cost and the value at the time that it was closed.
The use of forward currency contracts does not eliminate fluctuations in
the
underlying prices of the Portfolio's investment securities, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts limit the risk of loss due to a decline
in
the value of the hedged currency, they also limit any potential gain that
might
result should the value of the currency increase. In addition, the
Portfolio
could be exposed to risks if the counterparties to the contracts are unable
to
meet the terms of their contracts.
OPTION CONTRACTS: (ALL PORTFOLIOS WITH THE EXCEPTION OF MONEY MARKET
PORTFOLIO):
Upon the purchase of a put option or a call option by the Portfolio, the
premium
paid is recorded as an investment, the value of which is marked-to-market
daily.
When a purchased option expires, the Portfolio will realize a loss in the
amount
of the cost of the option. When the Portfolio enters into a closing sale
transaction, the Portfolio will realize a gain or loss depending on whether
the
sales proceeds from the closing sale transaction are greater or less than
the
cost of the option. When the Portfolio exercises a put option, it will
realize
a gain or loss from the sale of the underlying security and the proceeds
from
such sale will be decreased by the premium originally paid. When the
Portfolio
exercises a call option, the cost of the security which the Portfolio
purchases
upon exercise will be increased by the premium originally paid.
When a Portfolio writes a call option or a put option, an amount equal to
the
premium received by the Portfolio is recorded as a liability, the value of
which
is marked-to-market daily. When a written option expires, the Portfolio
realizes a gain equal to the amount of the premium received. When the
Portfolio
enters into a closing purchase transaction, the Portfolio realizes a gain
(or
loss if the cost of the closing purchase transaction exceeds the premium
received when the option was sold) without regard to any unrealized gain or
loss
on the underlying security, and the liability related to such option is
eliminated. When a call option is exercised, the Portfolio realizes a gain
or
loss from the sale of the underlying security and the proceeds from such
sale
are increased by the premium originally received. When a put option is
exercised, the amount of the premium originally received will reduce the
cost of
the security which the Portfolio purchased upon exercise.
The risk associated with purchasing options is limited to the premium
originally
paid. The risk in writing a call option is the Portfolio may forego the
opportunity of profit if the market price of the underlying security
increases
and the option is exercised. The risk in writing a put option is that the
Portfolio may incur a loss if the market price of the underlying security
decreases and the option is exercised. In addition, there is the risk the
Portfolio may not be able to enter into a closing transaction because of an
illiquid secondary market.
12
<PAGE>
REPURCHASE AGREEMENTS (ALL PORTFOLIOS):
The Portfolios may engage in repurchase agreement transactions. Under the
terms
of a typical repurchase agreement, the Portfolio takes possession of an
underlying debt obligation, subject to an obligation of the seller to
repurchase, and the Portfolio to resell, the obligation at an agreed upon
price
and time, thereby determining the yield during the Portfolio's holding
period.
This arrangement results in a fixed rate of return that is not subject to
market
fluctuations during the Portfolio's holding period. The value of the
collateral
is at least equal at all times to the total amount of the repurchase
obligations, including interest. In the event of counterparty default, the
Portfolio has the right to use the collateral to offset losses incurred.
There
is potential loss to the Portfolio in the event the Portfolio is delayed or
was
prevented from exercising its rights to dispose of the collateral
securities
including the risk of a possible decline in the value of the underlying
securities during the period while the Portfolio seeks to assert its
rights.
The Portfolio's investment adviser, acting under the supervision of the
Board of
Trustees, reviews the value of the collateral and the creditworthiness of
those
banks and dealers with which the Portfolio enters into repurchase
agreements to
evaluate potential risks.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME:
Securities transactions are recorded as of the trade date. Realized gains
and
losses from securities sold are recorded on the identified cost basis.
Dividend
income and distributions to shareholders are recorded on the ex-dividend
date.
Interest income is recorded on the accrual basis.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income, if any, of the Money Market,
Intermediate
High Grade, Diversified Strategic Income, Equity Income and Total Return
Portfolios are distributed monthly. Dividends from net investment income,
if
any, of the Growth & Income Portfolio are distributed quarterly. Dividends
from
net investment income, if any, of the Equity Index, Appreciation, Emerging
Growth and International Equity Portfolios are distributed annually. Any
net
realized capital gains will be declared and distributed annually, shortly
after
the close of the fiscal year in which they are earned. Such distributions
are
reinvested in additional full and fractional shares of the relevant
Portfolio.
Income distributions and capital gain distributions are determined in
accordance
with income tax regulations which may differ from generally accepted
accounting
principles. The differences are primarily due to differing treatments of
income
and gains on various investment securities held by each Portfolio, timing
differences and differing characterization of distributions made by the
Portfolio as a whole.
FEDERAL INCOME TAXES:
The Fund intends that each Portfolio separately qualify as a regulated
investment company by complying with the requirements of the Internal
Revenue
Code of 1986, as amended, applicable to regulated investment companies and
by
distributing all of its taxable income to its shareholders. Therefore, no
Federal income tax provision is required.
2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS
The Money Market Portfolio, Intermediate High Grade Portfolio, Diversified
Strategic Income Portfolio, Equity Income Portfolio and Growth & Income
Portfolio have each entered into an investment advisory agreement (the
"Advisory
Agreement") with Greenwich Street Advisors, a division of Mutual Management
Corp., which is controlled by Smith Barney Holdings Inc. ("Holdings").
Holdings
is a wholly owned subsidiary of The Travelers Inc. ("Travelers"). Under
the
Advisory Agreement, the Money Market Portfolio, Intermediate High Grade
Portfolio, Diversified Strategic Income Portfolio, Equity Income Portfolio
and
Growth & Income Portfolio each pays a monthly fee at the annual rates of
0.30%,
0.40%, 0.45%, 0.45% and 0.45%, respectively, of the value of their average
daily
net assets.
The Appreciation Portfolio and Total Return Portfolio have entered into
investment advisory agreements with Smith Barney Asset Management ("SBAM"),
a
division of Smith, Barney Advisers, Inc. ("SBA"), which is controlled by
Holdings. Under the
13
<PAGE>
investment advisory agreements, the Portfolios pay a monthly fee at the
annual
rate of 0.55% and 0.55%, respectively, of the value of their average daily
net
assets.
The Equity Index Portfolio has entered into an investment advisory
agreement
with PanAgora Asset Management Inc. ("PanAgora"). PanAgora is 50% owned by
Nippon Life Insurance Company and 50% is owned by Lehman Brothers Inc..
Under
the investment advisory agreement, the Equity Index Portfolio pays a
monthly fee
at the annual rate of 0.40% of the value of its average daily net assets.
The International Equity Portfolio has entered into an investment advisory
agreement with SBA. Under the investment advisory agreement, the
International
Equity Portfolio pays a monthly fee at the annual rate of 0.85% of the
value of
its average daily net assets.
The Emerging Growth Portfolio has entered into an investment advisory
agreement
with American Capital Asset Management, Inc. Under the investment advisory
agreement, the Emerging Growth Portfolio pays a monthly fee at the annual
rate
of 0.75% of the value of its average daily net assets.
Smith Barney Global Capital Management, Inc. ("SBGCA"), serves as sub-
investment
adviser to the Diversified Strategic Income Portfolio and is paid a monthly
fee
by Greenwich Street Advisors at an annual rate of 0.15% of the Portfolio's
average daily net assets. The Diversified Strategic Income Portfolio does
not
make any direct payments to SBGCA.
Prior to April 20, 1994, each Portfolio was party to an administration
agreement
with The Boston Company Advisors, Inc. ("Boston Advisors"), an indirect
wholly
owned subsidiary of Mellon Bank Corporation ("Mellon"). Under the
agreements,
each Portfolio paid a monthly fee at the annual rate of 0.20% of the value
of
its average daily net assets.
As of the close of business on April 20, 1994, SBA succeeded Boston
Advisors as
each Portfolio's administrator. The new administration agreements contain
substantially the same terms and conditions, including the level of fees as
the
predecessor agreements.
As of the close of business on April 20, 1994, the Fund also entered into a
sub-
administration agreement (the "Sub-Administration Agreement") with Boston
Advisors. Under the Sub-Administration Agreement, Boston Advisors is paid
a
portion of the fee paid by the Fund to SBA at a rate agreed upon from time
to
time between SBA and Boston Advisors.
Boston Safe Deposit and Trust Company ("Boston Safe"), an indirect wholly
owned
subsidiary of Mellon, serves as the Fund's custodian. The Shareholder
Services
Group, Inc. ("TSSG"), a subsidiary of First Data Corporation, serves as the
Fund's transfer and dividend paying agent.
The agreements provide that if the aggregate expenses of a Portfolio
exclusive
of interest, taxes, brokerage expenses and extraordinary expenses, exceed
the
agreed upon limitation, the relevant investment adviser, SBGCA, SBA, Boston
Safe
and TSSG will, as appropriate, reduce their fees by one half the excess
expenses
in the proportion that their respective fees bear to the aggregate of such
fees
paid by the Portfolio and that IDS Life will bear one half of such excess
expenses.
14
<PAGE>
For the six months ended June 30, 1994, the investment advisers,
administrator,
transfer agent and custodian reimbursed and/or waived fees pursuant to the
above
agreements as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
- --------------------------------------------------
TOTAL
INVESTMENT BOSTON BOSTON
FEE WAIVERS
ADVISERS ADVISORS TSSG SAFE
<S> <C> <C>
<C> <C> <C>
Money Market Portfolio . . . . . . . . . . . . . . . $11,185
$4,031 $2,688 $1,260 $3,206
Intermediate High Grade Portfolio. . . . . . . . . . 8,174
4,388 2,194 498 1,094
Equity Index Portfolio . . . . . . . . . . . . . . . 12,321
4,477 2,238 627 4,979
Emerging Growth Portfolio. . . . . . . . . . . . . . 11,516
6,208 1,656 588 3,064
Total Return Portfolio . . . . . . . . . . . . . . . 7,439
4,111 1,495 422 1,411
International Equity Portfolio . . . . . . . . . . . 15,681
9,183 2,161 321 4,016
- ---------------------------------------------------------------------------
- --------------------------------------------------
</TABLE>
For the six months ended June 30, 1994, IDS Life reimbursed expenses
pursuant to
the above agreements as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
- ------------------
<S> <C>
Money Market Portfolio . . . . . . . . . . . . . . . .
$11,185
Intermediate High Grade Portfolio. . . . . . . . . . .
8,174
Equity Index Portfolio . . . . . . . . . . . . . . . .
12,321
Emerging Growth Portfolio. . . . . . . . . . . . . . .
11,516
Total Return Portfolio . . . . . . . . . . . . . . . .
7,439
International Equity Portfolio . . . . . . . . . . . .
15,681
- ---------------------------------------------------------------------------
- ------------------
</TABLE>
For the six months ended June 30, 1994, the Fund incurred total brokerage
commissions of $276,762 none of which was paid to Smith Barney.
At June 30, 1994, the Variable Accounts owned all of the outstanding shares
of
the ten portfolios as investment accounts for the Annuities offered by IDS
Life
and IDS Life of New York.
No officer, director or employee of Smith Barney, PanAgora or of any parent
or
subsidiary of those corporations receives any compensation from the Fund
for
serving as a Trustee or officer of the Fund. The Fund pays each Trustee
who is
not a director, officer or employee of Smith Barney or PanAgora or any of
their
affiliates $5,000 per annum plus $500 per meeting attended and reimburses
each
Trustee for travel and out-of-pocket expenses.
15
<PAGE>
3. PURCHASES AND SALES OF SECURITIES
Costs of purchases and proceeds from sales of securities, excluding short-
term
obligations, during the six months ended June 30, 1994 were as follows:
<TABLE>
<CAPTION>
DIVERSIFIED
INTERMEDIATE STRATEGIC
EQUITY EQUITY GROWTH
HIGH GRADE INCOME
INCOME INDEX & INCOME
PORTFOLIO PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------
<S> <C> <C> <C>
<C> <C>
PURCHASES:
GOV'T. SECURITIES $9,682,291 $6,827,814
- -- -- --
OTHER SECURITIES 3,657,162 19,995,763
$7,712,841 $136,147 $15,626,977
SALES:
GOV'T SECURITIES 7,942,366 4,927,408
- -- -- --
OTHER SECURITIES 1,123,592 12,751,148
9,377,630 26,206 11,399,358
- ---------------------------------------------------------------------------
- ---------------------------------------------
<CAPTION>
EMERGING
TOTAL INTERNATIONAL
APPRECIATION GROWTH
RETURN EQUITY
PORTFOLIO PORTFOLIO
PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------
<S> <C> <C> <C>
<C>
PURCHASES:
GOV'T. SECURITIES -- --
- -- --
OTHER SECURITIES $25,409,725 $9,300,037
$15,609,809 $23,093,645
SALES:
GOV'T SECURITIES -- --
- -- --
OTHER SECURITIES 21,638,773 1,642,307
6,794,244 248,756
- ---------------------------------------------------------------------------
- ---------------------------
</TABLE>
Option activity for Total Return Portfolio for the six months ended June
30,
1994 was as follows:
<TABLE>
<CAPTION>
NUMBER OF
PREMIUMS
OPTIONS
--------
- ---------
<S> <C>
<C>
Written options outstanding at December 31, 1993 . . . . . . 0
0
Written options during the period. . . . . . . . . . . . . . $115,067
280
Options cancelled in closing purchase transactions . . . . .
(70,793) (230)
- ---------------------------------------------------------------------------
- ---------------------
Written options outstanding at June 30, 1994 . . . . . . . . 44,274
50
- ---------------------------------------------------------------------------
- ---------------------
</TABLE>
4. SHARES OF BENEFICIAL INTEREST TRANSACTIONS
Transactions in shares of each Portfolio were as follows:
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
6/30/94
12/31/93
- ---------------------------------------------------------------------------
- ---------------------
<S> <C>
<C>
MONEY MARKET PORTFOLIO:
Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,606,042
4,216,138
Issued as reinvestment of distributions. . . . . . . . . . . 69,474
55,327
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
(2,914,683) (2,676,898)
----------
- ----------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . 4,760,833
1,594,567
---------
- ---------
---------
- ---------
- ---------------------------------------------------------------------------
- ---------------------
</TABLE>
16
<PAGE>
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
6/30/94
12/31/93*
- ---------------------------------------------------------------------------
- ---------------------
<S> <C>
<C>
INTERMEDIATE HIGH GRADE PORTFOLIO:
Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419,868
594,646
Issued as reinvestment of distributions. . . . . . . . . . . 43,082
23,455
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
(54,826) (48,017)
----------
- ----------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . 408,124
570,084
---------
- ---------
---------
- ---------
- ---------------------------------------------------------------------------
- ---------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO:
Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,624,640
2,183,374
Issued as reinvestment of distributions. . . . . . . . . . . 160,740
214,341
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
(93,796) (183,226)
----------
- ----------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . 1,691,584
2,214,489
---------
- ---------
---------
- ---------
- ---------------------------------------------------------------------------
- ---------------------
EQUITY INCOME PORTFOLIO:
Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 245,777
2,836,381
Issued as reinvestment of distributions. . . . . . . . . . . 125,606
162,501
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
(692,182) (172,201)
----------
- ----------
Net increase . . . . . . . . . . . . . . . . . . . . . . . .
(320,799) 2,826,681
---------
- ---------
---------
- ---------
- ---------------------------------------------------------------------------
- ---------------------
EQUITY INDEX PORTFOLIO:
Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124,392
420,506
Issued as reinvestment of distributions. . . . . . . . . . . 19,828
11,433
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
(47,811) (59,811)
----------
- ----------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . 96,409
372,128
---------
- ---------
---------
- ---------
- ---------------------------------------------------------------------------
- ---------------------
GROWTH & INCOME PORTFOLIO:
Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 463,888
1,214,676
Issued as reinvestment of distributions. . . . . . . . . . . 31,029
43,827
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
(81,715) (37,111)
----------
- ----------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . 413,202
1,221,392
---------
- ---------
---------
- ---------
- ---------------------------------------------------------------------------
- ---------------------
17
<PAGE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
6/30/94
12/31/93*
- ---------------------------------------------------------------------------
- ---------------------
<S> <C>
<C>
APPRECIATION PORTFOLIO:
Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 730,838
1,952,237
Issued as reinvestment of distributions. . . . . . . . . . . 78,610
52,441
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . 231,658
(213,912)
----------
- ----------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . 577,790
1,790,766
---------
- ---------
---------
- ---------
- ---------------------------------------------------------------------------
- ---------------------
EMERGING GROWTH PORTFOLIO:
Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 856,398
216,901
Issued as reinvestment of distributions. . . . . . . . . . . 88
- --
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
(30,401) --
----------
- ----------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . 826,085
216,901
---------
- ---------
---------
- ---------
- ---------------------------------------------------------------------------
- ---------------------
TOTAL RETURN PORTFOLIO:
Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,114,702
269,587
Issued as reinvestment of distributions. . . . . . . . . . . 10,028
- --
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
(11,761) --
----------
- ----------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . 1,112,969
269,587
---------
- ---------
---------
- ---------
- ---------------------------------------------------------------------------
- ---------------------
INTERNATIONAL EQUITY PORTFOLIO:
Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,048,316
583,970
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
(49,811) --
----------
- ----------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . 1,998,505
583,970
---------
- ---------
---------
- ---------
- ---------------------------------------------------------------------------
- ---------------------
<FN>
*The Emerging Growth, Total Return and International Equity Portfolios
commenced
operating on December 3, 1993.
</TABLE>
18
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
- ---------------------------------------------------------------------------
- ---
5. FINANCIAL HIGHLIGHT INFORMATION
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Diversified
Money
Intermediate Strategic Equity Equity
Market High
Grade Income Income Index
Portfolio
Portfolio# Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- --------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Net asset value, beginning of period................. $1.000
$10.69 $10.07 $11.55 $11.90
Net income from investment operations:
Net investment income **............................. 0.014
0.33 0.33 0.29 0.11
Net realized and unrealized
gain/(loss) on investments ........................ --
(0.75) (0.64) (1.60) (0.55)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total from investment operations..................... 0.014
(0.42) (0.31) (1.31) (0.44)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Less distributions:
Dividends from net investment income.............. (0.014)
(0.31) (0.31) (0.25) (0.15)
Distributions from capital gains.................. --
(0.09) -- (0.02) (0.15)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total distributions.................................. (0.014)
(0.40) (0.31) (0.27) (0.30)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Net asset value, end of period....................... $1.000
$9.87 $9.45 $9.97 $11.16
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total return +....................................... 1.42%
(3.93)% (3.18)% (11.44)% (3.72)%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Ratios to average net assets/
supplemental data (annualized):
Net assets, end of period (000's).................... $8,464
$13,129 $56,575 $48,736 $9,367
Ratio of operating expenses to
average net assets ++................................ 0.75%
0.85% 0.96% 0.82% 1.00%
Ratio of net investment income/(loss) to
average net assets................................... 2.97%
6.42% 6.90% 5.44% 2.00%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Portfolio turnover rate ............................. 0%
85% 41% 15% 35%
- ---------------------------------------------------------------------------
- --------------------------------------------------
- ---------------------------------------------------------------------------
- --------------------------------------------------
<CAPTION>
Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- --------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Net asset value, beginning of period................. $11.37
$11.80 $10.41 $10.30 $10.05
Net income from investment operations:
Net investment income **............................. 0.14
0.09 (0.01) 0.14 0.04
Net realized and unrealized
gain/(loss) on investments ........................ (0.65)
(0.38) (1.21) 0.77 (0.81)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total from investment operations..................... (0.51)
(0.29) (1.22) 0.91 (0.77)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Less distributions:
Dividends from net investment income.............. (0.14)
(0.14) 0.00*** (0.12) --
Distributions from capital gains.................. --
- -- -- -- --
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total distributions.................................. (0.14)
(0.14) 0.00 (0.12) --
- ---------------------------------------------------------------------------
- --------------------------------------------------
Net asset value, end of period....................... $10.72
$11.37 $9.19 $11.09 $9.28
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total return +....................................... (4.53)%
(2.58)% (11.71)% 8.71% (7.66)%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Ratios to average net assets/
supplemental data (annualized):
Net assets, end of period (000's).................... $28,513
$81,558 $9,587 $15,328 $23,977
Ratio of operating expenses to
average net assets ++................................ 0.92%
0.82% 1.20% 1.00% 1.30%
Ratio of net investment income/(loss) to
average net assets................................... 2.62%
1.72% (0.28)% 3.27% 1.12%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Portfolio turnover rate ............................. 45%
32% 25% 107% 2%
- ---------------------------------------------------------------------------
- --------------------------------------------------
- ---------------------------------------------------------------------------
- --------------------------------------------------
<FN>
** Net investment income before waiver of fees and reimbursement of
expenses by investment adviser and/or custodian and/or transfer
agents
and IDS were:
$0.010, $0.310, N/A, N/A, $0.08, N/A, N/A, ($0.04), $0.13 and $0.02,
respectively, for the Money Market Portfolio, Intermediate High Grade
Portfolio, Diversified Strategic Income Portfolio, Equity Income
Portfolio, Equity Index Portfolio, Growth & Income Portfolio,
Appreciation Portfolio, Emerging Growth Portfolio, Total Return
Portfolio and International Equity Portfolio.
*** Amount represents less than $0.01 per portfolio share.
+ Total return represents aggregate total return for the period
indicated.
++ Operating expense ratios before fees waived and expenses reimbursed
by
the affiliated agents were:
1.59%, 1.15%, N/A, N/A, 1.55%, N/A, N/A, 1.85%, 1.34% and 1.67%,
respectively, for the Money Market Portfolio, Intermediate High Grade
Portfolio, Diversified Strategic Income Portfolio, Equity Income
Portfolio, Equity Index Portfolio, Growth & Income Portfolio,
Appreciation Portfolio, Emerging Growth Portfolio, Total Return
Portfolio and International Equity Portfolio.
# The per share amounts have been calculated using the monthly average
shares method, which more appropriately presents per share data for
this period since use of the undistributed method did not accord with
results of operation.
</TABLE>
19
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------------------------
FINANCIAL HIGHLIGHT INFORMATION (CONTINUED)
<TABLE>
<CAPTION>
FOR THE YEAR ENDED DECEMBER 31, 1993 #
- ---------------------------------------------------------------------------
- --------------------------------------------------
Diversified
Money
Intermediate Strategic Equity Equity
Market High
Grade Income Income Index
Portfolio
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- --------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Net asset value, beginning of period................. $1.000
$10.29 $9.61 $10.90 $11.27
Net income from investment operations:
Net investment income **............................. 0.023
0.55 0.70 0.53 0.20
Net realized and unrealized
gain/(loss) on investments ........................ --
0.26 0.47 0.60 0.71
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total from investment operations..................... 0.023
0.81 1.17 1.13 0.91
- ---------------------------------------------------------------------------
- --------------------------------------------------
Less distributions:
Dividends from net investment income.............. (0.023)
(0.36) (0.61) (0.47) (0.16)
Distributions from capital gains.................. --
(0.05) (0.04) (0.01) (0.12)
Distributions in excess of realized gains......... --
- -- (0.05) -- --
Distributions from capital........................ --
- -- (0.01) -- --
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total distributions.................................. (0.023)
(0.41) (0.71) (0.48) (0.28)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Net asset value, end of period....................... $1.000
$10.69 $10.07 $11.55 $11.90
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total return +....................................... 2.37%
8.00% 12.56% 10.41% 8.66%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of period (000's).................... $3,703
$9,859 $43,244 $60,160 $8,842
Ratio of operating expenses to
average net assets ++................................ 0.75%
0.85% 1.00% 0.87% 1.00%
Ratio of net investment income to
average net assets................................... 2.34%
5.25% 7.14% 4.54% 1.77%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Portfolio turnover rate ............................. 0%
139% 94% 4% 1%
- ---------------------------------------------------------------------------
- --------------------------------------------------
- ---------------------------------------------------------------------------
- --------------------------------------------------
<CAPTION>
Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
Portfolio
Portfolio Portfolio* Portfolio* Portfolio*
- ---------------------------------------------------------------------------
- --------------------------------------------------
<S> <C> <C>
<C> <C> <C>
Net asset value, beginning of period................ $10.68
$11.13 $10.00 $10.00 $10.00
Net income from investment operations:
Net investment income **............................ 0.30
0.15 0.01 0.01 0.00 ***
Net realized and unrealized
gain/(loss) on investments ....................... 0.67
0.63 0.40 0.29 0.05
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total from investment operations.................... 0.97
0.78 0.41 0.30 0.05
- ---------------------------------------------------------------------------
- --------------------------------------------------
Less distributions:
Dividends from net investment income............. (0.26)
(0.11) -- -- --
Distributions from capital gains................. --
- -- -- -- --
Distributions in excess of realized gains........ (0.02)
- -- -- -- --
Distributions from capital....................... --
- -- -- -- --
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total distributions................................. (0.28)
(0.11) (0.00) (0.00) (0.00)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Net asset value, end of period...................... $11.37
$11.80 $10.41 $10.30 $10.05
- ---------------------------------------------------------------------------
- --------------------------------------------------
Total return +...................................... 9.09%
7.03% 4.10% 3.00% 0.50%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of period (000's)................... $25,549
$77,843 $2,257 $2,777 $5,867
Ratio of operating expenses to
average net assets ++............................... 1.00%
1.01% 1.05% 0.85% 1.08%
Ratio of net investment income to
average net assets.................................. 2.68%
1.35% 1.37% 1.93% (0.51)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Portfolio turnover rate ............................ 78%
33% 0% 0% 0%
- ---------------------------------------------------------------------------
- --------------------------------------------------
- ---------------------------------------------------------------------------
- --------------------------------------------------
<FN>
# The per share amounts have been calculated using the monthly average
shares method, which more appropriately presents per share data for
this
year since use of the undistributed method did not accord with the
results of operations.
* The Portfolios commenced operations on December 3, 1993
** Net investment income before waiver of fees and reimbursement of
expenses by investment adviser and/or custodian and/or transfer agents
and IDS were:
$0.009, $0.50, $0.70, N/A, $0.10, $0.29, N/A, $(0.05), $(0.01) and
$(0.02), respectively, for the Money Market Portfolio, Intermediate
High Grade Portfolio, Diversified Strategic Income Portfolio, Equity
Income Portfolio, Equity Index Portfolio, Growth & Income Portfolio,
Appreciation Portfolio, Emerging Growth Portfolio, Total Return
Portfolio and International Equity Portfolio.
*** Amount represents less than $0.01 per portfolio share.
+ Total return represents aggregate total return for the period
indicated.
++ Operating expense ratios before fees waived and expenses reimbursed
by
the affiliated agents were:
2.15%, 1.36%, 1.02%, N/A, 1.88%; 1.01%; N/A; 9.99%; 4.14%; and 2.96%,
respectively, for the Money Market Portfolio, Intermediate High Grade
Portfolio, Diversified Strategic Income Portfolio,
Equity Income Portfolio, Equity Index Portfolio, Growth & Income
Portfolio, Appreciation Portfolio, Emerging Growth Portfolio, Total
Return Portfolio and International Equity Portfolio.
</TABLE>
20
<PAGE>
SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ---------------------------------------------------------------------------
- ----
FINANCIAL HIGHLIGHT INFORMATION (CONTINUED)
<TABLE>
<CAPTION>
FOR THE YEAR ENDED DECEMBER 31, 1992
- ---------------------------------------------------------------------------
- -----------------------------------------------
Diversified
Money
Intermediate Strategic Equity
Market
High Grade Income Income
Portfolio
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- -----------------------------------------------
<S> <C>
<C> <C> <C>
Net asset value, beginning of year...............................
$1.000 $10.24 $10.14 $10.20
- ---------------------------------------------------------------------------
- -----------------------------------------------
Income from investment operations:
Net investment income **.........................................
0.027 0.45 0.67 0.45
Net realized and unrealized gain on investments ................. -
- - 0.08 (0.53) 0.72
- ---------------------------------------------------------------------------
- -----------------------------------------------
Total from investment operations.................................
0.027 0.53 0.14 1.17
- ---------------------------------------------------------------------------
- -----------------------------------------------
Less distributions:
Dividends from net investment income...........................
(0.027) (0.48) (0.67) (0.47)
Distributions from net realized capital gains.................. -
- - -- -- --
Distributions from capital (Note 1)............................ -
- - -- -- --
- ---------------------------------------------------------------------------
- -----------------------------------------------
Total distributions..............................................
(0.027) (0.48) (0.67) (0.47)
- ---------------------------------------------------------------------------
- -----------------------------------------------
Net asset value, end of year.....................................
$1.000 $10.29 $9.61 $10.90
- ---------------------------------------------------------------------------
- -----------------------------------------------
Total return +...................................................
2.75% 5.28% 1.42% 11.74%
- ---------------------------------------------------------------------------
- -----------------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of year (000's)..................................
$2,108 $3,621 $19,991 $25,985
Ratio of operating expenses to average net assets ++.............
0.75% 0.85% 1.00% 1.00%
Ratio of net investment income to average net assets.............
2.79% 4.75% 7.70% 4.93%
Portfolio turnover rate .........................................
0% 124% 65% 4%
- ---------------------------------------------------------------------------
- -----------------------------------------------
- ---------------------------------------------------------------------------
- -----------------------------------------------
<CAPTION>
Equity
Growth
Index
& Income Appreciation
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- -------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of year...............................
$10.62 $10.15 $10.49
- ---------------------------------------------------------------------------
- -------------------------------
Income from investment operations:
Net investment income **.........................................
0.17 0.27 0.11
Net realized and unrealized gain on investments .................
0.55 0.55 0.53
- ---------------------------------------------------------------------------
- -------------------------------
Total from investment operations.................................
0.72 0.82 0.64
- ---------------------------------------------------------------------------
- -------------------------------
Less distributions:
Dividends from net investment income...........................
(0.02) (0.29) (0.00)***
Distributions from net realized capital gains..................
(0.05) -- --
Distributions from capital (Note 1)............................ -
- - (0.00)*** --
- ---------------------------------------------------------------------------
- -------------------------------
Total distributions..............................................
(0.07) (0.29) (0.00)
- ---------------------------------------------------------------------------
- -------------------------------
Net asset value, end of year.....................................
$11.27 $10.68 $11.13
- ---------------------------------------------------------------------------
- -------------------------------
Total return +...................................................
6.74% 8.44% 6.13%
- ---------------------------------------------------------------------------
- -------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of year (000's)..................................
$4,178 $10,951 $53,450
Ratio of operating expenses to average net assets ++.............
1.00% 1.00% 1.00%
Ratio of net investment income to average net assets.............
2.10% 3.06% 1.61%
Portfolio turnover rate .........................................
8% 78% 14%
- ---------------------------------------------------------------------------
- -------------------------------
- ---------------------------------------------------------------------------
- -------------------------------
<FN>
** Net investment income before waiver of fees and reimbursement of
expenses by investment adviser and/or custodian and/or transfer
agents
were:
$0.013, $0.32, $0.64, $0.43, $0.02, $0.21 and $0.10, respectively.
*** Amount represents less than $0.01.
+ Total return represents aggregate total return for the period
indicated.
++ Operating expense ratios before fees waived and expenses reimbursed
by
the affiliated agents were:
2.18%, 2.28%, 1.41%, 1.27%, 2.89%, 1.65%, 1.16%, respectively.
</TABLE>
21
<PAGE>
SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ---------------------------------------------------------------------------
- ----
FINANCIAL HIGHLIGHT INFORMATION (CONTINUED)
<TABLE>
<CAPTION>
FOR THE YEAR ENDED DECEMBER 31, 1991
- ---------------------------------------------------------------------------
- ---------------------------------------------------
Diversified
Money Intermediate Strategic Equity
Market High Grade Income Income
Portfolio* Portfolio* Portfolio* Portfolio*
- ---------------------------------------------------------------------------
- ---------------------------------------------------
<S> <C>
<C> <C> <C>
Net asset value, beginning of period...............................
$1.000 $10.00 $10.00 $10.00
- ---------------------------------------------------------------------------
- ---------------------------------------------------
Income from investment operations:
Net investment income **...........................................
0.005 0.03 0.02 0.02
Net realized and unrealized gain on investments ...................
- -- 0.21 0.12 0.18
- ---------------------------------------------------------------------------
- ---------------------------------------------------
Total from investment operations...................................
0.005 0.24 0.14 0.20
- ---------------------------------------------------------------------------
- ---------------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.005) -- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------
Total distributions................................................
(0.005) -- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------
Net asset value, end of period.....................................
$1.000 $10.24 $10.14 $10.20
- ---------------------------------------------------------------------------
- ---------------------------------------------------
Total return +.....................................................
0.53% 2.40% 1.40% 2.00%
- ---------------------------------------------------------------------------
- ---------------------------------------------------
Ratios to average net assets/Supplemental data:
Net assets, end of period (000's)..................................
$830 $697 $3,914 $3,900
Ratio of operating expenses to average net assets++................
0.65% 0.80% 0.94% 0.93%
Ratio of net investment income to average net assets...............
3.35% 4.49% 4.57% 4.14%
Portfolio turnover rate ...........................................
0% 0% 0% 0%
- ---------------------------------------------------------------------------
- ---------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------
<CAPTION>
Equity Growth
Index & Income Appreciation
Portfolio* Portfolio* Portfolio*
- ---------------------------------------------------------------------------
- --------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of period...............................
$10.00 $10.00 $10.00
- ---------------------------------------------------------------------------
- --------------------------------------
Income from investment operations:
Net investment income **...........................................
0.04 0.02 0.01
Net realized and unrealized gain on investments ...................
0.58 0.13 0.48
- ---------------------------------------------------------------------------
- --------------------------------------
Total from investment operations...................................
0.62 0.15 0.49
- ---------------------------------------------------------------------------
- --------------------------------------
Less distributions:
Dividends from net investment income...............................
- -- -- --
- ---------------------------------------------------------------------------
- --------------------------------------
Total distributions................................................
- -- -- --
- ---------------------------------------------------------------------------
- --------------------------------------
Net asset value, end of period.....................................
$10.62 $10.15 $10.49
- ---------------------------------------------------------------------------
- --------------------------------------
Total return +.....................................................
6.20% 1.40% 4.90%
- ---------------------------------------------------------------------------
- --------------------------------------
Ratios to average net assets/Supplemental data:
Net assets, end of period (000's)..................................
$1,733 $1,904 $11,436
Ratio of operating expenses to average net assets++................
0.98% 0.90% 0.94%
Ratio of net investment income to average net assets...............
2.91% 4.14% 3.00%
Portfolio turnover rate ...........................................
0% 3% 0%
- ---------------------------------------------------------------------------
- --------------------------------------
- ---------------------------------------------------------------------------
- -------------------------------------
<FN>
* The Portfolios commenced operations on October 16, 1991.
** Net investment income before waiver of fees and reimbursement of
expenses by investment adviser and/or custodian and/or transfer
agents
were:
$(0.029), $(0.14), $(0.01), $(0.01), $(0.05), $(0.05) and $0.00,
respectively.
+ Total return represents aggregate total return for the period
indicated.
++ Annualized operating expense ratios before fees waived and expenses
reimbursed by the affiliated agents were:
21.47%, 26.28%, 7.76%, 8.34%; 7.60%; 20.02% and 3.64%, respectively.
</TABLE>
22
<PAGE>
6. ORGANIZATION COSTS
The Fund bears all costs in connection with its organization including the
fees
and expenses of registering and qualifying its shares for distribution
under
Federal and state securities regulations. All such costs are being
amortized on
the straight-line method over a period of five years from commencement of
operations. If any of the initial shares of the Fund are redeemed during
such
amortization period, the Fund will be reimbursed for any unamortized
organization costs in the same proportion as the number of shares redeemed
bears
to the number of initial shares outstanding at the time of the redemption.
7. CONCENTRATION OF RISK (MONEY MARKET AND EQUITY INCOME PORTFOLIOS):
Under normal market conditions, Money Market Portfolio invests at least 25%
of
its assets in the banking industry and Equity Income Portfolio invests at
least
25% of its assets in the utility industry. Because of their concentration
policy, these Portfolios may be subject to greater risk and market
fluctuation
than a portfolio that had securities representing a broader range of
investment
alternatives. Various factors could adversely affect the ability and
inclination of companies in these industries to declare and pay dividends
or
interest and the ability of holders of securities of such companies to
realize
any value from the assets of the issuer upon liquidation or bankruptcy.
8. FOREIGN SECURITIES (DIVERSIFIED STRATEGIC INCOME AND INTERNATIONAL
EQUITY
PORTFOLIOS):
Investing in securities of foreign companies and foreign governments
involves
special risks and considerations not typically associated with investing in
U.S.
companies and the U.S. Government. These risks include re-evaluation of
currencies and future adverse political and economic developments.
Moreover,
securities of many foreign companies and foreign governments and their
markets
may be less liquid and their prices more volatile than those of securities
of
comparable U.S. companies and the United States Government.
9. LINE OF CREDIT
The Fund and several affiliated entities participate in a $50 million line
of
credit provided by Continental Bank N.A. under an Amended and Restated Line
of
Credit Agreement (the "Agreement") dated April 30, 1992 and renewed
effective
May 31, 1994, primarily for temporary or emergency purposes, including the
meeting of redemption requests that otherwise might require the untimely
disposition of securities. Under the Agreement, each Portfolio may
generally
borrow up to the lesser of $25 million or 20% of its net assets. Interest
is
payable either at the bank's Money Market Rate or the London Interbank
Offered
Rate (LIBOR) plus .375% on an annualized basis. Under the terms of the
agreement, as amended, as of May 31, 1994, the Fund and the other
affiliated
entities are charged an aggregate commitment fee of $100,000, which is
allocated
equally among each of the participants. The Agreement requires, among
other
provisions, each participating Portfolio to maintain a ratio of net assets
(not
including funds borrowed pursuant to the Agreement) to aggregate amount of
indebtness pursuant to the Agreement of no less than 5 to 1. During the
six
months ended June 30, 1994 the Equity Income Portfolio had an average
outstanding daily balance of $4,792 with interest rates ranging from 3.625%
to
3.688%. Interest expense totalled $346, which has been included in other
expenses on the Statement of Operations for the six months ended June 30,
1994.
10. CAPITAL LOSS CARRYFORWARD
As of December 31, 1993, the following Portfolios had available for Federal
tax
purposes unused capital losses:
<TABLE>
<CAPTION>
EXPIRING IN THE YEAR 2001
EXPIRING IN THE YEAR 2000
<S> <C>
<C>
Growth & Income Portfolio. . . . . $80,758
- --
Appreciation Portfolio . . . . . . $501,876
$532,490
Emerging Growth Portfolio. . . . . $1,143
- --
</TABLE>
23
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
MONEY MARKET PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- -------------------------------------------------------
<S>
<C> <C>
COMMERCIAL PAPER - 59.4%
- ---------------------------------------------------------------------------
- -------------------------------------------------------
FINANCIAL SERVICES - 19.4%
Associates Corporation of North America, 4.270% (b), due
07/07/1994.......................................... $200,000 $199,859
Corporate Receivables Corporation, 4.540% (b), due
07/18/1994................................................ 200,000
199,575
Ford Motor Credit Corporation, 4.260% (b), due
07/06/1994.................................................... 100,000
99,941
Ford Motor Credit Corporation, 4.530% (b), due
07/11/1994.................................................... 100,000
99,874
Ford Motor Credit Corporation, 4.450% (b), due
09/07/1994.................................................... 100,000
99,169
General Electric Capital Corporation, 4.430% (b), due
08/23/1994............................................. 150,000
149,028
General Electric Capital Corporation, 4.530% (b), due
09/22/1994............................................. 200,000
197,933
Goldman Sachs, 4.330% (b), due
08/08/1994.................................................................
... 200,000 199,093
Merrill Lynch, 4.380% (b), due
07/05/1994.................................................................
... 200,000 199,903
Preferred Recievables Funding Corporation, 4.580% (b), due
07/13/1994........................................ 200,000 199,697
- ------------
1,644,072
- ---------------------------------------------------------------------------
- --------------------------------------------------------
BASIC INDUSTRIES - 10.8%
BAT Capital Corporation, 4.280% (b), due
07/12/1994..........................................................
200,000 199,739
BAT Capital Corporation, 4.360% (b), due
07/25/1994..........................................................
150,000 149,565
Canadian Wheat Board, 4.210% (b), due
07/08/1994.............................................................
210,000 209,829
PHH Corporation, 4.260% (b), due
07/14/1994.................................................................
. 250,000 249,616
PHH Corporation, 4.400% (b), due
07/08/1994.................................................................
. 101,000 100,913
- ------------
909,662
- ---------------------------------------------------------------------------
- --------------------------------------------------------
CONSUMER NON DURABLES - 6.4%
Nestle Capital Corporation, 4.260% (b), due
07/14/1994....................................................... 240,000
239,632
Philip Morris Companies Inc., 4.250% (b), due
07/07/1994..................................................... 300,000
299,787
- ------------
539,419
- ---------------------------------------------------------------------------
- --------------------------------------------------------
INSURANCE - 5.9%
Transamerica Finance Group, 4.270% (b), due
07/14/1994....................................................... 250,000
249,616
USAA Capital Corporation, 4.250% (b), due
07/14/1994.........................................................
250,000 249,824
- ------------
499,440
- ---------------------------------------------------------------------------
- --------------------------------------------------------
CHEMICAL - 4.1%
duPont (EI) deNemours, 4.290% (b), due
07/07/1994............................................................
140,000 139,901
duPont (EI) deNemours, 4.300% (b), due
07/08/1994............................................................
200,000 199,833
- ------------
339,734
- ---------------------------------------------------------------------------
- --------------------------------------------------------
ELECTRONICS - 3.8%
Raytheon Corporation, 4.250% (b), due
07/08/1994.............................................................
325,000 324,732
- ---------------------------------------------------------------------------
- --------------------------------------------------------
OIL & GAS - 3.5%
Shell Oil Company, 4.250% (b), due
07/06/1994................................................................
300,000 299,823
- ---------------------------------------------------------------------------
- --------------------------------------------------------
BANKING - 2.3%
Banc One, 4.550% (b), due
09/14/1994.................................................................
........ 100,000 99,063
Credito Del Italiano, 4.390% (b), due
07/26/1994.............................................................
100,000 99,697
- ------------
198,760
- ---------------------------------------------------------------------------
- --------------------------------------------------------
OTHER - 3.2%
Ciesco L.P., 4.380% (b), due
07/13/1994.................................................................
..... 150,000 149,782
Working Capital Management, 4.550% (b), due
07/15/1994....................................................... 125,000
124,780
- ------------
274,562
- ---------------------------------------------------------------------------
- --------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $5,030,204)
....................................................................
5,030,204
- ---------------------------------------------------------------------------
- --------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
24
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
MONEY MARKET PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- --------------------------------------------------------
<S>
<C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS-28.2%
- ---------------------------------------------------------------------------
- --------------------------------------------------------
FEDERAL HOME LOAN BANK (FHLB)-8.4%
FHLB, 4.200% (b), due
07/06/1994.................................................................
........... $210,000 $209,878
FHLB, 4.210% (b), due
07/13/1994.................................................................
........... 500,000 499,300
- ------------
709,178
- ---------------------------------------------------------------------------
- --------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)-7.1%
FHLMC, 4.200% (b), due
07/01/1994.................................................................
.......... 400,000 400,000
FHLMC, 4.200% (b), due
07/05/1994.................................................................
.......... 200,000 199,907
- ------------
599,907
- ---------------------------------------------------------------------------
- --------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)-7.1%
FNMA, 4.200% (b), due
07/01/1994.................................................................
........... 500,000 500,000
FNMA, 4.210% (b), due
07/12/1994.................................................................
........... 100,000 99,872
- ------------
599,872
- ---------------------------------------------------------------------------
- --------------------------------------------------------
FEDERAL FARM CREDIT BANK (FFCB) - 5.6%
FFCB, 4.180% (b), due
07/05/1994.................................................................
........... 330,000 329,848
FFCB, 4.190% (b), due
07/11/1994.................................................................
........... 150,000 149,826
- ------------
479,674
- ---------------------------------------------------------------------------
- --------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost
$2,388,631)................................................................
........................... 2,388,631
- ---------------------------------------------------------------------------
- --------------------------------------------------------
- ---------------------------------------------------------------------------
- --------------------------------------------------------
REPURCHASE AGREEMENT - 9.5% (Cost $805,000)
- ---------------------------------------------------------------------------
- --------------------------------------------------------
Agreement with Kidder Peabody, 4.250% dated 06/30/94 to be repurchased at
$805,095 on
07/01/94 collateralized by $2,330,000 U.S. Treasury Interest Strips, Zero
Coupon
due
02/15/2008.................................................................
........................... 805,000 805,000
- ---------------------------------------------------------------------------
- --------------------------------------------------------
TOTAL INVESTMENTS (COST $8,223,835)
(c).....................................................................
97.2% 8,223,835
OTHER ASSETS AND LIABILITIES
(NET)......................................................................
.... 2.8 239,686
- ---------------------------------------------------------------------------
- --------------------------------------------------------
NET
ASSETS.....................................................................
............................. 100.0% $8,463,521
- ---------------------------------------------------------------------------
- --------------------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Rate represents annualized yield to maturity.
(c) At June 30, 1994, the cost of securities for Federal income tax
purposes was
$8,223,835.
</TABLE>
See accompanying Notes to Financial Statements.
25
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
INTERMEDIATE HIGH GRADE PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
<S>
<C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 56.6%
- ---------------------------------------------------------------------------
- -----------------------------------------------------
U.S. TREASURY BONDS - 24.6%
11.625% due
11/15/2004.................................................................
.... $440,000 $572,898
8.125% due
08/15/2019.................................................................
..... 2,550,000 2,654,754
- -------------
3,227,652
- ---------------------------------------------------------------------------
- -----------------------------------------------------
U.S. TREASURY NOTES - 22.3%
8.500% due
05/15/1995.................................................................
..... 440,000 451,308
8.500% due
11/15/1995.................................................................
..... 500,000 517,705
8.500% due
04/15/1997.................................................................
..... 870,000 914,266
7.000% due
04/15/1999.................................................................
..... 600,000 601,836
8.500% due
11/15/2000.................................................................
..... 410,000 438,954
- -------------
2,924,069
- ---------------------------------------------------------------------------
- -----------------------------------------------------
FEDERAL HOME LOAN BANK (FHLB) - 7.5%
FHLB, 7.360% due
07/01/2004................................................................
1,000,000 982,030
- ---------------------------------------------------------------------------
- -----------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 2.2%
FNMA, 7.200% due
01/10/2002................................................................
300,000 289,686
- ---------------------------------------------------------------------------
- -----------------------------------------------------
- ---------------------------------------------------------------------------
- -----------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost
$7,644,213)................................................................
.......... 7,423,437
- ---------------------------------------------------------------------------
- -----------------------------------------------------
- ---------------------------------------------------------------------------
- -----------------------------------------------------
CORPORATE BONDS AND NOTES - 37.0%
- ---------------------------------------------------------------------------
- -----------------------------------------------------
BANKING & FINANCE - 18.5%
Associates Corporation of North America, Note,
8.800% due
03/01/1996.................................................................
.. 500,000 517,500
Bayerische Landesbank, Girozentrale, New York Branch, Sub. Note,
7.375% due
12/14/2002.................................................................
.. 500,000 492,500
Chrysler Financial Corporation, Note,
5.625% due
01/15/1999.................................................................
.. 500,000 466,250
Ford Motor Credit Corporation, Note,
8.000% due
10/01/1996.................................................................
.. 650,000 666,250
International Lease Financial Corporation,
6.500% due
07/15/1997.................................................................
.. 300,000 295,125
- -------------
2,437,625
- ---------------------------------------------------------------------------
- -----------------------------------------------------
TRANSPORTATION - 6.0%
Boeing Company, Note,
8.375% due
03/01/1996.................................................................
.. 250,000 257,812
Federal Express Corporation, Note,
9.650% due
06/15/2012.................................................................
.. 500,000 535,625
- -------------
793,437
- ---------------------------------------------------------------------------
- -----------------------------------------------------
OIL SERVICES - 3.7%
Mobil Corporation, Note,
6.500% due
12/17/1996.................................................................
.. 485,000 483,181
- ---------------------------------------------------------------------------
- -----------------------------------------------------
RETAIL - 3.7%
Wal Mart Stores Inc., Note,
8.000% due
05/01/1996.................................................................
.. 470,000 482,337
- ---------------------------------------------------------------------------
- -----------------------------------------------------
TELECOMMUNICATIONS - 3.5%
Telecommunications Inc., Medium Term Note,
6.580% due
02/15/2005.................................................................
.. 500,000 453,750
- ---------------------------------------------------------------------------
- -----------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements
26
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
INTERMEDIATE HIGH GRADE PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
<S>
<C> <C>
CORPORATE BONDS AND NOTES (continued)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
PERSONAL CARE PRODUCTS/COSMETICS - 1.6%
Johnson & Johnson, Note,
8.500% due
08/15/1995.................................................................
. $205,000 $210,638
- ---------------------------------------------------------------------------
- -----------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost
$5,049,981).........................................
4,860,968
- ---------------------------------------------------------------------------
- -----------------------------------------------------
- ---------------------------------------------------------------------------
- -----------------------------------------------------
FOREIGN BOND - 3.1% (Cost $404,965)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
Province of Ontario,
6.125% due
06/28/2000.................................................................
. 430,000 400,975
- ---------------------------------------------------------------------------
- -----------------------------------------------------
- ---------------------------------------------------------------------------
- -----------------------------------------------------
REPURCHASE AGREEMENT - 9.1% (Cost $1,200,000)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
Agreement with Kidder Peabody & Company, 4.250% dated 06/30/1994 to be
repurchased
at $1,200,142 on 07/01/1994 collateralized by $3,475,000 U.S. Treasury
Strips,
Zero Coupon due
02/15/2008.............................................................
1,200,000 1,200,000
- ---------------------------------------------------------------------------
- -----------------------------------------------------
TOTAL INVESTMENTS (Cost $14,299,159)
(b).................................................. 105.8%
13,885,380
OTHER ASSETS AND LIABILITIES
(Net)........................................................
(5.8) (756,148)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
NET
ASSETS.....................................................................
........... 100.0% $13,129,232
- ---------------------------------------------------------------------------
- -----------------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) At June 30, 1994, the cost of securities for Federal income tax
purposes
was $14,299,159 and the aggregate gross unrealized appreciation and
depreciation based on that cost was:
Unrealized
appreciation..................... $0
Unrealized
depreciation..................... 413,779
-----------------------------------
- -------------------------
Net unrealized
depreciation................. $413,779
-----------------------------------
- -------------------------
</TABLE>
See accompanying Notes to Financial Statements.
27
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30,
1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- ---------------------------------------
<S>
<C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 26.8%
- ---------------------------------------------------------------------------
- ---------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) - 18.3%
GNMA Pool #0184160, 9.000% due
11/15/2016........................................... $190,832
$197,292
GNMA Pool #0226157, 8.000% due
05/15/2017........................................... 70,474
69,872
GNMA Pool #0224939, 8.000% due
07/15/2017........................................... 138,855
137,604
GNMA Pool #0229898, 8.000% due
07/15/2017........................................... 81,057
80,291
GNMA Pool #0234511, 8.000% due
05/15/2018........................................... 80,765
79,759
GNMA Pool #0249574, 9.000% due
04/15/2018........................................... 167,928
173,671
GNMA Pool #0261166, 8.000% due
01/15/2019........................................... 57,427
56,861
GNMA Pool #0278750, 9.000% due
10/15/2019........................................... 283,327
293,598
GNMA Pool #0281944, 9.000% due
11/15/2019........................................... 121,746
125,846
GNMA Pool #0282407, 9.000% due
11/15/2019........................................... 461,082
476,607
GNMA Pool #0277913, 9.000% due
12/15/2019........................................... 92,848
96,008
GNMA Pool #0284401, 9.000% due
12/15/2019........................................... 100,026
103,652
GNMA Pool #0200076, 9.000% due
01/15/2020........................................... 73,722
76,210
GNMA Pool #0283134, 9.000% due
01/15/2020........................................... 144,166
149,097
GNMA Pool #0285036, 9.000% due
01/15/2020........................................... 194,716
201,346
GNMA Pool #0282568, 9.000% due
02/15/2020........................................... 215,100
222,897
GNMA Pool #0269142, 9.000% due
03/15/2020........................................... 486,746
503,369
GNMA Pool #0283859, 9.000% due
03/15/2020........................................... 766,729
794,523
GNMA Pool #0284628, 9.000% due
03/15/2020........................................... 157,616
162,987
GNMA Pool #0311222, 9.000% due
03/15/2020........................................... 217,002
224,868
GNMA Pool #0261938, 9.000% due
04/15/2020........................................... 29,106
30,084
GNMA Pool #0282844, 9.000% due
04/15/2020........................................... 231,212
238,987
GNMA Pool #0293750, 9.000% due
10/15/2020........................................... 230,580
238,298
GNMA Pool #0300242, 9.000% due
01/15/2021........................................... 158,006
163,296
GNMA Pool #0299189, 9.000% due
02/15/2021........................................... 844,455
875,067
GNMA Pool #0305473, 9.000% due
03/15/2021........................................... 156,420
161,743
GNMA Pool #0305597, 8.000% due
04/15/2021........................................... 110,667
109,488
GNMA Pool #0305456, 9.000% due
04/15/2021........................................... 188,740
195,038
GNMA Pool #0291718, 8.000% due
05/15/2021........................................... 86,848
85,965
GNMA Pool #0307669, 8.000% due
05/15/2021........................................... 102,421
101,339
GNMA Pool #0296005, 9.000% due
05/15/2021........................................... 151,500
156,992
GNMA Pool #0308026, 9.000% due
05/15/2021........................................... 528,798
547,967
GNMA Pool #0304570, 9.000% due
07/15/2021........................................... 129,708
134,263
GNMA Pool #0308806, 9.000% due
08/15/2021........................................... 599,956
620,583
GNMA Pool #0307450, 9.000% due
09/15/2021........................................... 98,152
101,710
GNMA Pool #0310362, 9.000% due
09/15/2021........................................... 98,044
101,394
GNMA Pool #0297872, 8.000% due
12/15/2021........................................... 1,009,832
999,492
GNMA Pool #0325495, 9.000% due
02/15/2022........................................... 357,512
370,047
GNMA Pool #0323011, 9.000% due
06/15/2022........................................... 183,902
190,331
GNMA Pool #0329471, 9.000% due
09/15/2022........................................... 655,629
679,396
- ---------------
10,327,838
- ---------------------------------------------------------------------------
- ---------------------------------------
U.S. TREASURY NOTES - 6.2%
6.125% due
12/31/1996...............................................................
970,000 966,566
4.750% due
09/30/1998...............................................................
2,750,000 2,543,750
- ---------------
3,510,316
- ---------------------------------------------------------------------------
- ---------------------------------------
</TABLE>
See accompanying Notes to Finanicial Statements.
28
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30,
1994
(UNAUDITED) (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- ---------------------------------------
<S>
<C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued)
- ---------------------------------------------------------------------------
- ---------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 2.0%
FHLMC Group #54-4608 9.000% due
01/01/2020......................................... $239,046
$245,395
FHLMC Group #54-6611 9.000% due
02/01/2020.......................................... 14,645
15,034
FHLMC Group #55-3305 9.000% due
02/01/2020.......................................... 502,724
515,207
FHLMC Group #55-4415 9.000% due
12/01/2020.......................................... 22,828
23,395
FHLMC Group #55-4588 9.000% due
02/01/2021.......................................... 53,449
54,739
FHLMC Group #55-4872 9.000% due
05/01/2021.......................................... 273,050
279,775
- ---------------
1,133,545
- ---------------------------------------------------------------------------
- ---------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 0.2%
FNMA, 12.950% due
03/09/1995........................................................
250,000 90,000
- ---------------------------------------------------------------------------
- ---------------------------------------
STUDENT LOAN MORTGAGE ASSOCIATION (SLMA) - 0.1%
SLMA, Multi Currency Principal Exchange Rate Linked Security,
11.150% due
04/07/1997...........................................................
250,000 73,750
- ---------------------------------------------------------------------------
- ---------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost
$16,002,599)...............................................................
15,135,449
- ---------------------------------------------------------------------------
- ---------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------
INTERNATIONAL BONDS - 26.0%
- ---------------------------------------------------------------------------
- ---------------------------------------
SPANISH PESATA BONDS - 4.4%
BNCE, 13.000% due 01/29/1997..............................................
ESP 40,000,000 314,684
Kingdom of Spain, 11.600% due 01/15/1997..................................
105,000,000 835,318
Kingdom of Spain, 8.300% due 12/15/1998...................................
100,000,000 715,104
Kingdom of Spain, 12.250% due 03/25/2000..................................
30,000,000 247,398
Kingdom of Spain, 10.900% due 08/30/2003..................................
50,000,000 389,775
- ---------------
2,502,279
- ---------------------------------------------------------------------------
- ---------------------------------------
ITALIAN LIRA BONDS - 2.8%
Cert Di Credito Del Tes, 12.250% due 08/01/1999...........................
ITL 600,000,000 380,653
Government of Italy, 10.500% due 01/01/1998...............................
500,000,000 328,744
Government of Italy, 7.875% due 10/01/1998................................
500,000,000 306,260
Government of Italy, 8.500% due 01/01/1999................................
1,000,000,000 591,189
- ---------------
1,606,846
- ---------------------------------------------------------------------------
- ---------------------------------------
IRISH PUNTAS BONDS - 2.8%
Republic of Ireland, 8.750% due 07/27/1997................................
IEP 500,000 773,626
Republic of Ireland, 9.250% due 07/11/2003................................
500,000 789,813
- ---------------
1,563,439
- ---------------------------------------------------------------------------
- ---------------------------------------
SWEDISH KRONA BONDS - 2.8%
Cred Froncier, 6.500% due 02/22/1999......................................
SEK 2,500,000 286,414
European Investment Bank, 10.000% due 02/26/1999..........................
5,000,000 655,303
Kingdom of Sweden, 10.750% due 01/21/1997.................................
1,000,000 135,348
Kingdom of Sweden, 11.000% due 01/21/1999.................................
3,500,000 483,577
- ---------------
1,560,642
- ---------------------------------------------------------------------------
- ---------------------------------------
GREAT BRITISH POUND STERLING BONDS - 2.4%
Hydro Quebec, 6.5000% due 12/09/1998......................................
GBP 400,000 565,400
Republic of Finland, 8.000% due 04/07/2003...............................
100,000 143,381
Smithline Beecham, 8.125% due 11/25/1998..................................
250,000 377,796
United Kingdom, 9.750% due 08/27/2002.....................................
150,000 246,480
- ---------------
1,333,057
- ---------------------------------------------------------------------------
- ---------------------------------------
</TABLE>
See accompanying Notes to Finanicial Statements.
29
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30,
1994
(UNAUDITED) (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- ---------------------------------------
<S>
<C> <C> <C>
INTERNATIONAL BONDS (continued)
- ---------------------------------------------------------------------------
- ---------------------------------------
PORTUGAL ESCUDOS BONDS - 2.4%
Euro Investment Bank, 8.875% due 12/15/1998...............................
PTE 1,000,000,000 $545,629
Euro Investment Bank, 10.125% due 08/03/2000..............................
50,000,000 278,374
Bank of Ireland, 8.750% due 11/25/1998....................................
60,000,000 328,528
World Bank, 11.500% due 02/28/1997........................................
30,000,000 180,196
- ---------------
1,332,727
- ---------------------------------------------------------------------------
- ---------------------------------------
U.S. DOLLAR BONDS - 1.9%
Argentina Government Bonds, 3.825% due 05/31/1996........................
USD 500,000 223,000
Argentina Government Bonds, 4.313% due 03/03/2023........................
300,000 208,125
Mexican Government Bonds, Series B,
6.250% due 12/31/2019..................................................
1,000,000 645,000
- ---------------
1,076,125
- ---------------------------------------------------------------------------
- ---------------------------------------
AUSTRALIAN DOLLAR BONDS - 1.8%
NSWTC, 12.000% due 12/01/2001.............................................
AUD 400,000 327,613
Queensland Treasury Corporation, 8.000% due 05/14/2003....................
1,100,000 715,098
- ---------------
1,042,711
- ---------------------------------------------------------------------------
- ---------------------------------------
CANADIAN DOLLAR BONDS - 1.5%
Canadian Government, 11.750% due 02/01/2003...............................
CAD 650,000 539,756
International Finance, 7.750% due 08/18/1998..............................
100,000 68,397
KFW, 9.500% due 05/13/2002................................................
300,000 212,718
- ---------------
820,871
- ---------------------------------------------------------------------------
- ---------------------------------------
FINNISH MARKKA BONDS - 1.2%
Finnish Export Credit, 6.000% due 01/15/1999..............................
FIM 2,000,000 373,445
Republic of Finland, 9.500% due 03/15/2004................................
2,000,000 375,392
- ---------------
748,837
- ---------------------------------------------------------------------------
- ---------------------------------------
DANISH KRONER BONDS - 0.8%
Great Belt, 7.000% due 09/02/2003.........................................
DKK 1,000,000 144,308
Kingdom of Denmark, 8.000% due 08/20/1994.................................
1,000,000 160,934
Kingdom of Denmark, 9.000% due 11/15/1998.................................
1,000,000 167,413
- ---------------
472,655
- ---------------------------------------------------------------------------
- ---------------------------------------
NEW ZEALAND DOLLAR BOND - 0.6%
New Zealand, 10.000% due 03/15/2002.......................................
NZD 500,000 333,750
- ---------------------------------------------------------------------------
- ---------------------------------------
GERMAN MARKS BOND - 0.6%
National Bank of Hungary, 9.250% due 03/17/2000...........................
DEM 500,000 321,091
- ---------------------------------------------------------------------------
- ---------------------------------------
TOTAL INTERNATIONAL BONDS (Cost $15,136,708)..............................
14,715,030
- ---------------------------------------------------------------------------
- ---------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------
CORPORATE BONDS AND NOTES - 24.8%
- ---------------------------------------------------------------------------
- ---------------------------------------
HOTELS & GAMING - 2.6%
Bally's Park Place Funding, First Mortgage,
11.875% due
08/15/1999...........................................................
100,000 105,500
Boyd Gaming Corporation,
10.750% due
09/01/2003...........................................................
200,000 200,500
Empress River Casino Finance Notes
10.750% due
04/01/2002...........................................................
100,000 98,375
GNF Corporation
10.625% due
04/01/2003...........................................................
200,000 148,000
Lady Luck Gaming Finance Corporation,
10.500% due
03/01/2001...........................................................
200,000 181,500
</TABLE>
See accompanying Notes to Finanicial Statements.
30
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30,
1994
(UNAUDITED) (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- ---------------------------------------
<S>
<C> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- ---------------------------------------
HOTELS & GAMING (CONTINUED)
Remington Arms Inc., Sr. Notes,
9.500% due 12/01/2003
(c)........................................................ $200,000
$181,500
Station Casinos Inc. Sub. Notes,
9.625% due
06/01/2003............................................................
400,000 368,000
Trump Plaza Funding, Inc., Notes,
10.875% due
06/15/2001...........................................................
150,000 126,750
Trump Taj Mahal, First Mortgage,
11.350% due 11/15/1999
(b)....................................................... 157,521
133,893
- ---------------
1,544,018
- ---------------------------------------------------------------------------
- ---------------------------------------
HEALTH & PERSONAL CARE - 2.3%
ALCO Health Distributors Corporation,
11.250% due
07/15/2005...........................................................
305,000 318,725
American Medical International Inc., Sr. Sub.,
13.500% due
08/15/2001...........................................................
205,000 230,881
Charter Medical Corp, Sr. Sub. Notes,
11.250% due
04/15/2004...........................................................
200,000 204,000
Gillette Holdings Inc., Sr. Sub. Notes,
12.250% due
06/30/2002...........................................................
125,000 133,594
Healthtrust Inc., The Hospital Company, Sub. Deb.,
10.750% due
05/01/2002...........................................................
100,000 103,500
Macandrews & Forbes Group, Sub. Notes,
12.250% due
07/01/1996...........................................................
30,000 29,925
Ornda Healthcorp, Sr. Sub. Notes,
12.250% due
05/15/2002...........................................................
180,000 194,400
Revlon Consumer Products Corporation, Sub. Notes,
10.500% due
02/15/2003...........................................................
125,000 107,500
- ---------------
1,322,525
- ---------------------------------------------------------------------------
- ---------------------------------------
BUILDING & CONSTRUCTION - 2.3%
American Standard Inc., Sr. Sub. Deb.,
11.375% due
05/15/2004...........................................................
225,000 236,250
Greystone Homes Inc., Guaranteed Sr. Notes,
10.750% due
03/01/2004...........................................................
250,000 244,688
Hovnanian K Enterprises Inc.:
11.250% due
04/15/2002...........................................................
150,000 160,500
9.750% due
06/01/2005............................................................
100,000 98,875
Miles Homes Services Units,
12.000% due
04/01/2001...........................................................
100,000 100,500
UDC Homes, Notes,
11.750% due
04/30/2003...........................................................
225,000 220,500
US Home Corporation, New Notes,
9.750% due
06/15/2003............................................................
150,000 139,500
Wickes Lumber Company, Sr. Sub. Notes,
11.625% due
12/15/2003...........................................................
100,000 102,500
- ---------------
1,303,313
- ---------------------------------------------------------------------------
- ---------------------------------------
GROCERY & RETAIL - 2.2%
Big V Supermarket Inc., Sr. Sub. Notes,
11.000% due
02/15/2004..............................................................
150,000 140,625
</TABLE>
See accompanying Notes to Finanicial Statements.
31
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30,
1994
(UNAUDITED) (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- ---------------------------------------
<S>
<C> <C>
CORPORATE BONDS AND NOTES (continued)
- ---------------------------------------------------------------------------
- ---------------------------------------
GROCERY & RETAIL (CONTINUED)
Bradlees Inc., Sr. Sub. Notes,
11.000% due
08/01/2002...........................................................
$225,000 $229,219
Farm Fresh Inc., Sr. Notes,
12.250% due
10/01/2000...........................................................
200,000 197,250
Grand Union Company, Sr. Notes,
11.250% due
07/15/2000...........................................................
250,000 247,500
P & C Food Markets Inc., Deb.,
11.500% due
10/15/2001...........................................................
30,000 32,325
Pathmark Stores Inc.:
Sr. Notes 12.625% due
06/15/2002................................................. 100,000
108,250
Sr. Sub. Notes 9.625% due
05/01/2003............................................. 125,000
117,969
Penn Traffic Company, Sr. Sub. Notes,
9.625% due
04/15/2005............................................................
100,000 96,000
- ---------------
1,169,138
- ---------------------------------------------------------------------------
- ---------------------------------------
PACKAGING & CONTAINERS - 1.8%
Container Corporation America, Sr. Sub. Notes,
13.500% due
12/01/1999...........................................................
300,000 330,000
Repap Wisconsin Inc., 2nd Priority Sr. Notes,
9.875% due
05/01/2006............................................................
200,000 183,000
Silgan Holdings, Sr. Deb.,
Zero Coupon due
12/15/2002.......................................................
190,000 146,062
Stone Container Corporation, Sr. Notes,
9.875% due
02/01/2001............................................................
250,000 235,938
Sweetheart Cup Inc., Sr. Sub. Notes,
10.500% due
09/01/2003...........................................................
100,000 99,000
United States Can Company, Sr. Sub. Notes,
13.500% due
01/15/2002...........................................................
30,000 33,525
- ---------------
1,027,525
- ---------------------------------------------------------------------------
- ---------------------------------------
OIL & NATURAL GAS - 1.8%
Giant Industries Inc., Guaranteed Sr. Sub. Notes,
9.750% due
11/15/2003............................................................
242,000 228,690
Mesa Capital Corporation, Secured Disc. Notes,
12.750% due
06/30/1998...........................................................
500,000 456,250
Santa Fe Energy Resource Inc., Sr. Sub. Notes,
11.000% due
05/15/2004...........................................................
200,000 204,750
Transco Energy Company,
11.250% due
07/01/1999...........................................................
125,000 132,812
- ---------------
1,022,502
- ---------------------------------------------------------------------------
- ---------------------------------------
METALS & MINING - 1.5%
AK Steel Corporation, Sr. Notes,
10.750% due 04/01/2004
.......................................................... 400,000
404,000
Dual Drilling Co., Sr. Sub. Notes,
9.875% due
01/15/2004............................................................
125,000 117,812
Essex Group Inc., Sr. Notes,
10.000% due
05/01/2003...........................................................
200,000 196,000
</TABLE>
See accompanying Notes to Finanicial Statements.
32
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30,
1994
(UNAUDITED) (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- ---------------------------------------
<S>
<C> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- ---------------------------------------
METALS & MINING (CONTINUED)
Jorgensen Earle Company,
10.750% due
03/01/2000...........................................................
$100,000 $102,375
- ---------------
820,187
- ---------------------------------------------------------------------------
- ---------------------------------------
PAPER & FOREST PRODUCTS - 1.4%
Domtar Inc., Sr. Notes,
12.000% due
04/15/2001...........................................................
300,000 323,250
Riverwood International Corporation, Sr. Sub. Notes,
11.250% due
06/15/2002...........................................................
200,000 207,000
Stone Consolidated Corporation, Sr. Secured Notes,
10.250% due
12/15/2000...........................................................
200,000 195,000
- ---------------
725,250
- ---------------------------------------------------------------------------
- ---------------------------------------
AUTOMOBILE AND TRUCK PARTS & MANUFACTURING - 1.3%
Fairfield Manufacturing Inc., Sr. Sub. Notes,
11.375% due
07/01/2001...........................................................
100,000 100,500
SPX Corporation, Sr. Sub. Notes,
11.750% due
06/01/2002...........................................................
200,000 205,500
Truck Components Inc., Sr. Notes,
12.750% due
06/30/2001...........................................................
400,000 414,000
- ---------------
720,000
- ---------------------------------------------------------------------------
- ---------------------------------------
PUBLISHING - 1.1%
Bell & Howell Holdings Co., Sr. Debentures,
11.500% due
03/01/2005...........................................................
250,000 138,438
Marvel III Holdings Inc., Sr. Notes,
9.125% due
02/15/1998............................................................
250,000 228,125
Zero Coupon due
04/15/1998.......................................................
125,000 77,187
News America Holdings Inc., Debentures,
8.625% due
02/07/2014.........................................................AUD
350,000 192,490
- ---------------
636,240
- ---------------------------------------------------------------------------
- ---------------------------------------
CHEMICALS - 1.1%
NL Industries Inc., Sr. Secured Notes,
11.750% due
10/15/2003........................................................USD
300,000 309,750
UCC Investment Holdings Inc., Sr. Sub. Notes,
11.000% due
05/01/2003...........................................................
200,000 207,000
UCC Investment Holdings Inc., Sub. Disc. Notes,
12.000% due
05/01/2005...........................................................
170,000 112,837
- ---------------
629,587
- ---------------------------------------------------------------------------
- ---------------------------------------
COMMUNICATIONS - 1.1%
Rogers' Cablesystems Ltd.:
Sr. Debentures 9.650% due
01/15/2014............................................. 250,000
151,893
Sr. Notes 10.125% due
09/01/2012................................................. 100,000
100,000
Rogers' Communications Inc., Sr. Deb.,
10.875% due
04/15/2004...........................................................
100,000 102,750
USA Mobile Communication Inc.,
9.500% due
02/01/2004............................................................
100,000 91,250
Videotron Holdings Plc., Sr. Disc. Notes,
Zero Coupon due
07/01/2004.......................................................
300,000 173,250
- ---------------
619,143
- ---------------------------------------------------------------------------
- ---------------------------------------
</TABLE>
See accompanying Notes to Finanicial Statements.
33
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30,
1994
(UNAUDITED) (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- ---------------------------------------
<S>
<C> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- ---------------------------------------
TEXTILES & APPAREL - 1.0%
CMI Industries, Sr. Sub. Notes,
9.500% due
10/01/2003............................................................
$200,000 $187,750
Hartmarx Corporation, Sr. Sub. Notes,
10.875% due
01/15/2002...........................................................
275,000 270,187
JPS Textile Group, Sr. Sub. Notes,
10.250% due
06/01/1999...........................................................
110,000 103,813
- ---------------
561,750
- ---------------------------------------------------------------------------
- ---------------------------------------
BANKING & FINANCE - 0.8%
Indah Kiat International Finance Co.,
11.875% due
06/15/2002...........................................................
200,000 202,000
Reliance Group Holdings Inc., Sr. Notes:
9.000% due
11/15/2000............................................................
150,000 136,125
9.750% due
11/15/2003............................................................
150,000 136,500
- ---------------
474,625
- ---------------------------------------------------------------------------
- ---------------------------------------
CONSUMER DURABLE GOODS - 0.6%
Colman Holdings Inc.,
Zero Coupon, due
05/27/1998......................................................
250,000 168,750
International Semi-Tech, Sr. Step Notes,
noninterest bearing until 8/15/2000,
11.500% due
08/15/2003...........................................................
375,000 189,375
- ---------------
358,125
- ---------------------------------------------------------------------------
- ---------------------------------------
INDUSTRIAL - 0.4%
Federal Industries Ltd, Sr. Notes,
10.250% due
06/15/2000...........................................................
125,000 121,250
Interlake Corporation, Sr. Sub. Deb.,
12.125% due
03/01/2002...........................................................
100,000 98,250
Thermadyne Holdings Corporation, Sr. Notes:
10.250% due
05/01/2002...........................................................
76 73
10.750% due
11/01/2003...........................................................
106 102
- ---------------
219,675
- ---------------------------------------------------------------------------
- ---------------------------------------
UTILITIES - 0.3%
Midland Funding Corporation I, Sr. Secured Lease Obligations,
10.330% due
7/23/2002............................................................
198,597 197,108
- ---------------------------------------------------------------------------
- ---------------------------------------
INSURANCE - 0.3%
Life Partners Group, Inc., Sr. Sub. Deb.,
12.750% due
07/15/2002...........................................................
125,000 143,437
- ---------------------------------------------------------------------------
- ---------------------------------------
ELECTRONICS & COMPUTERS - 0.2%
Anacomp Inc., Sr. Sub. Notes,
15.000% due
11/01/2000...........................................................
116,000 129,630
- ---------------------------------------------------------------------------
- ---------------------------------------
AEROSPACE - 0.1%
Tracor Inc., Sr. Sub. Notes,
10.875% due
08/15/2001...........................................................
50,000 51,188
- ---------------------------------------------------------------------------
- ---------------------------------------
OTHER - 0.6%
Huntsman Corporation, First Mortgage Notes,
11.000% due
04/15/2004...........................................................
200,000 206,000
- ---------------------------------------------------------------------------
- ---------------------------------------
</TABLE>
See accompanying Notes to Finanicial Statements.
34
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30,
1994
(UNAUDITED) (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- ---------------------------------------
<S>
<C> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- ---------------------------------------
OTHER (CONTINUED)
OSI Specialties Holding Co.,
Zero Coupon due
04/15/2004.......................................................
$250 $150,937
- ---------------
356,937
- ---------------------------------------------------------------------------
- ---------------------------------------
TOTAL CORPORATE BONDS AND NOTES (COST
$14,409,859).................................. 14,031,903
- ---------------------------------------------------------------------------
- ---------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------
PREFERRED CONVERTIBLE STOCK - 0.3% (COST $200,381)
SHARES
- ---------------------------------------------------------------------------
- ---------------------------------------
Navistar International Corp, Series G, Pfd., Conv. $6.00
........................... 3,750 189,375
- ---------------------------------------------------------------------------
- ---------------------------------------
PREFERRED STOCK - 0.2% (COST $125,000)
- ---------------------------------------------------------------------------
- ---------------------------------------
Gulf Canada Resources, Series 1,
Pfd,............................................... 40,000
97,500
- ---------------------------------------------------------------------------
- ---------------------------------------
PRINCIPAL
REPURCHASE AGREEMENT - 16.8% (COST $9,504,000)
AMOUNT
- ---------------------------------------------------------------------------
- ---------------------------------------
Agreement with Kidder Peabody, 4.250% dated 06/30/1994 to be repurchased
at
$9,505,122 on 07/01/1994 collateralized by $33,865,000 U.S. Treasury
Strips,
28.625% due 08/15/2010
.......................................................... $9,504,000
9,504,000
- ---------------------------------------------------------------------------
- ---------------------------------------
TOTAL INVESTMENTS (COST $55,378,547)
(d)............................................ 94.9%
53,673,257
OTHER ASSETS AND LIABILITIES
(NET).................................................. 5.1
2,901,310
- ---------------------------------------------------------------------------
- ---------------------------------------
NET
ASSETS.....................................................................
..... 100.0% $56,574,567
- ---------------------------------------------------------------------------
- ---------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Payment-in-kind bond
(c) Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities
may be resold in transactions exempt from registration, normally to
qualified institutional buyers.
(d) At June 30, 1994, the cost of securities for Federal income tax
purposes was $55,378,547 and the aggregate
unrealized appreciation and depreciation based on that cost was:
Unrealized appreciation
.......................... $249,841
Unrealized depreciation
.......................... 1,955,131
-----------------------------------------
- ------------------------
Net unrealized
depreciation....................... $1,705,290
-----------------------------------------
- ------------------------
</TABLE>
See accompanying Notes to Finanicial Statements.
35
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO SCHEDULE FOR FORWARD
FOREIGN EXCHANGE CONTRACTS
- ---------------------------------------------------------------------------
- ----
JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
CONTRACT
VALUE
DATE
VALUE (a)
- ---------------------------------------------------------------------------
- ------------------------
<S> <C>
<C>
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
462,623 Australian Dollars.................................... 07/08/1994
$ 337,553
470,932 Canadian Dollars...................................... 07/08/1994
340,626
560,508 German Marks.......................................... 07/08/1994
353,410
2,311,750,000 Italian Lire.................................... 07/08/1994
1,465,451
1,108,823 New Zealand Dollars................................. 07/08/1994
660,470
- ---------------------------------------------------------------------------
- -------------------------
TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
(Contract amount $3,155,572)..................................
$ 3,157,510
- ---------------------------------------------------------------------------
- -------------------------
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
466,501 Australian Dollars.................................... 07/08/1994
$ (336,005)
693,732 British Pounds........................................ 07/08/1994
(1,073,517)
3,403,805 German Marks........................................ 07/08/1994
(2,146,157)
350,631 Irish Punts........................................... 07/08/1994
(534,169)
1,534,704,637 Italian Lire.................................... 07/08/1994
(972,871)
250,000,000 Portuguese Escudo................................. 07/08/1994
(1,533,742)
132,701,009 Spanish Pesatas................................... 07/08/1994
(1,013,565)
5,876,343 Swedish Krona....................................... 07/08/1994
(767,758)
- ---------------------------------------------------------------------------
- --------------------------
TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
(Contract amount $8,126,474)..................................
$ (8,377,784)
- ---------------------------------------------------------------------------
- --------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- ----------------------------------------
<S>
<C> <C>
COMMON STOCKS - 75.0%
- ---------------------------------------------------------------------------
- ----------------------------------------
UTILITIES - 49.2%
Allegheny Power Systems Inc.
........................................................ 50,000
$1,050,000
American Electric Power Inc.
........................................................ 20,000
565,000
Boston Edison
Company................................................................
25,000 656,250
Central & South West
Corporation.....................................................
25,000 531,250
Cincinnati Gas & Electric
Company.................................................... 40,000
870,000
Citizens Utilities Company, Class B
(b).............................................. 10,454
143,746
Commonwealth Edison
Company..........................................................
40,000 910,000
Consolidated Edison Company of New York Inc.
........................................ 25,000 662,500
Detroit Edison
Company...............................................................
35,000 866,250
Dominion Resources of Virginia Inc.
................................................. 30,000
1,091,250
DPL Inc.
...........................................................................
. 45,000 888,750
DQE Inc.
...........................................................................
. 35,000 1,036,875
Eastern Utilities
Association........................................................
30,000 693,750
FPL Group Inc.
......................................................................
40,000 1,195,000
General Public Utilities
Corporation................................................. 30,000
787,500
Illinova
Corporation................................................................
. 50,000 937,500
Long Island Lighting
Company.........................................................
40,000 710,000
New England Electric
System..........................................................
25,000 815,625
New York State Electric & Gas
Corporation............................................ 25,000
593,750
NIPSCO Industries Inc.
..............................................................
30,000 885,000
Northeast
Utilities..................................................................
30,000 652,500
Pacific Gas & Electric
Company.......................................................
27,000 641,250
Pacificorp.................................................................
.......... 30,000 506,250
Public Service Company of
Colorado................................................... 25,000
653,125
Public Service Enterprise
Group...................................................... 35,000
910,000
San Diego Gas & Electric
Company..................................................... 25,000
462,500
SCANA
Corporation................................................................
.... 20,000 857,500
Southern
Company....................................................................
. 68,200 1,278,750
Texas Utilities
Company..............................................................
35,000 1,098,125
Western Resources Inc.
..............................................................
38,300 1,029,313
- ---------------
23,979,309
- ---------------------------------------------------------------------------
- ----------------------------------------
TELEPHONE - 20.8%
American Telephone & Telegraph
Company............................................... 42,500
2,310,937
Ameritech
Corporation................................................................
20,000 765,000
Bell Atlantic
Corporation............................................................
20,000 1,120,000
BellSouth
Corporation................................................................
10,000 617,500
GTE
Corporation................................................................
...... 20,000 630,000
NYNEX
Corporation................................................................
.... 30,000 1,136,250
Pacific Telesis
Group................................................................
10,000 308,750
Southwestern Bell
Corporation........................................................
15,000 652,500
Sprint
Corporation................................................................
... 20,000 697,500
US West Inc.
........................................................................
45,000 1,884,375
- ---------------
10,122,812
- ---------------------------------------------------------------------------
- ----------------------------------------
GAS - 5.0%
MCN
Corporation................................................................
...... 20,000 $800,000
Westcoast Energy Inc.
...............................................................
35,000 516,250
Williams Company Inc.
...............................................................
40,000 1,145,000
- ---------------
2,461,250
- ---------------------------------------------------------------------------
- ----------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
37
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- ----------------------------------------
<S>
<C> <C>
TOTAL COMMON STOCKS (COST
$40,775,588)...............................................
$36,563,371
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
PREFERRED STOCK - 2.4% (COST $1,186,025)
UTILITIES - 2.4%
PECO Energy Company,
Pfd.............................................................
45,000 1,186,875
- ---------------------------------------------------------------------------
- ----------------------------------------
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- ----------------------------------------
CORPORATE BONDS AND NOTES - 17.2%
- ---------------------------------------------------------------------------
- ----------------------------------------
UTILITIES - 17.2%
Arizona Public Service Company, First Mortgage:
7.250% due
08/01/2023.............................................................
$250,000 213,750
8.750% due
01/15/2024.............................................................
250,000 248,125
8.000% due
02/01/2025.............................................................
200,000 183,750
Central Illinois Public Service Company,
8.500% due
05/15/2022.............................................................
255,000 283,050
Cincinnati Gas & Electric Company,
8.500% due
09/01/2022.............................................................
200,000 207,500
Commonwealth Edison Company,
8.375% due
09/15/2022.............................................................
250,000 228,750
Dayton Power & Light Company, First Mortgage,
8.150% due
01/15/2026.............................................................
250,000 238,438
Duquesne Light Company, 1st Collateral Trust:
8.375% due
05/15/2024.............................................................
200,000 217,500
7.550% due
06/15/2025.............................................................
250,000 222,812
Idaho Power Company, First Mortgage,
8.750% due
03/15/2027.............................................................
200,000 204,500
Illinois Power Company,
8.000% due
02/15/2023.............................................................
500,000 469,375
Kentucky Utilities Company,
8.550% due
05/15/2027.............................................................
300,000 297,750
Madison Gas & Electric Company, First Mortgage:
8.500% due
04/15/2022.............................................................
200,000 198,500
7.700% due
02/15/2028.............................................................
500,000 453,125
Midwest Power Systems Inc.,
8.125% due
02/01/2023.............................................................
250,000 238,750
New England Power Company, General & Reference,
8.000% due
08/01/2022.............................................................
200,000 190,750
New York State Electric & Gas Corporation, First Mortgage:
8.300% due
12/15/2022.............................................................
250,000 242,188
7.450% due
07/15/2023.............................................................
250,000 222,187
Niagara Mohawk Power,
8.500% due 07/01/2023
............................................................ 250,000
237,813
Pacific Gas & Electric Company,
6.750% due
10/01/2023.............................................................
250,000 203,750
Pennsylvania Power & Light Company,
8.500% due
05/01/2022.............................................................
500,000 496,250
Public Service Company, Oklahoma, First Mortgage,
7.375% due
04/01/2023.............................................................
300,000 264,750
</TABLE>
See accompanying Notes to Financial Statements.
38
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- ----------------------------------------
<S>
<C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- ----------------------------------------
UTILITIES (CONTINUED)
Public Service Electric & Gas Company, 1st & Refunding,
8.750% due
02/01/2022.............................................................
$198,000 $201,712
San Diego Gas & Electric Company,
8.500% due
04/01/2022.............................................................
200,000 198,500
Tampa Electric,
7.750% due
11/01/2022.............................................................
550,000 512,875
Texas Utilities,
7.625% due
07/01/2025.............................................................
500,000 441,875
Virginia Electric & Power Company, First Mortgage,
7.500% due
06/01/2023.............................................................
250,000 225,313
Wisconsin Electric Power Company, First Mortgage,
7.050% due
08/01/2024.............................................................
400,000 344,000
Wisconsin Power & Light Company, Note,
8.600% due
03/15/2027.............................................................
300,000 $307,500
Wisconsin Public Service Corporation, First Mortgage,
7.125% due
07/01/2023.............................................................
425,000 370,281
- ---------------------------------------------------------------------------
- ----------------------------------------
TOTAL CORPORATE BONDS AND NOTES (COST
$8,857,403)....................................
8,365,419
- ---------------------------------------------------------------------------
- ----------------------------------------
REPURCHASE AGREEMENT - 4.5% (COST $2,203,000)
Agreement with Kidder Peabody & Company, 4.250% dated 06/30/1994 to be
repurchased at
$2,203,260 on 07/01/1994 collateralized by $6,375,000 U.S. Treasury
Strips, Zero Coupon
due
02/15/2008.................................................................
... 2,203,000 2,203,000
- ---------------------------------------------------------------------------
- ----------------------------------------
TOTAL INVESTMENTS (COST $53,022,016)
(c)............................................. 99.1%
48,318,665
OTHER ASSETS AND LIABILITIES
(NET)................................................... 0.9
417,276
- ---------------------------------------------------------------------------
- ----------------------------------------
NET
ASSETS.....................................................................
...... 100.0% $48,735,941
- ---------------------------------------------------------------------------
- ----------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Non-income producing security.
(c) At June 30, 1994, the cost of securities for Federal income tax
purposes was $53,022,016 and the aggregate
appreciation and depreciation based on that cost was:
Unrealized
appreciation........................... $829,016
Unrealized
depreciation........................... 5,532,367
----------------------------------------
- ------------------------
Net unrealized
depreciation....................... $4,703,351
----------------------------------------
- ------------------------
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS - 76.2%
- ---------------------------------------------------------------------------
- ------------------------------------------------
CONSUMER NON-DURABLES - 10.5%
American Brands Inc.
........................................................................
500 $15,813
Anheuser Busch Companies Inc.
...............................................................
600 30,450
Archer Daniels Midland Company
..............................................................
745 17,321
Avon Products Inc.
..........................................................................
200 11,775
Ball Corporation
...........................................................................
. 100 2,600
Borden Inc.
...........................................................................
...... 300 3,712
Brown Forman Corporation, Class B
........................................................... 300
8,475
Campbell Soup Company
.......................................................................
600 20,625
Clorox
Company....................................................................
........... 100 4,887
Coca Cola Company
...........................................................................
2,900 117,814
Colgate Palmolive Company
...................................................................
300 15,600
Conagra Inc.
...........................................................................
..... 600 18,300
Coors Adolph Company, Class B
...............................................................
100 1,750
CPC International Inc.
......................................................................
300 14,475
Crown Cork & Seal Inc.
(b)...................................................................
200 7,450
Dial Corporation, Arizona
...................................................................
100 4,275
Eastman Chemical Company
....................................................................
175 8,356
Eastman Kodak Company
.......................................................................
700 33,688
General Mills Inc.
..........................................................................
400 21,850
Genesco Inc.
(b)........................................................................
..... 100 325
Gerber Products Company
.....................................................................
200 10,200
Gillette Company
...........................................................................
. 500 32,563
Hartmarx Corporation
(b).....................................................................
100 612
Hasbro Inc.
...........................................................................
...... 200 5,925
Heinz (H J) Company
.........................................................................
600 19,125
Hershey Foods Corporation
...................................................................
200 8,675
International Flavors & Fragrances Inc.
..................................................... 300
11,738
Kellogg Company
...........................................................................
.. 500 27,188
Liz Claiborne Inc.
..........................................................................
200 4,000
Mattel Inc.
...........................................................................
...... 437 11,089
McDonald's Corporation
......................................................................
1,600 46,200
McKesson Corporation
........................................................................
100 7,213
Nike Inc., Class B
..........................................................................
200 11,950
PepsiCo Inc.
...........................................................................
..... 1,800 55,125
Pet Inc.
...........................................................................
......... 200 3,725
Philip Morris Companies Inc.
................................................................
2,000 103,000
Pioneer Hi Bred International
...............................................................
200 6,550
Polaroid Corporation
........................................................................
100 3,188
Premark International Inc.
..................................................................
100 7,525
Procter & Gamble Company
....................................................................
1,500 80,063
Quaker Oats Company
.........................................................................
200 13,975
Ralston Purina
Group......................................................................
... 200 6,925
Reebok International Ltd.
...................................................................
200 5,975
Rubbermaid Inc.
...........................................................................
.. 400 10,500
Russell Corporation
.........................................................................
100 2,912
Sara Lee
Corporation................................................................
......... 1,100 23,375
Seagram Ltd.
...........................................................................
..... 800 24,200
Sherwin Williams
Company....................................................................
. 200 6,300
</TABLE>
See accompanying Notes to Financial Statements.
40
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (continued)
- ---------------------------------------------------------------------------
- ------------------------------------------------
CONSUMER NON-DURABLES (CONTINUED)
Stride Rite Corporation
.....................................................................
100 $1,300
Unilever N.V. ADR
...........................................................................
400 40,300
UST Inc.
...........................................................................
......... 500 13,563
V F Corporation
...........................................................................
.. 100 4,750
Whitman Corporation
.........................................................................
200 3,100
Wrigley (Wm) Jr Company
.....................................................................
300 14,250
- ---------------
986,620
- ---------------------------------------------------------------------------
- ------------------------------------------------
UTILITIES - 10.0%
Airtouch Communications
(b)..................................................................
1,100 25,987
American Electric Power Inc.
................................................................
400 11,300
American Telephone & Telegraph Company
...................................................... 3,000
163,125
Ameritech Corporation
.......................................................................
1,200 45,900
Baltimore Gas & Electric
Company.............................................................
350 7,437
Bell Atlantic Corporation
...................................................................
1,000 56,000
BellSouth Corporation
.......................................................................
1,100 67,925
Carolina Power & Light Company
..............................................................
400 9,250
Central & South West Corporation
(b)......................................................... 400
8,500
Columbia Gas Systems Inc.
(b)................................................................
100 2,700
Commonwealth Edison Company
.................................................................
500 11,375
Consolidated Edison Company New York Inc.
................................................... 500
13,250
Consolidated Natural Gas Company
............................................................ 200
7,550
Detroit Edison Company
......................................................................
300 7,425
Dominion Resources Inc. of Virginia
......................................................... 350
12,731
Duke Power Company
..........................................................................
500 17,875
Entergy Corporation
.........................................................................
400 9,900
FPL Group Inc.
...........................................................................
... 400 11,950
GTE Corporation
...........................................................................
.. 2,100 66,150
Houston Industries Inc.
.....................................................................
300 9,787
MCI Communications Corporations
............................................................. 1,200
26,550
Niagara Mohawk Power Corporation
............................................................ 300
4,538
Nicor Inc.
...........................................................................
....... 100 2,638
Northern States Power Company of Minnesota
................................................. 200
8,225
NYNEX Corporation
...........................................................................
900 34,088
Ohio Edison Company
.........................................................................
300 5,363
Oneok Inc.
...........................................................................
....... 100 1,713
Pacific Corporation
.........................................................................
600 10,125
Pacific Enterprises
.........................................................................
200 3,975
Pacific Gas & Electric Company
..............................................................
1,000 23,750
Pacific Telesis Group
.......................................................................
900 27,787
PECO Energy Company
.........................................................................
500 13,188
Peoples Energy Corporation
..................................................................
100 2,338
PSI Resources Inc.
..........................................................................
100 2,113
Public Service Enterprise Group
............................................................. 500
13,000
SCE Corporation
...........................................................................
.. 1,000 12,875
Southern Company
...........................................................................
. 1,400 26,250
Southwestern Bell Corporation
...............................................................
1,300 56,550
Sprint Corporation
..........................................................................
800 27,900
Texas Utilities Company
.....................................................................
500 15,688
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (continued)
- ---------------------------------------------------------------------------
- ------------------------------------------------
UTILITIES (CONTINUED)
U S West Inc.
...........................................................................
.... 1,000 $41,875
Union Electric Company
......................................................................
200 6,350
- ---------------
932,996
- ---------------------------------------------------------------------------
- ------------------------------------------------
CONSUMER SERVICES - 8.6%
Albertsons Inc.
...........................................................................
.. 600 16,500
American Greetings Corporation, Class A
..................................................... 200
6,000
American Stores Company
.....................................................................
400 9,800
Bally Entertainment Corporation
(b).......................................................... 100
650
Blockbuster Entertainment Corporation
....................................................... 500
12,937
Brunos Inc.
...........................................................................
...... 200 1,450
Brunswick Corporation
.......................................................................
200 4,400
Charming Shoppes Inc.
.......................................................................
200 1,875
Circuit City Stores Inc.
....................................................................
200 4,100
Comcast Corporation, Class A,
(Special)......................................................
450 8,100
Dayton Hudson Corporation
...................................................................
200 16,200
Deluxe Corporation
..........................................................................
200 5,275
Dillard Department Stores Inc., Class A
..................................................... 300
9,262
Disney (Walt) Company
.......................................................................
1,200 49,950
Donnelley (R R) & Sons Company
..............................................................
300 8,325
Dow Jones & Company Inc.
....................................................................
200 6,200
Dun & Bradstreet Corporation
................................................................
400 22,200
Ecolab Inc.
...........................................................................
...... 200 4,400
Fleming Companies Inc.
......................................................................
100 2,775
Gannett Inc.
...........................................................................
..... 300 14,850
Gap Inc.
...........................................................................
......... 300 12,825
Giant Food Inc., Class A
....................................................................
100 1,963
Great Atlantic & Pacific Tea Inc.
........................................................... 100
2,150
Handleman Company
...........................................................................
100 1,013
Harcourt General Inc.
.......................................................................
200 7,025
Harland (John H) Company
....................................................................
100 2,175
Hilton Hotels Corporation
...................................................................
100 5,300
Home Depot Inc.
...........................................................................
.. 1,033 43,515
Interpublic Group Companies Inc.
............................................................ 200
6,200
Jostens Inc.
...........................................................................
..... 100 1,613
K Mart Corporation
..........................................................................
900 13,950
King World Productions Inc.
(b)..............................................................
100 3,987
Knight Ridder Inc.
..........................................................................
100 5,112
Kroger Company
(b)........................................................................
.. 200 4,650
Limited Inc.
...........................................................................
..... 800 13,800
Lowes Companies Inc.
........................................................................
400 13,700
Lubys Cafeterias Inc.
.......................................................................
100 2,250
Marriott International Inc.
.................................................................
300 7,987
May Department Stores Company
...............................................................
600 23,550
McCaw Cellular Communications
(b)............................................................
500 25,875
McGraw Hill Inc.
...........................................................................
. 100 6,650
Melville Corporation
........................................................................
200 7,750
Mercantile Stores Inc.
......................................................................
100 3,212
National Education Corporation (b)
.......................................................... 100
563
</TABLE>
See accompanying Notes to Financial Statements.
42
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------------------------------------------
CONSUMER SERVICES (CONTINUED)
National Service Industries Inc.
............................................................ 100
$2,600
New York Times Company, Class A
............................................................. 200
4,775
Nordstrom Inc.
...........................................................................
... 200 8,500
Penney (J C) Inc.
...........................................................................
500 27,125
Pep Boys - Manny, Moe and Jack
..............................................................
100 3,162
Price Costco Inc.
(b)........................................................................
500 7,469
Promus Companies Inc. (b)
...................................................................
250 7,406
Rite Aid Corporation
........................................................................
200 4,050
Rollins Environmental Services Inc.
......................................................... 100
475
Ryan's Family Steak Houses Inc. (b)
......................................................... 100
725
Safety-Kleen Corporation
....................................................................
100 1,700
Sears Roebuck & Company
.....................................................................
800 38,400
Service Corporation International
........................................................... 150
3,862
Shoney's Inc. (b)
...........................................................................
100 1,525
Super Value Inc.
...........................................................................
. 200 6,050
Sysco Corporation
...........................................................................
400 9,050
Tandy Corporation
...........................................................................
100 3,450
Tele-Communications Inc., Class A (b)
....................................................... 1,000
20,375
Time Warner Inc.
...........................................................................
. 800 28,100
Times Mirror Company, Series A
..............................................................
300 9,038
TJX Companies Inc.
..........................................................................
200 4,375
Toys 'R' Us Inc. (b)
........................................................................
700 22,925
Tribune
Company....................................................................
.......... 200 10,650
Walgreen Company
...........................................................................
. 300 10,950
Wal-Mart Stores Inc.
........................................................................
5,200 126,100
Wendy's International Inc.
..................................................................
200 3,125
Winn Dixie Stores Inc.
......................................................................
200 8,600
Woolworth Corporation
.......................................................................
300 4,763
- ---------------
801,389
- ---------------------------------------------------------------------------
- ------------------------------------------------
FINANCIAL SERVICES - 8.5%
Aetna Life & Casualty Company
...............................................................
300 16,762
Ahmanson (H F) & Company
....................................................................
300 5,662
Alexander & Alexander Services Inc.
......................................................... 100
1,625
American General Corporation
................................................................
500 13,813
American International Group Inc.
........................................................... 700
60,638
Banc One Corporation
........................................................................
810 27,742
Bank of Boston Corporation
..................................................................
200 4,925
BankAmerica Corporation
.....................................................................
788 36,051
Bankers Trust of New York Corporation
..................................................... 200
13,325
Barnett Banks Inc.
..........................................................................
200 8,750
Beneficial Corporation
......................................................................
200 7,300
Block (H & R) Inc.
..........................................................................
200 7,850
Boatmens Bancshares Inc.
....................................................................
200 6,300
Chase Manhattan Corporation
.................................................................
400 15,300
Chemical Banking Corporation
................................................................
600 23,100
Chubb Corporation
...........................................................................
200 15,325
CIGNA Corporation
...........................................................................
200 14,625
CitiCorporation
(b)........................................................................
.. 800 31,900
</TABLE>
See accompanying Notes to Financial Statements.
43
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------------------------------------------
FINANCIAL SERVICES (CONTINUED)
Continental Corporation
.....................................................................
100 $1,550
CoreStates Financial Corporation
............................................................ 300
7,725
Dean Witter Discover &
Company...............................................................
334 12,525
Federal Home Loan Mortgage Corporation
...................................................... 400
24,200
Federal National Mortgage Association
....................................................... 600
50,100
First Chicago Corporation
...................................................................
200 9,625
First Fidelity
BanCorporation.............................................................
... 200 9,275
First Interstate BanCorporation
............................................................. 200
15,400
First Union Corporation
.....................................................................
400 18,450
Fleet Financial Group Inc.
..................................................................
300 11,325
General Re Corporation
......................................................................
200 21,800
Golden West Financial Corporation of Delaware
............................................... 100
3,863
Great Western Financial Corporation
......................................................... 300
5,513
Household International Inc.
................................................................
200 6,800
Jefferson Pilot Corporation
.................................................................
100 4,875
KeyCorporation.............................................................
.................. 500 15,938
Lincoln National
Corporation................................................................
. 200 8,475
Marsh & McLennan Companies Inc.
............................................................. 200
16,675
MBNA Corporation
...........................................................................
. 300 6,750
Mellon Bank Corporation
.....................................................................
100 5,625
Merrill Lynch & Company Inc.
................................................................
500 17,500
Morgan (J P) & Company Inc.
.................................................................
400 24,750
NationsBank Corporation
.....................................................................
584 30,003
NBD BanCorporation Inc.
.....................................................................
400 12,650
Norwest Corporation
.........................................................................
700 18,288
PNC Bank Corporation
.......................................................................
500 14,438
Providian Corporation (b)
...................................................................
200 6,050
SAFECO Corporation
..........................................................................
100 5,562
Salomon Inc.
...........................................................................
..... 200 9,550
Shawmut National Corporation
................................................................
200 4,400
St Paul Companies Inc.
......................................................................
200 8,025
Suntrust Banks Inc.
.........................................................................
300 14,513
Torchmark Corporation
.......................................................................
150 5,850
Transamerica Corporation
....................................................................
200 10,425
UNUM Corporation
...........................................................................
. 200 8,950
USF&G Corporation
..........................................................................
200 2,450
USLIFE Corporation
..........................................................................
100 3,550
U.S. BanCorporation of Oregon
...............................................................
200 5,175
Wachovia Corporation (b)
....................................................................
400 13,250
Wells Fargo & Company
.......................................................................
100 15,038
- ---------------
797,899
- ---------------------------------------------------------------------------
- ------------------------------------------------
ENERGY - 8.5%
Amerada Hess Corporation
....................................................................
200 9,850
Amoco Corporation
...........................................................................
1,100 62,700
Ashland Oil Inc.
...........................................................................
. 100 3,362
Atlantic Richfield Company
..................................................................
400 40,850
Baker Hughes Inc.
...........................................................................
300 6,150
Burlington Resources Inc.
...................................................................
300 12,412
</TABLE>
See accompanying Notes to Financial Statements.
44
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------------------------------------------
ENERGY (CONTINUED)
Chevron Corporation
.........................................................................
1,400 $58,625
Coastal Corporation
.........................................................................
200 5,400
Dresser Industries Inc.
.....................................................................
300 6,150
Eastern Enterprises
.........................................................................
100 2,287
Enron Corporation
...........................................................................
500 16,375
Enserch Corporation
.........................................................................
100 1,438
Exxon Corporation
...........................................................................
2,800 158,550
Halliburton Company
.........................................................................
300 10,125
Helmerich & Payne Inc.
......................................................................
100 2,650
Kerr McGee Corporation
......................................................................
100 4,712
Louisiana Land & Exploration Company
........................................................ 100
4,250
Maxus Energy Corporation
(b)................................................................
300 1,500
McDermott International Inc.
................................................................
100 2,500
Mobil Corporation
...........................................................................
900 73,462
Noram Energy Corporation (b)
................................................................
300 1,800
Occidental Petroleum Corporation
............................................................ 700
13,213
Oryx Energy Company
.........................................................................
200 3,000
Panhandle Eastern Corporation
...............................................................
300 5,925
Pennzoil Company
...........................................................................
. 100 5,125
Phillips Petroleum Company
..................................................................
600 18,750
Pittston Services Group
.....................................................................
100 2,675
Rowan Companies Inc. (b)
....................................................................
200 1,750
Royal Dutch Petroleum
Company................................................................
1,200 125,550
Santa Fe Energy Resources
...................................................................
200 1,875
Schlumberger Ltd.
...........................................................................
500 29,563
Sonat Inc.
...........................................................................
....... 200 6,150
Sun Inc.
...........................................................................
......... 200 5,375
Tenneco Inc.
...........................................................................
..... 400 18,550
Texaco Inc.
...........................................................................
...... 600 36,225
Transco Energy Company
......................................................................
100 1,625
Unocal Corporation
..........................................................................
500 14,313
USX-Marathon Group
.........................................................................
600 10,050
Western Atlas Inc.
..........................................................................
100 4,763
Williams Companies Inc.
.....................................................................
200 5,725
- ---------------
795,350
- ---------------------------------------------------------------------------
- ------------------------------------------------
TECHNOLOGY - 6.9%
Advanced Micro Devices Inc.
(b)..............................................................
200 4,975
Amdahl
Corporation................................................................
........... 300 1,650
Amp Inc.
...........................................................................
......... 200 13,850
Apple Computer Inc.
.........................................................................
300 7,950
Autodesk Inc.
...........................................................................
.... 100 4,950
Automatic Data Processing Inc.
..............................................................
300 15,937
Ceridian Corporation
(b).....................................................................
100 2,462
Cisco Systems Inc.
(b).......................................................................
600 14,025
Compaq Computer Corporation
(b)..............................................................
600 19,350
Computer Association International Inc.
..................................................... 400
16,000
Cray Research Inc.
(b).......................................................................
100 2,263
Data General Corporation
(b).................................................................
100 775
</TABLE>
See accompanying Notes to Financial Statements.
45
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------------------------------------------
TECHNOLOGY (CONTINUED)
Digital Equipment Corporation
(b)............................................................
300 $5,812
DSC Communications Corporation
(b).......................................................... 200
3,913
EG & G Inc.
...........................................................................
...... 100 1,500
E-Systems Inc.
...........................................................................
... 100 3,738
Harris
Corporation................................................................
........... 100 4,413
Hewlett Packard Company
.....................................................................
600 45,225
Honeywell Inc.
...........................................................................
... 300 9,300
Intel Corporation
...........................................................................
900 52,650
Intergraph Corporation
(b)...................................................................
100 975
International Business Machines Corporation
................................................. 1,300
76,375
ITT Corporation
...........................................................................
.. 300 24,487
Loral Corporation
...........................................................................
200 7,000
Lotus Development Corporation
(b)............................................................
100 3,675
M A Company Inc.
(b)........................................................................
. 100 800
Microsoft Corporation
(b)....................................................................
1,300 66,950
Minnesota Mining & Manufacturing Company
.................................................... 1,000
49,500
Motorola Inc.
...........................................................................
.... 1,200 53,400
National Semiconductor Corporation (b)
...................................................... 200
3,450
Northern Telecom Ltd.
.......................................................................
600 16,575
Novell Inc. (b)
...........................................................................
.. 700 11,725
Oracle Systems Corporation (b)
..............................................................
600 22,500
Perkin-Elmer Corporation
....................................................................
100 2,925
Pitney Bowes Inc.
...........................................................................
400 15,300
Scientific Atlanta Inc.
.....................................................................
100 3,437
Shared Medical Systems Corporation
.......................................................... 100
2,400
Sun Microsystems Inc. (b)
...................................................................
200 4,125
Tandem Computers Inc. (b)
...................................................................
300 3,375
Tektronix Inc.
...........................................................................
... 100 2,825
Texas Instruments Inc.
......................................................................
200 15,900
Unisys Corporation
(b).......................................................................
400 3,700
Xerox Corporation
...........................................................................
200 19,550
- ---------------
641,687
- ---------------------------------------------------------------------------
- ------------------------------------------------
BASIC INDUSTRIES - 6.5%
Air Products & Chemicals Inc.
...............................................................
300 12,713
Alcan Aluminum Ltd.
.........................................................................
500 11,375
Alco Standard
Corporation................................................................
.... 100 5,713
Allied Signal Inc.
..........................................................................
600 20,775
Aluminum Company of America
................................................................
200 14,625
American Barrick Resource Corporation
....................................................... 600
14,325
American Cyanamid Company
...................................................................
200 11,200
Armco Inc.
(b)........................................................................
....... 200 1,125
ASARCO Inc.
...........................................................................
...... 100 2,812
Avery Dennison Corporation
..................................................................
100 2,900
Bemis Inc.
...........................................................................
....... 100 2,225
Bethlehem Steel Corporation
(b)..............................................................
200 3,725
Boise Cascade Corporation
...................................................................
100 2,212
Champion International Corporation
.......................................................... 200
6,575
Cyprus Amax Minerals Company
................................................................
200 5,950
</TABLE>
See accompanying Notes to Financial Statements.
46
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------------------------------------------
BASIC INDUSTRIES (CONTINUED)
Dow Chemical Company
........................................................................
600 $39,225
du Pont (E I) De Nemours & Co.
..............................................................
1,500 87,562
Echo Bay Mines Ltd.
.........................................................................
300 3,225
Engelhard Corporation
.......................................................................
250 6,313
Federal Paper Board Inc.
....................................................................
100 2,287
FMC Corporation
(b)........................................................................
.. 100 5,412
General Signal Corporation
..................................................................
100 3,300
Georgia Pacific Corporation
.................................................................
200 11,975
Goodrich (B F) Company
......................................................................
100 4,350
Grace (W R) &
Company....................................................................
.... 200 7,975
Great Lakes Chemical Corporation
............................................................ 200
10,825
Harnischfeger Industriess Inc.
..............................................................
100 1,950
Hercules Inc.
...........................................................................
.... 100 10,700
Homestake Mining Company
....................................................................
300 5,625
Inco Ltd.
...........................................................................
........ 200 4,875
Inland Steel Industries Inc.
(b).............................................................
100 3,487
International Paper Company
.................................................................
300 19,875
James River Corporation of Virginia
........................................................ 200
3,400
Kimberly Clark Corporation
..................................................................
400 21,150
Louisiana Pacific Corporation
...............................................................
200 6,100
Mead Corporation
...........................................................................
. 100 4,412
Monsanto Company
...........................................................................
. 300 22,687
Morton International Industries Inc.
........................................................ 100
7,800
Nalco Chemical Company
......................................................................
200 6,375
Newmont Mining Corporation
..................................................................
249 10,022
Nucor Corporation
...........................................................................
200 13,700
Phelps Dodge Corporation
....................................................................
200 11,400
Placer Dome Inc.
...........................................................................
. 500 10,750
Potlatch
Corporation................................................................
......... 100 3,850
PPG Industries Inc.
.........................................................................
400 15,000
Praxair Inc.
...........................................................................
..... 300 5,850
Reynolds Metals Company
.....................................................................
100 4,800
Rohm & Haas Company
.........................................................................
200 12,450
Scott Paper
Company....................................................................
...... 200 10,450
Stone Container Corporation (b)
............................................................. 202
2,954
Temple Inland Inc.
..........................................................................
100 4,763
Trinova Corporation
.........................................................................
100 3,463
Union Camp Corporation
......................................................................
200 9,075
Union Carbide Corporation
...................................................................
300 8,025
USX - U.S. Steel
Group......................................................................
. 200 6,775
Westvaco Corporation
........................................................................
200 6,150
Weyerhaeuser Company
........................................................................
500 20,000
WMX Technologies Inc.
.......................................................................
1,100 29,150
Worthington Industries Inc.
.................................................................
250 4,625
- ---------------
612,387
- ---------------------------------------------------------------------------
- ------------------------------------------------
HEALTH CARE - 6.4%
Abbott Laboratories
.........................................................................
1,900 55,100
Allergan Inc.
...........................................................................
.... 100 2,163
</TABLE>
See accompanying Notes to Financial Statements.
47
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------------------------------------------
HEALTH CARE (CONTINUED)
ALZA Corporation
...........................................................................
. 200 $4,700
American Home Products Corporation
.......................................................... 700
39,725
Amgen Inc.
(b)........................................................................
....... 300 12,863
Bard (C R) Inc.
...........................................................................
. 100 2,387
Bausch & Lomb Inc.
..........................................................................
100 3,700
Baxter International Inc.
...................................................................
600 15,750
Becton, Dickinson & Company
.................................................................
200 8,175
Beverly Enterprises Inc.
(b).................................................................
200 2,425
Biomet Inc.
(b)........................................................................
...... 300 3,112
Bristol-Myers-Squibb
Company.................................................................
1,200 64,350
Columbia Healthcare Corporation
............................................................. 732
27,450
Community Psychiatric Centers
...............................................................
100 1,187
Johnson & Johnson
...........................................................................
1,500 64,312
Lilly (Eli) & Company
.......................................................................
700 39,812
Mallinckrodt Group Inc.
.....................................................................
200 6,500
Manor Care Inc.
...........................................................................
.. 100 2,512
Medtronic Inc.
...........................................................................
... 100 8,012
Merck & Company Inc.
........................................................................
2,900 86,275
Millipore Corporation
.......................................................................
100 5,275
National Medical Enterprises Inc.
........................................................... 400
6,250
Pall Corporation
...........................................................................
. 233 3,495
Pfizer Inc.
...........................................................................
...... 700 44,187
Schering-Plough Corporation
.................................................................
400 24,500
St. Jude Medical Inc.
.......................................................................
100 3,250
Syntex Corporation
..........................................................................
500 11,500
US Healthcare Inc.
..........................................................................
400 14,800
United States Surgical Corporation
.......................................................... 100
2,225
Upjohn Company
...........................................................................
... 400 11,650
Warner Lambert Company
......................................................................
300 19,800
- ---------------
597,442
- ---------------------------------------------------------------------------
- ------------------------------------------------
CAPITAL GOODS - 5.9%
Armstrong World Industries Inc.
............................................................. 100
4,662
Boeing
Company....................................................................
........... 800 37,000
Browning Ferris Industries Inc.
............................................................. 400
12,150
Caterpillar Inc.
...........................................................................
. 200 20,000
Centex Corporation
..........................................................................
100 2,575
Cincinnati Milacron Inc.
....................................................................
100 2,088
Cooper Industries Inc.
......................................................................
300 10,800
Crane Company
...........................................................................
.... 100 2,638
Cummins Engine Inc.
.........................................................................
100 4,325
Dana Corporation
...........................................................................
. 200 5,700
Deere & Company
...........................................................................
.. 200 13,525
Dover Corporation
...........................................................................
100 5,886
Eaton Corporation
...........................................................................
200 10,400
Echlin Inc.
...........................................................................
...... 100 3,013
Emerson Electric Company
....................................................................
500 28,437
Fluor Corporation
...........................................................................
200 10,175
Foster Wheeler Corporation
..................................................................
100 3,637
</TABLE>
See accompanying Notes to Financial Statements.
48
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------------------------------------------
CAPITAL GOODS (CONTINUED)
General Dynamics Corporation
................................................................
200 $8,175
General Electric Company
....................................................................
3,800 177,175
Giddings & Lewis Inc.
.......................................................................
100 1,550
Grainger (W W) Inc.
.........................................................................
100 6,388
Illinois Tool Works Inc.
....................................................................
300 11,700
Ingersoll Rand Company
......................................................................
200 7,025
Johnson Controls Inc.
.......................................................................
100 4,838
Kaufman & Broad Home Corporation
............................................................ 100
1,338
Lockheed Corporation
........................................................................
100 6,537
Martin Marietta
Corporation................................................................
.. 200 8,825
McDonnell Douglas Corporation
...............................................................
100 11,700
Moore Ltd.
...........................................................................
....... 200 3,375
Morrison Knudsen Corporation
................................................................
100 2,150
Navistar International Corporation (b)
...................................................... 140
1,873
Northrop Grumman Corporation
................................................................
100 3,713
Ogden Corporation
...........................................................................
100 2,200
Owens Corning Fiberglas Corporation
(b)...................................................... 100
3,113
Paccar Inc.
...........................................................................
...... 115 5,319
Parker Hannifin Corporation
.................................................................
100 4,263
Raychem Corporation
.........................................................................
100 3,600
Raytheon Corporation
........................................................................
300 19,425
Rockwell International Corporation
.......................................................... 500
18,687
Stanley Works
...........................................................................
.... 100 4,025
Teledyne Inc.
...........................................................................
.... 100 1,600
Textron Inc.
...........................................................................
..... 200 10,475
Timken
Company....................................................................
........... 100 3,275
TRW Inc.
...........................................................................
......... 100 6,450
Tyco International Ltd.
.....................................................................
100 4,575
United Technologies Corporation
............................................................. 300
19,275
Varity Corporation (b)
......................................................................
100 3,638
Westinghouse Electric Corporation
........................................................... 800
9,300
- ---------------
552,593
- ---------------------------------------------------------------------------
- ------------------------------------------------
CONSUMER DURABLES - 2.9%
Black & Decker Corporation
..................................................................
200 3,450
Chrysler Corporation
........................................................................
800 37,700
Cooper Tire & Rubber Company
................................................................
200 4,625
Corning Inc.
...........................................................................
..... 500 16,313
Fleetwood Enterprises Inc.
..................................................................
100 1,912
Ford Motor Company
..........................................................................
1,100 64,900
General Motors Corporation
..................................................................
1,600 80,400
Genuine Parts Company
.......................................................................
300 10,838
Goodyear Tire & Rubber
Company...............................................................
300 10,800
Masco Corporation
...........................................................................
300 8,250
Maytag Corporation
..........................................................................
200 3,700
Newell Company
...........................................................................
... 200 9,250
Pultte Corporation
..........................................................................
100 2,300
Snap-On Tools Corporation
...................................................................
100 3,725
Whirlpool Corporation
.......................................................................
200 10,500
</TABLE>
See accompanying Notes to Financial Statements.
49
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- ------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------------------------------------------
CONSUMER DURABLES (CONTINUED)
Zenith Electrics Corporation
(b).............................................................
100 $887
- ---------------
269,550
- ---------------------------------------------------------------------------
- ------------------------------------------------
TRANSPORTATION - 1.5%
AMR Corporation
(b)........................................................................
.. 200 11,875
Burlington Northern Inc.
....................................................................
200 10,675
Conrail Inc.
...........................................................................
..... 200 10,950
Consolidated Freightways Inc.
(b)............................................................
100 2,375
CSX Corporation
...........................................................................
.. 200 15,100
Delta Air Lines Inc.
........................................................................
100 4,525
Federal Express Corporation
(b)..............................................................
100 7,462
Norfolk Southern Corporation
................................................................
300 18,900
Roadway Services Inc.
.......................................................................
100 6,300
Ryder Systems Inc.
..........................................................................
200 5,025
Santa Fe Pacific Corporation
................................................................
400 8,350
UAL Corporation (b)
.........................................................................
100 12,625
Union Pacific Corporation
...................................................................
500 28,312
USAir Group Inc. (b)
........................................................................
100 637
Yellow Corporation
..........................................................................
100 1,737
- ---------------
144,848
- ---------------------------------------------------------------------------
- ------------------------------------------------
TOTAL COMMON STOCKS (Cost $6,994,616 )
......................................................
7,132,761
- ---------------------------------------------------------------------------
- ------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------
PREFERRED CONVERTIBLE STOCK - 0.0% (Cost $2,591)
- ---------------------------------------------------------------------------
- ------------------------------------------------
Alberto Culver Company, Class B
............................................................ 100
2,162
- ---------------------------------------------------------------------------
- ------------------------------------------------
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- ------------------------------------------------
COMMERCIAL PAPER - 10.1%
- ---------------------------------------------------------------------------
- ------------------------------------------------
Ford Motor Capital Company 4.300% due 07/01/1994
........................................... $472,000 472,000
General Electric Capital Corporation 4.300% due 07/01/1994
................................. 472,000 472,000
- ---------------------------------------------------------------------------
- ------------------------------------------------
TOTAL COMMERCIAL PAPER (COST $944,000)
......................................................
944,000
- ---------------------------------------------------------------------------
- ------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------
U.S. TREASURY BILL - 1.3% (COST $118,866)
- ---------------------------------------------------------------------------
- ------------------------------------------------
U.S. Treasury Bill, 2.440% (c) due 09/22/1994
............................................... 120,000
118,866
- ---------------------------------------------------------------------------
- ------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------
REPURCHASE AGREEMENTS - 10.1%
- ---------------------------------------------------------------------------
- ------------------------------------------------
Agreement with Morgan Stanley & Company, 4.050% dated 06/30/1994 to be
repurchased
at $472,053 on 07/01/1994, collateralized by $505,000 U.S. Treasury
Bonds, 7.250%
due
05/16/2016.................................................................
........... $472,000 472,000
Agreement with Union Bank of Switzerland Securities Inc., 4.100% dated
06/30/1994 to be
repurchased at $472,054 on 07/01/1994, collateralized by $760,000 U.S.
Treasury Notes,
4.375% due 11/15/1996
....................................................................
472,000 472,000
- ---------------------------------------------------------------------------
- ------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (COST $944,000)
.................................................
944,000
- ---------------------------------------------------------------------------
- ------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
50
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
<S>
<C> <C>
- ---------------------------------------------------------------------------
- ------------------------------------------------
TOTAL INVESTMENTS (Cost $9,004,074) (d)
..................................................... 97.6%
$9,141,789
- ---------------------------------------------------------------------------
- ------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------
CONTRACTS
- ---------------------------------------------------------------------------
- ------------------------------------------------
FUTURES CONTRACT - LONG POSITION - 23.8%
(CONTRACT AMOUNT $2,293,375)
Standard & Poor's 500 Index, September 1994 ................. 10
23.8 2,225,250
- ---------------------------------------------------------------------------
- ------------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------------
OTHER ASSETS AND LIABILITIES (NET)
.......................................................... (21.4)
(2,000,356)
- ---------------------------------------------------------------------------
- ------------------------------------------------
NET ASSETS
...........................................................................
....... 100.0% $9,366,683
- ---------------------------------------------------------------------------
- ------------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Non-income producing security.
(c) Rate represents annualized yield to maturity.
(d) At June 30, 1994, the cost of securities for Federal income tax
purposes was $9,004,074 and the aggregate
gross unrealized appreciation and depreciation based on that cost
was:
Unrealized
appreciation.................................... $605,791
Unrealized
depreciation.................................... 468,076
-----------------------------------------
- ---------------------------------
Net unrealized
appreciation................................ $137,715
-----------------------------------------
- ---------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
51
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------------------------------------------
<S>
<C> <C>
COMMON STOCKS - 76.3%
- ---------------------------------------------------------------------------
- -------------------------------------------------------
TECHNOLOGY - 8.3%
AMP Inc.
...........................................................................
................... 7,000 $484,750
Automatic Data Processing Inc.
........................................................................
9,000 478,125
Hewlett Packard
Company....................................................................
............ 6,000 452,250
Motorola Inc.
...........................................................................
.............. 11,000 489,500
Raytheon
Company....................................................................
................... 7,000 453,250
- ---------------
2,357,875
- ---------------------------------------------------------------------------
- -------------------------------------------------------
CONSUMER DURABLES - 7.7%
Bemis Inc.
...........................................................................
................. 12,000 267,000
Genuine Parts
Company....................................................................
.............. 7,000 252,875
Leggett & Platt Inc.
...........................................................................
....... 8,000 300,000
Minnesota Mining & Manufacturing
Company...............................................................
10,000 495,000
Pitney Bowes Inc.
...........................................................................
.......... 10,000 382,500
Rubbermaid Inc.
...........................................................................
............ 19,000 498,750
- ---------------
2,196,125
- ---------------------------------------------------------------------------
- -------------------------------------------------------
FINANCIAL SERVICES - 7.6%
Firstar
Corporation................................................................
.................... 8,000 283,000
KeyCorp
(New)......................................................................
.................... 17,000 541,875
Meridian Bancorp Inc.
...........................................................................
...... 8,000 243,000
Morgan (J P) & Company Inc.
...........................................................................
6,000 371,250
NationsBank
Corporation................................................................
................ 9,000 462,375
Union Planters
Corporation................................................................
............. 10,000 267,500
- ---------------
2,169,000
- ---------------------------------------------------------------------------
- -------------------------------------------------------
CONSUMER NON-DURABLES - 7.5%
American Home Products
Corporation................................................................
..... 8,000 454,000
Coca-Cola
Company....................................................................
.................. 12,000 487,500
International Flavors & Fragrances Inc.
............................................................... 12,000
469,500
Phillip Morris Companies Inc.
.........................................................................
9,000 463,500
Stanhome Inc.
...........................................................................
.............. 8,000 264,000
- ---------------
2,138,500
- ---------------------------------------------------------------------------
- -------------------------------------------------------
CAPITAL GOODS - 7.1%
Belden Inc.
...........................................................................
................ 15,000 277,500
General Electric
Company....................................................................
........... 10,000 466,250
Hubbell Inc, Class
B..........................................................................
......... 4,000 222,000
Johnson Controls Inc.
...........................................................................
...... 8,000 387,000
Rockwell International
Corporation................................................................
..... 12,000 448,500
Tyco International Ltd.
...........................................................................
.... 5,000 228,750
- ---------------
2,030,000
- ---------------------------------------------------------------------------
- -------------------------------------------------------
CONSUMER SERVICES - 6.3%
Disney (Walt)
Company....................................................................
.............. 12,000 499,500
Gannett Inc.
...........................................................................
............... 9,000 445,500
McDonald's
Corporation................................................................
................. 16,000 462,000
Reuters Holdings PLC,
ADR........................................................................
...... 10,000 390,000
- ---------------
1,797,000
- ---------------------------------------------------------------------------
- -------------------------------------------------------
ENERGY - 6.2%
Dresser Industries Inc.
...........................................................................
.... 19,000 389,500
Murphy Oil
Corporation................................................................
................. 7,500 320,625
Phillips Petroleum
Company....................................................................
......... 17,000 531,250
Royal Dutch Petroleum
Company....................................................................
...... 5,000 523,125
- ---------------
1,764,500
- ---------------------------------------------------------------------------
- -------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
52
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------------------------------------------
UTILITIES - 5.8%
Ameritech Corporation
(New)......................................................................
...... 12,000 $459,000
Bell Atlantic
Corporation................................................................
.............. 9,000 504,000
GTE
Corporation................................................................
........................ 15,000 472,500
Northern States Power
Company....................................................................
...... 5,000 205,625
- ---------------
1,641,125
- ---------------------------------------------------------------------------
- -------------------------------------------------------
CHEMICALS - 4.3%
Hanna (M.A.)
Company....................................................................
............... 10,500 266,438
Monsanto
Company....................................................................
................... 6,000 453,750
Schulman (A.) Inc.
...........................................................................
......... 11,250 291,094
Witco
Corporation................................................................
...................... 7,000 208,250
- ---------------
1,219,532
- ---------------------------------------------------------------------------
- -------------------------------------------------------
RETAIL - 4.1%
May Department Stores
Company....................................................................
...... 9,000 353,250
Nordstrom Inc.
...........................................................................
............. 8,000 340,000
Penney (J.C.) Inc.
...........................................................................
......... 9,000 488,250
- ---------------
1,181,500
- ---------------------------------------------------------------------------
- -------------------------------------------------------
TRANSPORTATION - 3.2%
British Airways PLC,
ADR........................................................................
....... 8,000 461,000
Union Pacific
Corporation................................................................
.............. 8,000 453,000
- ---------------
914,000
- ---------------------------------------------------------------------------
- -------------------------------------------------------
BASIC INDUSTRIES - 2.3%
Kimberly Clark
Corporation................................................................
............. 5,000 264,375
Louisiana Pacific
Corporation................................................................
.......... 13,000 396,500
- ---------------
660,875
- ---------------------------------------------------------------------------
- -------------------------------------------------------
INSURANCE - 1.6%
PartnerRe Holdings Ltd.
...........................................................................
.... 22,000 445,500
- ---------------------------------------------------------------------------
- -------------------------------------------------------
TELECOMMUNICATIONS - 1.4%
TCA Cable TV Inc.
...........................................................................
.......... 18,000 407,250
- ---------------------------------------------------------------------------
- -------------------------------------------------------
HEALTH CARE - 1.4%
Warner Lambert
Company....................................................................
............. 6,000 396,000
- ---------------------------------------------------------------------------
- -------------------------------------------------------
OTHER - 1.5%
Pioneer Hi-Breed
International..............................................................
........... 13,000 425,750
- ---------------------------------------------------------------------------
- -------------------------------------------------------
TOTAL COMMON STOCKS (COST
$21,442,574)...............................................................
.. 21,744,532
- ---------------------------------------------------------------------------
- -------------------------------------------------------
- ---------------------------------------------------------------------------
- -------------------------------------------------------
PREFERRED STOCKS - 3.2%
- ---------------------------------------------------------------------------
- -------------------------------------------------------
General Motors Corporation, Depositary Shares, Series C,
Pfd........................................... 8,000 451,000
Sears Roebuck & Company, Depositary Shares, Series A,
Pfd.............................................. 8,500 467,500
- ---------------------------------------------------------------------------
- -------------------------------------------------------
TOTAL PREFERRED STOCKS (COST $941,453)
918,500
- ---------------------------------------------------------------------------
- -------------------------------------------------------
PREFERRED CONVERTIBLE STOCK - 1.7% (COST $485,250)
Unocal Corporation, Pfd. Conv
7.000%(b)................................................................
9,000 486,000
- ---------------------------------------------------------------------------
- -------------------------------------------------------
INTERNATIONAL COMMON STOCK - 0.9% (COST $261,622)
AUSTRALIA - 0.9%
Broken Hill
Properties.................................................................
................ 20,000 262,382
- ---------------------------------------------------------------------------
- -------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
53
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- -------------------------------------------------------
<S>
<C> <C>
CORPORATE BONDS AND NOTES - 6.7%
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Dean Witter Discover & Company,
6.875% due
03/01/2003.................................................................
.............. $500,000 $463,125
General Motors Acceptance Corporation,
7.000% due
09/15/2002.................................................................
.............. 1,000,000 940,000
Limited Inc.,
7.800% due
05/15/2002.................................................................
.............. 500,000 496,250
- ---------------------------------------------------------------------------
- -------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (COST
$2,055,216)......................................................
1,899,375
- ---------------------------------------------------------------------------
- -------------------------------------------------------
- ---------------------------------------------------------------------------
- -------------------------------------------------------
CONVERTIBLE NOTE - 1.5% (COST $483,823)
- ---------------------------------------------------------------------------
- -------------------------------------------------------
Thermo Electron Corporation,
convertible 4.625% due
01/08/1997.................................................................
..... 350,000 443,187
- ---------------------------------------------------------------------------
- -------------------------------------------------------
REPURCHASE AGREEMENT - 9.1% (COST $2,592,000)
Agreement with Kidder Peabody & Company, 4.250% dated 06/30/1994 to be
repurchased
at $2,592,306 on 07/01/1994, collateralized by $2,690,000 U.S. Treasury
Strips, Zero Coupon
due
11/15/1994.................................................................
..................... 2,592,000 2,592,000
- ---------------------------------------------------------------------------
- -------------------------------------------------------
TOTAL INVESTMENTS (COST
$28,261,938)(c)............................................................
.... 99.4% 28,345,976
OTHER ASSETS AND LIABILITIES
(NET).....................................................................
0.6 166,712
- ---------------------------------------------------------------------------
- -------------------------------------------------------
NET
ASSETS.....................................................................
........................ 100.0% $28,512,688
- ---------------------------------------------------------------------------
- -------------------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Security exempt from registration under Rule 144A of the Securities Act
of 1933, as amended. These securities may be resold
in transactions exempt from registration, normally to qualified
institutional buyers.
(c) At June 30, 1994, the cost of securities for Federal income tax
purposes was $28,261,938 and the aggregate
appreciation and depreciation based on that cost was:
Unrealized
appreciation............................................. $825,176
Unrealized
depreciation............................................. 741,138
----------------------------------------
- ----------------------------------------
Net unrealized
appreciation......................................... $84,038
----------------------------------------
- ----------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
54
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<S>
<C> <C>
COMMON STOCKS - 85.2%
- ---------------------------------------------------------------------------
- ----------------------------------------------------
FINANCIAL SERVICES - 15.8%
Aetna Life & Casualty
Company....................................................................
17,000 $949,875
American International Group
Inc.................................................................
10,500 909,563
Bank of New York
Inc........................................................................
..... 22,000 635,250
Barnett Banks
Inc........................................................................
........ 10,000 437,500
Chase Manhattan
Corporation................................................................
...... 7,000 267,750
Chemical Banking
Corporation................................................................
..... 20,000 770,000
Chubb
Corporation................................................................
................ 11,000 842,875
CIGNA
Corporation................................................................
................ 17,000 1,243,125
Citicorp
...........................................................................
............. 20,000 797,500
Federal National Mortgage
Association............................................................
20,000 1,670,000
First Virginia Banks Inc
........................................................................
10,000 368,750
Keycorp
...........................................................................
.............. 13,000 414,375
NationsBank
Corporation................................................................
.......... 7,000 359,625
Republic New York
Corporation................................................................
.... 10,000 461,250
Salomon Inc
...........................................................................
.......... 5,500 262,625
Signet Banking
Corporation................................................................
....... 11,000 444,125
State Street Boston
Corporation................................................................
.. 7,000 270,375
UNUM
Corporation................................................................
................. 20,000 895,000
US Trust
Corporation................................................................
............. 5,300 267,650
Wells Fargo &
Company....................................................................
........ 4,000 601,500
- ---------------
12,868,713
- ---------------------------------------------------------------------------
- ----------------------------------------------------
CONSUMER SERVICES - 11.6%
CBS
Inc........................................................................
.................. 2,000 620,000
Disney (Walt) Productions
Company................................................................
20,000 832,500
Donnelley (RR) & Sons Company
...................................................................
29,000 804,750
Gannett
Inc........................................................................
.............. 9,000 445,500
Gaylord Entertainment Company, Class A
.......................................................... 10,000
245,000
G.C. Companies Inc
(b)........................................................................
... 6,000 154,500
Harcourt General Inc.
...........................................................................
11,000 386,375
Home Depot
Inc........................................................................
........... 16,000 674,000
McDonald's
Corporation................................................................
........... 20,000 577,500
Penney
(J.C.).....................................................................
............... 9,000 488,250
PepsiCo
Inc........................................................................
.............. 13,000 398,125
Savoy Pictures Entertainment, Inc
(b)............................................................
20,000 265,000
Time-Warner
Inc........................................................................
.......... 32,000 1,124,000
Toys "R" Us Inc.
(b)........................................................................
..... 20,000 655,000
Tribune
Company....................................................................
.............. 9,000 479,250
Wal-Mart Stores
Inc........................................................................
...... 35,000 848,750
Whirlpool
Corporation................................................................
............ 10,000 525,000
- ---------------
9,523,500
- ---------------------------------------------------------------------------
- ----------------------------------------------------
ENERGY - 7.7%
Amerada Hess
Corporation................................................................
......... 19,000 935,750
Amoco
Corporation................................................................
................ 14,000 798,000
Atlantic Richfield
Company....................................................................
... 1,000 102,125
British Petroleum
ADR........................................................................
.... 6,000 430,500
Burlington Resources
Inc........................................................................
. 10,000 413,750
Mobil
Corporation................................................................
................ 12,000 979,500
Questar Corporation
...........................................................................
.. 7,000 226,625
See accompanying Notes to Financial Statements
</TABLE>
55
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
ENERGY (CONTINUED)
Royal Dutch Petroleum
Company....................................................................
10,000 $1,046,250
Schlumberger,
Ltd........................................................................
........ 6,000 $354,750
Texaco,
Inc........................................................................
.............. 18,000 1,086,750
- ---------------
6,374,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TELECOMMUNICATIONS - 7.6%
American Telephone & Telegraph
Company...........................................................
45,000 2,446,875
Bell Atlantic
Corporation................................................................
........ 12,000 672,000
Comcast Corporation, Class
A.....................................................................
31,000 558,000
Groupo Televisa S.A. ADR
........................................................................
10,500 532,875
GTE
Corporation................................................................
.................. 10,000 315,000
Motorola, Inc
...........................................................................
........ 8,000 356,000
QVC Network Inc (b)
...........................................................................
.. 9,000 342,000
Scandanavian Broadcasting System S.A. ADR
....................................................... 12,000
294,000
Tele Communications Inc., Class A
(b)............................................................
30,000 611,250
Viacom Inc., Class B
(b)........................................................................
. 3,000 94,875
- ---------------
6,222,875
- ---------------------------------------------------------------------------
- ----------------------------------------------------
CAPITAL GOODS - 7.6%
Allied Signal Inc.
...........................................................................
... 10,000 346,250
AMP Inc.
...........................................................................
............. 9,000 623,250
Caterpillar Inc.
...........................................................................
..... 6,000 600,000
Deere & Company
...........................................................................
...... 15,000 1,014,375
Emerson Electric
Company....................................................................
..... 8,000 455,000
Flour
Corporation................................................................
................ 10,000 508,750
General Electric
Company....................................................................
..... 22,000 1,025,750
Ingersoll-Rand
Company....................................................................
....... 13,000 456,625
Lukens Inc
...........................................................................
........... 6,000 196,500
United Technologies
Corporation................................................................
.. 15,000 963,750
- ---------------
6,190,250
- ---------------------------------------------------------------------------
- ----------------------------------------------------
CONSUMER NON-DURABLES - 6.5%
Avon Products Inc
...........................................................................
.... 11,000 647,625
Coca-Cola
Company....................................................................
............ 25,000 1,015,625
Crown Cork & Seal, Inc
(b).......................................................................
22,000 819,500
Gillette
Company....................................................................
............. 17,000 1,107,125
International Flavors & Fragrances
Inc...........................................................
18,500 723,813
Proctor & Gamble
Company....................................................................
..... 18,500 987,437
- ---------------
5,301,125
- ---------------------------------------------------------------------------
- ----------------------------------------------------
DIVERSIFIED CONGLOMERATE - 6.2%
Eastman Kodak
Company....................................................................
........ 46,500 2,237,813
Minnesota Mining &
Manufacturing..............................................................
... 43,000 2,128,500
Tenneco Inc
...........................................................................
.......... 15,000 695,625
- ---------------
5,061,938
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TECHNOLOGY - 6.1%
Alco Standard
Corporation................................................................
........ 8,500 485,561
First Data
Corporation................................................................
........... 10,000 413,750
Intel Corporation
...........................................................................
.... 9,000 526,500
International Business Machines
Corporation......................................................
8,000 470,000
Microsoft Corporation
(b)........................................................................
20,000 1,030,000
Pitney Bowes
Inc........................................................................
......... 14,000 535,500
</TABLE>
See accompanying Notes to Financial Statements
56
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<S>
<C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TECHNOLOGY (CONTINUED)
Reynolds & Reynolds Inc., Class A
...............................................................
9,000 $208,125
Xerox
Corporation................................................................
................ 13,000 1,270,750
- ---------------
4,940,186
- ---------------------------------------------------------------------------
- ----------------------------------------------------
BASIC INDUSTRIES - 5.5%
du Pont (E.I.) De Nemours &
Company..............................................................
30,000 1,751,250
Hercules, Inc
...........................................................................
........ 6,000 642,000
International Paper
Company....................................................................
.. 11,000 728,750
Monsanto Company
...........................................................................
..... 10,000 756,250
St. Joe Paper
Company....................................................................
........ 6,500 323,375
WMX Technologies, Inc
...........................................................................
10,000 265,000
- ---------------
4,466,625
- ---------------------------------------------------------------------------
- ----------------------------------------------------
CONSUMER DURABLES - 4.0%
Aviall, Inc
...........................................................................
.......... 15,000 129,375
Chrysler
Corporation................................................................
............. 16,000 754,000
Ford Motor
Company....................................................................
........... 12,000 708,000
General Motors
Corporation................................................................
....... 23,000 1,155,750
Good Year Tire & Rubber
Company..................................................................
14,000 504,000
- ---------------
3,251,125
- ---------------------------------------------------------------------------
- ----------------------------------------------------
HEALTH CARE - 3.9%
Abbott
Laboratories...............................................................
............... 12,000 348,000
American Home Products
Corporation...............................................................
5,000 283,750
Bristol-Myers-Squibb
Company....................................................................
. 10,000 536,250
Forest Laboratories, Inc., Class A
(b)...........................................................
8,500 369,750
Johnson &
Johnson....................................................................
............ 23,000 986,125
Merck & Company,
Inc........................................................................
..... 15,000 446,250
Schering-Plough
Corporation................................................................
...... 3,000 183,750
- ---------------
3,153,875
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TRANSPORTATION - 2.6%
Burlington Northern Inc
.........................................................................
14,000 747,250
Conrail Inc
...........................................................................
.......... 9,000 492,750
Southern Pacific Rail Corporation (b)
........................................................... 12,000
235,500
Union Pacific
Corporation................................................................
........ 12,000 679,500
- ---------------
2,155,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TOTAL COMMON STOCKS (COST
$66,664,123)...........................................................
69,509,212
- ---------------------------------------------------------------------------
- ----------------------------------------------------
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- ----------------------------------------------------
COMMERCIAL PAPER - 5.1% (Cost $4,109,000)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Ford Motor Credit Corporation, 4.300% due
07/01/1994............................................. $4,109,000
4,109,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
CONVERTIBLE BOND - 0.1% (COST $120,500)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Savoy Pictures Entertainment, Inc, 7.000% due 07/01/2003
........................................ 100,000 83,375
- ---------------------------------------------------------------------------
- ----------------------------------------------------
REPURCHASE AGREEMENTS - 9.6%
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Agreement with Morgan Stanley, 4.050% dated 06/30/1994 to be repurchased at
$4,109,462
on 07/01/1994 collateralized by $2,980,000 U.S. Treasury Notes, 5.250%
due 11/15/2010 ........ 4,109,000 4,109,000
</TABLE>
See accompanying Notes to Financial Statements
57
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE (a)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<S>
<C> <C>
REPURCHASE AGREEMENTS (CONTINUED)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Agreement with Union Bank of Switzerland Securities Inc., 4.100% dated
06/30/1994 to be
repurchased at $3,741,426 on 07/01/1994 collateralized by $3,855,000
U.S. Treasury Notes,
5.625% due 01/31/1998
........................................................................
$3,741,000 $3,741,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (COST $7,850,000)
...................................................
7,850,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TOTAL INVESTMENTS (COST
$78,743,623)(c)..........................................................
100.0% 81,551,587
OTHER ASSETS AND LIABILITIES
(NET)...............................................................
6,399
- ---------------------------------------------------------------------------
- ----------------------------------------------------
NET
ASSETS.....................................................................
.................. 100.0% $81,557,986
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Non-income producing security.
(c) At June 30, 1994, the cost of securities for Federal income tax
purposes was $78,743,623 and the aggregate
appreciation and depreciation based on that cost was:
Unrealized
appreciation........................................ $4,927,577
Unrealized
depreciation........................................ 2,119,613
-----------------------------------------
- -------------------------------------
Net unrealized
appreciation.................................... $2,807,964
-----------------------------------------
- -------------------------------------
</TABLE>
See accompanying Notes to Financial Statements
58
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- -------------------------------------------------
<S>
<C> <C>
COMMON STOCKS - 87.8%
- ---------------------------------------------------------------------------
- -------------------------------------------------
TECHNOLOGY - 18.1%
Andrew Corporation (b)
.......................................................................
2,500 $91,875
Applied Materials Inc
(b).....................................................................
3,000 128,250
Atmel Corporation
(b)........................................................................
. 4,000 95,000
Compuware Corporation (b)
....................................................................
1,500 62,062
DSC Communications Corporation
(b)............................................................
3,000 58,687
EMC Corporation (b)
..........................................................................
2,000 27,000
FileNet Corporation (b)
......................................................................
3,000 51,750
General Instruments Corporation
(b)...........................................................
1,000 57,000
Integrated Device Technology Inc (b)
......................................................... 2,000
49,500
KLA Instruments Corporation (b)
..............................................................
2,000 75,000
Landmark Graphics Corporation (b)
............................................................ 2,000
61,500
Level One Communications, Inc (b)
............................................................ 500
9,125
Linear Technology Corporation
(b).............................................................
2,500 110,000
LSI Logic Corporation (b)
....................................................................
2,000 50,000
Maxim Integrated Products Inc
(b).............................................................
1,000 52,000
Micro Warehouse Inc (b)
......................................................................
1,000 21,250
Micron Technology Inc
........................................................................
3,000 103,500
Microchip Technology Inc
(b)..................................................................
3,000 105,750
Novellus Systems Inc (b)
.....................................................................
1,500 52,125
Silicon Graphics Inc (b)
.....................................................................
1,000 22,125
Solectron Corporation
(b).....................................................................
2,500 63,438
Sybase Inc
(b)........................................................................
........ 2,500 122,500
Tellabs, Inc
(b)........................................................................
...... 3,500 108,500
Vicor Corporation (b)
........................................................................
1,000 19,000
Wall Data Inc (b)
...........................................................................
. 1,500 58,875
Watkins Johnson Company (b)
..................................................................
1,500 44,438
Wellfleet Communications Inc
(b)..............................................................
1,500 37,500
- ---------------
1,737,750
- ---------------------------------------------------------------------------
- -------------------------------------------------
FINANCIAL SERVICES - 12.5%
Advanta Corporation, Class
A..................................................................
2,000 71,250
Bank South
Corporation................................................................
........ 2,000 36,000
BayBanks
Inc........................................................................
.......... 2,000 120,500
Compass Bancshares Inc
.......................................................................
1,500 37,125
Crestar Financial
Corporation................................................................
. 2,000 91,000
Cullen Frost Bankers Inc
.....................................................................
1,000 35,250
Equitable Iowa Inc
...........................................................................
1,000 31,625
First American Corporation (Tennessee)
....................................................... 1,000
32,750
First Security Corporation
...................................................................
1,000 29,250
First USA
Inc........................................................................
......... 3,000 115,125
Green Tree Financial
Corporation..............................................................
2,000 112,000
Hibernia Corporation
.........................................................................
2,500 21,562
Integra Financial Corporation
................................................................
200 9,350
Mercantile Bancorporation Inc
................................................................
2,000 70,250
Michigan National Corporation
................................................................
1,500 108,000
Midatlantic Corporation
......................................................................
2,000 58,500
Signet Banking Corporation
...................................................................
2,500 100,937
Star Banc Corporation
........................................................................
1,000 37,875
United Company Financial Corporation
......................................................... 1,000
40,500
</TABLE>
See Accompanying Notes to Financial Statements.
59
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- -------------------------------------------------
<S>
<C> <C>
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------------------------------------
FINANCIAL SERVICES (CONTINUED)
West One Bancorp
...........................................................................
.. 1,500 $43,125
- ---------------
1,201,974
- ---------------------------------------------------------------------------
- -------------------------------------------------
HEALTH CARE - 11.5%
American Medical Holdings Inc (b)
............................................................ 2,000
50,250
Columbia/HCA Healthcare Corporation
.......................................................... 1,500
56,250
Coventry Corporation
(b)......................................................................
2,000 73,500
Genentech Inc (b)
...........................................................................
. 500 24,625
HBO &
Company....................................................................
............. 4,500 113,625
Health Management Association Inc
(b)......................................................... 3,750
76,875
Horizon Healthcare Corporation (b)
........................................................... 1,000
22,875
IDEX Laboratories
(b)........................................................................
. 1,500 44,625
Integrated Health Services Inc (b)
........................................................... 1,000
30,000
Lincare Holdings
Inc........................................................................
.. 2,000 38,750
Mariner Health Group Inc (b)
.................................................................
1,000 19,375
Millipore Corporation
........................................................................
2,000 105,500
Medaphis Corporation
(b)......................................................................
2,000 55,000
Mid Atlantic Medical Services Inc (b)
........................................................ 2,000
89,000
Oxford Health Plans Inc
(b)...................................................................
1,500 66,750
Patterson Dental Company
(b)..................................................................
600 11,550
Quantum Health Resources Inc (b)
............................................................. 1,000
31,625
United Healthcare
Corporation................................................................
. 2,500 114,688
Value Health Inc (b)
.........................................................................
2,000 76,500
- ---------------
1,101,363
- ---------------------------------------------------------------------------
- -------------------------------------------------
ENERGY - 8.7%
Apache Corporation
...........................................................................
3,500 96,687
Devon Energy Corporation
.....................................................................
1,000 22,500
Enron Oil & Gas Company
......................................................................
4,000 92,000
Input/Output Inc
(b)........................................................................
.. 4,000 95,000
KCS Energy Inc
...........................................................................
.... 2,500 50,000
Noble Affiliates Inc
.........................................................................
2,500 75,625
Pittston Services Group
......................................................................
1,500 40,125
Pogo Producing Company (b)
...................................................................
2,000 46,250
Segull Energy Corporation
(b).................................................................
3,000 77,625
Seitel Inc
...........................................................................
........ 1,000 28,375
Smith International Inc (b)
..................................................................
2,500 38,125
Snyder Oil
Corporation................................................................
........ 2,500 47,813
Vintage Petroleum Inc
........................................................................
1,500 31,500
Western Company of North America
(b).......................................................... 2,500
31,563
Williams Companies Inc
.......................................................................
2,000 57,250
- ---------------
830,438
- ---------------------------------------------------------------------------
- -------------------------------------------------
CONSUMER DISTRIBUTION - 8.4%
Ann Taylor Stores Corporation (b)
............................................................ 1,500
57,562
BMC West Corporation (b)
.....................................................................
2,000 44,500
Burlington Coat Factory Corporation
(b)....................................................... 1,000
17,250
Dollar General
Corporation................................................................
.... 3,750 93,750
Gymboree Corporation (b)
.....................................................................
500 19,750
Heilig Meyers
Company....................................................................
..... 1,000 27,125
Kohls Corporation (b)
........................................................................
1,000 47,000
</TABLE>
See Accompanying Notes to Financial Statements.
60
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- -------------------------------------------------
<S>
<C> <C>
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------------------------------------
CONSUMER DISTRIBUTION (CONTINUED)
Lowes Companies Inc
..........................................................................
3,500 $119,875
Michaels Stores Inc
(b).......................................................................
1,500 50,438
Nordstrom Inc
...........................................................................
..... 1,000 42,500
Office Depot Inc
(b)........................................................................
.. 3,000 60,000
Sports & Recreation Inc (b)
..................................................................
2,000 74,000
Viking Office Products Inc (b)
...............................................................
3,000 75,000
Williams Sonoma Inc (b)
......................................................................
2,500 75,625
- ---------------
804,375
- ---------------------------------------------------------------------------
- -------------------------------------------------
CONSUMER SERVICES - 6.2%
Apple South
Inc........................................................................
....... 3,000 43,500
Avid Technology Inc (b)
......................................................................
1,500 40,875
Clear Channel Communications Inc (b)
......................................................... 1,425
53,616
Equifax Inc
...........................................................................
....... 2,500 70,625
Franklin Quest Company (b)
...................................................................
1,000 35,625
Hospitality Franchise Systems Inc
(b)......................................................... 4,000
98,000
Infinity Broadcasting Corporation, Class A
(b)................................................ 2,500
60,625
Outback Steakhouse Inc
(b)....................................................................
3,500 84,438
Players International Inc
(b).................................................................
2,000 30,000
Robert Half International Inc
(b).............................................................
1,500 60,563
Scientific Games Holdings Corporation
(b)..................................................... 500
17,375
- ---------------
595,242
- ---------------------------------------------------------------------------
- -------------------------------------------------
CAPITAL GOODS/PRODUCTION - 5.9%
Agco
Corporation................................................................
.............. 1,500 54,937
American Power Conversion
Corporation.........................................................
5,000 80,625
Ametek Inc
...........................................................................
........ 2,000 29,500
Briggs & Stratton Corporation
................................................................
400 26,750
Clark Equipment Company
(b)...................................................................
2,000 119,500
OHM Corporation (b)
..........................................................................
1,000 10,625
Parker Hannifin Corporation
..................................................................
1,500 63,938
Sanifill Inc
(b)........................................................................
...... 3,000 75,750
Stewart & Stevenson Services
Inc..............................................................
1,000 41,500
Wabash National Corporation
..................................................................
1,500 67,125
- ---------------
570,250
- ---------------------------------------------------------------------------
- -------------------------------------------------
CONSUMER DURABLES - 5.6%
Aldila Inc
(b)........................................................................
........ 1,500 $22,500
Bush Industries Inc
..........................................................................
500 12,750
Callaway Golf
Company....................................................................
..... 4,000 156,000
Gentex Corporation
(b)........................................................................
2,000 51,000
Harman International Industries Inc
(b)....................................................... 1,500
37,500
Leggett & Platt
Inc........................................................................
... 1,500 56,250
Lennar
Corporation................................................................
............ 2,250 42,469
Oakwood Homes Corporation
....................................................................
1,000 23,500
Superior Industries International
Inc......................................................... 2,000
64,000
Toro Company
...........................................................................
...... 1,500 35,625
TriMas Corporation
...........................................................................
1,500 34,500
- ---------------
536,094
- ---------------------------------------------------------------------------
- -------------------------------------------------
BASIC INDUSTRIES/RAW MATERIALS - 3.6%
Airgas Inc
(b)........................................................................
........ 2,000 52,750
</TABLE>
See Accompanying Notes to Financial Statements.
61
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (A)
- ---------------------------------------------------------------------------
- -------------------------------------------------
<S>
<C> <C>
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------------------------------------
BASIC INDUSTRIES/RAW MATERIALS (CONTINUED)
Freeport-McMoRan Cooper & Gold Inc., Class
A.................................................. 2,000
$44,500
Georgia Gulf Corporation
.....................................................................
2,500 85,625
Hanna (M.A.)
Company....................................................................
...... 1,750 44,406
Kennametal Inc
...........................................................................
.... 500 24,625
Medusa
Corporation................................................................
............ 1,500 36,750
Ply Gem Industries Inc
.......................................................................
1,500 30,937
Willamette Industries Inc
....................................................................
500 21,375
- ---------------
340,968
- ---------------------------------------------------------------------------
- -------------------------------------------------
CONSUMER NON-DURABLES - 3.3%
Fieldcrest Cannon Inc (b)
....................................................................
1,000 24,750
IBP Inc
...........................................................................
........... 1,000 26,625
Lancaster Colony
Corporation................................................................
.. 1,000 47,250
Nautica Enterprises Inc
......................................................................
2,500 60,313
St. John Knits Inc
...........................................................................
1,500 41,625
Snapple Beverage Corporation
(b)..............................................................
2,000 40,500
Starbucks Corporation (b)
....................................................................
2,500 63,125
Wolverine World Wide Inc
.....................................................................
750 15,938
- ---------------
320,126
- ---------------------------------------------------------------------------
- -------------------------------------------------
TRANSPORTATION - 2.5%
Airborne Freight Corporation
.................................................................
2,500 86,875
Kansas City Southern Industries Inc
.......................................................... 1,000
40,750
Landstar Systems Inc (b)
.....................................................................
1,000 29,500
SkyWest
Inc........................................................................
........... 1,500 38,250
TNT Freightways
Corporation................................................................
... 2,000 46,000
- ---------------
241,375
- ---------------------------------------------------------------------------
- -------------------------------------------------
UTILITIES - 1.5%
ALC Communications
Corporation................................................................
3,000 92,250
LCI International Inc (b)
....................................................................
1,500 48,000
- ---------------
140,250
- ---------------------------------------------------------------------------
- -------------------------------------------------
TOTAL COMMON STOCKS (COST
$8,796,129).........................................................
8,420,205
- ---------------------------------------------------------------------------
- -------------------------------------------------
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- -------------------------------------------------
U.S. TREASURY OBLIGATIONS - 11.1%
- ---------------------------------------------------------------------------
- -------------------------------------------------
U.S. Treasury Bills
3.700% (c) due 07/14/1994
..................................................................
$595,000 594,216
3.800% (c) due 07/28/1994
..................................................................
300,000 299,145
3.760% (c) due 08/04/1994
..................................................................
170,000 169,396
- ---------------------------------------------------------------------------
- -------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$1,062,757).............................................
1,062,757
- ---------------------------------------------------------------------------
- -------------------------------------------------
- ---------------------------------------------------------------------------
- -------------------------------------------------
DISCOUNT NOTES - 2.5% (COST $239,693)
- ---------------------------------------------------------------------------
- -------------------------------------------------
Federal Farm Credit Bank,
4.180% (c) due 07/12/94
...................................................................
240,000 239,693
- ---------------------------------------------------------------------------
- -------------------------------------------------
</TABLE>
See Accompanying Notes to Financial Statements.
62
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
<S>
<C> <C>
- ---------------------------------------------------------------------------
- -------------------------------------------------
TOTAL INVESTMENTS (COST $10,098,579)
(d)...................................................... 101.4%
$9,722,655
OTHER ASSETS AND LIABILITIES
(NET)............................................................
(1.4) (136,141)
- ---------------------------------------------------------------------------
- -------------------------------------------------
NET
ASSETS.....................................................................
............... 100.0% $9,586,514
- ---------------------------------------------------------------------------
- -------------------------------------------------
<FN>
(a) Values are determined by procedures described in Note 1 to the
Financial Statements.
(b) Non - income producing security.
(c) Rate represents annualized yield to maturity.
(d) At June 30, 1994, the cost of securities for Federal income tax
purposes was $10,098,579 and the aggregate
unrealized appreciation and depreciation based on that cost was:
Unrealized appreciation
.................................... $299,895
Unrealized depreciation
.................................... 675,819
-----------------------------------------
- ----------------------------------
Net unrealized
depreciation................................. $375,924
-----------------------------------------
- ----------------------------------
</TABLE>
See Accompanying Notes to Financial Statements.
63
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
TOTAL RETURN PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
COMMON STOCKS - 51.8%
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<S>
<C> <C>
FINANCIAL SERVICES - 14.9%
Ahmanson (H F) & Company
........................................................................
23,000 $434,125
BankAmerica Corporation
.........................................................................
9,000 411,750
Downey Savings & Loan Association
...............................................................
20,000 400,000
First Industrial Realty Trust Inc.
..............................................................
15,000 354,375
Great Western Financial Corporation
............................................................. 25,000
459,375
Irvine Apartment Communities
....................................................................
11,000 220,000
- ---------------
2,279,625
- ---------------------------------------------------------------------------
- ----------------------------------------------------
REAL ESTATE - 13.4%
Crown American Realty
...........................................................................
35,000 468,125
General Growth Properties Inc.
..................................................................
20,000 452,500
Spieker Properties Inc.
.........................................................................
22,000 484,000
Trinet Corporate Realty Trust
...................................................................
13,000 367,250
Western Investment Real Estate Trust
............................................................ 20000
280,000
- ---------------
2,051,875
- ---------------------------------------------------------------------------
- ----------------------------------------------------
ENERGY - 10.2%
Amoco Corporation
...........................................................................
.... 8,000 456,000
Dresser Industries Inc.
.........................................................................
10,000 205,000
FINA Inc., Class A
...........................................................................
... 6,500 494,813
Phillips Petroleum Company
......................................................................
13,000 406,250
- ---------------
1,562,063
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TECHNOLOGY - 4.4%
Texas Instruments Inc.
..........................................................................
5,000 397,500
Santa Fe Pacific Gold Corporation
...............................................................
20,000 277,500
- ---------------
675,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
HEALTH CARE - 3.9%
Bristol-Myers-Squibb Company
....................................................................
7,000 375,375
Lilly (Eli) & Company
...........................................................................
4,000 227,500
- ---------------
602,875
- ---------------------------------------------------------------------------
- ----------------------------------------------------
BASIC INDUSTRIES - 1.9%
duPont (E.I.) DeNemours & Company
...............................................................
5,000 291,875
- ---------------------------------------------------------------------------
- ----------------------------------------------------
CONSUMER DURABLES - 1.6%
General Motors Corporation
......................................................................
5,000 251,250
- ---------------------------------------------------------------------------
- ----------------------------------------------------
CONSUMER NON-DURABLES - 1.5%
American Home Products Corporation
..............................................................
4,000 227,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TOTAL COMMON STOCKS (COST $7,783,202)
...........................................................
7,941,563
- ---------------------------------------------------------------------------
- ----------------------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------------------
PREFERRED CONVERTIBLE STOCKS - 11.1%
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Catellus Development Corporation, Preferred Convertible, Series A
............................... 9,000 455,625
Delta Air Lines Inc., Depositary Shares representing 1/1000 Preferred
Convertible,Series C....... 11,000 497,750
James River Corp. Va. Depositary Shares representing 1/100 share
................................ 20,000 352,500
Rouse Company, Preferred Convertible, Series A, 6.500%
......................................... 8,000 408,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TOTAL PREFERRED CONVERTIBLE STOCKS (COST $2,039,038)
............................................ 1,713,875
- ---------------------------------------------------------------------------
- ----------------------------------------------------
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- ----------------------------------------------------
CONVERTIBLE BOND - 1.5% (COST $225,000)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
AES Corporate Sub. Debenture Convertible, 6.500%, due 03/15/2002
................................ $250,000 225,000
</TABLE>
See accompanying Notes to Financial Statement.
64
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
TOTAL RETURN PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30, 1994 (UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE(a)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<S>
<C> <C>
COMMERCIAL PAPER - 10.2%
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Ford Motor Credit Corporation, 4.300%, due 07/01/1994
.......................................... $778,000 $778,000
General Electric Capital , 4.300%, due 07/01/1994
............................................... 778,000
778,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TOTAL COMMERCIAL PAPER (COST $ 1,556,000
).......................................................
1,556,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------------------
REPURCHASE AGREEMENTS - 10.2%
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Agreement with Morgan Stanley, 4.050% dated 06/30/1994 to be repurchased at
$778,088 on
07/01/1994, collateralized by $565,000 U.S. Treasury Notes, 12.750% due
11/15/2010 .......... 778,000 778,000
Agreement with Union Bank of Switzerland, 4.100% dated 06/30/1994
to be repurchased at $778,089 on 07/01/1994, collateralized by
$760,000 U.S. Treasury Notes, 7.875% due 02/15/2021
......................................... 778,000 778,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (COST $1,556,000)
...................................................
1,556,000
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<CAPTION>
CONTRACTS
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<S> <C>
<C> <C>
PUT OPTIONS PURCHASED - 2.2%
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Standard & Poor's 500 Index, December 1994, $440 ........... 100
142,500
Standard & Poor's 500 Index, December 1994, $450 ........... 100
185,000
Texas Instruments Inc., October 1994, $65.00 ............... 50
9,063
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TOTAL PUT OPTIONS PURCHASED (COST $238,088)
.....................................................
336,563
- ---------------------------------------------------------------------------
- ----------------------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------------------
TOTAL INVESTMENTS (COST $13,172,328) (b)
........................................................ 86.9%
13,329,001
- ---------------------------------------------------------------------------
- ----------------------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------------------
CALL OPTIONS WRITTEN - (0.3%) (COST $44,274)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
Texas Instruments Inc., January 1995, $100.00 .............. 50
(0.2) (44,375)
- ---------------------------------------------------------------------------
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (NET)
..............................................................
13.3 2,043,768
- ---------------------------------------------------------------------------
- ----------------------------------------------------
NET ASSETS
...........................................................................
........... 100.0% $15,328,394
- ---------------------------------------------------------------------------
- ----------------------------------------------------
<FN>
(a) Values are determined by procedures described in Note 1 to the
Financial Statements.
(b) At June 30, 1994, the cost of securities for Federal income tax
purposes was $13,172,328 and the aggregate
unrealized appreciation and depreciation based on that cost was:
Unrealized appreciation
....................................... $412,941
Unrealized depreciation
....................................... 256,269
-----------------------------------------
- -------------------------------------
Net unrealized
appreciation.................................... $156,672
-----------------------------------------
- -------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
65
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- --------------------------------------------------------
<S>
<C> <C>
INTERNATIONAL COMMON STOCKS - 95.8%
- ---------------------------------------------------------------------------
- --------------------------------------------------------
JAPAN - 12.7%
Doutor Coffee
Company....................................................................
.......... 6,600 $269,142
Hitachi
Limited....................................................................
................ 19,000 198,519
Mr. Max, Inc
...........................................................................
........... 7,600 205,072
Matsushita Electric Industries
Company.............................................................
16,000 293,771
Meiwa Trading
Company....................................................................
.......... 34,000 178,657
Mitsubishi Heavy
Industries.................................................................
....... 42,000 336,153
Nippon
Denso......................................................................
................. 16,000 335,971
Rohm
Company....................................................................
................... 6,000 278,758
Shohkoh Fund &
Company....................................................................
......... 3,000 702,982
Sony Music
Entertainment..............................................................
............. 3,900 251,613
- ------------
3,050,638
- ---------------------------------------------------------------------------
- -----------------------------------------------------
ITALY - 7.2%
Alleanza Assicuraz di
Risp.......................................................................
.. 20,000 189,604
Cofide.....................................................................
........................ 200,000 191,696
Industrie Natuzzi Spa (b)
.........................................................................
10,000 257,500
Lloyd
Adriatico..................................................................
.................. 30,000 264,342
Olivetti C
Spa........................................................................
............. 250,000 376,387
Parmalat
Finanziara.................................................................
............... 150,000 201,109
SIP
...........................................................................
.................... 100,000 249,762
- ------------
1,730,400
- ---------------------------------------------------------------------------
- -----------------------------------------------------
SWEDEN - 7.0%
Allgon AB, Series
B..........................................................................
...... 22,500 273,390
Astra AB 'A',
Free.......................................................................
.......... 4,000 81,004
Astra AB, Series B,
Free.......................................................................
.... 2,000 39,457
Autoliv
AB.........................................................................
................ 15,000 341,003
Ericsson (L.M.) Tele, Series
B.....................................................................
5,000 250,852
Hennes and Mauritz, Series B
......................................................................
7,500 374,319
Kinnevik
Investments................................................................
............... 5,000 98,643
Volvo AB, Series B,
Free.......................................................................
.... 2,500 218,843
- ------------
1,677,511
- ---------------------------------------------------------------------------
- -----------------------------------------------------
SINGAPORE - 6.6%
Cerebos
Pacific....................................................................
................ 30,000 152,474
D.B.S.
Land.......................................................................
................. 70,000 201,987
Fraser &
Neave......................................................................
............... 15,000 165,262
Hong Leong
Finance....................................................................
............. 85,000 245,270
Jurong
Engineering................................................................
................. 15,000 108,207
Jurong
Shipyard...................................................................
................. 15,000 132,800
Overseas Union
Bank.......................................................................
......... 26,000 111,683
Sembawang
Maritime...................................................................
.............. 35,000 135,423
Tuan Sing
Holdings...................................................................
.............. 150,000 73,778
Van Der
Horst......................................................................
................ 60,000 257,730
- ------------
1,584,614
- ---------------------------------------------------------------------------
- -----------------------------------------------------
MEXICO - 6.2%
Coca Cola Femsa
(b)........................................................................
........ 5,000 125,625
Farmacias
Benavides..................................................................
.............. 30,000 135,338
Gruma......................................................................
........................ 40,000 241,781
Grupo Carso
(b)........................................................................
............ 10,000 90,520
Grupo Industrial
Bimbo......................................................................
....... 25,432 190,843
See accompanying Notes to Financial Statements
66
<PAGE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
INTERNATIONAL COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
<S>
<C> <C>
MEXICO (CONTINUED)
Grupo
Iusacell...................................................................
.................. 4,500 $117,506
Grupo
Televisa...................................................................
.................. 2,000 88,833
Grupo Tribasa
(b)........................................................................
.......... 3,099 68,565
Kimberly Clark de
Mexico.....................................................................
...... 15,000 277,753
Telefonos de
Mexico.....................................................................
........... 2,500 139,687
- ------------
1,476,451
- ---------------------------------------------------------------------------
- -----------------------------------------------------
AUSTRIA - 5.9%
Bau
Holdings...................................................................
.................... 3,000 297,636
Baumax
Holdings...................................................................
................. 5,500 209,872
Burgenland
Holdings...................................................................
............. 5,000 197,526
Flughafen
Wein.......................................................................
.............. 2,500 105,048
Interunfall
Ver........................................................................
............ 1,200 198,245
Macula
Holdings...................................................................
................. 1,000 96,519
Vae
Eisenhahnsystem............................................................
.................... 2,200 308,141
- ------------
1,412,987
- ---------------------------------------------------------------------------
- -----------------------------------------------------
GERMANY - 5.7%
Bayer......................................................................
........................ 1,200 $260,656
Bayer Motoren
Werke......................................................................
.......... 546 268,525
Deutche
Bank.......................................................................
................ 200 86,255
Linde......................................................................
........................ 400 225,725
Mannesmann.................................................................
........................ 1,000 254,729
Spar
Handels....................................................................
................... 1,200 276,166
- ------------
1,372,056
- ---------------------------------------------------------------------------
- -----------------------------------------------------
MALAYSIA - 5.4%
Hong Leong Credit
Berhad.....................................................................
...... 22,500 116,647
Leader Universal
Holdings...................................................................
....... 40,000 213,518
Renong
Berhad.....................................................................
................. 125,000 151,690
Resorts World
Berhad.....................................................................
.......... 40,000 230,415
Sungei Way
Holdings...................................................................
............. 75,000 224,654
Tanjong....................................................................
........................ 20,000 86,790
Technology Resource
Industries.................................................................
.... 30,000 122,120
Telekom Malaysia
...........................................................................
....... 20,000 149,002
- ------------
1,294,836
- ---------------------------------------------------------------------------
- -----------------------------------------------------
HONG KONG - 5.3%
Guang Zhou Investments
Company....................................................................
. 400,000 112,556
Guoco
Group......................................................................
.................. 30,000 128,081
Hong Kong & China
Gas........................................................................
...... 60,000 114,885
Oriental Press
Group......................................................................
......... 300,000 225,112
Pricerite
Group......................................................................
.............. 1,000,000 161,718
Shaw
Brothers...................................................................
................... 50,000 73,743
Shun Tak
Holdings...................................................................
............... 200,000 209,587
Sun Hung Kai
Properties.................................................................
........... 25,000 143,929
Wharf
Holdings...................................................................
.................. 30,000 110,615
- ------------
1,280,226
- ---------------------------------------------------------------------------
- -----------------------------------------------------
AUSTRALIA - 3.8%
Burns Philp and
Company....................................................................
........ 51,150 130,626
Coca Cola
Amatil.....................................................................
.............. 23,925 144,892
Mayne Nickless
Limited....................................................................
......... 35,000 202,259
See accompanying Notes to Financial Statements
67
<PAGE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
INTERNATIONAL COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
<S>
<C> <C>
AUSTRALIA (CONTINUED)
M.I.M.
Holdings...................................................................
................. 200,000 $420,278
- ------------
898,055
- ---------------------------------------------------------------------------
- -----------------------------------------------------
NORWAY - 3.5%
Gresvig....................................................................
........................ 25,000 267,604
Petroleum Geo
Services...................................................................
.......... 8,000 118,035
Raufoss....................................................................
........................ 15,000 287,494
Unitor.....................................................................
........................ 10,000 172,134
- ------------
845,267
- ---------------------------------------------------------------------------
- -----------------------------------------------------
GREAT BRITIAN - 3.0%
British Airport
Authority..................................................................
........ 10,000 138,342
Flextech...................................................................
........................ 15,000 75,902
GKN
...........................................................................
.................... 35,000 300,051
Reuters
Holdings...................................................................
................ 3,000 117,000
Vodafone
Group......................................................................
............... 1,200 90,900
- ------------
722,195
- ---------------------------------------------------------------------------
- -----------------------------------------------------
NETHERLANDS - 3.0%
Heineken...................................................................
........................ 1,300 157,787
IHC
Caland.....................................................................
.................... 10,000 205,013
NBM Amstelland
...........................................................................
......... 12,300 106,685
Royal Dutch Pete
Company....................................................................
....... 1,000 104,625
Ver Ned Uitgeversbedr Ver
Bezit....................................................................
1,400 136,255
- ------------
710,365
- ---------------------------------------------------------------------------
- -----------------------------------------------------
IRELAND - 2.8%
Bank of
Ireland....................................................................
................ 30,000 118,829
CRH........................................................................
........................ 30,000 149,450
Greencore..................................................................
........................ 25,000 127,589
Independent
Newspapers.................................................................
............ 30,000 130,255
Irish Continental
Group......................................................................
...... 25,000 154,249
- ------------
680,372
- ---------------------------------------------------------------------------
- -----------------------------------------------------
FRANCE - 2.5%
Castorama Dubois
Invest.....................................................................
....... 1,014 125,988
Filipacchi
Medias.....................................................................
............. 1,200 190,123
Guilbert...................................................................
........................ 3,000 273,494
- ------------
589,605
- ---------------------------------------------------------------------------
- -----------------------------------------------------
FINLAND - 2.2%
Nokia
Corporation................................................................
.................. 3,500 287,505
Repola.....................................................................
........................ 7,000 121,110
Tampella
(b)........................................................................
............... 35,334 108,903
- ------------
517,518
- ---------------------------------------------------------------------------
- -----------------------------------------------------
SWITZERLAND - 2.0%
Sandoz
Limited....................................................................
................. 4,000 107,646
SGS
Holdings...................................................................
.................... 100 149,175
Sulzer.....................................................................
........................ 200 132,684
Vetropack
Holdings...................................................................
.............. 25 84,333
- ------------
473,838
- ---------------------------------------------------------------------------
- -----------------------------------------------------
CANADA - 1.8%
Grad & Walker Energy
Company....................................................................
... 5,000 50,631
Loewen
Group......................................................................
................. 5,000 121,605
See accompanying notes to Financial Statements
68
<PAGE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
- ---------------------------------------------------------------------------
- -----------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
(Percentages represent value of investments compared to total net assets.)
ISSUER
SHARES VALUE(a)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
INTERNATIONAL COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
<S>
<C> <C>
CANADA (CONTINUED)
Videotron..................................................................
........................ 29,000 $262,197
- ------------
434,433
- ---------------------------------------------------------------------------
- -----------------------------------------------------
PHILIPPINES - 1.7%
International
Container..................................................................
.......... 150,000 152,778
Universal Robina
Corporation................................................................
....... 300,000 241,667
- ------------
394,445
- ---------------------------------------------------------------------------
- -----------------------------------------------------
ARGENTINA - 1.3%
Quilmes
Industries.................................................................
................ 10,000 226,000
Sociedad Commercial Del
Plata......................................................................
15,000 84,916
- ------------
310,916
- ---------------------------------------------------------------------------
- -----------------------------------------------------
DENMARK - 1.3%
Tele
Danmark....................................................................
................... 12,500 307,813
- ---------------------------------------------------------------------------
- -----------------------------------------------------
CHILE - 1.2%
Cristalerias de
Chile......................................................................
........ 15,000 298,125
- ---------------------------------------------------------------------------
- -----------------------------------------------------
THAILAND - 1.2%
Bankok Bank Public
Company....................................................................
..... 25,000 189,696
Land &
House......................................................................
................. 6,000 105,431
- ------------
295,127
- ---------------------------------------------------------------------------
- -----------------------------------------------------
GREECE - 1.1%
Atti-
Kat........................................................................
................... 22,650 260,563
- ---------------------------------------------------------------------------
- -----------------------------------------------------
PANAMA - 0.6%
Panamerican Beverage, Inc.
(b).....................................................................
6,000 144,750
- ---------------------------------------------------------------------------
- -----------------------------------------------------
INDONESIA - 0.5%
Japfa
Comfeed....................................................................
.................. 100,000 123,273
- ---------------------------------------------------------------------------
- -----------------------------------------------------
TAIWAN - 0.3%
Formosa....................................................................
........................ 5,000 72,500
- ---------------------------------------------------------------------------
- -----------------------------------------------------
TOTAL INTERNATIONAL COMMON STOCKS (COST $24,123,565)
.............................................. 22,958,879
- ---------------------------------------------------------------------------
- -----------------------------------------------------
INTERNATIONAL PREFERRED STOCK - 0.4% (COST $108,766)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
AUSTRIA
Bank Austria,
Preferred..................................................................
.......... 2,000 107,742
- ---------------------------------------------------------------------------
- -----------------------------------------------------
RIGHTS - 0.1% (Cost $0)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
Sungei Way Holdings
(b)........................................................................
.... 12,500 14,881
- ---------------------------------------------------------------------------
- -----------------------------------------------------
WARRANTS - 0.0% (Cost $0)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
Hong Kong & China Gas
(b)........................................................................
.. 5,000 1,811
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- -----------------------------------------------------
<S>
<C> <C>
COMMERCIAL PAPER - 2.7% (COST $645,000)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
Ford Motor Credit Corporation, 4.300% (c) due 07/01/1994
.......................................... $645,000 645,000
</TABLE>
See accompanying Notes to Financial Statements.
69
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPLE
ISSUER
AMOUNT VALUE(a)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
<S>
<C> <C>
- ---------------------------------------------------------------------------
- -----------------------------------------------------
CONVERTIBLE BOND - 0.9% (COST $243,476)
- ---------------------------------------------------------------------------
- -----------------------------------------------------
DENMARK
Danske Traelastkompagni, 5.250% due
01/01/2002.....................................................
$1,400,000 $227,276
- ---------------------------------------------------------------------------
- -----------------------------------------------------
TOTAL INVESTMENTS (COST $25,120,807) (d)
.......................................................... 99.9%
23,955,589
OTHER ASSETS AND LIABILITIES (NET)
................................................................
21,327
- ---------------------------------------------------------------------------
- -----------------------------------------------------
NET
ASSETS.....................................................................
.................... 100.0% $23,976,916
- ---------------------------------------------------------------------------
- -----------------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Non-income producing security.
(c) Rate represents annualized yield to maturity.
(d) At June 30, 1994, the cost of securities for Federal income tax
purposes was $25,120,807 and the aggregate
unrealized appreciation and depreciation based on that cost was:
Unrealized
appreciation......................................... $879,736
Unrealized
depreciation......................................... 2,044,954
-----------------------------------------
- --------------------------------------
Net unrealized
depreciation..................................... $1,165,218
-----------------------------------------
- --------------------------------------
</TABLE>
See accompanying Notes to Financial Statements
70
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, JUNE 30, 1994
(UNAUDITED)
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENTAGE
OF
SECTOR DIVERSIFICATION NET
ASSETS
- ---------------------------------------------------------------------------
- -------
<S> <C>
Common Stock:
Consumer Services
13.7 %
Basic Industries
13.6
Financial Services
13.5
Capital Goods
7.8
Transportation
7.3
Consumer Non-Durables
5.7
Technology
5.6
Utilities
5.3
Telecommunictions
5.2
Food & Beverages
4.4
Consumer Durables
4.2
Cable & Entertainment
3.7
Healthcare
3.3
Energy
2.5
- ---------------------------------------------------------------------------
- -------
TOTAL COMMON STOCKS
95.8
- ---------------------------------------------------------------------------
- -------
Preferred Stock
0.4
Rights & Warrants
0.1
Commercial Paper
2.7
Convertible Bond
0.9
- ---------------------------------------------------------------------------
- -------
TOTAL INVESTMENTS
99.9
Net Other Assets and Liabilities
0.1
- ---------------------------------------------------------------------------
- -------
NET ASSETS
100.0 %
- ---------------------------------------------------------------------------
- -------
</TABLE>
See accompanying Notes to Financial Statements.
71
<PAGE>
72
<PAGE>
73
<PAGE>
This report is submitted for the general information of the owners of the
Symphony Annuity which invests in the Smith Barney Shearson Series Fund. It
is
not authorized for distribution to prospective investors unless accompanied
or
preceded by an effective Prospectus for the Fund, which contains
information
concerning the Fund's investment policies, fees and expenses, as well as
other
pertinent information.
SYMPHONY
investments are sponsored and managed by:
Smith Barney Inc.
and subsidiaries
SYMPHONY
is underwritten, issued and serviced by:
IDS Life Insurance Company and
IDS Life Insurance Company of New York
<PAGE>
SHEARSON LEHMAN BROTHERS
SERIES FUND
EDGAR DESCRIPTIONS
DESCRIPTION OF ART WORK ON REPORT COVER
A centered, 3 1/2 x 5 picture of a conductor leading his orchestra at the
symphony is shown under the fund name listed at the top.
