<PAGE>
SMITH BARNEY SHEARSON SERIES FUND ANNUAL REPORT
AND SUPPLEMENT TO THE PROSPECTUS DATED DECEMBER 2, 1993
FOR
SYMPHONY
A TAX-DEFERRED VARIABLE ANNUITY FROM IDS LIFE
[Picture]
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.
DECEMBER 31,
1993
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
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- --
Dear Owner:
The events of 1993 have made tax-advantaged products such as the
Symphony Annuity even more attractive. During December, we also expanded the
range of investment options by adding three new subaccounts:
- Total Return Portfolio
- International Equity Portfolio
- Emerging Growth Portfolio
Our next letter to you will include a discussion of the initial performance of
the three new subaccounts.
THE FISCAL YEAR IN REVIEW
The election in November of 1992 of a new President, especially a Democratic
President for the first time in 12 years, created confusion and speculation in
the financial markets. Much of the speculation was centered on the question
of
whether this party's stereotypical label of "government knows best" would
continue or if a "new Presidency" would emerge. From our vantage point, there
is enough evidence to suggest that both labels are appropriate.
After the short-lived post-election euphoria of 1992, interest rates resumed
their downward movement in mid-January in anticipation of the promised budget
compromise and the belief that economic growth would continue to be slow by
historical standards. After the 30-year Treasury bond (which is the proxy for
the long-term fixed income markets) dropped below 7% in mid-February, the
market
basically treaded water until mid-May while waiting for the close margin of
approval for the budget package. Although economic statistics indicated a
reluctantly improving economy, it was also apparent that renewed inflation was
unlikely. Reports of corporate layoffs and low levels of consumer confidence
prompted the Federal Reserve Board to maintain their wait and see policy, and
consequently short-term interest rates stayed low.
Higher tax rates and concern over the cost of health care reform pushed
interest
rates downward between mid-May and September. The decline was accentuated by
consumers attempting to pare down their debt levels and bolster savings. The
combination of mortgage refinancings and the thirst for yield caused long-term
interest rates to fall to levels not seen since the early 1970's.
As economic growth gained momentum and attention turned to NAFTA and its
implications, the fear grew that the Federal Reserve Board would raise
short-term interest rates. Many investors consequently took their profits,
and
a slowdown in the amount of new money entering the financial markets caused
rates to rise from a low of 5.8% to 6.35% by December 31, 1993.
The key issue confronting the financial markets today is whether the economy
truly is on the road to a healthy recovery or if this is yet another example
of
short-lived growth. By early in the second quarter of 1994, when the effects
of
the retroactive tax increase becomes more fully felt and the costs of health
care reform are clearer, we should have a better idea about the sustainability
of the recovery and the direction of the financial markets.
MONEY MARKET PORTFOLIO
The interest-rate sensitive sectors (such as capital goods and consumer
durables) and the residential sectors continued to grow during the past year.
Nevertheless, with the economy adjusting to defense cuts and tax increases and
the U.S. trade sector deteriorating because of economic weakness abroad, the
Federal Reserve Board's accommodative stance in 1993 proved to be consistent
with an environment of continued moderate growth and low inflation.
The Fed funds rate (a sensitive indicator of the direction of interest rates)
remained unchanged for the entire year at 3% and yields on short-term
instruments had little room to move. The yield on three- and six-month
Treasury
bills remained within a 40 basis point trading range in 1993. With the
possibility of higher interest rates, we are maintaining a cautious posture
and
a very short average maturity.
INTERMEDIATE HIGH GRADE PORTFOLIO
The corporate sector continues to look attractive to us because of favorable
economic news, but it is becoming increasingly difficult to find good values
since the long period of high returns has created tight spreads. We still
favor
U.S. agency collateralized mortgage obligations over Treasuries, but are
nonetheless cautious on the sector as a whole in the face of continued waves
of
refinancing activity. The yield curve remains steep by historical standards
and
we are looking for a significant flattening over the next year. We favor a
barbell structure with the following
<PAGE>
Smith Barney Shearson Series Fund
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- -
characteristics: long-maturity Treasuries; intermediate-maturity corporate;
and
shorter duration collateralized mortgage obligations. This structure seeks
yield in the shorter maturities and relative price protection afforded by the
barbell structure. During the past year the net asset value of the Portfolio
increased to $10.69 from $10.29 and the Portfolio paid dividends totaling
$0.41
per share. The average annual total return on your investment during the past
fiscal year was 8.00%. This compared with a gain of 8.79% for the Lehman
Intermediate Government/Corporate Bond Index.
EQUITY INCOME PORTFOLIO
We continue to favor utility stocks as part of a well-diversified investment
portfolio offering both high current income and long-term growth. The balance
of this decade will challenge utility company management to provide
competitive
returns to shareholders. Our stock selection process will focus on both
financial data and competitive strategies. We expect those companies with a
solid strategy and demonstrated earnings growth to be priced at a premium to
the
average utility. Our portfolio strategy will attempt to identify these
companies and provide a competitive total return to shareholders. As of
December 31, 1993, our portfolio asset mix was 77% in stocks, 16% in utility
bonds and 7% in cash. We have recently increased our holdings in the
telecommunications and natural gas sectors based on favorable long-term growth
prospects. Recent portfolio additions include: U.S. West, AT&T, Williams
Companies and Panhandle Eastern. During the past year, the net asset value of
the Portfolio increased to $11.55 from $10.90 and the Portfolio paid dividends
totaling $0.48 per share. The average annual total return on your investment
during the past fiscal year was 10.41%. By comparison, the Standard & Poor's
Daily Price Index of 500 Common Stocks ("S&P 500") was up 10.06% for the same
period.
EQUITY INDEX PORTFOLIO
The objective of the Equity Index Portfolio is to give holders a return
approximately equal to that of the U.S. stock market, as measured by the S&P
500. Eighty-four percent of the Portfolio is currently invested in 478 stocks
included in the S&P 500 Index. The remaining sixteen percent of the Portfolio
consists of futures contracts on the index. Over the period, the pre-expense
performance of the Portfolio closely tracked the index. Any material
deviation
from the index return is a result of the fact that the Portfolio cannot hold
certain stocks included in the index as a result of legal restrictions.
During
the past fiscal year, the Portfolio provided investors with an average annual
total return of 8.66%. By comparison, the S&P 500 was up 10.06% for the same
period.
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
The effect of lower trending interest rates during 1993 resulted in the first
signs of an economic recovery during the last quarter of the year. Housing
and
auto sales improved most dramatically, while sales of consumer non-durables
continued to struggle. The issue currently being debated among institutional
investors is whether growth has reached its strongest levels and only
disappointment can follow, or can growth at 2-3% be sustained.
With exception of the U.K., continental Europe continues to suffer the effects
of the economic recession. While rates have declined during the year,
positive
effects have yet to be seen. We anticipate rates will continue to decline in
hopes of stimulating demand and reducing unemployment.
The high yield market outperformed the investment grade and government bond
sectors as signs of an improving economy became evident by the middle of
November. The strongest performing sectors were the more economically-
sensitive
industries such as steel, auto manufacturing, residential home building,
textiles, and general manufacturing.
Our investment strategy of 30% in mortgages and Treasury securities, 30% in
high
yield bonds, and 40% in foreign government obligations remains intact. During
the past year, the net asset value of the Portfolio increased to $10.07 from
$9.61, and the Portfolio paid dividends totaling $0.71 per share. The average
annual total return on your investment during the past fiscal year was 12.56%.
By comparison, the Lehman Brothers Aggregate Bond Index was up 9.75% for the
same period.
GROWTH & INCOME PORTFOLIO
With the stock market up during 1993, relative sector performance did not
reflect consistent market themes. For example, in the consumer arena,
durables
dramatically outperformed non-durable issues -- suggesting that
<PAGE>
Smith Barney Shearson Series Fund
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economically-sensitive stocks should outperform. Yet in contrary fashion, the
process industry sector (which includes such cyclical industries as chemicals
and papers) under-performed the broad market averages. And with technology
stocks, any association with "health" was deadly, while electronic technology
stocks soared. In short, 1993 was a "stock picker's" market.
Going forward into 1994, the Growth and Income Portfolio continues to
concentrate on stocks with the potential for above-average dividend increases.
Examining stock holdings from a sector vantage point, the Portfolio is
overweighed in the manufacturing and financial sectors and underweighed in
consumer non-durables and health care. The overweighing in industrial stocks
dates from the initiation of the Portfolio. These stocks should benefit as
the
economic recovery unfolds throughout the year. We increased the concentration
in financial issues last year. Valuations in this group appear compelling, as
many issues sell at very reasonable price-to-earnings ratios. The
underweighting in consumer non-durables reflects our perception that many of
these companies lack both pricing power and volume growth over the next
several
years. And the Portfolio is under-represented in health care due to the
current
vagaries of governmental health policy. During the past year, the net asset
value of the Portfolio increased to $11.37 from $10.68, and the Portfolio paid
dividends totaling $0.28 per share. The average annual total return on your
investment during the past fiscal year was 9.09%. By comparison, the S&P 500
was up 10.06% for the same period.
APPRECIATION PORTFOLIO
The goal of the Appreciation Portfolio is to provide shareholders with
consistent positive returns over the long term. In our experience, which is
measurable in decades, not just years, the best way to do that is to own a
core
of great growth companies, and allow them to try and compound their earnings
for
us. We then build the rest of the portfolio around this solid core with
themes
that seem to make sense in the prevailing environment. The Portfolio does not
try to trade aggressively, nor does it try to capture every fad, such as the
current "new issue" mania.
In 1993, the investment themes that we developed worked very well. In our
"Restructuring Opportunities" theme, the Fund benefited from holdings in ITT,
Xerox, Sears and United Technologies as managements took major steps to
increase
profitability and shareholder returns. The "Revitalization of the Domestic
Industrial Sector" theme also provided good returns, particularly our holdings
in the Big Three auto stocks. Among the Portfolio's best successes was our
"Telecommunications/Information Superhighway" theme which had significant
holdings in Paramount Communications, Time Warner and Comcast. Regrettably,
despite good corporate results, the stocks of many of our favorite long term
holdings had poor years. The net effect of our efforts was a year of decent,
though not spectacular, returns. The average annual total return of the
Appreciation Portfolio was 7.03% as compared to the total return of the S&P
500
of 10.06%.
For the coming year, we expect a revival in the "high quality" sector of the
market. The great growth companies are too well positioned in burgeoning
world
markets to stay down for too long. We also want to stay with some of our
winners in the restructuring and industrial categories in the year ahead. It
seems to us that the biggest risks for the stock market lie less in
overvaluation than in the occasional outbreaks of speculative frenzy, which
inevitably end badly, as weak holders get washed out. Happily, corporate
earnings should make for some pleasant surprises because of corporate
restructuring and downsizing efforts over the past few years.
CONCLUSION
The Portfolios do not pay a level dividend rate but instead distribute to
shareholders the accrued income earned by their respective holdings. We will
continue to strive to offer an attractive dividend distribution as we face
changing market and economic conditions.
As we conclude this letter, we would like to thank you for your investment and
look forward to serving your future investment needs.
Sincerely,
/s/ Heath B. McLendon
HEATH B. MCLENDON
Chairman of the Board
and Investment Officer
February 10, 1994
<PAGE>
Description of Mountain Chart in Shearson Covers (Intermediate High Grade)
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $10,000 in Series Fund -
Intermediate High Grade Portfolio's shares on October 16, 1991 through
December 31, 1993 as compared with the growth of a $10,000 investment in the
Lehman Brothers Intermediate Government/Corporate Bond Index. The plot points
used to draw the line graph were as follows:
Month Ended
Growth of $10,000
Invested in shares
of the Portfolio
Growth of $10,000
Investment in the
Lehman Brothers
Intermediate
Government/Corporate
Bond Index
10/16/91
$10,000
- -
10/91
$10,000
$10,000
11/91
$10,030
$10,114
12/91
$10,240
$10,361
03/92
$10,085
$10,268
06/92
$10,407
$10,674
09/92
$10,844
$11,144
12/92
$10,781
$11,105
03/93
$11,160
$11,545
06/93
$11,352
$11,794
09/93
$11,631
$12,061
12/93
$11,643
$12,081
Description of Mountain Chart in Shearson Covers (Diversified Strategic
Income)
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $10,000 in Series Fund -
Diversified Strategic Income Portfolio's shares on October 16, 1991 through
December 31, 1993 as compared with the growth of a $10,000 investment in the
Lehman Brothers Aggregate Bond Index. The plot points used to draw the line
graph were as follows:
Month Ended
Growth of $10,000
Invested in shares
of the Portfolio
Growth of $10,000
Investment in the
Lehman Brothers
Aggregate
Bond Index
10/16/91
$10,000
- -
10/91
$10,000
$10,000
11/91
$10,020
$10,091
12/91
$10,140
$10,391
03/92
$9,930
$10,258
06/92
$10,270
$10,672
09/92
$10,354
$11,130
12/92
$10,284
$11,160
03/93
$10,749
$11,621
06/93
$11,027
$11,930
09/93
$11,287
$12,241
12/93
$11,576
$12,248
Description of Mountain Chart in Shearson Covers (Equity Income)
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $10,000 in Series Fund -
Equity Income Portfolio's shares on October 16, 1991 through
December 31, 1993 as compared with the growth of a $10,000 investment in the
Variable Annuity Lipper Equity Income Funds Peer Group Average and Standard &
Poor's 500 Index. The plot points used to draw the line graph were as
follows:
Month
Ended
Growth of $10,000
Invested in
shares
of the Portfolio
Growth of $10,000
Investment in the
Variable Annuity
Lipper Equity
Income Funds Peer
Group Average
Growth of
$10,000
Investment in
the
Standard &
Poor's
500 Index
10/16/91
$10,000
- -
- -
10/91
$10,000
$10,000
$10,000
11/91
$10,020
$9,713
$9,598
12/91
$10,200
$10,432
$10,694
03/92
$9,957
$10,337
$10,424
06/92
$10,522
$10,567
$10,622
09/92
$11,124
$10,882
$10,957
12/92
$11,397
$10,186
$11,508
03/93
$12,268
$12,334
$12,009
06/93
$12,545
$12,541
$12,067
09/93
$13,080
$13,120
$12,378
12/93
$12,583
$13,191
$12,672
Description of Mountain Chart in Shearson Covers (Growth & Income)
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $10,000 in Series Fund -
Growth & Income Portfolio's shares on October 16, 1991 through
December 31, 1993 as compared with the growth of a $10,000 investment in the
Variable Annuity Lipper Growth & Income Funds Peer Group Average and Standard
& Poor's 500 Index. The plot points used to draw the line graph were as
follows:
Month
Ended
Growth of $10,000
Invested in shares
of the Portfolio
Growth of $10,000
Investment in the
Variable Annuity
Lipper Growth &
Income Funds Peer
Group Average
Growth of $10,000
Investment in the
Standard & Poor's
500 Index
10/16/91
$10,000
- -
- -
10/91
$10,000
$10,000
$10,000
11/91
$9,720
$9,608
$9,598
12/91
$10,140
$10,524
$10,694
03/92
$10,070
$10,465
$10,424
06/92
$10,261
$10,473
$10,622
09/92
$10,556
$10,779
$10,957
12/92
$10,995
$11,356
$11,508
03/93
$11,325
$11,871
$12,009
06/93
$11,315
$12,003
$12,067
09/93
$11,618
$12,427
$12,378
12/93
$11,995
$12,734
$12,672
Description of Mountain Chart in Shearson Covers (Appreciation)
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $10,000 in Series Fund -
Appreciation Portfolio's shares on October 16, 1991 through
December 31, 1993 as compared with the growth of a $10,000 investment in the
Standard & Poor's 500 Index. The plot points used to draw the line graph were
as follows:
Month Ended
Growth of $10,000
Invested in shares
of the Portfolio
Growth of $10,000
Investment in the
Standard & Poor's
500 Index
10/16/91
$10,000
- -
10/91
$10,000
$10,000
11/91
$9,740
$9,598
12/91
$10,490
$10,694
03/92
$10,270
$10,424
06/92
$10,260
$10,622
09/92
$10,590
$10,957
12/92
$11,133
$11,508
03/93
$11,413
$12,009
06/93
$11,330
$12,067
09/93
$11,583
$12,378
12/93
$11,916
$12,672
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES
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Diversified
Money
Intermediate Strategic Equity Equity
Market
High Grade Income Income Index
ASSETS Portfolio
Portfolio Portfolio Portfolio Portfolio
<S> <C>
<C> <C> <C> <C>
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Portfolio Investments, at value :
(Cost $3,518,933; $9,561,345; $41,358,937;
$58,674,961; $8,350,538; $24,128,119;
$70,004,225; $2,845,617; $1,105,610;
$2,892,552;)
(Note 1) See accompanying schedules:
Securities . . . . . . . . . . . . . . . . . . . . $3,144,933
$9,209,527 $37,859,321 $55,688,900 $8,841,598
Repurchase agreements. . . . . . . . . . . . . . . 374,000
350,000 4,105,000 5,025,000 --
Cash and/or foreign currency(a). . . . . . . . . . 787
398 300,935 803 --
Forward foreign exchange contracts to buy,
at value (Contract cost $860,000; $619,717)
(Note 1) See accompanying schedule. . . . . . . . --
- -- 843,911 -- --
Receivable for forward foreign exchange
contracts to sell . . . . . . . . . . . . . . . . --
- -- 5,279,672 -- --
Financial futures contracts - long position,
at value (Cost $1,397,200)(Note 1)
See accompanying schedule . . . . . . . . . . . . --
- -- -- -- 1,400,850
Receivable for investment securities sold. . . . . --
- -- 705,711 -- --
Due from affiliated agents (Note 2). . . . . . . . 15,916
8,036 586 -- 24,536
Dividends and/or interest receivable . . . . . . . 44
125,682 996,496 499,328 15,662
Receivable for Portfolio shares sold . . . . . . . 174,914
173,954 154,968 18,747 13,715
Unamortized organization costs (Note 6). . . . . . 14,983
14,977 15,576 15,572 15,156
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Total assets . . . . . . . . . . . . . . . . . . . 3,725,577
9,882,574 50,262,176 61,248,350 10,311,517
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LIABILITIES
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Aggregate exercise cost of financial
futures-long position . . . . . . . . . . . . . . --
- -- -- -- 1,397,200
Payable for investment securities purchased. . . . --
- -- 844,023 962,230 19,727
Forward foreign exchange contracts to sell,
at value (Contract cost $5,279,672) (Note 1)
See accompanying schedule . . . . . . . . . . . . --
- -- 5,220,716 -- --
Payable for forward foreign exchange
contracts to buy. . . . . . . . . . . . . . . . . --
- -- 860,000 -- --
Transfer agent fees payable (Note 2) . . . . . . . 4,603
3,814 2,901 3,429 3,761
Payable to affiliated agents . . . . . . . . . . . --
- -- 6,676 -- --
Organization costs payable (Note 6). . . . . . . . --
- -- -- -- --
Investment advisory fee payable (Note 2) . . . . . 701
4,659 30,870 45,023 3,990
Administration fee payable (Note 2). . . . . . . . 467
2,330 13,719 20,010 1,995
Dividends payable. . . . . . . . . . . . . . . . . 4,313
- -- -- -- --
Accrued legal and audit fees . . . . . . . . . . . 2,800
3,799 18,671 23,035 7,650
Custodian fees payable (Note 2). . . . . . . . . . 6,825
3,195 8,952 6,275 18,955
Due to custodian . . . . . . . . . . . . . . . . . --
- -- -- -- 11,672
Accrued registration and filing fees . . . . . . . 531
2,003 5,023 20,742 1,429
Accrued expenses and other payables. . . . . . . . 2,649
3,634 6,210 7,648 3,033
Total liabilities. . . . . . . . . . . . . . . . . 22,889
23,434 7,017,761 1,088,392 1,469,412
Net assets applicable to shares of
beneficial interest outstanding. . . . . . . . . $3,702,688
$9,859,140 $43,244,415 $60,159,958 $8,842,105
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Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
ASSETS Portfolio
Portfolio Portfolio Portfolio Portfolio
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- ------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Portfolio Investments, at value :
(Cost $3,518,933; $9,561,345; $41,358,937;
$58,674,961; $8,350,538; $24,128,119;
$70,004,225; $2,845,617; $1,105,610;
$2,892,552;)
(Note 1) See accompanying schedules:
Securities . . . . . . . . . . . . . . . . . . . . $23,145,076
$76,319,837 $2,912,625 $1,145,000 $2,921,536
Repurchase agreements. . . . . . . . . . . . . . . 2,668,000
1,379,000 -- -- --
Cash and/or foreign currency(a). . . . . . . . . . 771
884 158,227 1,614,283 3,284,589
Forward foreign exchange contracts to buy,
at value (Contract cost $860,000; $619,717)
(Note 1) See accompanying schedule. . . . . . . . --
- -- -- -- 614,814
Receivable for forward foreign exchange
contracts to sell . . . . . . . . . . . . . . . . --
- -- -- -- --
Financial futures contracts - long position,
at value (Cost $1,397,200)(Note 1)
See accompanying schedule . . . . . . . . . . . . --
- -- -- -- --
Receivable for investment securities sold. . . . . --
- -- -- -- --
Due from affiliated agents (Note 2). . . . . . . . 175
- -- 5,439 2,373 2,510
Dividends and/or interest receivable . . . . . . . 110,536
143,307 286 2,018 105
Receivable for Portfolio shares sold . . . . . . . 81,143
220,059 103,265 319,295 556,081
Unamortized organization costs (Note 6). . . . . . 15,199
16,905 32,108 32,162 32,179
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Total assets . . . . . . . . . . . . . . . . . . . 26,020,900
78,079,992 3,211,950 3,115,131 7,411,814
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LIABILITIES
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- ------------------------------------------------------
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Aggregate exercise cost of financial
futures-long position . . . . . . . . . . . . . . --
- -- -- -- --
Payable for investment securities purchased. . . . 408,570
- -- 916,260 302,667 888,324
Forward foreign exchange contracts to sell,
at value (Contract cost $5,279,672) (Note 1)
See accompanying schedule . . . . . . . . . . . . --
- -- -- -- --
Payable for forward foreign exchange
contracts to buy. . . . . . . . . . . . . . . . . --
- -- -- -- 619,717
Transfer agent fees payable (Note 2) . . . . . . . 2,763
4,552 416 416 416
Payable to affiliated agents . . . . . . . . . . . 8,571
15,199 -- -- --
Organization costs payable (Note 6). . . . . . . . --
- -- 32,500 32,500 32,500
Investment advisory fee payable (Note 2) . . . . . 18,930
69,934 123 -- 374
Administration fee payable (Note 2). . . . . . . . 8,413
25,431 33 -- 88
Dividends payable. . . . . . . . . . . . . . . . . --
- -- -- -- --
Accrued legal and audit fees . . . . . . . . . . . 14,799
71,280 934 807 765
Custodian fees payable (Note 2). . . . . . . . . . 3,320
17,595 3,120 321 409
Due to custodian . . . . . . . . . . . . . . . . . --
- --
Accrued registration and filing fees . . . . . . . 4,457
26,788 755 943 2,015
Accrued expenses and other payables. . . . . . . . 2,549
8,052 341 308 297
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Total liabilities. . . . . . . . . . . . . . . . . 472,372
238,831 954,482 337,962 1,544,905
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Net assets applicable to shares of
beneficial interest outstanding. . . . . . . . . $25,548,528
$77,841,161 $2,257,468 $2,777,169 $5,866,909
- ------------------------------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
4
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
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 ASSETS REPRESENTED BY
- ------------------------------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Shares of beneficial interest outstanding
authorized unlimited number of
shares of $.001 par value . . . . . . . . . . . . $3,703
$922 $4,294 $5,210 $743
Additional paid-in capital . . . . . . . . . . . . 3,698,985
9,643,750 42,578,620 57,770,668 8,126,857
Accumulated net realized gain/(loss)
on securities, futures contracts, written options,
forward foreign exchange contracts, and
foreign currency transactions . . . . . . . . . . --
96,524 29,871 117,669 108,037
Undistributed net investment income (distributions
in excess of net investment income) --
119,762 -- 227,472 111,758
Unrealized appreciation/(depreciation) of
securities, futures contracts, forward foreign
exchange contracts, foreign currency
transactions and net other assets . . . . . . . . --
(1,818) 631,630 2,038,939 494,710
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Total-representing net assets applicable
to shares of beneficial interest
outstanding . . . . . . . . . . . . . . . . . . . $3,702,688
$9,859,140 $43,244,415 $60,159,958 $8,842,105
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Total number of shares
of beneficial interest outstanding. . . . . . . . 3,702,688
922,006 4,294,279 5,210,301 742,872
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Net asset value, offering and redemption price
per share of beneficial interest outstanding. . . $1.00
$10.69 $10.07 $11.55 $11.90
- ------------------------------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------
SMITH BARNEY SHEARSON SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
Portfolio
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------
NET ASSETS REPRESENTED BY
- ------------------------------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Shares of beneficial interest outstanding
authorized unlimited number of
shares of $.001 par value . . . . . . . . . . . . $2,246
$6,594 $217 $270 $ 5,863,584
Additional paid-in capital . . . . . . . . . . . . 23,911,788
70,282,123 2,190,491 2,735,780 5,838,948
Accumulated net realized gain/(loss)
on securities, futures contracts, written options,
forward foreign exchange contracts, and
foreign currency transactions . . . . . . . . . . (80,758)
(1,034,366) (1,143) -- --
Undistributed net investment income (distributions
in excess of net investment income) 30,295
892,198 895 1,729 --
Unrealized appreciation/(depreciation) of
securities, futures contracts, forward foreign
exchange contracts, foreign currency
transactions and net other assets . . . . . . . . 1,684,957
7,694,612 67,008 39,390 27,377
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Total-representing net assets applicable
to shares of beneficial interest
outstanding . . . . . . . . . . . . . . . . . . . $25,548,528
$77,841,161 $2,257,468 $2,777,169 $ 5,866,909
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Total number of shares
of beneficial interest outstanding. . . . . . . . 2,246,457
6,593,923 216,901 269,587 583,970
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Net asset value, offering and redemption price
per share of beneficial interest outstanding. . . $11.37
$11.80 $10.41 $10.30 $ 5,8610.05
- ------------------------------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------
(a) Currency cost basis was $302,027 and $3,293,256 for the Diversified
Strategic Income and International Equity Portfolios,
respectively.
</TABLE>
See accompanying Notes to Financial Statements.
5
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES
FUND STATEMENTS OF OPERATIONS
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>
- ------------------------------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Income:
Dividends (net of withholding taxes)(a). . . . . . $ -- $
- -- $ 13,125 $1,703,940 $ 131,571
Interest (net of withholding taxes)(b) . . . . . . 78,745
392,409 2,403,508 780,491 45,080
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Total income . . . . . . . . . . . . . . . . . . . 78,745
392,409 2,416,633 2,484,431 176,651
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Expenses:
Investment advisory fee (Note 2). . . . . . . . . 7,643
25,734 133,663 206,623 25,538
Sub investment advisory and
administration fee (Note 2). . . . . . . . . . . 5,096
12,867 59,406 91,832 12,769
Custodian fees (Note 2) . . . . . . . . . . . . . 10,069
7,396 46,632 27,473 43,048
Transfer agent fees (Note 2). . . . . . . . . . . 7,600
8,028 9,472 10,377 8,028
Audit fees. . . . . . . . . . . . . . . . . . . . 5,390
5,887 13,289 15,461 7,804
Legal fees. . . . . . . . . . . . . . . . . . . . 2,800
2,800 2,800 2,800 2,800
Registration & filing fees. . . . . . . . . . . . 1,364
3,327 5,750 21,575 2,262
Trustees' fees and expenses (Note 2). . . . . . . 4,372
4,372 4,372 4,373 4,373
Shareholder reports expense . . . . . . . . . . . 4,379
4,379 4,379 4,379 4,379
Amortization of organization costs (Note 6) . . . 6,046
6,043 6,242 6,241 6,102
Other expenses. . . . . . . . . . . . . . . . . . 127
6,736 16,027 9,068 2,955
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Total expenses before reimbursements
and waivers . . . . . . . . . . . . . . . . . . . 54,886
87,569 302,032 400,202 120,058
Expense reimbursements and
fee waivers (Note 2). . . . . . . . . . . . . . . (35,778)
(32,918) (5,632) -- (56,338))
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Total expenses . . . . . . . . . . . . . . . . . . 19,108
54,651 296,400 400,202 63,720
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net investment income/(loss) . . . . . . . . . . . 59,637
337,758 2,120,233 2,084,229 112,931 )
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Realized and unrealized gain/(loss) on
investments (Notes 1 and 3):
Net realized gain/(loss) on:
Securities transactions. . . . . . . . . . . . . . --
96,571 (192,972) 117,669 19,154
Futures contracts . . . . . . . . . . . . . . . . --
- -- -- -- 94,386
Written options . . . . . . . . . . . . . . . . . --
- -- 1,014 -- --
Forward foreign exchange contracts and
foreign currency transactions. . . . . . . . . . --
- -- 185,633 -- --
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net realized gain/(loss) on investments. . . . . . --
96,571 (6,325) 117,669 113,540
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net change in unrealized appreciation/
(depreciation) of:
Securities. . . . . . . . . . . . . . . . . . . . --
(5,304) 1,208,695 821,881 296,988
Forward foreign exchange contracts. . . . . . . . --
- -- (31,843) -- --
Futures contracts . . . . . . . . . . . . . . . . --
- -- -- -- (1,850)
Currencies and net other assets . . . . . . . . . --
- -- 6,479 -- --
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net unrealized gain/(loss) on investments. . . . . --
(5,304) 1,183,331 821,881 295,138
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net realized and unrealized gain
on investments. . . . . . . . . . . . . . . . . . --
91,267 1,177,006 939,550 408,678
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net increase in net assets
resulting from operations . . . . . . . . . . . . $59,637
$429,025 $3,297,239 $3,023,779 $521,609
- ------------------------------------------------------------------------------
- -----------------------------------------------------
- ------------------------------------------------------------------------------
- -----------------------------------------------------
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
Portfolio
Portfolio Portfolio* Portfolio* Portfolio*
- ------------------------------------------------------------------------------
- -----------------------------------------------------
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Income:
Dividends (net of withholding taxes)(a). . . . . . $ 474,908
$1,305,762 $ 286 $ 1,970 $ --
Interest (net of withholding taxes)(b) . . . . . . 178,810
259,888 1,297 519 1,156
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Total income . . . . . . . . . . . . . . . . . . . 653,718
1,565,650 1,583 2,489 1,156
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Expenses:
Investment advisory fee (Note 2). . . . . . . . . 79,917
364,632 431 419 1,422
Sub investment advisory and
administration fee (Note 2). . . . . . . . . . . 35,519
132,593 115 152 335
Custodian fees (Note 2) . . . . . . . . . . . . . 17,867
52,680 3,134 321 409
Transfer agent fees (Note 2). . . . . . . . . . . 8,858
12,708 416 416 416
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Audit fees. . . . . . . . . . . . . . . . . . . . 11,362
34,496 633 547 518
Legal fees. . . . . . . . . . . . . . . . . . . . 2,800
12,800 301 260 247
Registration & filing fees. . . . . . . . . . . . 5,291
32,621 755 943 2,014
Trustees' fees and expenses (Note 2). . . . . . . 4,373
4,372 -- -- --
Shareholder reports expense . . . . . . . . . . . 4,379
4,379 241 208 197
Amortization of organization costs (Note 6) . . . 6,117
6,686 392 338 321
Other expenses. . . . . . . . . . . . . . . . . . 2,873
11,031 100 100 100
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Total expenses before reimbursements
and waivers . . . . . . . . . . . . . . . . . . . 179,356
668,998 6,518 3,704 5,979
Expense reimbursements and
fee waivers (Note 2). . . . . . . . . . . . . . . (2,170)
- -- (5,830) (2,944) (3,804)
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Total expenses . . . . . . . . . . . . . . . . . . 177,186
668,998 688 760 2,175
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net investment income/(loss) . . . . . . . . . . . 476,532
896,652 895 1,729 (1,019)
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Realized and unrealized gain/(loss) on
investments (Notes 1 and 3):
Net realized gain/(loss) on:
Securities transactions. . . . . . . . . . . . . . (80,758)
(501,876) (1,143) -- 1,879
Futures contracts . . . . . . . . . . . . . . . . --
- -- -- -- --
Written options . . . . . . . . . . . . . . . . . --
- -- -- -- --
Forward foreign exchange contracts and
foreign currency transactions. . . . . . . . . . --
- -- -- -- (3,508)
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net realized gain/(loss) on investments. . . . . . (80,758)
(501,876) (1,143) -- (1,629)
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net change in unrealized appreciation/
(depreciation) of:
Securities. . . . . . . . . . . . . . . . . . . . 1,276,241
4,310,589 67,008 39,390 28,984
Forward foreign exchange contracts. . . . . . . . --
- -- -- -- (4,903)
Futures contracts . . . . . . . . . . . . . . . . --
- -- -- -- --
Currencies and net other assets . . . . . . . . . --
- -- -- -- 3,296
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net unrealized gain/(loss) on investments. . . . . 1,276,241
4,310,589 67,008 39,390 27,377
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net realized and unrealized gain
on investments. . . . . . . . . . . . . . . . . . 1,195,483
3,808,713 65,865 39,390 25,748
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net increase in net assets
resulting from operations . . . . . . . . . . . . $1,672,015
$4,705,365 $66,760 $41,119 $24,729
- ------------------------------------------------------------------------------
- -----------------------------------------------------
- ------------------------------------------------------------------------------
- -----------------------------------------------------
<FN>
(a) The Equity Index, Growth & Income, and Appreciation Portfolios had
dividend withholding taxes of $466, $4,498 and $10,528,
respectively.
(b) The Diversified Strategic Income Portfolio had interest withholding
taxes of $659.
* The Portfolios commenced operations on December 3, 1993.
</TABLE>
See accompanying Notes to Financial Statements.
6
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
STATMENTS OF CHANGES IN NET ASSSETS
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 assets
resulting from operations . . . . . . . . . . . . 59,637
429,025 3,297,239 3,023,779 521,609
Dividends from net investment 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
- ------------------------------------------------------------------------------
- -----------------------------------------------------
- ------------------------------------------------------------------------------
- -----------------------------------------------------
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Growth
Emerging Total International
& Income
Appreciation Growth Return Equity
Portfolio
Portfolio Portfolio* Portfolio* Portfolio*
- ------------------------------------------------------------------------------
- -----------------------------------------------------
- ------------------------------------------------------------------------------
- -----------------------------------------------------
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 investment 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.
7
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1992
- ------------------------------------------------------------------------------
- -----------------------------------------------------
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. . . . . . . . . . . . . . . $56,990 $
104,904 $943,112 $691,217 $70,266
Net realized gain/(loss) on securities, futures
contracts and foreign currency transactions
during the year . . . . . . . . . . . . . . . . . --
31,565 (187,491) 38,208 67,309
Net unrealized appreciation/(depreciation) of
securities, futures contracts, currencies and
other net assets during the year. . . . . . . . . --
(4,416) (572,818) 1,184,148 111,557
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Net increase in net assets resultingfrom operations 56,990
132,053 182,803 1,913,573 249,132
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Distributions to shareholders from:
Net investment income (56,990)
(106,886) (901,509) (690,451) (6,506)
Capital . . . . . . . . . . . . . . . . . . . . . --
- -- -- -- (17,225)
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales. . . . . . . . . . . . . . . . 4,267,266
3,066,149 16,206,883 20,767,243 3,357,879
Reinvested distributions, at net asset value . . . 56,990
106,887 901,509 690,451 23,731
Payments for redemptions . . . . . . . . . . . . . (3,046,437)
(274,830) (312,153) (595,947) (1,162,625)
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Increase in net assets from shares
of beneficial interest transactions 1,277,819
2,898,206 16,796,239 20,861,747 2,218,985
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Total increase in net assets . . . . . . . . . . . 1,277,819
2,923,373 16,077,533 22,084,869 2,444,386
Net assets at beginning of year. . . . . . . . . . 830,302
697,207 3,913,588 3,900,390 1,733,461
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Net assets at end of period (including
undistributed net investment income
of $0; $37; $49,532; $7,720; $70,266;
$0 and $575,018, respectively). . . . . . . . . . $2,108,121
$3,620,580 $19,991,121 $25,985,259 $4,177,847
- ------------------------------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Growth
& Income
Appreciation
Portfolio
Portfolio
- ------------------------------------------------------------------------------
- ------------------------------------------------------
Net investment income. . . . . . . . . . . . . . . $193,190
$575,018
Net realized gain/(loss) on securities, futures
contracts and foreign currency transactions
during the year . . . . . . . . . . . . . . . . . 41,919
(532,490)
Net unrealized appreciation/(depreciation) of
securities, futures contracts, currencies and
other net assets during the year. . . . . . . . . 378,115
2,936,748
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net increase in net assets resultingfrom operations 613,224
2,979,276
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Distributions to shareholders from:
Net investment income (196,001)
(16,165)
Capital . . . . . . . . . . . . . . . . . . . . . (3,016)
- --
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales. . . . . . . . . . . . . . . . 8,653,596
39,346,573
Reinvested distributions, at net asset value . . . 199,017
16,165
Payments for redemptions . . . . . . . . . . . . . (219,954)
(312,135)
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Increase in net assets from shares
of beneficial interest transactions 8,632,659
39,050,603
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Total increase in net assets . . . . . . . . . . . 9,046,866
42,013,714
Net assets at beginning of year. . . . . . . . . . 1,903,900
11,435,946
- ------------------------------------------------------------------------------
- -----------------------------------------------------
Net assets at end of period (including
undistributed net investment income
of $0; $37; $49,532; $7,720; $70,266;
$0 and $575,018, respectively). . . . . . . . . . $10,950,766
$53,449,660
- ------------------------------------------------------------------------------
- -----------------------------------------------------
- ------------------------------------------------------------------------------
- -----------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
8
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS
- ------------------------------------------------------------------------------
- --
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, an individual flexible premium
deferred combination fixed and variable annuity contract (the "Annuity") 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 IDS Life of New York (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 Fund's 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 PORTFOLIO, EMERGING GROWTH PORTFOLIO,
TOTAL RETURN PORTFOLIO, AND INTERNATIONAL EQUITY PORTFOLIO):
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.
9
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ------------------------------------------------------------------------------
- --
FOREIGN CURRENCY (DIVERSIFIED STRATEGIC INCOME PORTFOLIO, INTERNATIONAL EQUITY
PORTFOLIO AND EMERGING GROWTH PORTFOLIO):
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 PORTFOLIO,
INTERNATIONAL EQUITY PORTFOLIO AND EMERGING GROWTH PORTFOLIO):
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 a 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.
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
10
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ------------------------------------------------------------------------------
- --
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. On the International Equity Portfolio permanent
differences incurred during the year ended December 31, 1993, resulting from a
tax basis net operating loss, were reclassified to paid in capital at year
end.
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.
RECLASSIFICATIONS:
During the current period, the Portfolios adopted Statement of Position 93-2
'Determination, Disclosure and Financial Statement Presentation of Income,
Capital Gain, and Return of Capital Distributions by Investment Companies.'
Accordingly, certain reclassifications have been made to the components of
capital in the Statement of Net Assets to conform with the accounting and
reporting guidelines of this statement. Distributions in excess of book basis
accumulated realized gains or undistributed net investment income that were
the
result of permanent book and tax accounting differences have been reclassified
to paid-in capital. In addition, amounts distributed in excess of accumulated
net investment income as determined for financial statement purposes which had
previously been reported as distributions from paid-in capital have been
reclassified to accumulated net investment income. Accordingly, amounts as of
December 31, 1992 have been restated to reflect an increase in paid-in capital
and an increase in accumulated net realized loss of $3,016 for the Growth &
Income Portfolio; and an increase in accumulated net realized gain of $30,224,
a
decrease to paid-in capital of $2,160 and a decrease in undistributed net
investment income of $28,064 for the Diversified Strategic Income Portfolio.
The Statement of Changes in Net Assets and Financial Highlights have not been
restated to reflect this change in presentation. Net investment income, net
realized gains, and net assets were not affected by this change.
- ------------------------------------------------------------------------------
- --
2. INVESTMENT ADVISORY FEE, SUB-INVESTMENT ADVISORY, ADMINISTRATION FEE AND
OTHER RELATED PARTY TRANSACTIONS
Up to the close of business on July 30, 1993, the Money Market Portfolio,
Intermediate High Grade Portfolio, Diversified Strategic Income Portfolio,
Equity Income Portfolio and Growth & Income Portfolio had each entered into an
investment advisory agreement with Shearson Lehman Brothers Inc. ("Shearson
Lehman Brothers") on behalf of Shearson Lehman Advisors, a member of the Asset
Management Group of Shearson Lehman Brothers. Under the investment advisory
agreement, the Money Market Portfolio, Intermediate High Grade Portfolio,
Diversified Strategic Income Portfolio, Equity Income Portfolio and Growth &
Income Portfolio each paid 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.
Up to the close of business on July 30, 1993, the Appreciation Portfolio had
entered into an investment advisory agreement with Shearson Lehman Brothers on
behalf of Shearson Asset Management ("Shearson Asset Management"),
11
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ------------------------------------------------------------------------------
- --
a member of the Asset Management Group of Shearson Lehman Brothers. Under its
investment advisory agreement, the Appreciation Portfolio paid a monthly fee
at
the annual rate of 0.55% of the value of its average daily net assets.
As of the close of business on July 30, 1993, The Travelers Inc. (which at the
time was known as Primerica Corporation) ("Travelers") and Smith Barney,
Harris
Upham & Co. Incorporated completed the acquisition of substantially all of
the
domestic retail brokerage and asset management businesses of Shearson Lehman
Brothers and Smith Barney, Harris Upham & Co. Incorporated was renamed Smith
Barney Shearson Inc. ("Smith Barney Shearson").
As of the close of business on July 30, 1993, Greenwich Street Advisors,
Division of Mutual Management Corp. ("Greenwich Street Advisors"), which is
controlled by Smith Barney Shearson Holdings Inc. ("Holdings"), succeeded
Shearson Lehman Advisors as the Money Market Portfolio, Intermediate High
Grade
Portfolio, Diversified Strategic Income Portfolio, Equity Income Portfolio and
Growth & Income Portfolio investment adviser. At the same time, Smith Barney
Shearson Asset Management, Division of Smith, Barney Advisers, Inc. ("Smith
Barney Shearson Asset Management"), which is controlled by Smith Barney
Shearson
Holdings Inc. ("Holdings"), succeeded Shearson Asset Management as the
Appreciation Portfolio's investment adviser. Holdings is a wholly owned
subsidiary of Travelers. The new investment advisory agreements (the
"Advisory
Agreements") with Asset Management and Greenwich Street Advisors contains
terms
and conditions substantially similar to the investment advisory agreements
with
the predecessor investment adviser and provides for the payment of fees at the
same rate as was paid to such predecessor investment advisers.
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 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 Smith, Barney Advisers, Inc., an indirect wholly owned
subsidiary
of Travelers. Under the 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 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.
The Total Return Portfolio has entered into an investment advisory agreement
with Smith Barney Shearson Asset Management. Under the advisory agreement,
the
Total Return Portfolio pays a monthly fee at the annual rate of 0.55% of the
value of its average daily net assets.
Each Portfolio has also entered into an administration agreement (the
"Administration Agreement") dated May 21, 1993 with The Boston Company
Advisors,
Inc. ("Boston Advisors"), an indirect wholly owned subsidiary of Mellon Bank
Corporation ("Mellon"). Under the Administration Agreement, each Portfolio
pays
a monthly fee at the annual rate of 0.20% of the value of its average daily
net
assets. Prior to the close of business on May 21, 1993, Boston Advisors
served
as sub-investment adviser and administrator to the Fund and received fees
equivalent to the current rates for its services.
Lehman Brothers Global Asset Management Limited ("Global Asset Management")
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 Global Asset Management.
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, which is in turn
a
partially owned subsidiary of American Express, 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, Boston Advisors,
Global
Asset Management, 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.
12
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ------------------------------------------------------------------------------
- ---------------------------------------------------
For the year ended December 31, 1993, the investment advisers, sub-investment
adviser and administrator, transfer agent and
custodian reimbursed and/or waived fees pursuant to the above agreements as
follows:
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Total
Fee Waivers
Investment Boston Boston
and/or Reimbursements
Advisers Advisors TSSG Safe
- ------------------------------------------------------------------------------
- ---------------------------------------------------
<S> <C>
<C> <C> <C> <C>
Money Market Portfolio . . . . . . . . . . . . $17,889
$ 5,078 $3,385 $3,321 $ 6,105
Intermediate High Grade Portfolio. . . . . . . 16,459
8,383 4,191 1,629 2,256
Diversified Strategic Income Portfolio . . . . 2,816
1,544 685 58 529
Equity Index Portfolio . . . . . . . . . . . . 28,169
8,795 4,397 1,722 13,255
Growth & Income Portfolio. . . . . . . . . . . 1,085
630 280 39 136
Emerging Growth Portfolio. . . . . . . . . . . 2,915
308 82 297 2,228
Total Return Portfolio Waivers . . . . . . . . 1,309
419 152 416 322
Total Return Portfolio Reimbursements. . . . . 163
52 19 52 40
International Equity Portfolio . . . . . . . . 1,902
1,048 246 307 301
- ------------------------------------------------------------------------------
- ---------------------------------------------------
- ------------------------------------------------------------------------------
- ---------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
For the year ended December 31, 1993, IDS Life, reimbursed expenses pursuant
to the above agreements as follows:
<S>
<C>
Money Market Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . $17,889
Intermediate High Grade Portfolio. . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . 16,459
Diversified Strategic Income Portfolio . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . 2,816
Equity Index Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . 28,169
Growth & Income Portfolio. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . 1,085
Emerging Growth Portfolio. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . 2,915
Total Return Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . 1,472
International Equity Portfolio . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . 1,902
- ------------------------------------------------------------------------------
- ---------------------------------------------------
- ------------------------------------------------------------------------------
- -------------------------------------------------
</TABLE>
For the year ended December 31, 1993, the Fund incurred total brokerage
commissions of $175,785, of which $2,580 was paid to Shearson Lehman Brothers,
the Fund's distributor prior to Smith Barney Shearson, and $15,251 was paid to
Smith Barney Shearson.
At December 31, 1993, the Variable Accounts owned all of the outstanding
shares
of the portfolios as investment accounts for annuities and certificates
offered
by IDS Life and IDS Life of New York.
No officer, director or employee of Smith Barney Shearson, Greenwich Street
Advisors, Asset Management, Global Asset Management, PanAgora or Boston
Advisors
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
Shearson, Shearson Advisors, Asset Management, Global Asset Management,
PanAgora
or Boston Advisors 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.
13
<PAGE>
[New set of tables]
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS
- ------------------------------------------------------------------------------
- ----------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term
obligations, during the year ended December 31, 1993
were as followed:
Diversified
Intermediate Strategic
Equity Equity Growth
High Grade Income
Income Index & Income
Portfolio Portfolio
Portfolio Portfolio Portfolio
<S> <C> <C> <C>
<C> <C>
==============================================================================
====================================
Purchases:
Government Securities. . . . . . . $10,583,416 $ 8,977,605 $
- -- -- --
Other Securities . . . . . . . . . 3,772,162 35,957,559
$34,644,909 $5,507,458 $25,173,022
Sales:
Government Securities. . . . . . . 6,327,134 3,318,541
- -- -- --
Other Securities . . . . . . . . . 2,372,033 22,209,264
1,519,072 55,923 12,489,686
==============================================================================
====================================
Emerging
Total International
Appreciation Growth
Return Equity
Portfolio Portfolio
Portfolio Portfolio
==============================================================================
====================================
Purchases:
Government Securities. . . . . . . -- $3,016,288
- -- --
Other Securities . . . . . . . . . $38,507,876 1,876,084
$568,610 $1,712,552
Sales:
Government Securities. . . . . . . -- --
- -- --
Other Securities . . . . . . . . . 19,071,937 5,562
- -- --
==============================================================================
====================================
</TABLE>
<TABLE>
<CAPTION>
Written option activity for Diversified Strategic Income Portfolio for the
year ended December 31, 1993 was as follows:
Number of
Premiums
Written Options
-------- -----
- ----------
<S> <C>
<C>
Written options outstanding at December 31, 1992 0
0
Written options during the period $1,014
3,000
Written options expired during the period (1,014)
(3,000)
- ------------------------------------------------------------------------------
- ----------
Written options outstanding at
December 31, 1993 0
0
- ------------------------------------------------------------------------------
- ----------
14
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ------------------------------------------------------------------------------
- ---------------------------------------------------
4. Shares of Beneficial Interest Transactions
Transactions in shares of each Portfolio were as follows:
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Year Ended Year Ended
Number of Shares:
12/31/93* 12/31/92
<S>
<C> <C>
Money Market Portfolio:
Sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4,216,138 4,267,266
Issued as reinvestment of distributions . . . . . . . . . . . .
55,327 56,990
Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . .
(2,676,898) (3,046,437)
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . . .
1,594,567 1,277,819
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Intermediate High Grade Portfolio:
Sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
594,646 300,235
Issued as reinvestment of distributions . . . . . . . . . . . .
23,455 10,460
Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . .
(48,017) (26,845)
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . . .
570,084 283,850
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Diversified Strategic Income Portfolio:
Sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,183,374 1,634,000
Issued as reinvestment of distributions . . . . . . . . . . . .
214,341 91,884
Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . .
(183,226) (32,070)
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . . .
2,214,489 1,693,814
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Equity Income Portfolio:
Sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,836,381 1,992,945
Issued as reinvestment of distributions . . . . . . . . . . . .
162,501 65,344
Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . .
(172,201) (57,239)
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . . .
2,826,681 2,001,050
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Equity Index Portfolio:
Sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
420,506 313,898
Issued as reinvestment of distributions . . . . . . . . . . . .
11,433 2,087
Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . .
(59,811) (108,527)
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . . .
372,128 207,458
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Growth & Income Portfolio:
Sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,214,676 839,383
Issued as reinvestment of distributions . . . . . . . . . . . .
43,827 19,280
Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . .
(37,111) (21,183)
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . . .
1,221,392 837,480
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Appreciation Portfolio:
Sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,952,237 3,740,956
Issued as reinvestment of distributions . . . . . . . . . . . .
52,441 1,445
Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . .
(213,912) (29,447)
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . . .
1,790,766 $3,712,954
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Emerging Growth Portfolio:
Sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
216,901
Issued as reinvestment of distributions . . . . . . . . . . . .
- -
Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . .
- -
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . . .
216,901
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Total Return Portfolio:
Sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
269,587
Issued as reinvestment of distributions . . . . . . . . . . . .
- -
Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . .
- -
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . . .
269,587
- ------------------------------------------------------------------------------
- ---------------------------------------------------
International Equity Portfolio:
Sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
583,970
Issued as reinvestment of distributions . . . . . . . . . . . .
- -
Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . .
- -
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Net increase . . . . . . . . . . . . . . . . . . . . . . . . . .
583,970
- ------------------------------------------------------------------------------
- ---------------------------------------------------
<FN>
* The Emerging Growth, Total Return and International Equity Portfolios
commenced operations on December 3, 1993.
</TABLE>
15
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. Financial Highlight Information
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
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. . -- (.05) (.04)
(.01) (0.12)
Distributions in excess of realized gains -- -- (.05)
- -- --
Distributions from capital. . . . . -- -- (.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. . . . . . . --% 139% 94%
4% 1%
- ------------------------------------------------------------------------------
- -----------------------------
Growth Emerging
Total International
& Income Appreciation Growth
Return Equity
Portfolio Portfolio
Portfolio* Portfolio* Portfolio*
==============================================================================
=============================
Net asset value, beginning of period $10.68 $11.13 $10.00
$10.00 $10.00
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 (.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% .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
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.
+ Total return represents aggregate total return for the period
indicated and does not reflect any applicable sales charge.
++ 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 Index Portfolio, Growth &
Income Portfolio, Appreciation Portfolio, Emerging Growth
Portfolio, Total Return Portfolio and International Equity Portfolio.Smith
Barney Shearson Series Fund Notes to Financial Statements
(continued)
</TABLE>
16
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ------------------------------------------------------------------------------
- --------------------------------------------------
Financial Highlight Information (continued)
For the Year ended December 31, 1992
- ------------------------------------------------------------------------------
- --------------------------------------------------
Diversified
Money Intermediate Strategic
Equity Equity Growth
Market High Grade Income
Income Index & Income Appreciation
Portfolio Portfolio Portfolio
Portfolio Portfolio Portfolio Portfolio
==============================================================================
==================================================
<S> <C> <C> <C>
<C> <C> <C> <C>
Net asset value, beginning of year . $1.000 $10.24 $10.14
$10.20 $10.62 $10.15 $10.49
- ------------------------------------------------------------------------------
- --------------------------------------------------
Income from investment operations:
Net investment income ** . . . . . . 0.027 0.45 0.67
0.45 0.17 0.27 0.11
Net realized and unrealized gain on
investments. . . . . . . . . . . . . -- 0.08 (0.53)
0.72 0.55 0.55 0.53
- ------------------------------------------------------------------------------
- --------------------------------------------------
Total From investment operations . . 0.027 0.53 0.14
1.17 0.72 0.82 0.64
- ------------------------------------------------------------------------------
- --------------------------------------------------
Less distributions:
Dividends from net investment income (0.027) (0.48) (0.67)
(0.47) (0.02) (0.29) (0.00)***
Distributions from net realized capital
gains -- -- --
- -- (0.05) -- --
Distributions from capital (Note 1) -- -- --
- -- -- (0.00)*** --
- ------------------------------------------------------------------------------
- --------------------------------------------------
Total distributions. . . . . . . . . (0.027) (0.48) (0.67)
(0.47) (0.07) (0.29) (0.00)
- ------------------------------------------------------------------------------
- --------------------------------------------------
Net asset value, end of year . . . . $1.000 $10.29 $9.61
$10.90 $11.27 $10.68 $11.13
- ------------------------------------------------------------------------------
- --------------------------------------------------
Total return + . . . . . . . . . . . 2.75% 5.28% 1.42%
11.74% 6.74% 8.44% 6.13%
- ------------------------------------------------------------------------------
- --------------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of year (000's). . . $2,108 $3,621 $19,991
$25,985 $4,178 $10,951 $53,450
Ratio of operating expenses to average
net assets ++. . . . . . . . . . . . 0.75% 0.85% 1.00%
1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to average
net assets . . . . . . . . . . . . . 2.79% 4.75% 7.70%
4.93% 2.10% 3.06% 1.61%
Portfolio turnover rate. . . . . . . -- 124% 65%
4% 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,
$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>
17
<PAGE>
<TABLE>
<CAPTION>
Smith Barney Shearson Series Fund
Notes to Financial Statements (continued)
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Financial Highlight Information (continued)
For the Year ended December 31, 1991
- ------------------------------------------------------------------------------
- ---------------------------------------------------
Diversified
Money Intermediate
Strategic Equity Equity Growth
Market High Grade
Income Income Index & Income Appreciation
Portfolio* Portfolio*
Portfolio* Portfolio* Portfolio* Portfolio* Portfolio*
==============================================================================
====================================================
<S> <C> <C> <C>
<C> <C> <C> <C>
Net asset value, beginning of period $1.000 $10.00
$10.00 $10.00 $10.00 $10.00 $10.00
- ------------------------------------------------------------------------------
- ----------------------------------------------------
Income from investment operations:
Net investment income ** . . . . . . 0.005 0.03
0.02 0.02 0.04 0.02 0.01
Net realized and unrealized gain on
investments. . . . . . . . . . . . . -- 0.21
0.12 0.18 0.58 0.13 0.48
- ------------------------------------------------------------------------------
- ----------------------------------------------------
Total from investment operations . . 0.005 0.24
0.14 0.20 0.62 0.15 0.49
- ------------------------------------------------------------------------------
- ----------------------------------------------------
Less distributions:
Dividends from net investment income (0.005) --
- -- -- -- -- --
- ------------------------------------------------------------------------------
- ----------------------------------------------------
Total distributions. . . . . . . . . (0.005) --
- -- -- -- -- --
- ------------------------------------------------------------------------------
- ----------------------------------------------------
Net assset value, end of period. . . $1.000 $10.24
$10.14 $10.20 $10.62 $10.15 $10.49
- ------------------------------------------------------------------------------
- ----------------------------------------------------
Total return + . . . . . . . . . . . 0.53% 2.40%
1.40% 2.00% 6.20% 1.40% 4.90%
- ------------------------------------------------------------------------------
- ----------------------------------------------------
Ratios to average net assets/
Supplemental data:
Net assets, end of period (000's). . $830 $697
$3,914 $3,900 $1,733 $1,904 $11,436
Ratio of operating expenses to
average net assets++ . . . . . . . . 0.65% 0.80%
0.94% 0.93% 0.98% 0.90% 0.94%
Ratio of net investment income to
average net assets . . . . . . . . . 3.35% 4.49%
4.57% 4.14% 2.91% 4.14% 3.00%
Portfolio turnover rate. . . . . . . --% --% -
- -% --% --% 3% -%
- ------------------------------------------------------------------------------
- ----------------------------------------------------
<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), $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>
18
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ------------------------------------------------------------------------------
- --
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, the Money Market Portfolio invests at least
25%
of its assets in the banking industry and the 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. The 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 U.S. 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, 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. The Fund and the other affiliated entities are charged an aggregate
commitment fee of $125,000 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 year ended December 31,
1993 the Intermediate High Grade Portfolio had an average outstanding daily
balance of $3,288 with an interest rate of 3.375%. Interest expense totaled
$113 which has been included in other expenses on the Statement of Operations
for the year ended December 31, 1993. At December 31, 1993, the Intermediate
High Grade Portfolio had no outstanding borrowings under this Agreement.
19
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
==============================================================================
==========================
10 Capital Loss Carryforward
As of December 31, 1993, the following Portfolios had available for Federal
income tax purposes unused
capital losses:
Expiring in
Expiring in
the year 2001 the year
2000
<S> <C> <C>
Growth & Income Portfolio. . . . . . . . . . $ 80,758 -
- -
Appreciation Portfolio . . . . . . . . . . . $501,876
$532,490
Emerging Growth Portfolio. . . . . . . . . . $ 1,143 -
- -
- ------------------------------------------------------------------------------
- --------------------------
20
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
MONEY MARKET PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
COMMERCIAL PAPER -- 48.5%
- ------------------------------------------------------------------------------
- -----------------------------------------------
Financial Services - 16.2%
Ford Motor Credit Corporation, 3.350% (b), 01/14/1994. . . . . . . . . . . . .
. . . . . . . . . . $100,000 $ 99,880
General Electric Capital Corporation, 3.230% (b), 01/25/1994 . . . . . . . . .
. . . . . . . . . . 100,000 99,785
Goldman Sachs, 3.420% (b), 01/18/1994. . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,839
Merrill Lynch, 3.350% (b), 02/02/1994. . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,704
PHH Corporation, 3.240% (b), 01/26/1994. . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,775
USAA Financial Corporation, 3.330% (b), 01/18/1994 . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,844
- ----------
598,827
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Non Durables - 8.1%
Nestle Capital Corporation, 3.310% (b), 01/06/1994 . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,954
PepsiCo Inc., 3.300% (b), 01/21/1994 . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,817
Philip Morris Companies Inc., 3.310% (b), 01/12/1994 . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,899
- ----------
299,670
- ------------------------------------------------------------------------------
- -----------------------------------------------
Utilities - 5.4%
American Telephone and Telegraph Company, 3.280% (b), 01/27/1994 . . . . . . .
. . . . . . . . . . 100,000 99,764
NYNEX Corporation, 3.370% (b), 01/31/1994. . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,721
- ----------
199,485
- ------------------------------------------------------------------------------
- -----------------------------------------------
Automotive - 2.7%
Daimler Benz North America, 3.370% (b), 01/21/1994 . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,814
- ------------------------------------------------------------------------------
- -----------------------------------------------
Banking - 2.7%
ABN Amro NA, 3.410% (b), 01/24/1994. . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,783
- ------------------------------------------------------------------------------
- -----------------------------------------------
Retailing - 2.7%
Penney J.C. Funding, 3.210% (b), 01/28/1994. . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,762
- ------------------------------------------------------------------------------
- -----------------------------------------------
Other - 10.7% Ciesco L.P., 3.240% (b), 01/14/1994. . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,882
Corporate Asset Funding Corporation, 3.360% (b), 01/03/1994. . . . . . . . . .
. . . . . . . . . . 100,000 99,981
Preferred Receivables Funding Corporation, 3.370% (b), 01/12/1994. . . . . . .
. . . . . . . . . . 100,000 99,897
Working Capital Management, 3.500% (b), 02/02/1994 . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,692
- ----------
399,452
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL COMMERCIAL PAPER
(Cost $1,796,793). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 1,796,793
- ------------------------------------------------------------------------------
- -----------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 36.4%
- ------------------------------------------------------------------------------
- -----------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) - 8.1%
FHLMC, 3.180% (b), 01/07/1994. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,947
FHLMC, 3.140% (b), 01/18/1994. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 200,000 199,705
- ----------
299,652
- ------------------------------------------------------------------------------
- -----------------------------------------------
Federal National Mortgage Association (FNMA)-8.1%
FNMA, 3.140% (b), 01/11/1994 . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 200,000 199,827
FNMA, 3.180% (b), 01/18/1994 . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 99,850
- ----------
299,677
- ------------------------------------------------------------------------------
- -----------------------------------------------
Federal Home Loan Bank (FHLB)-6.8%
FHLB, 3.130% (b), 01/05/1994 . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 250,000 249,913
- ------------------------------------------------------------------------------
- -----------------------------------------------
Federal Farm Credit Bank (FFCB)-6.7%
FFCB, 3.200% (b), 01/12/1994 . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 250,000 249,757
- ------------------------------------------------------------------------------
- -----------------------------------------------
Other-6.7%
Tennessee Valley Authority, 3.190% (b), 02/09/1994 . . . . . . . . . . . . . .
. . . . . . . . . . 250,000 249,141
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL U.S GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $1,348,140). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 1,348,140
- ------------------------------------------------------------------------------
- -----------------------------------------------
REPURCHASE AGREEMENTS -- 10.1%(Cost $374,000)
Agreement with Barclays Bank PLC, 3.050% dated 12/31/1993 to be repurchased at
$374,095 on 01/03/94 collateralized by
$340,000 U.S. Treasury Notes, 8.000% due 01/15/1997. . . . . . . . . . . . . .
. . . . . . . . . . 374,000 374,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INVESTMENTS (Cost $3,518,933) (c). . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 95.0% 3,518,933
OTHER ASSETS AND LIABILITIES (Net) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 5.0% 183,755
- ------------------------------------------------------------------------------
- -----------------------------------------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100.0% $3,702,688
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Rate represents annualized yield to maturity (unaudited).
(c) At December 31, 1993, the cost of securities for Federal income tax
purposes was $3,518,933.
See accompanying Notes to Financial Statements.
</TABLE>
21
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
INTERMEDIATE HIGH GRADE PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (63.5%)
- ------------------------------------------------------------------------------
- -----------------------------------------------
U.S. Treasury Notes--23.9%
8.500% due 05/15/1995. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . $1,690,000 $1,792,347
7.875% due 07/15/1996. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 520,000 562,599
- ----------
2,354,946
- ------------------------------------------------------------------------------
- -----------------------------------------------
Federal National Mortgage Association (FNMA) -(18.6%)
FNMA, 7.200% due 01/10/2002. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 300,000 311,811
FNMA, REMIC 7.000% due 06/25/2020. . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 500,000 506,335
FNMA, REMIC 7.000% due 04/25/2022. . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 1,000,000 1,017,371
- ----------
1,835,517
- ------------------------------------------------------------------------------
- -----------------------------------------------
U.S. Treasury Bonds-(15.8%) 11.625% due 11/15/2004 . . . . . . . . . . . . . .
. . . . . . . . . . 1,070,000 1,556,133
- ------------------------------------------------------------------------------
- -----------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC)-(5.2%)
FHLMC, 7.000% 05/15/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 500,000 512,075
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $6,274,655). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . 6,258,671
- ------------------------------------------------------------------------------
- -----------------------------------------------
CORPORATE BONDS AND NOTES -- (29.9%)
Banking and Finance - (14.2%)
Associates Corporation of North America,
8.800% due 03/01/1996. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 300,000 324,375
Banque National de Paris, Medium Term Note,
8.150% due 04/15/1994. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100,000 101,125
Bayerische Landesbank, Girozentrale, New York Branch, Sub. Note,
7.375% due 12/14/2002. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 180,000 194,850
CIT Group Holdings Inc., Amortization Note,
6.000% due 02/15/1997. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 75,000 75,750
International Lease Financial Corporation,
6.500% due 07/15/1997. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 300,000 310,125
Republic New York Corporation, Sub. Notes,
7.750% due 05/15/2002. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 355,000 390,056
- ----------
1,396,281
- ------------------------------------------------------------------------------
- -----------------------------------------------
Retail - (4.1%)
Wal Mart Stores, Inc., Note,
8.000% due 05/01/1996. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 380,000 407,550
- ------------------------------------------------------------------------------
- -----------------------------------------------
Oil Services - (3.8%)
Mobil Corporation, Note,
6.500% due 12/17/1996. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 360,000 375,300
- ------------------------------------------------------------------------------
- -----------------------------------------------
Automobiles - (3.7%)
Ford Motor Company, Note,
8.000% due 10/01/1996. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 340,000 365,500
- ------------------------------------------------------------------------------
- -----------------------------------------------
Transportation - (2.2%)
Boeing Company, Note,
8.375% due 03/01/1996. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 200,000 214,750
- ------------------------------------------------------------------------------
- -----------------------------------------------
Personal Care Products/Cosmetics - (1.9%)
Johnson & Johnson, Note,
8.500% due 08/15/1995. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 180,000 191,475
- ------------------------------------------------------------------------------
- -----------------------------------------------
Total Corporate Bonds and Notes
(Cost $2,936,690). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . 2,950,856
- ------------------------------------------------------------------------------
- -----------------------------------------------
REPURCHASE AGREEMENT - (3.6%) (Cost $350,000)
Agreement with Barclays Bank 3.050% dated 12/31/93
to be repurchased at $350,089 on 01/03/94 collateralized
by $320,000 U.S. Treasury at 8.000% due 01/15/1997 . . . . . . . . . . . . . .
. . . . . . . . . . 350,000 350,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INVESTMENTS (Cost $9,561,345) (b). . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 97.0% 9,559,527
OTHER ASSETS AND LIABILITIES (Net) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 3.0% 299,613
- ------------------------------------------------------------------------------
- -----------------------------------------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . 100.0% $9,859,140
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) At December 31, 1993, the cost of securities for Federal income tax
purposes was $9,561,345 and the aggregate unrealized
appreciation and depreciation based on that cost was:
<S> <C>
Unrealized appreciation . . . . . . $38,526
Unrealized depreciation . . . . . . 40,344
---------------------------------------------
Net unrealized depreciation . . . . ($ 1,818)
---------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
22
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31,
1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C> <C>
INTERNATIONAL BONDS (36.0%)
Spanish Pesata Bonds - 5.1%
Kingdom of Spain, 11.450% due 08/30/1998 . . . . . . . . . . . . . . . . . . .
. . . . . . .ESP 40,000,000 $318,460
Kingdom of Spain, 12.250% due 03/25/2000 . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000,000 251,484
Kingdom of Spain, 11.300% due 01/15/2002 . . . . . . . . . . . . . . . . . . .
. . . . . . . 20,000,000 165,299
Kingdom of Spain, 10.900% due 08/30/2003 . . . . . . . . . . . . . . . . . . .
. . . . . . . 176,000,000 1,448,096
- ----------
2,183,339
- ------------------------------------------------------------------------------
- -----------------------------------------------
Italian Lira Bonds - 4.5%
Cert Di Credito Del Tes, 12.250% due 08/01/1999. . . . . . . . . . . . . . . .
. . . . . . .ITL 450,000,000 266,592
Government of Italy, 10.500% due 01/01/1998. . . . . . . . . . . . . . . . . .
. . . . . . . 500,000,000 324,562
Government of Italy, 10.062% due 03/01/2003. . . . . . . . . . . . . . . . . .
. . . . . . . 2,000,000,000 1,355,339
- ----------
1,946,493
- ------------------------------------------------------------------------------
- -----------------------------------------------
Swedish Krona Bonds - 4.2%
European Investment Bank, 10.000%,02/26/1999 . . . . . . . . . . . . . . . . .
. . . . . . .SEK 5,000,000 675,092
Kingdom of Sweden, 11.000% due 01/21/1999. . . . . . . . . . . . . . . . . . .
. . . . . . . 3,500,000 499,422
Kingdom of Sweden, 10.250% due 05/05/2003. . . . . . . . . . . . . . . . . . .
. . . . . . . 4,500,000 654,916
- ----------
1,829,430
- ------------------------------------------------------------------------------
- -----------------------------------------------
Canadian Dollar Bonds - 3.8%
Canadian Government, 11.750% due 02/01/2003. . . . . . . . . . . . . . . . . .
. . . . . . .CAD 650,000 657,555
Euro Bank of Reconstruction & Development, 8.375% due 02/25/2003 . . . . . . .
. . . . . . . 800,000 660,096
International Finance, 7.750% due 08/18/1998 . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 80,459
KFW, 9.500% due 05/13/2002 . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300,000 261,343
- ----------
1,659,453
- ------------------------------------------------------------------------------
- -----------------------------------------------
Irish Puntas Bonds - 3.6%
Republic of Ireland, 9.250% due 07/11/2003 . . . . . . . . . . . . . . . . . .
. . . . . . .IEP 500,000 845,220
Republic of Ireland, 6.250% due 10/18/2004 . . . . . . . . . . . . . . . . . .
. . . . . . . 500,000 697,422
- ----------
1,542,642
- ------------------------------------------------------------------------------
- -----------------------------------------------
U.S Dollar Bonds - 2.5%
Argentina Government Bond, 4.313% due 03/31/2023 . . . . . . . . . . . . . . .
. . . . . . .USD 300,000 257,250
Mexican Government Bond, Series B, (+ VRR 06/30/2003) 6.250% due 12/31/2019. .
. . . . . . . 1,000,000 836,250
- ----------
1,093,500
- ------------------------------------------------------------------------------
- -----------------------------------------------
Finnish Markka Bonds - 2.4%
Republic of Finland, 11.000% due 01/15/1999. . . . . . . . . . . . . . . . . .
. . . . . . .FIM 1,000,000 207,994
Republic of Finland, 9.500% due 03/15/2004 . . . . . . . . . . . . . . . . . .
. . . . . . . 4,000,000 824,472
- ----------
1,032,466
- ------------------------------------------------------------------------------
- -----------------------------------------------
Australian Dollar Bonds - 2.3%
Commonwealth of Australia, 9.000% due 09/15/2004 . . . . . . . . . . . . . . .
. . . . . . .AUD 500,000 397,927
Queensland Treasury Corporation, 8.000% due 05/14/2003 . . . . . . . . . . . .
. . . . . . . 800,000 586,063
- ----------
983,990
- ------------------------------------------------------------------------------
- -----------------------------------------------
New Zealand Dollar Bond - 2.0%
New Zealand, 10.000% due 03/15/2002. . . . . . . . . . . . . . . . . . . . . .
. . . . . . .NZD 1,250,000 886,492
- ------------------------------------------------------------------------------
- -----------------------------------------------
Great British Pound Sterling Bonds - 2.0%
Republic of Finland, 8.000% due 04/07/2003 . . . . . . . . . . . . . . . . . .
. . . . . . .GBP 100,000 161,597
United Kingdom, 9.750% due 08/27/2002. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 272,601
United Kingdom, 8.000% due 06/10/2003. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 250,000 418,278
- ----------
852,476
- ------------------------------------------------------------------------------
- -----------------------------------------------
Danish Kroner Bonds - 1.1%
Kingdom of Denmark, 8.000% due 08/20/1994. . . . . . . . . . . . . . . . . . .
. . . . . . .DKK 1,000,000 148,549
Kingdom of Denmark, 8.000% due 05/15/2003. . . . . . . . . . . . . . . . . . .
. . . . . . . 2,000,000 332,786
- ----------
481,335
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
23
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31,
1993 (CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C> <C>
INTERNATIONAL BONDS (continued)
Portugal Escudos Bonds - 1.1%
Euro Investment Bank, 10.125% due 08/03/2000 . . . . . . . . . . . . . . . . .
. . . . . . .PTE 50,000,000 $ 296,963
World Bank, 11.500% due 02/28/1997 . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000,000 178,602
- ----------
475,565
- ------------------------------------------------------------------------------
- -----------------------------------------------
European Currency Unit Bond - 0.7%
Government of France, 8.000% due 04/25/2003. . . . . . . . . . . . . . . . . .
. . . . . . .ECU 250,000 318,422
- ------------------------------------------------------------------------------
- -----------------------------------------------
German Marks Bond - 0.7%
National Bank of Hungary, 9.250% due 03/17/2000. . . . . . . . . . . . . . . .
. . . . . . .DEM 500,000 302,817
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INTERNATIONAL BONDS
(Cost $15,179,947) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . 15,588,420
- ------------------------------------------------------------------------------
- -----------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (27.8%)
Government National Mortgage Association (GNMA) - 14.2%
GNMA Pool #0224939, 8.000%, 07/15/2017 . . . . . . . . . . . . . . . . . . . .
. . . . . . . $179,591 188,806
GNMA Pool #0226157, 8.000%, 05/15/2017 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 92,522 97,243
GNMA Pool #0229898, 8.000%, 07/15/2017 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 99,286 104,393
GNMA Pool #0234511, 8.000%, 05/15/2018 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 85,106 89,587
GNMA Pool #0261166, 8.000%, 01/15/2019 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 74,543 78,412
GNMA Pool #0200076, 9.000%, 01/15/2020 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 116,448 124,175
GNMA Pool #0283134, 9.000%, 01/15/2020 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 212,490 226,816
GNMA Pool #0285036, 9.000%, 01/15/2020 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 303,560 323,962
GNMA Pool #0282568, 9.000%, 02/15/2020 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 291,422 310,720
GNMA Pool #0269142, 9.000%, 03/15/2020 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 649,380 692,797
GNMA Pool #0284628, 9.000%, 03/15/2020 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 211,122 225,204
GNMA Pool #0261938, 9.000%, 04/15/2020 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 42,580 45,375
GNMA Pool #0282844, 9.000%, 04/15/2020 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 295,500 314,834
GNMA Pool #0300242, 9.000%, 01/15/2021 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 272,245 290,137
GNMA Pool #0305473, 9.000%, 03/15/2021 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 213,298 227,512
GNMA Pool #0305597, 8.000%, 04/15/2021 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 138,471 145,713
GNMA Pool #0291718, 8.000%, 05/15/2021 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 101,737 107,000
GNMA Pool #0296005, 9.000%, 05/15/2021 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 267,864 286,614
GNMA Pool #0307669, 8.000%, 05/15/2021 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 152,628 160,719
GNMA Pool #0297872, 8.000%, 12/15/2021 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,368,572 1,440,203
GNMA Pool #0325495, 9.000%, 02/15/2022 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 411,037 439,148
GNMA Pool #0323011, 9.000%, 06/15/2022 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 205,309 219,274
6,138,644
- ------------------------------------------------------------------------------
- -----------------------------------------------
U.S. Treasury Notes - 8.6%
6.125%, 12/31/1996 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 970,000 1,015,066
4.750%, 09/30/1998 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 2,750,000 2,707,430
- ----------
3,722,496
- ------------------------------------------------------------------------------
- -----------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) - 4.4%
FHLMC Group #54-4608, 9.000%, 01/01/2020 . . . . . . . . . . . . . . . . . . .
. . . . . . .. 365,662 386,114
FHLMC Group #54-6611, 9.000%, 02/01/2020 . . . . . . . . . . . . . . . . . . .
. . . . . . .. 21,413 22,610
FHLMC Group #55-3305, 9.000%, 02/01/2020 . . . . . . . . . . . . . . . . . . .
. . . . . . .. 762,292 802,708
FHLMC Group #55-4415, 9.000%, 12/01/2020 . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,132 31,726
FHLMC Group #55-4588, 9.000%, 02/01/2021 . . . . . . . . . . . . . . . . . . .
. . . . . . . 194,949 205,044
FHLMC Group #55-4872, 9.000%, 05/01/2021 . . . . . . . . . . . . . . . . . . .
. . . . . . . 413,466 435,322
- ----------
1,883,524
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements
24
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31,
1993 (CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) - 0.3%
FNMA, Canadian Dollar/Australian Dollar/Yen, Multi Currency, Principal
Exchange Rate Linked
Security, 12.950% 03/09/1995 . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . $250,000 $145,313
- ------------------------------------------------------------------------------
- -----------------------------------------------
Student Loan Mortgage Association (SLMA) - 0.3%
SLMA, U.S.Dollar/Lira/Spanish Peseta/Deutsche Mark/Yen, Multi Currency,
Principal Exchange Rate
Linked Security, 11.100%, 04/07/1997 . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 250,000 118,438
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $12,172,660) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . 12,008,415
- ------------------------------------------------------------------------------
- -----------------------------------------------
CORPORATE BONDS AND NOTES (23.2%)
Grocery and Retail - 2.5%
Big V Supermarket Inc., Sr. Sub. Note,
11.000% due 02/15/2004 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 150,938
Bradlees Inc. Sr. Sub. Note,
11.000% due 08/01/2002 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 225,000 243,281
Grand Union Company:
Sub. Notes,
11.250% due 07/15/2000 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 115,000 121,181
Sr. Sub. Note,
12.750% due 07/15/2002*. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 105,500
P & C Food Markets Inc., Deb.,
11.500% due 10/15/2001 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 34,050
Pathmark Stores Inc.:
Sub. Notes,
12.625% due 06/15/2002 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 113,500
Sr. Sub. Notes,
9.625% due 05/01/2003. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 125,000 125,000
Penn Traffic Company, Sr. Sub. Note,
9.625% due 04/15/2005. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 104,125
Wickes Lumber Company, Sr. Sub. Notes,
11.625% due 12/15/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 102,250
- ----------
1,099,825
- ------------------------------------------------------------------------------
- -----------------------------------------------
Hotels & Gaming - 2.4%
Bally's Casino Holdings, Inc.,
10.271% due 06/15/1998* . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . 100,000 64,500
Bally's Park Place Funding, First Mortgage,
11.875% due 08/15/1999 . . . . . . . . . . . . .. . . . . . . . . . . . . . .
. . . . . . . . 100,000 108,250
GNF Corporation
10.625% due 04/01/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200,000 193,000
Red Roof Inns Inc., Sr. Notes,
9.625% due 12/15/2003*. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . 150,000 153,375
Remington Arms Inc., Sr. Note,
9.500% due 12/01/2003*. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . 100,000 101,750
Showboat Inc., Guaranteed First Mortgage,
9.250% due 05/01/2008. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 102,500
Trump Plaza Funding, Inc., Note,
10.875% due 06/15/2001. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . 150,000 149,625
Trump Taj Mahal, First Mortgage, (c)
11.350% due 11/15/1999. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . 155,000 156,550
- ----------
1,029,550
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
25
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31,
1993 (CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
CORPORATE BONDS AND NOTES -- (Continued)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Health & Personal Care - 2.3% ALCO Health Distributers Corporation,
11.250% due 07/15/2005 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . $100,000 $105,750
American Medical International Inc., Sr. Sub.,
13.500% due 08/15/2001 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 205,000 240,106
Gillette Holdings Inc., Sr. Sub. Note,
12.250% due 06/30/2002 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 125,000 136,406
Healthtrust Inc., The Hospital Company, Sub. Deb.,
10.750% due 05/01/2002 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 112,250
Hillhaven Corporation, Sr. Sub. Notes,
10.125% due 09/01/2001 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 50,000 53,250
Macandrews & Forbes Group Sub. Notes,
12.250% due 07/01/1996 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 31,013
Ornda Healthcorp, Sr. Sub. Notes,
12.250% due 05/15/2002 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 180,000 202,500
Revlon Consumer Products Corporation, Sub. Notes,
10.500% due 02/15/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 125,000 121,561
- ----------
1,002,836
- ------------------------------------------------------------------------------
- -----------------------------------------------
Containers - 2.0%
Anchor Glass Container Corporation,
9.875% due 12/15/2008. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 155,250
Container Corporation America, Sr. Sub. Notes,
13.500% due 12/01/1999 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200,000 222,750
Silgan Holdings, Sr. Deb.,
Zero Coupon due 12/15/2002 . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 190,000 147,250
Stone Consolidated Container Corporation, Sr. Secured Notes,
10.250% due 12/15/2000 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 100,500
Sweetheart Cup Inc., Sr. Sub. Notes:
9.625% due 09/01/2000. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 106,000
10.500% due 09/01/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 105,500
United States Can Company, Sr. Sub. Notes,
13.500% due 01/15/2002 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 34,575
- ----------
871,825
- ------------------------------------------------------------------------------
- -----------------------------------------------
Building and Construction - 2.0%
American Standard Inc., Sr. Sub. Deb.,
11.375% due 05/15/2004 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 75,000 83,812
Hovnanian K Enterprises Inc.: 11.250% due 04/15/2002 . . . . . . . . . . . . .
. . . . . . . 150,000 163,875
9.750% due 06/01/2005. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 103,750
Kaufman & Broad Home Corporation, Sr. Note,
9.375% due 05/01/2003. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 104,000
UDC Homes, Notes,
11.750% due 04/30/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 225,000 239,625
US Home Corporation, New Notes,
9.750% due 06/15/2003. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 156,750
- ----------
851,812
- ------------------------------------------------------------------------------
- -----------------------------------------------
Metals & Mining - 1.4%
Essex Group Inc., Sr. Note,
10.000% due 05/01/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200,000 203,000
</TABLE>
See accompanying Notes to Financial Statements
26
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31,
1993 (CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
CORPORATE BONDS AND NOTES -- (Continued)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Metals & Mining -- (continued)
Jorgensen Earle Company,
10.750% due 03/01/2000 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . $100,000 $106,750
WCI Steel Inc., Sr. Notes,
10.500% due 03/01/2002*. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 125,000 130,625
Wheeling Pittsburgh Corporation, Sr. Notes,
9.375% due 11/15/2003. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 155,250
- ----------
595,625
- ------------------------------------------------------------------------------
- -----------------------------------------------
Textiles & Apparel -- 1.4%
CMI Industries, Sr. Sub. Notes,
9.500% 10/01/2003. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200,000 199,500
JPS Textile Group: Sr. Sub. Disc. Note,
10.850% due 06/01/1999 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 28,762
Sr. Sub. Note,
10.250% due 06/01/1999 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 110,000 106,150
Stevens (J.P.) & Company Inc.,
9.000% due 03/01/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 100,000
Westpoint Stevens Inc., Sr. Sub. Notes,
9.375% due 12/15/2005. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 152,625
- ----------
587,037
- ------------------------------------------------------------------------------
- -----------------------------------------------
Chemicals -- 1.3%
Buckeye Cellulose Corporation, Sr. Note,
10.250% due 05/15/2001 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 50,000 52,625
Harris Chemical North America Inc., Note,
10.750% due 10/15/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 158,438
Methanex Corporation, Sr. Secured 2nd Priority Notes,
8.875% due 11/15/2001. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 103,375
UCC Investment Holdings Inc., Sr. Sub. Note,
11.000% due 05/01/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 125,000 136,250
UCC Investment Holdings Inc., Sub. Disc. Note,
12.000% due 05/01/2005 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 170,000 110,075
- ----------
560,763
- ------------------------------------------------------------------------------
- -----------------------------------------------
Communications -- 1.1%
Continental Cablevision Inc.,
9.500% due 08/01/2013. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 112,000
Mobilemedia Communication,
noninterest bearing until 12/01/1998,
10.500% due 12/01/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 250,000 154,375
Rogers' Cablesystems Ltd., Sr. Note,
10.125% due 09/01/2012 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 114,000
Rogers' Communications Inc., Sr. Deb.,
10.875% due 04/15/2004 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 111,500
- ----------
491,875
- ------------------------------------------------------------------------------
- -----------------------------------------------
Oil & Natural Gas -- 1.0%
Giant Industries Inc., Guaranteed Sr. Sub. Note,
9.750% due 11/15/2003. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 102,750
Maxus Energy Corporation, Notes,
9.375% due 11/01/2003. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 125,000 123,125
Transco Energy Company,
11.250% due 07/01/1999 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 125,000 141,875
Trident NGL Inc., Sub. Note,
10.250% due 04/15/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 75,000 79,031
- ----------
446,781
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements
27
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31,
1993 (CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
CORPORATE BONDS AND NOTES -- (Continued)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Consumer Durable Goods -- 0.8%
Colman Holdings Inc.,
Zero Coupon, 05/27/1998* . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . $250,000 $164,375
International Semi-Tech, Sr. Step Note,
noninterest bearing until 8/15/2000,
11.500% due 08/15/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 375,000 199,688
- ----------
364,063
- ------------------------------------------------------------------------------
- -----------------------------------------------
Banking And Finance -- 0.7%
Reliance Group Holdings Inc., Sr. Notes:
9.000% due 11/15/2000. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 152,063
9.750% due 11/15/2003. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 155,250
- ----------
307,313
- ------------------------------------------------------------------------------
- -----------------------------------------------
Transportation -- 0.7%
U.S Air Inc., Guaranteed Sr. Note,
10.000% due 07/01/2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 144,000
Viking Star Shipping Inc.,
9.625% due 07/15/2003* . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 153,938
- ----------
297,938
- ------------------------------------------------------------------------------
- -----------------------------------------------
Electronics & Computers -- 0.7%
ADT Operations Inc., Guaranteed Sr. Sub. Note,
9.250% due 08/01/2003. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 154,125
Anacomp Inc., Sr. Sub. Notes,
15.000% due 11/01/2000 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 116,000 133,835
- ----------
287,960
- ------------------------------------------------------------------------------
- -----------------------------------------------
Publishing -- 0.5%
Bell & Howell Holdings Co., Sr. Debenture,
11.500% 03/01/2005 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 83,437
Marvel Holdings Inc., Sr. Note,
Zero Coupon due 04/15/1998*. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 225,000 147,937
- ----------
231,374
- ------------------------------------------------------------------------------
- -----------------------------------------------
Paper & Forest Products -- 0.5%
Riverwood International Corporation, Sr. Sub. Notes,
11.250% due 06/15/2002 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200,000 218,500
- ------------------------------------------------------------------------------
- -----------------------------------------------
Utilities -- 0.5%
Midland Funding Corporation I, Sr. Secured Lease Obligations,
10.33% due 7/23/2002 . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200,000 209,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Agriculture -- 0.4% Americold Corporation Sr. Sub. Deb.,
11.500% due 03/01/2005 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150,000 151,125
- ------------------------------------------------------------------------------
- -----------------------------------------------
Insurance -- 0.4% Life Partners Group, Inc., Sr. Sub. Deb.,
12.750% due 07/15/2002 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 125,000 146,250
- ------------------------------------------------------------------------------
- -----------------------------------------------
Industrial -- 0.3%
Federal Industries Ltd, Sr. Note,
10.250% due 06/15/2000 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 125,000 129,375
Thermadyne Industries Inc., Sr. Notes, (c)
15.000% due 05/01/1999 (in default). . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 170 181
- ----------
129,556
- ------------------------------------------------------------------------------
- -----------------------------------------------
Automobile and Truck Parts & Manufacturing -- 0.2%
Fairfield Manufacturing Inc., Sr. Sub. Note,
11.375% due 07/01/2001 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 105,625
- ------------------------------------------------------------------------------
- -----------------------------------------------
Aerospace -- 0.1% Tracor Inc., Sr. Sub. Notes,
10.875% due 08/15/2001 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 50,000 52,625
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $9,692,820). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,039,258
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
28
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31,
1993 (CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
PREFERRED CONVERTIBLE (0.5%) (Cost $186,350)
Unisys Corporation, Series A, Pfd. Conv., Exch. $3.759 . . . . . . . . . . . .
. . . . . . . 4,200 $202,650
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Amount
- ------------------------------------------------------------------------------
- -----------------------------------------------
REPURCHASE AGREEMENT (9.5%) (Cost $4,105,000)
Agreement with Barclays Bank, 3.050% dated 12/31/93 to be
repurchased at $4,106,043 on 01/03/94 collateralized by
$3,710,000 U.S. Treasury Notes 8.000% due 01/15/1997 . . . . . . . . . . . . .
. . . . . . . $4,105,000 4,105,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Contracts
- ------------------------------------------------------------------------------
- -----------------------------------------------
CALL OPTIONS PURCHASED (0.0%) (Cost $22,160)
US Call/German Marks, February, $1.6975. . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 20,510
Canada/US 30 year Call, February, $1.270 . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 68
- ------------------------------------------------------------------------------
- -----------------------------------------------
20,578
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INVESTMENTS (cost $41,358,937) (b) . . . . . . . . . . . . . . . . . . .
. . . . . . . 97.0% 41,964,321
- ------------------------------------------------------------------------------
- -----------------------------------------------
OTHER ASSETS AND LIABILITIES (Net) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 3.0% 1,280,094
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100.0% $43,244,415
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by procedures described in Note 1 to the Financial
Statements.
(b) At December 31, 1993, the cost of securities for Federal income tax
purposes was $41,358,937 and the aggregate unrealized
appreciation and depreciation based on that cost was:
<S>
<C>
Unrealized appreciation. . . . . . . .
. $1,156,572
Unrealized depreciation. . . . . . . .
. 551,188
--------------------------------------
- ---------------
Net unrealized appreciation. . . . . .
. $605,384
--------------------------------------
- ---------------
(c) Payment-in-kind Bond
* 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.
</TABLE>
See accompanying Notes to Financial Statements.
29
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO SCHEDULE FOR FORWARD FOREIGN EXCHANGE
CONTRACTS, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
Contract
Value
Date Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY (Contract Amount $860,000)
121,102,620 Spanish Pesatas. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/20/94 $ 843,911
- ------------------------------------------------------------------------------
- -----------------------------------------------
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
578,462 British Pounds . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/20/94 (854,189)
5,942,177 Finnish Markka . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 03/23/94 (1,012,829)
446,035 Irish Punts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/20/94 (629,108)
423,892,441 Italian Lire . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/20/94 (246,579)
49,625,000 Portuguese Escudo . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/20/94 (279,701)
167,477,668 Spanish Pesatas. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/20/94 (1,167,078)
8,619,797 Swedish Krona. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/20/94 (1,031,232)
- -----------
TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL (Contract amount $5,279,672).
. . . . . . . . . . . . . . . ($5,220,716)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by procedures described in Note 1 to the Financial
Statements.
</TABLE>
See accompanying Notes to Financial Statements.
30
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCKS (76.9%)
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Utilities -- 76.9%
Allegheny Power Systems Inc. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 50,000 $ 1,325,000
American Electric Power Inc. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 20,000 742,500
American Telephone & Telegraph Company . . . . . . . . . . . . . . . . . . . .
. . . . . . . 35,000 1,837,500
Ameritech Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 767,500
Baltimore Gas & Electric Company . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 35,000 888,125
Bell Atlantic Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 590,000
BellSouth Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 578,750
Boston Edison Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 15,000 446,250
Central & South West Corporation . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 756,250
Cincinnati Gas & Electric. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 40,000 1,100,000
Citizens Utilities Company, Class B (b). . . . . . . . . . . . . . . . . . . .
. . . . . . . 50,500 909,000
CMS Energy Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 20,000 502,500
Commonwealth Edison Company. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 40,000 1,130,000
Consolidated Edison Company of New York Inc. . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 803,125
Detroit Edison . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 35,000 1,050,000
Dominion Resources of Virginia Inc . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 1,361,250
DPL Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 45,000 928,125
DQE Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 35,000 1,207,500
Eastern Utilities Association. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 840,000
Entergy Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 50,000 1,800,000
General Public Utilities Corporation . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 926,250
GTE Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 15,000 525,000
Houston Industries Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 1,190,625
Illinois Power Company . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 50,000 1,106,250
Long Island Lighting Company . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 40,000 975,000
MCN Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 20,000 695,000
New England Electric System. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 978,125
New York State Electric & Gas Corporation. . . . . . . . . . . . . . . . . . .
. . . . . . . 35,000 1,076,250
NIPSCO Industries Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 20,000 657,500
Northeast Utilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 712,500
NYNEX Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 1,203,750
Pacific Gas & Electric Company . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 1,053,750
Pacificorp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 40,000 770,000
Pacific Telesis Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 540,000
Pennsylvania Power & Light Company . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 15,000 405,000
Philadelphia Electric Company. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 756,250
Pinnacle West Capital Corporation. . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 671,250
Public Service Company of Colorado . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 803,125
Public Service Enterprise Group. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 35,000 1,120,000
San Diego Gas & Electric Company . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 628,125
SCANA Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 1,492,500
SCEcorp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 40,000 800,000
Southern Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 1,103,125
Texas Utilities Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 35,000 1,513,750
UGI Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 562,500
Union Electric Company . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 15,000 588,750
US West Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 1,146,875
Western Resources Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 30,000 1,046,250
Williams Company Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 40,000 975,000
Wisconsin Energy Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 690,625
- ----------
46,276,500
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL COMMON STOCKS (Cost $44,790,580) . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . $46,276,500
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
31
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
CORPORATE BONDS AND NOTES (15.6%)
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Utilities - 15.6%
Arizona Public Service Company, First Mortgage:
7.250% due 08/01/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . $ 250,000 $ 243,750
8.750% due 01/15/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 250,000 284,687
8.000% due 02/01/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200,000 211,500
Central Illinois Public Service Company, 8.500% due 05/15/2022 . . . . . . . .
. . . . . . . 255,000 294,525
Cincinnati Gas & Electric, 8.500% due 09/01/2022 . . . . . . . . . . . . . . .
. . . . . . . 200,000 222,750
Commonwealth Edison Company, 8.375% due 09/15/2022 . . . . . . . . . . . . . .
. . . . . . . 250,000 262,812
Dayton Power & Light Company, First Mortgage, 8.150% due 01/15/2026. . . . . .
. . . . . . . 250,000 270,625
Duquesne Light Company, 1st Collateral Trust:
8.375% due 05/15/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200,000 225,750
7.550% due 06/15/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 250,000 251,250
Idaho Power Company, First Mortgage, 8.750% due 03/15/2027 . . . . . . . . . .
. . . . . . . 200,000 231,250
Illinois Power Company, 8.000% due 02/15/2023. . . . . . . . . . . . . . . . .
. . . . . . . 500,000 528,750
Kentucky Utilities Company, 8.550% due 05/15/2027. . . . . . . . . . . . . . .
. . . . . . . 300,000 328,125
Madison Gas & Electric Company, First Mortgage:
8.500% due 04/15/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200,000 224,000
7.700% due 02/15/2028. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500,000 523,750
Midwest Power Systems Inc, 8.125% due 02/01/2023 . . . . . . . . . . . . . . .
. . . . . . . 250,000 266,250
New England Power Company, General & Reference, 8.000% due 08/01/2022. . . . .
. . . . . . . 200,000 210,500
New York State Electric & Gas, First Mortgage:
8.300% due 12/15/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 250,000 271,250
7.450% due 07/15/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 250,000 247,814
Niagra Mohawk Power, 8.500% due 07/01/2023 . . . . . . . . . . . . . . . . . .
. . . . . . . 250,000 269,375
Pacific Gas & Electric Company, 6.750% due 10/01/2023. . . . . . . . . . . . .
. . . . . . . 250,000 235,625
Pennsylvania Power & Light Company, 8.500% due 05/01/2022. . . . . . . . . . .
. . . . . . . 500,000 556,875
Public Service Company, Oklahoma, First Mortgage, 7.375% due 04/01/2023. . . .
. . . . . . . 300,000 300,000
Public Service Electric & Gas Company, 1st & Refunding, 8.750% due 02/01/2022.
. . . . . . . 200,000 226,000
San Diego Gas & Electric Company, 8.500% due 04/01/2022. . . . . . . . . . . .
. . . . . . . 200,000 224,000
Tampa Electric, 7.750% due 11/01/2022. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 550,000 581,625
Texas Utilities, 7.625% due 07/01/2025 . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500,000 500,000
Virginia Electric & Power Company, First Mortgage, 7.500% due 06/01/2023 . . .
. . . . . . . 250,000 253,750
Wisconsin Electric Power Company, First Mortgage, 7.050% due 08/01/2024. . . .
. . . . . . . 400,000 393,000
Wisconsin Power & Light Company, Note, 8.600% due 03/15/2027 . . . . . . . . .
. . . . . . . 300,000 351,000
Wisconsin Public Service Corporation, First Mortgage, 7.125% due 07/01/2023. .
. . . . . . . 425,000 421,812
- ------------------------------------------------------------------------------
- -----------------------------------------------
Total Corporate Bonds and Notes (Cost $8,859,381). . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . 9,412,400
- ------------------------------------------------------------------------------
- -----------------------------------------------
REPURCHASE AGREEMENT (8.4%) (Cost $5,025,000)
Agreement with Barclays Bank,
3.050% dated 12/31/93 to be repurchased at $5,026,277 on 01/03/1994
collateralized by $4,535,000 U.S. Treasury Note, 8.000% due 01/15/1997 . . . .
. . . . . . . 5,025,000 5,025,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INVESTMENTS (Cost $58,674,961)(c). . . . . . . . . . . . . . . . . . . .
. . . . . . . 100.9% 60,713,900
OTHER ASSETS AND LIABILITIES (Net) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . (0.9) (553,942)
- ------------------------------------------------------------------------------
- -----------------------------------------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100.0% $60,159,958
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Non-income producing security.
(c) At December 31, 1993, the cost of securities for Federal income tax
purposes was $58,674,961 and the aggregate appreciation and
depreciation based on that cost was:
<S>
<C>
Unrealized appreciation. . . . . . . .
. $3,042,747
Unrealized depreciation. . . . . . . .
. 1,003,808
--------------------------------------
- ---------------
Net unrealized appreciation. . . . . .
. $2,038,939
--------------------------------------
- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
32
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (83.4%)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Consumer Non-Durables - 11.2%
American Brands Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 $ 16,625
American Home Products Corporation . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 45,325
Anheuser Busch Companies Inc . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 29,475
Archer-Daniels-Midland Company . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 745 16,949
Ball Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,025
Bemis Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,363
Borden Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 5,100
Brown Forman Corporation, Class B. . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 8,725
Campbell Soup Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 24,600
Clorox Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,425
Coca-Cola Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 2,900 129,413
Colgate Palmolive Company. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 18,713
ConAgra Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 15,825
Coors Adolph Company, Class B. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,625
Dial Corporation, Arizona. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,038
Eastman Kodak Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 39,200
General Mills Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 24,300
Genesco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 525
Gerber Products Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,675
Gillette Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 29,812
Great Atlantic & Pacific Tea Inc . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,700
Hartmarx Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 700
Heinz (H J) Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 21,525
Hershey Foods Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 9,800
International Flavors & Fragrances Inc . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 11,375
Kellogg Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 28,374
McDonald's Corporations. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 45,600
Mercantile Stores Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,625
Nike Inc., Class B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 9,275
Nordstrom Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 6,600
PepsiCo Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,800 73,575
Pet Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,500
Philip Morris Companies Inc. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 2,000 111,500
Pioneer Hi Bred International. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,800
Polaroid Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,375
Premark International Inc. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 8,025
Procter & Gamble Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,500 85,500
Quaker Oats Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 14,200
Ralston Purina Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,950
Reebok International Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 6,000
Rubbermaid Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 13,900
Russell Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,825
Sara Lee Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,100 27,500
Scott Paper Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,225
Seagram Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 20,900
Sherwin Williams Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,150
Shoney's Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,312
UST Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 13,875
Whitman Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,250
- ----------
987,674
- ------------------------------------------------------------------------------
- -----------------------------------------------
Utilities - 10.7%
American Electric Power Inc. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 14,850
American Telephone & Telegraph Company . . . . . . . . . . . . . . . . . . . .
. . . . . . . 3,000 157,500
Ameritech Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 46,050
Baltimore Gas & Electric Company . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 350 8,881
</TABLE>
See accompanying Notes to Financial Statements.
33
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Utilities (continued)
Bell Atlantic Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 $ 59,000
BellSouth Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,100 63,662
Carolina Power & Light Company . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 12,050
Central & South West Corporation . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 12,100
Columbia Gas Systems Inc . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,237
Commonwealth Edison Company. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 14,126
Consolidated Edison Company New York Inc . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 16,062
Detroit Edison Company . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 9,000
Dominion Resources Inc., of Virginia . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 350 15,881
Duke Power Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 21,187
Entergy Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 14,400
FPL Group Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 15,650
GTE Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 2,100 73,500
Houston Industries Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 14,288
Niagara Mohawk Power Corporation . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 6,075
Nicor Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,800
Northern States Power Company of Minnesota . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,625
NYNEX Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 36,113
Ohio Edison Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 6,825
Oneok Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,888
Pacific Gas & Electric Company . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 35,125
Pacific Telesis Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 48,600
Pacificorp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 11,550
Peoples Energy Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,050
Philadelphia Electric Company. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 15,125
Public Service Enterprise Group. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 16,000
SCEcorp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 20,000
Southern Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 30,888
Southwestern Bell Corporation. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,300 53,950
Texas Utilities Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 21,625
Union Electric Company . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,850
US West Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 45,875
- ----------
942,388
- ------------------------------------------------------------------------------
- -----------------------------------------------
Energy - 9.8%
Amerada Hess Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 9,025
Amoco Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,100 58,163
Arkla Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 2,363
Ashland Oil Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,413
Atlantic Richfield Company . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 42,100
Baker Hughes Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 6,000
Burlington Northern Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 11,575
Burlington Resources Inc . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 12,713
Chevron Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 60,988
Coastal Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,625
Consolidated Natural Gas Company . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 9,400
Dresser Industries Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 6,225
Eastern Enterprises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,550
Enron Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 14,500
ENSERCH Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,625
Ethyl Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 5,250
Exxon Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 2,800 176,400
Fluor Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,100
Halliburton Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 9,562
Helmerich & Payne Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,787
Kerr-Mcgee Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,512
Louisiana Ld & Expl Company. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,012
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Energy (continued)
Maxus Energy Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 $ 1,650
McDermott International Inc. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,650
Mobil Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 71,100
Nl Industries Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 450
Occidental Petroleum Corporation . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 11,988
Oryx Energy Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,450
Pacific Enterprises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 4,750
Panhandle Eastern Corporation. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 7,087
Parker Hannifin Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,775
Pennzoil Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,325
Phillips Petroleum Company . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 17,400
Pittston Services Group. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,888
Placer Dome Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 12,437
Praxair Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 4,988
PSI Resources Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,650
Royal Dutch Petroleum Company. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,200 125,250
Santa Fe Energy Resources. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 1,800
Schlumberger Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 29,563
Sonat Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,775
Sun Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,875
Tenneco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 21,050
Texaco Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 38,775
Transco Energy Company . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,412
Unocal Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 13,937
USX-Marathon Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 9,900
Williams Companies Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 4,875
- ----------
867,688
- ------------------------------------------------------------------------------
- -----------------------------------------------
Financial Services - 9.2%
Aetna Life & Casuality Company . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 18,112
Ahmanson (H F) & Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 5,888
Alexander & Alexander Services Inc . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,950
American General Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 14,312
American International Group Inc . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 61,425
Banc One Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 737 28,835
BankAmerica Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 788 36,544
Bank of Boston Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 4,600
Bankers Trust of New York Corporation. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 15,825
Barnett Banks Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,300
Beneficial Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,650
Block (H & R) Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,150
Boatmens Bancshares Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,975
Capital Holding Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,425
Chase Manhattan Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 13,550
Chemical Banking Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 24,075
Chubb Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 15,575
CIGNA Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 12,550
Citicorp(b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 29,400
CNA Financial Corporation (b). . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 7,750
Continental Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,763
CoreStates Financial Corporation . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 7,837
Dean Witter Discover & Company . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 334 11,565
Deluxe Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,250
Dow Jones & Company Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,150
Dun & Bradstreet Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 24,650
Federal Home Loan Mortgage Corporation . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 19,950
Federal National Mortgage Association. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 47,100
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Financial Services (continued)
First Chicago Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 $8,650
First Fidelity Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 9,100
First Interstate Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 12,825
First Un Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 16,500
Fleet Financial Group Inc. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 10,013
General Re Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 21,400
Golden West Financial Corporation of Delaware. . . . . . . . . . . . . . . . .
. . . . . . . 100 3,900
Great Western Financial Corporation. . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 6,000
Household International Inc. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 6,525
Jefferson Pilot Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,687
Lincoln National Corporation Industry. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,700
Marsh & McLennan Companies, Inc. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 16,250
MBNA Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 6,675
Mellon Bank Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,300
Merrill Lynch & Company Inc. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 21,000
Morgan (J. P.) & Company Inc . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 27,750
NationsBank Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 584 28,616
NBD Bancorporation Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 11,800
Norwest Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 17,063
PNC Bank Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 14,500
SAFECO Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,500
Salomon Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 9,525
Shawmut National Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 4,350
St Paul Companies. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 8,987
Suntrust Banks Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 13,500
Temple Inland Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,037
Torchmark Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150 6,750
Transamerica Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 11,350
U S Bancorp of Oregon. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,000
USF&G Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 2,950
USLIFE Corportion. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,838
Wachovia Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 13,400
Wells Fargo & Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 12,937
- ----------
816,534
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Services - 9.2%
Albertsons Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 16,050
American Greetings Corporation, Class A. . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 6,800
American Stores Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,600
Avon Products Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 9,725
Bally Manufacturing Corporation (b). . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 850
Blockbuster Entertainment Corporation. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 15,312
Brunos, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 1,775
Brunswick Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,600
Charming Shoppes Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 2,375
Circuit City Stores Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 4,350
Dayton Hudson Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 13,350
Dillard Department Stores Inc., Class A. . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 11,400
Disney (Walt) Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,200 51,150
Donnelley (RR) & Sons Company. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 9,338
Ecolab Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,500
Federal Express Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 7,087
Fleming Companies Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,475
Gannett Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 17,175
Gap Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 11,813
Giant Food Inc., Class A . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,575
Handleman Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,325
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Consumer Services (continued)
Harcourt General Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 $7,250
Harland (John H.) Company. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,162
Hilton Hotels Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 6,075
Home Depot Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,033 40,804
Interpublic Group Companies Inc. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 6,400
Jostens Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,975
K Mart Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 19,125
King World Productions Inc (b) . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,837
Kroger Company (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 4,025
Limited Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 13,700
Liz Claiborne Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 4,550
Lubys Cafeterias Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,250
Marriott International Inc . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 8,700
May Department Stores Company. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 23,625
Mcgraw Hill Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 6,763
Melville Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,125
National Educational Corporation (b) . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 625
National Service Industries Inc. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,562
New York Times Company, Class A. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,250
Penney (J C) Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 26,188
Price Costco Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 9,625
Promus Companies Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 250 11,437
Rite Aid Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,175
Ryan's Family Steak Houses Inc (b) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 900
Safety-Kleen Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,625
Sears Roebuck & Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 42,200
Service Corporation International. . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 150 3,938
Stride Rite Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,637
Super Value Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,250
Sysco Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 11,700
Time Warner Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 35,400
Times Mirror Company, Series A . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 10,013
TJX Companies Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,825
Toys "R" Us Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 28,612
Tribune Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 12,025
Unilever N V, ADR. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 46,200
V F Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,613
Walgreen Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 12,262
Wal-Mart Stores Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,200 130,000
Wendy's International Inc. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,475
Westvaco Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,125
Winn Dixie Stores Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 10,725
Woolworth Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 7,613
Wrigley (Wm) Jr Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 13,238
- ----------
816,229
- ------------------------------------------------------------------------------
- -----------------------------------------------
Capital Goods - 7.6%
Allied Signal Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 23,700
Armstrong World Industries Inc . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,325
Boeing Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 34,600
Browning Ferris Industries Inc . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 10,300
Caterpillar Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 17,800
Centex Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,200
Cincinnati Milacron Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,200
Cooper Industries Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 14,775
Cooper Tire & Rubber Company . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,000
Crane Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,475
</TABLE>
See accompanying Notes to Financial Statements
37
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Capital Goods (continued)
Cummins Engine Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 $ 5,375
Dana Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,987
Deere & Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 14,800
Eaton Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 10,100
Echlin Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,325
Emerson Electric Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 30,125
Foster Wheeler Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,350
General Dynamics Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 9,225
General Electric Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,900 199,263
Georgia Pacific Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 13,750
Giddings & Lewis Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,575
Goodyear Tire & Rubber Company . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 13,725
Grainger (W.W.) Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,750
Grumman Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,950
Illinois Tool Works Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 11,700
Ingersoll-Rand Company . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,650
Johnson Controls Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,312
Kaufman & Broad Home Corporation . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,375
Louisiana Pacific Corporation. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,250
Lowe's Companies Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 11,850
Martin Marietta Corportion . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,900
Masco Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 11,100
McDonnell Douglas Corporation. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 10,700
Morrison Knudsen Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,513
Navistar International Corporation Holding Company (b) . . . . . . . . . . . .
. . . . . . . 140 3,307
Newell Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,075
Northrop Corportion. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,738
Ogden Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,275
PACCAR Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 6,125
Pall Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 233 4,281
Raychem Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,750
Rockwell International Corporation . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 18,563
Rollins Environmental Services Inc . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 575
Rowan Companies Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 1,800
Tandy Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,950
Tektronix Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,350
Teledyne Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,600
Textron Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 11,650
Timken Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,363
TRW Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 6,925
United Technologies Corporation. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 18,600
Varity Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,475
Weyerhaeuser Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 22,312
Xerox Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 17,875
Zenith Electronics Corporation (b) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 700
- ----------
670,314
- ------------------------------------------------------------------------------
- -----------------------------------------------
Technology - 7.0%
Advanced Micro Devices Inc (b) . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,550
Amdahl Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 1,800
Amgen Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 14,850
Amp Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 12,625
Apple Computer Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 8,775
Autodesk Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,500
Automatic Data Processing Inc. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 16,575
Ceridian Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,900
Cisco Systems Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 19,388
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
38
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Technology (continued)
Compaq Computer Corporation (b). . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 $ 14,800
Computer Association International Inc . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 16,000
Cray Research Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,562
Data General Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 938
Digital Equipment Corporation (b). . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 10,275
DSC Communications Corporation . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 6,150
E-Systems Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,337
EG & G Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,838
Harris Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,550
Hewlett Packard Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 47,400
Honeywell Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 10,275
Intel Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 55,800
Intergraph Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,062
International Business Machines Corporation. . . . . . . . . . . . . . . . . .
. . . . . . . 1,300 73,450
ITT Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 27,375
Litton Industries Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 6,438
Lockheed Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 6,825
Loral Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,550
Lotus Development Corporation (b). . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,500
M A Company Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 862
Minnesota Mining & Manufacturing Co. . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 54,375
Motorola Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 55,425
National Semiconductor Corporation (b) . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,225
Novell Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 14,525
Oracle Systems Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 17,250
Perkin-Elmer Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,850
Pitney Bowes Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 16,550
Raytheon Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 19,800
Scientific-Atlanta Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,300
Shared Medical Systems Corporation . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,487
Sun Microsystems Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,825
Tandem Computers Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 3,263
Texas Instruments Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 12,700
Tyco International Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,162
Unisys Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 5,051
Westinghouse Electric Corporation. . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 11,300
- ----------
622,038
- ------------------------------------------------------------------------------
- -----------------------------------------------
Health Care - 6.1%
Abbott Laboratories. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,900 56,050
Allergan Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,263
ALZA Corporation, Class A (b). . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,600
Bard (C.R.) Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,525
Bausch & Lomb Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,125
Baxter International Inc . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 14,625
Becton, Dickinson & Company. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,175
Beverly Enterprises Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 2,650
Biomet Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 3,075
Bristol-Myers-Squibb Company . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,200 69,750
Columbia Healthcare Corporation. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 332 11,039
Community Psychiatric Centers. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,400
IMCERA Group Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 6,725
Johnson & Johnson. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,500 67,125
Lilly (Eli) & Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 41,562
Manor Care Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,438
McKesson Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,400
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Health Care (continued)
Medtronic Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 $ 8,213
Merck & Company Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 2,900 99,687
Millipore Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,000
National Medical Enterprises Inc . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 5,600
Pfizer Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 48,300
Saint Jude Medical Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,650
Schering-Plough Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 27,400
Syntex Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 7,937
United States Surgical Corporation . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,250
Upjohn Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 11,650
Warner Lambert Company . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 20,250
- ----------
542,464
- ------------------------------------------------------------------------------
- -----------------------------------------------
Basic Industries - 4.2%
Alcan Aluminum Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 10,375
Alco Standard Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,475
Aluminum Company of America. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 13,875
American Barrick Resource Corporation. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 17,100
Armco Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 1,200
ASARCO Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,287
Bethlehem Steel Corporation (b). . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 4,075
Boise Cascade Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,350
Champion International Corporation . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 6,675
Crown Cork & Seal Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,375
Cyprus Amax Minerals Company . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,175
Dover Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 6,075
Dow Chemical Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 34,050
DuPont (E.I.) DeNemours & Company. . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,500 72,375
Echo Bay Mines Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 3,863
Engelhard Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 250 6,093
Federal Paper Board Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,125
FMC Corporation (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,713
General Signal Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,437
Goodrich (B.F.) Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,025
Harnischfeger Industries Inc . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,250
Homestake Mining Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 6,600
Inland Steel Industries Inc (b). . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,312
International Paper Company. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 20,325
James River Corporation of Virginia. . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,850
Kimberly Clark Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 20,750
Knight-Ridder Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,975
Mead Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,500
Newmont Mining Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 11,525
Nucor Corportion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 10,600
Owens Corning Fiberglass Corporation (b) . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,437
Phelps Dodge Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 9,750
Potlatch Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,713
Reynolds Metals Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,537
Trinova Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,138
USX-U.S. Steel Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,675
WMX Technologies Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,100 29,013
Worthington Industries Inc . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 250 5,125
- ----------
372,793
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
40
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Consumer Durables - 3.6%
Avery Dennison Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 $2,938
Black & Decker Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,950
Chrysler Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 42,600
Corning Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 14,000
CPC International Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 14,287
Fleetwood Enterprises Inc. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,375
Ford Motor Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,100 70,950
General Motors Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,600 87,800
Genuine Parts Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 11,287
Hasbro Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,250
Mattel Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 350 9,668
Maytag Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,600
Moore Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 3,825
Pep Boys -- Manny Moe & Jack . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,625
Pultte Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,625
Snap-On Tools Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 3,788
Stanley Works. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,450
Stone Container Corporation (b). . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 202 1,944
Union Camp Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 9,525
Whirlpool Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 13,300
- ----------
313,787
- ------------------------------------------------------------------------------
- -----------------------------------------------
Telecommunications - 1.7%
Comcast Corporation, Class A . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 10,800
McCaw Cellular Communications (b). . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 25,250
MCI Communications Corporation . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,200 33,900
Sprint Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 27,800
Tele-Communications Inc., Class A (b). . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 30,250
Northern Telecom Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 18,525
- ----------
146,525
- ------------------------------------------------------------------------------
- -----------------------------------------------
Transportation - 1.6%
AMR Corporation (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 13,400
Consolidated Freightways Inc . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,363
Consolidated Rail Corporation (b). . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 13,375
CSX Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 16,200
Delta Air Lines Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 5,462
Norfolk Southern Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 21,150
Roadway Services Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 6,000
Ryder Systems Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,300
Santa Fe Pacific Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 8,900
UAL Corporation (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 14,600
Union Pacific Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 31,313
USAir Group Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 1,287
Yellow Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,488
- ----------
141,838
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Chemicals - 1.5%
Air Products & Chemicals Inc . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 $13,275
American Cyanamid Company. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 10,050
Grace (W. R.) & Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 8,124
Great Lakes Chemical Corporation . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 14,925
Hercules Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 11,300
Inco Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 5,375
Monsanto Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 22,013
Morton Internationl Inc. Industries. . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 9,350
Nalco Chemical Company . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 7,500
PPG Industries Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 15,175
Rohm & Haas Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 11,900
Union Carbide Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 6,712
- ----------
135,699
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL COMMON STOCKS
(Cost $6,884,634). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . 7,375,971
- ------------------------------------------------------------------------------
- -----------------------------------------------
- ------------------------------------------------------------------------------
- -----------------------------------------------
PREFERRED CONVERTIBLE STOCK (Cost $2,590) - 0.0%
Alberto Culver Company, Class B. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,313
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Amount
- ------------------------------------------------------------------------------
- -----------------------------------------------
U.S. TREASURY BILL (1.2%) (Cost $99,314)
3.01% (c) due 03/24/1994
$100,000 99,314
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMERCIAL PAPER (15.4%) (Cost $1,364,000)
General Electric Capital Corporation, 3.200%, 01/03/1994
1,364,000 1,364,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INVESTMENTS (Cost $8,350,538) (d)
100.0% 8,841,598
- ------------------------------------------------------------------------------
- -----------------------------------------------
Contracts
FUTURES CONTRACTS - LONG POSITION (15.8%) (Contract amount $1,397,200)
Standard & Poor's 500 Index, March 1994. . . . . . . . . . . . . . . . . . . .
. . . . . . . 6 1,400,850
- ------------------------------------------------------------------------------
- -----------------------------------------------
OTHER ASSETS AND LIABILITIES (Net)
(15.8)% (1,400,343)
- ------------------------------------------------------------------------------
- -----------------------------------------------
NET ASSETS
100.0% $8,842,105
- ------------------------------------------------------------------------------
- -----------------------------------------------
<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 (unaudited). The total U.S.
Treasury Bill of $99,314 has been pledged to
collateralize futures contracts.
(d) At December 31, 1993, the cost of securities for Federal income tax
purposes was $8,350,538 and the aggregate gross unrealized
appreciation and depreciation based on that cost was:
<S>
<C>
Unrealized appreciation. . . . . . . .
. . $717,379
Unrealized depreciation. . . . . . . .
. . 226,319
--------------------------------------
- ---------------
Net unrealized appreciation. . . . . .
. . $491,060
--------------------------------------
- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
42
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (74.4%)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Capital Goods - 9.7%
Beldon, Inc., Company (b). . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 15,000 $279,375
Emerson Electric Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 421,750
General Electric Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,000 524,375
Hubbell Inc, Class B . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,000 324,750
Johnson Controls, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 8,000 425,000
Willamette Industries, Inc . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 495,000
- ----------
2,470,250
- ------------------------------------------------------------------------------
- -----------------------------------------------
Financial Services - 9.0%
Block (H & R) Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .. 12,000 489,000
Firstar Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 15,000 461,250
Morgan (J P) & Company, Inc. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .. 6,000 416,250
Society Corporation Company. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 17,000 505,750
US Trust Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 8,000 419,000
- ----------
2,291,250
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Services - 7.0%
Disney (Walt) Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 11,000 468,875
Gannett Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 9,000 515,250
McDonalds Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,000 342,000
McGraw Hill Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 473,375
- ----------
1,799,500
- ------------------------------------------------------------------------------
- -----------------------------------------------
Transportation - 6.9%
British Airways, PLC, ADR. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 11,000 732,875
Consolidated Rail Corporation. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 9,000 601,875
Union Pacific Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 438,375
- ----------
1,773,125
- ------------------------------------------------------------------------------
- -----------------------------------------------
Technology - 5.8% AMP Inc. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 441,875
Automatic Data Processing, Inc . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 9,000 497,250
Hewlett Packard Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 553,000
- ----------
1,492,125
- ------------------------------------------------------------------------------
- -----------------------------------------------
Chemicals - 5.7%
Hanna (M.A.) Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 15,000 489,375
Monsanto Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 513,625
Schulman (A.), Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 14,000 472,500
- ----------
1,475,500
- ------------------------------------------------------------------------------
- -----------------------------------------------
Retail - 5.6%
May Department Stores Company. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 9,000 354,375
Penney (J C) Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,000 628,500
Melville Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 11,000 446,875
- ----------
1,429,750
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Durables - 5.1%
Bemis Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 19,000 448,875
Minnesota Mining & Manufacturing Company . . . . . . . . . . . . . . . . . . .
. . . . . . . 4,000 435,000
Pitney Bowes Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 413,750
- ----------
1,297,625
- ------------------------------------------------------------------------------
- -----------------------------------------------
Energy - 4.5%
Dresser Industries, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 18,000 373,500
Exxon Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,500 346,500
Mobil Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,500 434,500
- ----------
1,154,500
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
43
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES
FUND GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCKS (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Utilities - 4.2%
Central & South West Corporation . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 13,000 $393,250
DQE Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 345,000
Wisconsin Energy Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,500 345,313
- ----------
1,083,563
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Non-Durables - 3.4%
Campbell Soup Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .. 10,000 410,000
International Flavors & Fragrances, Inc. . . . . . . . . . . . . . . . . . . .
. . . . . . . 4,000 455,000
- ----------
865,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Health Care - 3.4%
Bausch & Lomb, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 9,000 461,250
Rhone-Poulenc Rorer. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 11,000 401,500
- ----------
862,750
- ------------------------------------------------------------------------------
- -----------------------------------------------
Insurance - 2.1%
PartnerRe Holdings Ltd (b) . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 24,400 530,700
- ------------------------------------------------------------------------------
- -----------------------------------------------
Real Estate - 1.3%
Holly Residential Properties Inc . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 16,000 320,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Telecommunications - 0.7%
TCA Cable TV, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,000 171,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL COMMON STOCKS (Cost $17,465,521) . . . . . . . . . . . . . . . . . . . .
. . . . . . . 19,016,638
- ------------------------------------------------------------------------------
- -----------------------------------------------
PREFERRED STOCK (3.0%)
Sears Roebuck & Company, Depositary Shares, Series A, Pfd. . . . . . . . . . .
. . . . . . . 8,500 478,125
Tenneco Inc., Depositary Shares, Series A, Pfd . . . . . . . . . . . . . . . .
. . . . . . . 7,000 293,125
- ----------
TOTAL PREFERRED STOCK (Cost $734,361). . . . . . . . . . . . . . . . . . . . .
. . . . . . . 771,250
- ------------------------------------------------------------------------------
- -----------------------------------------------
PREFERRED CONVERTIBLE STOCK (2.0%) (Cost $472,136)
General Motors Corporation, Pfd. Conv $0.02. . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 510,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Amount
- ------------------------------------------------------------------------------
- -----------------------------------------------
CORPORATE BONDS AND NOTES (11.2%)
Dean Witter Discover & Company, 6.875%, due 03/01/2003 . . . . . . . . . . . .
. . . . . . . $500,000 514,375
General Motors Acceptance Corporation, 7.000% due 09/15/2002 . . . . . . . . .
. . . . . . . 1,000,000 1,016,250
Georgia Pacific Corporation, 9.625% due 03/15/2022 . . . . . . . . . . . . . .
. . . . . . . 250,000 289,063
Limited Inc., 7.800% due 05/15/2002. . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500,000 546,250
Thermo Electron Corporation, convertible 4.625% due 01/08/1997 . . . . . . . .
. . . . . . . 350,000 481,250
- ----------
TOTAL CORPORATE BONDS AND NOTES (Cost $2,788,101). . . . . . . . . . . . . . .
. . . . . . . 2,847,188
- ------------------------------------------------------------------------------
- -----------------------------------------------
REPURCHASE AGREEMENT (10.4%) (Cost $2,668,000)
Agreement with Barclays Bank,
3.050% dated 12/31/93 to be repurchased at $2,668,678
on 01/03/1994 collateralized by $2,410,000
U.S. Treasury Note, 8.000% due 01/15/1997. . . . . . . . . . . . . . . . . . .
. . . . . . . 2,668,000 2,668,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INVESTMENTS (Cost $24,128,119)(b). . . . . . . . . . . . . . . . . . . .
. . . . . . . 101.0% 25,813,076
OTHER ASSETS AND LIABILITIES (Net) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . (1.0) (264,548)
- ------------------------------------------------------------------------------
- -----------------------------------------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100.00% $25,548,528
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) At December 31, 1993, the cost of securities for Federal income tax
purposes was $24,128,119 and the aggregate appreciation and
depreciation based on that cost was:
<S>
<C>
Unrealized appreciation. . . . . . . .
. $1,849,365
Unrealized depreciation. . . . . . . .
. 164,408
--------------------------------------
- ---------------
Net unrealized appreciation. . . . . .
. $1,684,957
</TABLE>
See accompanying Notes to Financial Statements.
44
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCKS (88.0%)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Financial Services - 14.1%
Aetna Life & Casualty Company. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 14,000 $845,250
Allstate Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,000 354,000
American International Group Inc . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .. 13,000 1,140,750
Bank of New York Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,500 427,500
Barnett Banks Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 415,000
Chase Manhattan Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 237,125
Chemical Banking Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 16,000 642,000
Chubb Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 9,000 700,875
CIGNA Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,000 753,000
Citicorp (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 24,000 882,000
Federal National Mortgage Association. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 8,000 628,000
General Re Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 3,000 321,000
Nationsbank Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 490,000
Republic New York Corporation. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 467,500
Signet Banking Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 347,500
Society Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 8,000 238,000
State Street Boston Corporation. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 262,500
UNUM Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 14,000 735,000
US Trust Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,300 277,588
Wells Fargo & Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,000 776,250
- ----------
10,940,838
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Services - 12.7%
CBS Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 2,000 577,000
Disney (Walt) Productions Company. . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 28,000 1,193,500
Donnelley (RR) & Sons Company. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 26,000 809,250
Federated Department Stores, Inc., (b) . . . . . . . . . . . . . . . . . . . .
. . . . . . . 28,000 581,000
Gannett Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 400,750
G.C. Companies Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 34,625
Harcourt General Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 362,500
Hasbro Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 362,500
Home Depot Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 17,000 671,500
Manpower Inc., Wisconsin (b) . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 11,000 193,875
Penney (J.C.). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 8,000 419,000
Readers Digest Association Inc., Class A (non-voting). . . . . . . . . . . . .
. . . . . . . 10,000 450,000
Sears Roebuck & Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,000 633,000
Time-Warner Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 21,000 929,250
Toys "R" Us Inc. (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 17,000 694,875
Tribune Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,000 300,625
Wal-Mart Stores Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 35,000 875,000
Whirlpool Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,000 399,000
- ----------
9,887,250
- ------------------------------------------------------------------------------
- -----------------------------------------------
Capital Goods - 8.4%
Allied Signal Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .. 10,000 790,000
AMP Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,500 347,188
Caterpillar Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .. 6,000 534,000
Cooper Industries Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,000 591,000
Deere & Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 9,000 666,000
Emerson Electric Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 8,000 482,000
Flour Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,500 303,750
General Electric Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,000 1,258,500
Grainger (W.W.) Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,500 373,750
Ingersoll-Rand Company . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 11,000 420,750
United Technologies Corporation. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,000 744,000
- ----------
6,510,938
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
45
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCKS (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Energy - 7.8%
Amerada Hess Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 13,500 $609,187
British Petroleum ADR. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 640,000
Burlington Resources Inc . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 423,750
Detroit Diesel Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,300 262,800
Exxon Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 17,000 1,071,000
Mobil Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 790,000
Royal Dutch Petroleum Company. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 730,625
Schlumberger, Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 591,250
Texaco, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 15,000 969,375
- ----------
6,087,987
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Non-Durables - 7.5%
Avon Products Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 14,000 680,750
Coca-Cola Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 446,250
Crown Cork & Seal, Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 17,000 711,875
Gillette Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 17,000 1,013,625
International Flavors & Fragrances Inc . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,500 625,625
Loews Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,300 120,900
McDonald's Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 570,000
Newell Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 282,625
PepsiCo Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 18,000 735,750
Proctor & Gamble Company . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 11,000 627,000
- ----------
5,814,400
- ------------------------------------------------------------------------------
- -----------------------------------------------
Diversified Conglomerate - 6.9%
Eastman Kodak Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 34,000 1,904,000
ITT Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,500 958,125
Minnesota Mining & Manufacturing . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 17,500 1,903,125
Tenneco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,000 631,500
- ----------
5,396,750
- ------------------------------------------------------------------------------
- -----------------------------------------------
Technology - 6.5%
Alco Standard Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 54,750
First Data Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,000 203,750
Intel Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 16,000 992,000
International Business Machines Corporation. . . . . . . . . . . . . . . . . .
. . . . . . . 2,500 141,250
Microsoft Corporation (b). . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 14,000 1,128,750
Perkin Elmer Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 38,500
Pitney Bowes Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 24,000 993,000
Varian Association Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 60,000
Xerox Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 16,000 1,430,000
- ----------
5,042,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Durables - 5.1%
Chrysler Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 20,000 1,065,000
Ford Motor Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 13,000 838,500
General Motors Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 21,000 1,152,375
Good Year Tire & Rubber Company. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,000 549,000
Mead Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 4,000 180,000
Pep Boys, Manny, Moe & Jack. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 8,000 210,000
- ----------
3,994,875
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
46
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCKS (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Health Care - 5.1%
Abbott Laboratories. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 17,400 $513,300
American Home Products Corporation . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,000 323,750
Bristol-Myers-Squibb Company . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 406,875
Forest Laboratories, Inc., Class A (b) . . . . . . . . . . . . . . . . . . . .
. . . . . . . 8,500 404,812
Johnson & Johnson. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 447,500
Merck & Company, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 343,750
Pfizer, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 14,000 966,000
Schering-Plough Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 8,500 582,250
- ----------
3,988,237
- ------------------------------------------------------------------------------
- -----------------------------------------------
Telecommunications - 5.0%
American Telephone & Telegraph Company . . . . . . . . . . . . . . . . . . . .
. . . . . . . 24,000 1,260,000
Bell Atlantic Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,000 354,000
Groupo Televisa S.A. ADR . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 9,500 665,000
GTE Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 17,600 616,000
NYNEX Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 15,000 601,875
QVC Network Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,000 235,500
Viacom Inc., Class B (b) . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 3,000 134,625
- ----------
3,867,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Basic Industries - 4.1%
Du Pont (E.I.) De Nemours & Company. . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 26,500 1,278,625
International Paper Company. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 12,000 813,000
Nalco Chemical Company . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 11,000 412,500
Praxair Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 21,000 349,125
St. Joe Paper Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,500 329,062
- ----------
3,182,312
- ------------------------------------------------------------------------------
- -----------------------------------------------
Utilities - 3.3%
Comcast Corporation Class A. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 15,000 540,000
Gulf States Utilities (b). . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100,000 2,000,000
- ----------
2,540,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Transportation - 1.6%
Consolidated Rail Corporation. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 7,000 468,125
Tele Communications Inc., Class A (b). . . . . . . . . . . . . . . . . . . . .
. . . . . . . 16,000 484,000
Union Pacific Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,000 313,125
- ----------
1,265,250
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL COMMON STOCKS
(Cost $60,823,225) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 68,517,837
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
47
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCKS (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
COMMERCIAL PAPER (10.0%) (Cost $7,802,000)
Ford Motor Credit Corporation, 3.180%, 01/03/1994. . . . . . . . . . . . . . .
. . . . . . . $3,901,000 $ 3,901,000
General Electric Capital Corporation, 3.200%, 01/03/1994 . . . . . . . . . . .
. . . . . . . 3,901,000 3,901,000
- ----------
7,802,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
REPURCHASE AGREEMENT (1.8%) (Cost $1,379,000)
Agreement with Union Bank of Switzerland,
3.100% dated 12/31/93 to be repurchased at $1,379,356
on 01/03/1994 collateralized by $1,205,000
U.S. Treasury Note, 7.875% due 08/15/2001. . . . . . . . . . . . . . . . . . .
. . . . . . . 1,379,000 1,379,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INVESTMENTS (Cost $70,004,225)(c). . . . . . . . . . . . . . . . . . . .
. . . . . . . 99.8% 77,698,837
- ------------------------------------------------------------------------------
- -----------------------------------------------
OTHER ASSETS AND LIABILITIES (Net) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 0.2 142,324
- ------------------------------------------------------------------------------
- -----------------------------------------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100.00% $77,841,161
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Non-income producing security.
(c) At December 31, 1993, the cost of securities for Federal income tax
purposes was $70,004,225 and the aggregate appreciation and
depreciation based on that cost was:
Unrealized appreciation. . . . . . . .
. $8,566,199
Unrealized depreciation. . . . . . . .
. 871,587
--------------------------------------
- ---------------
Net unrealized appreciation. . . . . .
. $7,694,612
--------------------------------------
- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
48
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCKS (85.8%)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Technology - 17.8%
Applied Materials Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 $34,875
Atmel Corporation (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 17,313
Cisco Systems Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 45,237
DSC Communications Corporation (b) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 43,050
General Instruments Corporation (b). . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 28,062
Lam Resh Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 19,500
Linear Technology Corporation (b). . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 34,875
Maxim Integrated Products Inc (b). . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 19,150
Microchip Technology Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 35,100
Parametric Technology Corporation (b). . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 27,125
Solectron Corporation (b). . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 25,537
Sybase Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 33,600
Tricord Systems Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 13,250
Wellfleet Communications Inc (b) . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 25,800
- ----------
402,474
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Distribution - 11.3%
Bed Bath & Beyond Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 24,150
Bombay Company (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 27,000
CML Group Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 7,087
Dollar General Corporation . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 24,000
General Nutrition Companies Inc (b). . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,300 37,050
Heilig Meyers Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 31,200
Hospitality Franchise Systems Inc (b). . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 31,875
Lowes Companies Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 35,550
Mens Warehouse Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 6,525
Office Depot Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 30,263
- ----------
254,700
- ------------------------------------------------------------------------------
- -----------------------------------------------
Health Care - 10.9%
Coventry Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 38,250
HBO & Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 41,400
Health Management Association Inc (b). . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 20,475
Lincare Holdings Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 19,900
Medaphis Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 13,200
Natures Bounty Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 20,750
Oxford Health Plans Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 26,500
Pyxis Corporation (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 29,900
United Healthcare Corporation. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 30,350
Zoll Medical Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 6,000
- ----------
246,725
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Services - 10.2%
Applebee's International Inc . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 16,750
Apple South Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 12,600
Brinker International Inc (b). . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 27,600
Cracker Barrel Old Country Store Inc . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 19,250
Infinity Broadcasting Corporation, Class A (b) . . . . . . . . . . . . . . . .
. . . . . . . 1,300 39,325
International Game Technology Company. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 14,750
Lone Star Steakhouse/Saloon. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 22,000
Outback Steakhouse Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 30,700
Promus Companies Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 36,600
TCA Cable TV Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 11,400
- ----------
230,975
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
49
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCKS (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Financial Services - 7.9%
Advanta Corporation, Class A . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 $16,625
Bank South Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,200 18,300
BayBanks Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 35,525
Crestar Financial Corporation. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 29,313
First USA Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 17,875
Green Tree Financial Corporation . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 200 9,600
MGIC Investment Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 8,775
Midlantic Corporation (b). . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 20,400
Shawmut National Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,000 21,750
- ----------
178,163
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Durables - 7.2%
Callaway Golf Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 32,025
Gentex Corporation (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 28,200
Leggett & Platt Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 25,000
Lennar Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 23,888
Sports & Recreation Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 15,000
Superior Industries International Inc. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 38,700
- ----------
162,813
- ------------------------------------------------------------------------------
- -----------------------------------------------
Capital Goods/Production - 5.6%
American Power Conversion Corporation. . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,700 40,375
Clark Equipment Company (b). . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 20,950
Stewart & Stevenson Services Inc . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 30,750
Trinity Industries Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 34,500
- ----------
126,575
- ------------------------------------------------------------------------------
- -----------------------------------------------
Transportation - 3.5%
Atlantic Southeast Airlines Inc. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 20,550
SkyWest Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 20,700
Southwest Airlines Company . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 22,500
TNT Freightways Corporation. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 16,200
- ----------
79,950
- ------------------------------------------------------------------------------
- -----------------------------------------------
Utilities - 3.2%
ALC Communications Corporation (b). . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 25,875
IDB Communications Group Inc (b) . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 38,500
LDDS Communications Inc (b). . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 4,825
- ----------
69,200
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Non-Durables - 2.8%
Dreyers Grand Ice Cream Inc. . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100 2,950
Lancaster Colony Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 18,400
Phillips Van Heusen Corporation. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700 26,250
Snapple Beverage Corporation (b) . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 15,750
- ----------
63,350
- ------------------------------------------------------------------------------
- -----------------------------------------------
Energy - 2.3%
Hornbeck Offshore Services Inc (b) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,100 15,950
Segull Energy Corporation (b). . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 15,225
Snyder Oil Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 600 10,650
Western Company of North America (b) . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 10,300
- ----------
52,125
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
50
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCKS (Continued)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Basic Industries/Raw Materials - 2.3%
Allegheny Ludlum Corporation . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 $9,550
Freeport-McMoRan Copper & Gold Inc., Class A . . . . . . . . . . . . . . . . .
. . . . . . . 400 10,000
Medusa Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 16,187
Steel Technologies Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 16,200
- ----------
51,937
- ------------------------------------------------------------------------------
- -----------------------------------------------
Chemicals - 0.8%
Airgas Inc (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 17,400
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL COMMON STOCK (Cost $1,869,380) . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . 1,936,387
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Amount
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMERCIAL PAPER - 12.4%
Chevron Oil Financial Corporation, 3.150%, 01/31/94. . . . . . . . . . . . . .
. . . . . . . $140,000 139,633
General Electric Capital Corporation, 3.180%, 01/31/94 . . . . . . . . . . . .
. . . . . . . 140,000 139,629
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $279,262) . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . 279,262
- ------------------------------------------------------------------------------
- -----------------------------------------------
U.S. TREASURY OBLIGATIONS - 30.8% (Cost $696,976)
U.S. Treasury Bills,
2.880%, 02/24/1994 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 700,000 696,976
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INVESTMENTS (b) (Cost $2,845,617). . . . . . . . . . . . . . . . . . . .
. . . . . . . 129.0% 2,912,625
- ------------------------------------------------------------------------------
- -----------------------------------------------
OTHER ASSETS AND LIABILITIES (Net) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . (29.0)% (655,157)
- ------------------------------------------------------------------------------
- -----------------------------------------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100.0% $2,257,468
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by procedures described in Note 1 to the Financial
Statements.
(b) At December 31, 1993, the cost of securities for Federal income tax
purposes was $2,845,617 and the aggregate unrealized
appreciation and depreciation based on that cost was:
<S>
<C>
Unrealized appreciation. . . . . . . .
. . $75,205
Unrealized depreciation. . . . . . . .
. . 8,197
--------------------------------------
- ---------------
Net unrealized appreciation. . . . . .
. . $67,008
--------------------------------------
- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
51
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES
FUND TOTAL RETURN PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMON STOCK (21.9%)
Issuer
Shares Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C>
Real Estate - (8.0%)
Spieker Properties, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,000 $112,500
Trinet Corporate Realty Trust. . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 4,000 110,500
- ----------
223,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Financial Services - (6.5%)
Great Western Financial Corporation. . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,500 110,000
Irvine Apartment Communities . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 4,000 71,500
- ----------
181,500
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Non Durables - (4.0%)
Eastman Kodak Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 2,000 112,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Consumer Services - ( 2.1%)
Amway Asia Pacific, Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .. 1,600 57,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Energy - (1.2%)
Oryx Energy Company. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 2,000 34,500
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL COMMON STOCKS (Cost $568,610). . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . 608,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
Principal
Amount
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMERCIAL PAPER (19.3%) (Cost $537,000)
General Electric Capital Corporation,
3.200%, 01/03/1994. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . $537,000 537,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INVESTMENTS (Cost $1,105,610) (b). . . . . . . . . . . . . . . . . . . .
. . . . . . . 41.2% 1,145,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
OTHER ASSETS AND LIABILITIES (Net) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 58.8% 1,632,169
- ------------------------------------------------------------------------------
- -----------------------------------------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 100.0% $2,777,169
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by procedures described in Note 1 to the Financial
Statements.
(b) At December 31, 1993, the cost of securities for Federal income tax
purposes was $1,105,610 and the aggregate gross unrealized
appreciation and depreciation based on that cost was:
Unrealized apprecition . . . . . . . .
. . $40,375
Unrealized deprecition . . . . . . . .
. . 985
--------------------------------------
- ---------------
Net unrealized appreciation. . . . . .
. . $39,390
--------------------------------------
- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
52
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
INTERNATIONAL COMMON STOCKS (29.0%)
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C> <C>
Hong Kong - 3.4%
Guoco Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .HKD 8,000 $39,860
Shaw Brothers. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 25,000 49,178
Shun Tak Holdings. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 40,000 52,284
Sun Hung Kai Properties. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,000 55,131
- ----------
196,453
- ------------------------------------------------------------------------------
- -----------------------------------------------
Austria - 3.0%
Bau Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .AUT 500 47,607
Baumax Holdings. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,200 37,791
Flughafen Wein . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 800 37,955
Vae Eisenhahnsystem. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 400 51,861
- ----------
175,214
- ------------------------------------------------------------------------------
- -----------------------------------------------
Netherlands - 2.9%
IHC Caland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .NLG 4,500 89,954
Ver Ned Uitgeversbedr Ver Bezit. . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 900 80,334
- ----------
170,288
- ------------------------------------------------------------------------------
- -----------------------------------------------
Malaysia - 2.8%
Resorts World Berhad . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .MYR 10,000 64,217
Tanjong. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 8,000 50,482
Telekom Malaysia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 6,000 49,221
- ----------
163,920
- ------------------------------------------------------------------------------
- -----------------------------------------------
Singapore - 2.6%
Cerebos Pacific. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .SGD 10,000 49,720
Jurong Shipard . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 5,000 45,059
Overseas Union Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 58,421
- ----------
153,200
- ------------------------------------------------------------------------------
- -----------------------------------------------
Sweden - 2.3%
Astra AB 'A' Free. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .SKK 2,000 45,518
Hennes and Mauritz, Series B . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1,500 45,817
Kinnevik Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 2,000 43,601
- ----------
134,936
- ------------------------------------------------------------------------------
- -----------------------------------------------
Mexico - 2.3%
Coca Cola Femsa (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .MXP 1000 32,750
Grupo Carso (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 3000 32,733
Grupo Tribasa (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 1000 34,625
Telephonos de Mexico . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 33,750
- ----------
133,858
- ------------------------------------------------------------------------------
- -----------------------------------------------
France - 2.1%
Castorama Dubois Invest. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .FRF 300 44,702
Credit Local de France . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 500 41,374
Societe Generale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 300 38,823
- ----------
124,899
- ------------------------------------------------------------------------------
- -----------------------------------------------
Italy - 2.3%
Industrie Natuzzi Spa (b). . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .ITL 1,500 42,000
Olivetti . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 40,000 49,778
SIP. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 20,000 41,992
- ----------
133,770
- ------------------------------------------------------------------------------
- -----------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
53
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1993
(CONTINUED)
- ------------------------------------------------------------------------------
- -----------------------------------------------
(Percentages represent value of investments compared to total net assets.)
- ------------------------------------------------------------------------------
- -----------------------------------------------
INTERNATIONAL COMMON STOCKS (Continued)
Principal
Issuer
Amount Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S>
<C> <C> <C>
Finland - 1.4%
Nokia Corporation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .FIN 800 $39,621
Tampella (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 10,000 42,843
- ----------
82,464
- ------------------------------------------------------------------------------
- -----------------------------------------------
Austrailia - 1.2%
Burns Philp And Company. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .AUD 15,000 48,688
Coca Cola Amatil . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 3,000 23,427
- ----------
72,115
- ------------------------------------------------------------------------------
- -----------------------------------------------
Switzerland - 1.0%
Sandoz Limited . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .SZD 1,000 58,583
- ------------------------------------------------------------------------------
- -----------------------------------------------
Panama - 0.7%
Panamerican Beverage, Inc (b). . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .USD 1,000 38,250
- ------------------------------------------------------------------------------
- -----------------------------------------------
Great Britian - 0.6%
Vodafone Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .GDB 400 35,700
- ------------------------------------------------------------------------------
- -----------------------------------------------
Germany - 0.4%
Deutsche Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .DEM 50 25,481
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INTERNATIONAL COMMON STOCKS
(Cost $1,669,869). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . 1,699,131
- ------------------------------------------------------------------------------
- -----------------------------------------------
INTERNATIONAL PREFERRED STOCKS - 0.7%
(Cost $42,683)
Austria - 0.7%
Bank Austria, Preferred. . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . .AUT 800 42,405
- ------------------------------------------------------------------------------
- -----------------------------------------------
COMMERCIAL PAPER - 20.1%
(Cost $1,180,000)
General Electric Capital, 3.20% (d), 01/03/1994. . . . . . . . . . . . . . . .
. . . . . . . 1,180,000 1,180,000
- ------------------------------------------------------------------------------
- -----------------------------------------------
TOTAL INVESTMENTS (c) (Cost $2,892,552). . . . . . . . . . . . . . . . . . . .
. . . . . . . 49.8% 2,921,536
- ------------------------------------------------------------------------------
- -----------------------------------------------
OTHER ASSETS AND LIABILITIES (Net) . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 50.2% 2,945,373
- ------------------------------------------------------------------------------
- -----------------------------------------------
NET ASSETS
100.0% $5,866,909
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by procedures described in Note 1 to the Financial
Statements.
(b) Non-income producing security
(c) At December 31, 1993, the cost of securities for Federal income tax
purposes was $2,892,552 and the aggregate unrealized
appreciation and depreciation based on that cost was:
<S>
<C>
Unrealized appreciation. . . . . . . .
. . . $48,358
Unrealized depreciation. . . . . . . .
. . . 19,374
--------------------------------------
- ---------------
Net unrealized appreciation. . . . . .
. . . $28,984
--------------------------------------
- ---------------
(d) Rate represents annualized yield to maturity (unaudited).
</TABLE>
See accompanying Notes to Financial Statements.
54
<PAGE>
<TABLE>
<CAPTION>
SMITH BARNEY SHEARSON SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -----------------------------------------------
Contract
Value
Date Value(a)
- ------------------------------------------------------------------------------
- -----------------------------------------------
<S> <C>
<C> <C>
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
72,083 Australian Dollars . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/06/94 $48,939
2,669,466 Austrian Shillings . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/10/94 218,203
167,300 Dutch Gilders. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/05/94 85,949
486,923 Finnish Markka . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/05/94 83,424
249,848 French Francs. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/31/94 42,076
1,137,766 Swedish Krona. . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . 01/05/94 136,223
- ----------
TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
(Contract amount $619,717)
$614,814
- ------------------------------------------------------------------------------
- -----------------------------------------------
<FN>
(a) Values are determined by procedures described in Note 1 to the Financial
Statements.
</TABLE>
See accompanying Notes to Financial Statements.
55
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- ------------------------------------------------------------------------------
- -
To the Policyholders and Trustees of
Smith Barney Shearson Series Fund:
We have audited the accompanying statements of assets and liabilities of Smith
Barney Shearson Series Fund (the "Fund")(consisting of the Money Market,
Intermediate High Grade, Diversified Strategic Income, Equity Income, Equity
Index, Growth & Income, Appreciation, Emerging Growth, Total Return and
International Equity Portfolios), including the schedules of portfolio
investments and the schedules of forward foreign exchange contracts
(Diversified Strategic Income and International Equity Portfolios), as of
December 31, 1993 and the related statements of operations, the statements of
changes in net assets and the financial highlight information for each of the
respective periods presented. These financial statements and the financial
highlight information are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and the
financial highlight information based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and the
financial highlight information are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation
of securities owned as of December 31, 1993, by correspondence with the
custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and the financial highlight
information referred to above present fairly, in all material respects, the
financial position of the aforementioned Portfolios of Smith Barney Shearson
Series Fund as of December 31, 1993 and the results of their operations, the
changes in their net assets and the financial highlight information for each
of the respective periods presented, in conformity with generally accepted
accounting principles.
COOPERS &
LYBRAND
Boston, Massachusetts
February 18, 1994
56
<PAGE>
SHEARSON SERIES FUND
TAX INFORMATION (UNAUDITED) YEAR ENDED DECEMBER 31, 1993
- ------------------------------------------------------------------------------
- -
The capital gains dividend distribution paid to shareholders for the fiscal
year ended December 31, 1993, whether taken in shares or in cash, is as
follows:
<TABLE>
<S> <C>
Equity Index Portfolio
Long-Term Capital Gains ...................... $33,918
Diversified Strategic Income Portfolio
Long-Term Capital Gains ...................... 93,791
</TABLE>
The above figures may differ from those cited elsewhere in this report due to
differences in the calculations of income and capital gains for Securities and
Exchange Commission (book) purposes and Internal Revenue Service (tax)
purposes.
57
<PAGE>
This report is submitted for the general information of the Shareholders of
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 and expenses, as well as other pertinent information.
SYMPHONY
investments are sponsored and managed by:
Smith Barney Shearson Inc.
and subsidiaries
SYMPHONY
is underwritten, issued and serviced by:
IDS Life Insurance Company
- ------------------------------------------------------------------------------
- -
SMITH BARNEY SHEARSON INC.
FOSTER & MARSHALL INC.
THE ROBINSON-HUMPHREY COMPANY,
INC.
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