<PAGE>
SMITH BARNEY SERIES FUND
ANNUAL REPORT FOR
SYMPHONY
A TAX DEFERRED VARIABLE ANNUITY
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,
1994
<PAGE>
SMITH BARNEY SERIES FUND
- ---------------------------------------------------------------------------
- -----
Dear Owner:
We are pleased to present to you the 1994 annual report for the Smith
Barney
Series Fund which comprises the underlying investment options of the
Symphony Annuity.
A REVIEW OF THE MARKET IN 1994
For most investments, 1994 was both a difficult and an unusual year. There
were
a number of positive forces in the financial markets last year, such as a
strong
economy, rapidly growing corporate earnings, low inflation and a
recovering
world economy. These beneficial factors were more than counter-
balanced,
however, by a weak dollar and fears of rising inflation on a worldwide
basis. In
the United States, inflation worries caused the Federal Reserve Board
(the
"Fed") to raise the federal funds rate -- the rate banks charge each
other for
overnight loans -- six times throughout the year.
The Fed implements monetary policy by raising or lowering key
short-term
interest rates. When 1994 began, the Fed's monetary policy was
stimulative. The
federal funds rate was at 3%, its lowest level in more than 20 years. These
low
rates were intended to accelerate economic recovery from the 1991
recession.
Early in 1994, the Fed, believing that a stronger economy might
lead to
inflation, raised the federal funds rate from 3.0% to 3.25%. That rate
hike, and
another in March, caused heavy selling in the stock and bond markets,
both in
the United States and abroad. By December, the federal funds rate had
reached
5.5%.
The sell-off in stocks occurred in spite of extremely strong corporate
earnings,
creating a stalemate in the equity markets with the popular averages
producing
flat-to-slightly positive results for the year. While earnings helped push
stock
prices higher at times during 1994, interest-rate worries largely
overwhelmed
corporate-profit growth.
In February of 1995, the Fed raised the federal funds rate for the seventh
time
in a year by one-half percentage point. Although the robust growth that
closed
out 1994 has yet to translate into higher prices, the Fed views recent
economic
indicators as pointing toward rising wages, and consequently, price
increases.
The Fed's goal is to contain such increases and keep inflation subdued
which may
require additional rate hikes in the first half of the year. We
believe,
however, that the interest-rate cycle will turn at some point during the
year
and that the stock market will benefit from the prospect of lower
short-term
interest rates and continued, though perhaps somewhat slower, earnings
growth.
Accordingly, we are cautiously optimistic that the capital markets in 1995
will
provide more attractive returns.
MONEY MARKET PORTFOLIO
Money market funds again presented investors with attractive and
competitive
returns last year, especially when compared to other short-term
investment
options. Throughout 1994, money market interest rates rose
substantially,
propelled upward by the Fed's series of increases in short-term interest
rates.
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SMITH BARNEY SERIES FUND
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In order to take advantage of rising interest rates, we kept the
average
maturity of the Portfolio very short. We believe that moderate growth
will
continue in 1995 which should cause the Fed to continue tightening its
monetary
policy. For this reason, we will remain cautious in the near term and
will
continue to maintain a short average maturity.
INTERMEDIATE HIGH GRADE PORTFOLIO
In 1994, there was no place to hide in the bond markets. With the Fed
increasing
the federal funds rate by 250 basis points to 5.5%, the two-year Treasury
yield
rose by 344 basis points and the 30-year Treasury yield rose by 153 basis
points
to end the year at 7.66% and 7.88%, respectively. For the past
year, the
Portfolio's total return was -3.05% compared with -2.92% for the Lehman
Brothers
Aggregate Bond Index for the same period. During the first half of the
year,
relative performance was supported by a shorter relative duration
and an
overweighting in mortgages (approximately 20% of the Portfolio's
total
holdings). During the second half, the Portfolio benefited from a
barbell
maturity structure as the yield curve flattened significantly.
During the year we eliminated our mortgage positions and raised our
corporate
sector holdings from 30% to 40% with purchases of industrial credits
such as
Chrysler Financial Corporation, Federal Express Corporation
and
Telecommunications, Inc., as we believe that the economic expansion
will
continue to provide some support to the industrial sector. We also
continued to
underweight domestic banks and utilities as we wait for more
attractive
opportunities in these areas. While few opportunities remain for large
gains in
the investment grade corporate bond market, we believe high quality names
will
continue to provide good performance.
Looking forward, we are concerned that Fed tightening will continue to
drive
short-term interest rates higher. We believe that the two- to 30-year
maturities
may be fairly valued but retain the potential for some negative price
movements.
Consistent with this outlook, emphasis is being placed on a barbell
type
structure using highly liquid U.S. Treasuries and high quality corporate
issues.
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
The Diversified Strategic Income Portfolio seeks high current income
through
investments in a diversified portfolio of fixed-income securities. In a
year
when extremely negative factors affected the bond market, our asset
allocation
of 36% mortgage securities, 30% foreign bonds, 24% high yielding corporate
bonds
and 10% in cash and other investments has been beneficial in
minimizing net
asset value erosion. For the past year, the Portfolio produced a total
return of
- -2.81% compared to -2.92% for the Lehman Brothers Aggregate Bond Index
during
the same period.
In the mortgage sector, we remain committed to Ginnie Mae pass-
through
securities as a means of generating a higher income stream to offset
the
principal risk associated with higher interest rates.
The high yield market generated break-even results in the fourth
quarter. For
calendar year 1994, the high yield market outperformed the other fixed
income
markets because of its relatively lower interest rate sensitivity,
especially on
middle tier issues. Over the course of the quarter, the market
continued to
offer reasonable value with yield spreads remaining over 400 basis points
higher
than comparable maturity Treasury securities from less than 300 basis
points in
January, 1994.
We maintained close to a fully invested position over the past quarter
ended
December 31, 1994. Our heaviest concentrations were in a number of
economically
sensitive sectors including forest products and paper, metals and mining,
auto
and truck parts manufacturing, and general manufacturing. However, since
year
end we have been methodically reducing our cyclical exposure in
anticipation of
a potential economic slowdown. At the same time we have been increasing
our
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SMITH BARNEY SERIES FUND
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exposure to traditional defensive sectors including cable TV,
broadcasting,
media, and wireless telecommunications and paging. We continue to limit
our
overall interest rate risk by limiting overall portfolio average call
adjusted
maturities to the six- to seven-year range.
In the foreign investment area, European countries achieved a year
of
higher-than-expected growth, particularly in the U.K., with the export
sector
being very buoyant. This, coupled with political concerns in the U.S.,
helped
the more solid European currencies strengthen by over 10%. Fears of
resurgent
inflation and concern over sharply rising public borrowing requirements
pushed
longer yields up significantly over the period although shorter rates
moved
little. During the coming months, we anticipate that this will reverse
with
short rates rising by 1% to 2% while longer bonds stabilize.
EQUITY INCOME PORTFOLIO
This past year was a difficult one for utility investors as a
combination of
rising interest rates and continuing concerns about industry deregulation
caused
utility stocks to decline. The majority of the price decline was a
result of
rising long-term interest rates reflecting a stronger economy. Forces of
change
continue to impact all levels of the utility industry and are being
motivated by
a combination of regulatory, political and consumer-driven efforts to
lower
electricity prices. During this transition to a more competitive
environment,
careful stock selection and diversification are essential, as not all
companies
will be affected to the same degree.
The substantial period of underperformance of utilities compared
with the
broad-based equity market appears to have ended. The near term
competitive
pressures and slower growth rates are reflected in the prices of many
individual
issues. During the last quarter of 1994, several utility industry
analysts
increased their recommended portfolio weightings. We expect utilities to
provide
competitive total returns during 1995, when compared to the overall
equity
market. If market volatility increases, utility investors could
outperform as
more defensive sectors attract investment capital.
Our portfolio strategy stresses attractive relative valuation and
positive
fundamental analysis. This includes both our stock and bond
weightings and
individual stock selection. Our current portfolio mix is 78% stocks
(54%
utilities, 19% telecommunication and 5% gas), 18% bonds and 4% cash.
Recent
additions to our holdings include: American Electric Power Inc.,
NIPSCO
Industries Inc., Enron Corporation and Panhandle Eastern Corporation. We
have
sold or reduced our holdings of Dominion Resources of Virginia Inc.
and
Allegheny Power Systems Inc. as we believe the electric utility sector
to be
over-valued relative to the electric utility sector. The total return on
your
investment during the past year was -10.20% compared with the Standard &
Poor's
Daily Price Index of 500 Common Stocks ("S&P 500") which returned 1.31% 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. The Portfolio is currently 87% invested in 486 stocks included in
the S&P
500. The remaining 13% 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
because of legal restrictions. During the past fiscal year, the
Portfolio
provided investors with a total return of 0.85%. By comparison, the
S&P 500
produced a total return of 1.31% for the same period.
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SMITH BARNEY SERIES FUND
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GROWTH AND INCOME PORTFOLIO
This past year was a difficult one for the capital markets. Both stock and
bond
returns in 1994 were well below their long-term averages. Both
reacted
negatively as the Fed increased interest rates during the year. These
Fed
tightenings, and the resulting fears of slower economic growth, have
prompted a
subtle shift in stock market leadership towards the end of the year.
Consumer
companies and other stocks considered to be consistent growers
outperformed at
the expense of more cyclical issues.
The Growth and Income Portfolio concentrates on quality companies with
growing
dividends. Although primarily an equity fund, it does hold several
investment
grade corporate bonds. The Portfolio has a cyclical bent to its stock
holdings,
with a concentration in manufacturing and industrial companies,
and a
de-emphasis on more stable growth sectors. This combination penalized
relative
performance in 1994, as the market favored lower quality and lower
yielding
companies. Also, the underweighting in stable growth sectors penalized
relative
performance towards year end. The total return on your investment
during the
past year was -3.20% compared with 1.31% for the S&P 500 during the same
period.
Within the Growth and Income Portfolio, we continue to emphasize
economically
sensitive stocks. It is our belief that the longer-term outlook for
industrial
and manufacturing stocks remains intact. These companies are world-class,
and
costs are low while product quality is high. They are also benefiting
from the
infrastructure investments by emerging market economies. We believe
that
manufacturing and industrial stocks will be the premier performers in the
'90s.
APPRECIATION PORTFOLIO
Although the investment background in 1994 was difficult, with our
cautious
approach the Appreciation Portfolio continued to offer a relatively good
haven
for investors. In a period marked by a series of negative events
for the
financial markets, we believe our approach of investing in top-quality
companies
with solid managements, excellent financials and attractive growth
prospects is
a time-proven method for long-term growth of capital.
In our opinion, the weakness in the financial markets during the first
half of
1994 was due more to the process of reversing the prior speculative
excesses in
NASDAQ, emerging foreign markets, and the new issue market than to the
upturn in
interest rates. Since midyear, however, interest rates have continued to
rise,
partly because of a strong economy, but also due to an acceleration of
de-
leveraging by "derivative players." This has caused the overall market to
stall
and some areas of the market to go through full-scale washouts.
While the overall market did not provide good returns in 1994, there were
some
good winners in the Portfolio, including Johnson & Johnson, Amoco
Corporation,
American International Group Inc., Gillette Company and Coca-Cola
Company.
However, part of the difficulty with the market was the rapidity with
which
stocks would decline on either no news, or even on news which was positive
but
did not exceed high expectations. Stocks such as Eastman Kodak Company,
duPont
(E.I.) De Nemours & Company, Federal National Mortgage Corporation and
Xerox
Corporation, which were big winners early in the year, saw much of their
gains
erased in a matter of days. We also had our share of poor performers,
primarily
in the auto and financial sectors. Despite good earnings results, the
stocks of
companies in these sectors corrected with the rise in interest rates. We
believe
that the fundamental outlook for these companies remains good and that
the
stocks have overreacted on the downside. The total return on your
investment
during the past year was -1.12% compared to 1.31% for the S&P 500 during
the
same period.
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SMITH BARNEY SERIES FUND
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We enter 1995 with a more optimistic outlook than we had 12 months ago as
many
of the conditions that concerned us in early 1994 have been resolved.
The
Portfolio is well positioned for potential growth in what we expect to be a
less
hostile environment this year. The recent Orange County, California,
fiasco and
the unraveling of the Mexican market have proven once again that reaching
for
unreasonable returns carries high risks. We will continue to
manage the
Portfolio, not just for growth in good times, but also for
preservation of
capital and low volatility in challenging times.
EMERGING GROWTH PORTFOLIO
The Emerging Growth Portfolio fell 7.48% during 1994, declining with a
market
that was in a correction caused by rising interest rates. The NASDAQ
Composite
Index fell 3.20% over the same period. The market correction more
severely
impacted the high growth stocks that comprise the majority of assets in
the
Portfolio, as many investors decided to take the large gains many of
these
stocks had enjoyed over the previous three years. There was also a
desire by
some investors to reduce perceived risk in a less hospitable investment
climate.
The first half of the year was particularly difficult, with the
Portfolio
declining 11.7%, followed by a rebound in the second half as the
Portfolio
gained 4.8%. The rebound was not broadly based as technology stocks
were the
only big winners during the rally.
The investment style employed by the Portfolio is a bottom-up approach
which
focuses on stock selection rather than "market timing" or "sector
rotation."
Risk is controlled by maintaining a broadly diversified portfolio and not
making
big bets on any one sector or stock. Usually the Portfolio remains
fully
invested, but cash levels have risen to approximately 10% during the
year in
response to the difficult market. Our objective is to outperform the
market by
picking the best stocks in each sector. This investment style is
designed to
deliver consistent results.
Stocks are selected based on a company's potential to deliver upside
earnings
surprises. To find such companies, we look for rising earnings
estimates and
improving margins. Investments are made in the highest growth companies in
each
sector that meet the screening criteria. In general, these will be
smaller
companies with revenues less than $1 billion. Our biggest gain during the
year
were all technology stocks (reflecting that group's leadership during the
year)
including: Broderbund Software, Inc., LSI Logic Corporation, Tellabs,
Inc.,
Andrew Corporation and Atmel Corporation.
We continue to remain optimistic about the prospect for small
capitalization
stocks. These stocks are still selling at historically low valuation levels
when
compared to larger capitalization stocks, and would benefit strongly from
any
cut in the capital gains tax rate.
TOTAL RETURN PORTFOLIO
The Total Return Portfolio appreciated 7.40% in 1994. This return was
below our
objective of a 12% annual return from capital gains, dividends, interest
and
occasional premiums earned from the sale of options. The 1994
performance,
however, compared favorably with that of the major market indices. Last
year, a
year which frustrated both bulls and bears alike, was a difficult one
punctuated
by one of the worst bond markets since 1927. Higher interest rates often
are a
strong "headwind" for equity values.
The Portfolio's investment adviser, Davis Skaggs Investment Management,
believes
that we are near the end of the trend toward higher interest rates.
Short-term
rates are nearing those at the long
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SMITH BARNEY SERIES FUND
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end, and it is the adviser's opinion that the worst of the news on the
interest
rate front is over. We believe that one of the keys to the stock market is
the
bond market, and we look for a slowing economy and somewhat lower interest
rates
as 1995 unfolds.
The largest position in the Total Return Portfolio is in high quality
real
estate investment trusts (also known as REITs). We believe that, on
average,
REITs should increase their dividends by 7% this
year for a 15% total return. Our second largest sector is in interest
rate
sensitive issues which were under pressure late in 1994 but should
rebound
substantially if 1995 develops as we expect.
Energy stocks make up our third largest holding. As a weighting of the S&P
500,
energy is now at the lowest level in 15 years. We feel that continued
world
business expansion will cause earnings of many energy companies to grow at
rates
faster than that of the S&P 500 in 1995.
If one wanted to choose an "all-ugly" list of stocks, airlines would
qualify. We
believe this sector may outperform the market by as much as a 2-to-1
ratio in
1995 and have chosen to participate in this sector by investing in
convertible
securities. As a general rule, convertible stocks have less volatility
than the
underlying shares but capture much of an upside. Other major positions
include
selected drugs and pharmaceutical companies, leading technology,
communications
and chemical companies.
Our long-term view of the market suggests that we need to lean toward
the
industrial rather than the consumer side of the market. In 1994, our
104-year
financial assets-vs-hard assets chart gave its fourth buy signal since
1890, in
favor of "hard assets." Although this signal is often anticipatory, it
indicates
to us that real estate, natural resource and commodity companies should
make up
an important part of the Portfolio over the next three to five years.
For the fiscal year ended December 31, 1994, the total return on the
Total
Return Portfolio was approximately 7.40% compared to 1.31% for the S&P
500. Our
current cash position is about 29% of assets. These assets will be
committed as
stock prices for selected issues reach our targets.
INTERNATIONAL EQUITY PORTFOLIO
The International Equity Portfolio produced a total return of - 8.36% in
1994,
which compares unfavorably with the 8.06% increase of the Europe, Australia
and
Far East Index ("EAFE Index"). We believe our 1994 decline and
underperformance
of the index was attributable to:
*A relative underweighted position (10.5% at year-end) in yen-
based Japanese stocks which dominated the EAFE Index. The yen
appreciated substantially versus the dollar during 1994.
*Rising global interest rates, which provided an attractive
alternative to equities, and which can cause a price-earnings
multiple compression on growth stocks.
*Sharp declines in selected markets, such as Hong Kong and Mexico,
due to local macroeconomic and political developments.
*Our policy of being virtually fully invested at all times.
6
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SMITH BARNEY SERIES FUND
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The near-term outlook for the international equity markets has been
clouded, not
only by the Mexican peso devaluation, which has caused sympathetic
downward
pressure on other Latin markets, but also by the expectation of
rising
short-term U.S. interest rates.
Nevertheless, corporate earnings growth continues to be good to excellent
and
that gives us continued cause for optimism over the next 12 to 24 months.
Many
non-U.S. companies are restructuring, and the global economic
rebound is
providing cash for renewed merger and acquisition activity (i.e.,
in the
pharmaceutical and food sectors). If the U.S. economy begins to slow, as
some
forecasters are now envisaging, and concerns of recession emerge, we
believe the
superior growth of the non-U.S. markets will again merit attention.
We are keeping with our long-term approach of diversified growth stock
investing
and have not made any major changes in holdings over the past quarter.
Latin
American holdings comprised 14% of the Portfolio of which, due to
price
declines, Mexican holdings comprise less than 5% of the Portfolio. We
have
reexamined all our Mexican positions for potential problems in light of
the
devaluation. The geographic allocation of the Portfolio is now 35%
in the
Pacific Rim, 46% in Europe and 5% in cash. Subsequent to year-end, our
Pacific
Rim holdings suffered losses due to macroeconomic conditions.
However, we
believe this decline was only temporary and, therefore, have not
significantly
adjusted the Portfolio's holdings in the Pacific Rim.
IN CONCLUSION
The table below summarizes the performance of the Smith Barney Series
Fund for
1994.
<TABLE>
<S> <C>
1994 PERFORMANCE SUMMARY
PORTFOLIO TOTAL
RETURN
------------------------------------------------------------------ ------
- ------
Money Market......................................................
3.56%
Intermediate High Grade........................................... -
3.05%
Diversified Strategic Income...................................... -
2.81%
Equity Income..................................................... -
10.20%
Equity Index......................................................
0.85%
Growth & Income................................................... -
3.20%
Appreciation...................................................... -
1.12%
Emerging Growth................................................... -
7.48%
Total Return......................................................
7.40%
International Equity.............................................. -
8.36%
</TABLE>
We want to thank you for your participation in the Smith Barney Series Fund
and
pledge out best efforts to achieve competitive returns in changing
market and
economic environments. We look forward to meeting your financial needs in
the
years to come.
Sincerely,
HEATH B. MCLENDON
Chairman of the Board
and Investment Officer
February 13, 1995
7
<PAGE>
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PERFORMANCE COMPARISON - INTERMEDIATE HIGH GRADE PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (3.05)% (3.24)%
Inception
10/16/91
through
12/31/94 3.85% 2.59%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Intermediate High Grade Portfolio on October 16, 1991
(inception)
with that of a similar investment in the Lehman Brothers Aggregate Bond
Index.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used. Figures for the
Lehman Brothers Aggregate Bond Index, an unmanaged index, are composed of
the
Lehman Intermediate Government/Corporate Bond Index and the Mortgage-Backed
Securities Index and includes treasury issues, agency issues, corporate
bond
issues and mortgage-backed securities.
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 Grade Fund shares on October 16, 1991 through December
31,
1994 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:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares Lehman Brothers
Month Ended of the Fund Aggregate Bond Index
<S> <C> <C>
10/16/91 $10,000 --
10/91 $10,000 $10,000
11/91 $10,030 $10,092
12/91 $10,240 $10,392
03/92 $10,085 $10,259
06/92 $10,407 $10,674
09/92 $10,844 $11,132
12/92 $10,781 $11,161
03/93 $11,160 $11,623
06/93 $11,352 $11,932
09/93 $11,631 $12,243
12/93 $11,643 $12,250
3/94 $11,411 $11,898
6/94 $11,185 $11,775
9/94 $11,218 $11,847
12/94 $11,287 $11,892
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from October 16, 1991 to the present. A shareholder's actual return for
periods
during which waivers and reimbursements were in effect would be the higher
of
the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - DIVERSIFIED STRATEGIC INCOME PORTFOLIO AS OF
12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (2.81)% N/A
Inception
10/16/91
through
12/31/94 3.74% 3.52%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Diversified Strategic Income Portfolio on October 16, 1991
(inception) with that of a similar investment in the Lehman Brothers
Aggregate
Bond Index. Index information is available at month-end only; therefore,
the
closest month-end to inception date of the Portfolio has been used. Figures
for
the Lehman Brothers Aggregate Bond Index, an unmanaged index, are composed
of
the Lehman Intermediate Government/Corporate Bond Index and the Mortgage-
Backed
Securities Index and includes treasury issues, agency issues, corporate
bond
issues and mortgage-backed securities.
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 Fund shares on October 16, 1991 through
December 31, 1994 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:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares Lehman Brothers
Month Ended of the Fund Aggregate Bond Index
<S> <C> <C>
10/16/91 $10,000 --
10/91 $10,000 $10,000
11/91 $10,020 $10,092
12/91 $10,140 $10,392
03/92 $ 9,930 $10,259
06/92 $10,270 $10,674
09/92 $10,354 $11,132
12/92 $10,284 $11,161
03/93 $10,749 $11,623
06/93 $11,027 $11,932
09/93 $11,287 $12,243
12/93 $11,576 $12,250
3/94 $11,310 $11,898
6/94 $11,208 $11,775
9/94 $11,247 $11,847
12/94 $11,251 $11,892
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from October 16, 1991 to December 31, 1993. A shareholder's actual return
for
periods during which waivers and reimbursements were in effect would be the
higher of the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
8
<PAGE>
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - EQUITY INCOME PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (10.20)% N/A
Inception
10/16/91
through
12/31/94 3.88% 3.72%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Equity Income Portfolio on October 16, 1991 (inception) with
that
of a similar investment in the Variable Annuity Lipper Equity Income Funds
Peer
Group Average and S&P 500 Stock Index. Index information is available at
month-end only; therefore, the closest month-end to inception date of the
Portfolio has been used. The S&P 500 Stock Index is an unmanaged index
composed
of 500 widely held common stocks listed on the New York Stock Exchange,
American
Stock Exchange and over-the-counter market.
The Variable Annuity Lipper Equity Income Funds Peer Group Average is
composed
of 41 equity income variable annuities.
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 Fund shares on October 16, 1991 through December 31, 1994 as
compared
with the growth of a $10,000 investment in Standard & Poor's 500 Index and
Variable Annuity Lipper Equity Income Funds Peer Group Index. The plot
points
used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Investment in the
Growth of $10,000 Variable Annuity
Growth of $10,000 Investment in the Lipper Equity Income
Invested in shares Standard & Poor's Funds Peer Group
Month Ended of the Fund 500 Index Index
<S> <C> <C> <C>
10/16/91 $10,000 -- --
10/91 $10,000 $10,000 $10,000
11/91 $10,020 $ 9,598 $ 9,698
12/91 $10,200 $10,694 $10,434
03/92 $ 9,957 $10,424 $10,392
06/92 $10,522 $10,622 $10,618
09/92 $11,124 $10,957 $10,918
12/92 $11,397 $11,508 $11,463
03/93 $12,268 $12,011 $12,298
06/93 $12,545 $12,068 $12,556
09/93 $13,080 $12,379 $13,105
12/93 $12,583 $12,667 $13,170
3/94 $11,554 $12,188 $12,753
6/94 $11,144 $12,238 $12,877
9/94 $11,163 $11,836 $13,445
12/94 $11,300 $12,833 $13,185
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from October 16, 1991 to December 31, 1992. A shareholder's actual return
for
periods during which waivers and reimbursements were in effect would be the
higher of the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - GROWTH & INCOME PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (3.20)% N/A
Inception
10/16/91
through
12/31/94 4.77% 4.31%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Growth & Income Portfolio on October 16, 1991 (inception)
with
that of a similar investment in the Variable Annuity Lipper Growth & Income
Funds Peer Group Average and S&P 500 Stock Index. Index information is
available
at month-end only; therefore, the closest month-end to inception date of
the
Portfolio has been used. The S&P 500 Stock Index is an unmanaged index
composed
of 500 widely held common stocks listed on the New York Stock Exchange,
American
Stock Exchange and over-the-counter market.
The Variable Annuity Lipper Growth & Income Funds Peer Group Average is
composed
of 40 growth and income variable annuities.
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 Fund shares on October 16, 1991 through December 31, 1994 as
compared
with the growth of a $10,000 investment in Standard & Poor's 500 Index and
Variable Annuity Lipper Growth & Income Funds Peer Group Index. The plot
points
used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Investment in the
Growth of $10,000 Variable Annuity
Growth of $10,000 Investment in the Lipper Growth &
Invested in shares Standard & Poor's Income Funds Peer
Month Ended of the Fund 500 Index Group Index
<S> <C> <C> <C>
10/16/91 $10,000 -- --
10/91 $10,000 $10,000 $10,000
11/91 $ 9,720 $ 9,598 $ 9,614
12/91 $10,140 $10,694 $10,521
03/92 $10,070 $10,424 $10,513
06/92 $10,261 $10,622 $10,520
09/92 $10,556 $10,957 $10,827
12/92 $10,995 $11,508 $11,448
03/93 $11,325 $12,011 $11,959
06/93 $11,315 $12,068 $12,086
09/93 $11,618 $12,379 $12,532
12/93 $11,995 $12,667 $12,840
3/94 $11,502 $12,188 $12,442
6/94 $11,452 $12,238 $12,403
9/94 $11,794 $11,836 $12,991
12/94 $11,611 $12,833 $12,804
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from October 16, 1991 to December 31, 1993. A shareholder's actual return
for
periods during which waivers and reimbursements were in effect would be the
higher of the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
9
<PAGE>
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - APPRECIATION PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (1.12)% N/A
Inception
10/16/91
through
12/31/94 5.27% 5.21%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Appreciation Portfolio on October 16, 1991 (inception) with
that
of a similar investment in the S&P 500 Stock Index. Index information is
available at month-end only; therefore, the closest month-end to inception
date
of the portfolio has been used. The S&P 500 Stock Index is an unmanaged
index
composed of 500 widely held common stocks listed on the New York Stock
Exchange,
American Stock Exchange and over-the-counter market.
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 Fund shares on October 16, 1991 through December 31,
1994 as
compared with the growth of a $10,000 investment in Standard & Poor's 500
Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares Standard & Poor's
Month Ended of the Fund 500 Index
<S> <C> <C>
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 $12,011
06/93 $11,330 $12,068
09/93 $11,583 $12,379
12/93 $11,926 $12,667
3/94 $11,532 $12,188
6/94 $11,618 $12,238
9/94 $11,853 $11,836
12/94 $11,792 $12,833
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from October 16, 1991 to December 31, 1992. A shareholder's actual return
for
periods during which waivers and reimbursements were in effect would be the
higher of the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
10
<PAGE>
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - EMERGING GROWTH PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (7.48)% (7.84)%
Inception
12/3/93
through
12/31/94 (3.43)% (4.33)%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Emerging Growth Portfolio on December 3, 1993 (inception)
with
that of a similar investment in the NASDAQ Composite Index. Index
information is
available at month-end only; therefore, the closest month-end to inception
date
of the Portfolio has been used. NASDAQ Composite Index is a market
capitalization price-only index that tracks the performance of domestic
common
stocks traded on the regular NASDAQ market as well as foreign common stocks
and
ADRs traded on the National Market System.
A line graph depicting the total growth (including reinvestment of
dividends and
capital gains) of a hypothetical investment of $10,000 in Series Fund--
Emerging
Growth Fund shares on December 3, 1993 through December 31, 1994 as
compared
with the growth of a $10,000 investment in the NASDAQ Composite Index. The
plot
points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares NASDAQ Composite
Month Ended of the Fund Index
<S> <C> <C>
11/93 -- $10,000
12/03/93 $10,000 --
12/93 $10,410 $10,297
3/94 $ 9,920 $ 9,855
6/94 $ 9,191 $ 9,357
9/94 $ 9,771 $10,130
12/94 $ 9,631 $ 9,968
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from December 3, 1993 to the present. A shareholder's actual return for
periods
during which waivers and reimbursements were in effect would be the higher
of
the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
11
<PAGE>
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - TOTAL RETURN PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with without
Waiver Waiver
<S> <C> <C>
Year
Ended
12/31/94 7.40% 7.30%
Inception
12/3/93
through
12/31/94 9.82% 9.53%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Total Return Portfolio on December 3, 1993 (inception) with
that
of a similar investment in the Standard & Poor's 500. Index information is
available at month-end only; therefore, the closest month-end to inception
date
of the portfolio has been used. The S&P 500 Stock Index is an unmanaged
index
composed of 500 widely held common stocks listed on the New York Stock
Exchange,
American Stock Exchange, and over-the-counter market.
A line graph depicting the total growth (including reinvestment of
dividends and
capital gains) of a hypothetical investment of $10,000 in Series Fund--
Total
Return Fund shares on December 3, 1993 through December 31, 1994 as
compared
with the growth of a $10,000 investment in Standard & Poor's 500 Index. The
plot
points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares Standard & Poor's
Month Ended of the Fund 500 Index
<S> <C> <C>
11/93 -- $10,000
12/03/93 $10,000 --
12/93 $10,300 $10,121
3/94 $10,514 $ 9,739
6/94 $11,197 $ 9,778
9/94 $11,248 $10,256
12/94 $11,062 $10,253
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from December 3, 1993 to the present. A shareholder's actual return for
periods
during which waivers and reimbursements were in effect would be the higher
of
the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - INTERNATIONAL EQUITY PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (8.36)% (8.51)%
Inception
12/3/93
through
12/31/94 (7.35)% (7.68)%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in International Equity Portfolio on December 3, 1993
(inception)
with that of a similar investment in the Morgan Stanley EAFE Index. Index
information is available at month-end only; therefore, the closest month-
end to
inception date of the portfolio has been used. The Morgan Stanley EAFE
Index is
a composite portfolio consisting of equity total returns for the countries
of
Europe, Australia, New Zealand and countries in the Far East, weighted
based on
each country's gross domestic product.
A line graph depicting the total growth (including reinvestment of
dividends and
capital gains) of a hypothetical investment of $10,000 in Series
Fund--International Equity Fund shares on December 3, 1993 through December
31,
1994 as compared with the growth of a $10,000 investment in Morgan Stanley
EAFE
Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares Morgan Stanley
Month Ended of the Fund EAFE Index
<S> <C> <C>
11/93 -- $10,000
12/03/93 $10,000 --
12/93 $10,050 $10,724
3/94 $ 9,370 $11,105
6/94 $ 9,280 $11,682
9/94 $ 9,960 $11,700
12/94 $ 9,210 $11,589
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from December 3, 1993 to the present. A shareholder's actual return for
periods
during which waivers and reimbursements were in effect would be the higher
of
the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
12
<PAGE>
<PAGE>
SMITH BARNEY SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES December 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY
INTERMEDIATE STRATEGIC EQUITY
MARKET HIGH
GRADE INCOME INCOME
ASSETS PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------
<S> <C> <C>
<C> <C>
Portfolio investments, at value :
(Cost $7,140,004; $13,737,993: $56,094,571;
$48,324,433; $9,786,366; $28,913,544;
$77,806,423; $11,196,444; $24,159,162; and
$29,811,507, respectively).
(Note 1) See accompanying schedules:
Securities..................................... $6,824,004
$12,240,483 $50,704,897 $42,808,001
Repurchase agreements.......................... 316,000
789,000 2,277,000 599,000
- ---------------------------------------------------------------------------
- ---------------------------------
Total investments.............................. 7,140,004
13,029,483 52,981,897 43,407,001
Cash and/or foreign currency (a) 782
629 1,132,677 763
Receivable for forward foreign exchange
contracts to sell................................ --
- -- 5,244,545 --
Financial futures contracts - long position,
at value (Cost $1,365,450)(Note 1)
See accompanying schedule....................... --
- -- -- --
Receivable for investment securites sold........... --
- -- 14,783 621,579
Due from affiliated agents (Note 2)................ 11,716
6,649 -- --
Dividends and/or interest receivable .............. 187
260,258 1,210,464 461,572
Receivable for Portfolio shares sold............... --
- -- -- --
Unamortized organization costs (Note 6) 8,937
8,934 9,333 9,331
- ---------------------------------------------------------------------------
- ----------------------------------
Total assets ...................................... 7,161,626
13,305,953 60,593,699 44,500,246
- ---------------------------------------------------------------------------
- ----------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------
Liabilities
- ---------------------------------------------------------------------------
- ----------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------
Aggregate exercise cost of financial
futures-long position......................... --
- -- -- --
Payable for investment securities purchased...... --
- -- -- --
Payable for Portfolio shares redeemed............ 19
228 10,464 14,585
Call option written, at value
(Premiums received $44,274) (Notes 1 and 3)
See accompanying schedule........................ --
- -- -- --
Forward foreign exchange contracts to sell,
at value (Contract cost $5,244,545) (Note 1)
See accompanying schedule........................ --
- -- 5,241,624 --
Transfer agent fees payable (Note 2)............... 3,132
2,373 1,350 1,836
Due to custodian --
- -- -- --
Investment advisory fee payable (Note 2)........... 1,563
4,220 21,200 16,999
Administration fee payable (Note 2)................ 1,042
2,110 9,422 7,555
Accrued legal and audit fees ...................... 4,080
7,361 24,042 31,137
Custodian fees payable (Note 2) ................... 6,669
3,395 10,014 4,354
Accrued Trustees' fees and expenses (Note 2)....... 143
143 143 143
Accrued registration and filing fees............... 1,102
1,291 4,835 1,000
Accrued printing fees.............................. 2,600
2,600 2,600 2,600
Accrued expenses and other payables................ 330
2,070 7,750 2,641
- ---------------------------------------------------------------------------
- ---------------------------------
Total liabilities ................................. 20,680
25,791 5,333,444 82,850
- ---------------------------------------------------------------------------
- ---------------------------------
Net assets applicable to shares of
beneficial interest outstanding ................. $7,140,946
$13,280,162 $55,260,255 $44,417,396
- ---------------------------------------------------------------------------
- ---------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------
</TABLE>
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
EQUITY
GROWTH EMERGING TOTAL INTERNATIONAL
INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
ASSETS PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
<C> <C> <C> <C>
Portfolio investments, at value :
(Cost $7,140,004; $13,737,993: $56,094,571;
$48,324,433; $9,786,366; $28,913,544;
$77,806,423; $11,196,444; $24,159,162; and
$29,811,507, respectively).
(Note 1) See accompanying schedules:
Securities...................................... $9,022,881
$27,340,496 $71,906,700 $11,979,237 $17,726,385 $28,401,425
Repurchase agreements............................. 1,182,000
1,985,000 8,930,000 -- 5,642,000 --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total investments................................ 10,204,881
29,325,496 80,836,700 11,979,237 23,368,385 28,401,425
Cash and/or foreign currency (a) --
708 2,737 2,742 697 43,365
Receivable for forward foreign exchange
contracts to sell. --
- -- -- -- -- --
Financial futures contracts - long position,
at value (Cost $1,365,450)(Note 1)
See accompanying schedule........................ 1,384,050
- -- -- -- -- --
Receivable for investment securites sold......... --
703,985 -- 93,396 38,484 --
Due from affiliated agents (Note 2).............. 31,148
- -- -- 11,385 6,111 8,404
Dividends and/or interest receivable ............ 26,422
123,875 153,810 5,164 64,644 37,602
Receivable for Portfolio shares sold............. --
7,112 -- 6,515 -- --
Unamortized organization costs (Note 6).......... 9,054
9,082 10,219 12,550 12,604 12,621
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total assets ..................................... 11,655,555
30,170,258 81,003,466 12,110,989 23,490,925 28,513,417
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Aggregate exercise cost of financial
futures-long position........................... 1,365,450
- -- -- -- -- --
Payable for investment securities purchased....... --
501,496 -- 536,421 210,300 9,374
Payable for Portfolio shares redeemed............. 4,180
- -- 69,871 -- 34,023 30,084
Call option written, at value
(Premiums received $44,274) (Notes 1 and 3)
See accompanying schedule......................... --
- -- -- -- 14,375 --
Forward foreign exchange contracts to sell,
at value (Contract cost $5,244,545) (Note 1)
See accompanying schedule......................... --
- -- -- -- -- --
Transfer agent fees payable (Note 2).............. 2,682
1,836 1,836 2,547 2,174 2,328
Due to custodian.................................. 27,744
- -- -- -- -- --
Investment advisory fee payable (Note 2).......... 4,006
11,214 37,545 6,377 10,478 19,361
Administration fee payable (Note 2)............... 1,410
4,984 13,653 1,700 3,811 4,555
Accrued legal and audit fees ..................... 6,152
16,380 46,080 10,731 5,068 6,111
Custodian fees payable (Note 2) .................. 14,586
4,224 7,059 7,868 5,164 15,350
Accrued Trustees' fees and expenses (Note 2)...... 143
143 143 143 143 143
Accrued registration and filing fees.............. 441
1,717 1,313 3,442 6,798 8,404
Accrued printing fees............................. 2,600
2,600 2,600 2,600 2,600 2,600
Accrued expenses and other payables............... 749
994 750 102 100 2,301
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total liabilities ................................ 1,430,143
545,588 180,850 571,931 295,034 100,611
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net assets applicable to shares of
beneficial interest outstanding ................. $10,225,412
$29,624,670 $80,822,616 $11,539,058 $23,195,891 $28,412,806
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<FN>
(a) Currency cost basis was $1,125,062 and $43,263 for the Diversified
Strategic Income and International Equity Portfolio,
respectively.
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
SMITH BARNEY SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES December 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY
INTERMEDIATE STRATEGIC EQUITY
MARKET HIGH
GRADE INCOME INCOME
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ----------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------
NET ASSETS REPRESENTED BY
- ---------------------------------------------------------------------------
- ----------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------
<S> <C> <C>
<C> <C>
Shares of beneficial interest outstanding
authorized unlimited number of
shares of $.001 par value......................... $7,141
$1,374 $6,018 $4,502
Additional paid-in capital ......................... 7,133,805
14,238,349 59,214,758 50,332,434
Accumulated net realized gain/(loss)
on securities, futures contracts,
forward foreign exchange contracts, written
options and foreign currency transactions......... --
(425,594) (905,769) (1,629,482)
Undistributed net investment income................. --
174,543 662 627,374
Net unrealized appreciation/(depreciation) of
securities, futures contracts, forward foreign
exchange contracts, written options, foreign
currency transactions and net other assets........ --
(708,510) (3,055,414) (4,917,432)
- ---------------------------------------------------------------------------
- ----------------------------------
Total-representing net assets applicable
to shares of beneficial interest
outstanding ...................................... $7,140,946
$13,280,162 $55,260,255 $44,417,396
- ---------------------------------------------------------------------------
- ----------------------------------
Total number of shares
of beneficial interest outstanding................ 7,140,946
1,374,312 6,018,370 4,502,148
- ---------------------------------------------------------------------------
- ----------------------------------
Net asset value, offering and redemption
price per share of beneficial interest
outstanding....................................... $1.00
$9.66 $9.18 $9.87
- ---------------------------------------------------------------------------
- ----------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
SMITH BARNEY SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) DECEMBER 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
EQUITY GROWTH
EMERGING TOTAL INTERNATIONAL
INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
NET ASSETS REPRESENTED BY
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
<C> <C> <C> <C>
Shares of beneficial interest outstanding
authorized unlimited number of
shares of $.001 par value...................... $875
$2,757 $7,004 $1,198 $2,151 $3,086
Additional paid-in capital ...................... 9,629,252
29,558,685 74,983,079 12,155,969 23,134,679 30,130,146
Accumulated net realized gain/(loss)
on securities, futures contracts,
forward foreign exchange contracts, written
options and foreign currency transactions...... (42,749)
(423,523) 1,392,017 (1,400,902) 686,358 (310,638)
Undistributed net investment income.............. 200,919
74,799 1,410,239 -- 133,581 --
Net unrealized appreciation/(depreciation) of
securities, futures contracts, forward foreign
exchange contracts, written options, foreign
currency transactions and net other assets..... 437,115
411,952 3,030,277 782,793 (760,878) (1,409,788)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total-representing net assets applicable
to shares of beneficial interest
outstanding ................................... $10,225,412
$29,624,670 $80,822,616 $11,539,058 $23,195,891 $28,412,806
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total number of shares
of beneficial interest outstanding............. 874,944
2,757,006 7,004,234 1,198,109 2,151,407 3,086,160
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net asset value, offering and redemption
price per share of beneficial interest
outstanding.................................... $11.69
$10.75 $11.54 $9.63 $10.78 $9.21
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
SMITH BARNEY SERIES FUND
STATEMENTS OF OPERATIONS
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY
INTERMEDIATE STRATEGIC EQUITY
MARKET
HIGH GRADE INCOME INCOME
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------
<S> <C> <C>
<C> <C>
Income:
Dividends (net of withholding taxes) (a)............ --
- -- $62,907 $2,381,677
Interest ........................................... $287,558
$914,252 4,313,546 766,674
- ---------------------------------------------------------------------------
- ------------------------------------
Total income ....................................... 287,558
914,252 4,376,453 3,148,351
- ---------------------------------------------------------------------------
- ------------------------------------
Expenses:
Investment advisory fee (Note 2).................... 19,592
49,279 238,422 223,055
Administration fee (Note 2)......................... 13,062
24,639 105,966 99,135
Custodian fees (Note 2) ............................ 15,660
11,439 68,294 25,543
Transfer agent fees (Note 2) ....................... 5,232
4,940 6,392 3,838
Audit fees ......................................... 9,390
13,992 38,797 39,066
Legal fees ......................................... 7,573
7,573 7,573 7,573
Trustees' fees and expenses (Note 2)................ 3,238
3,238 3,238 3,238
Amortization of organization costs (Note 6)......... 6,046
6,043 6,243 6,241
Other expenses...................................... 2,700
8,722 30,358 8,988
- ---------------------------------------------------------------------------
- ------------------------------------
Total expenses before reimbursements
and waivers ...................................... 82,493
129,865 505,283 416,677
Expense reimbursements and
fee waivers (Note 2) ............................ (33,232)
(25,232) -- --
- ---------------------------------------------------------------------------
- ------------------------------------
Total expenses ..................................... 49,261
104,633 505,283 416,677
- ---------------------------------------------------------------------------
- ------------------------------------
Net investment income/(loss)........................ 238,297
809,619 3,871,170 2,731,674
- ---------------------------------------------------------------------------
- ------------------------------------
Realized and unrealized gain/(loss) on investment
securities and foreign currencies
(Notes 1 and 3):
Net realized gain/(loss) on:
Securities transactions........................... --
(425,633) (1,060,270) (1,629,482)
Futures contracts................................. --
- -- -- --
Written options................................... --
- -- -- --
Forward foreign exchange contracts and
foreign currency transactions.................... --
- -- (500,256) --
- ---------------------------------------------------------------------------
- ------------------------------------
Net realized gain/(loss) on investment securities
and foreign currencies............................ --
(425,633) (1,560,526) (1,629,482)
- ---------------------------------------------------------------------------
- ------------------------------------
Net change in unrealized appreciation/
(depreciation) of:
Securities ....................................... --
(706,692) (3,718,058) (6,956,371)
Written options................................... --
- -- -- --
Forward foreign exchange contracts................ --
- -- (39,946) --
Futures contracts................................. --
- -- -- --
Translation of assets & liabilities in foreign
currencies........................................ --
- -- 70,960 --
- ---------------------------------------------------------------------------
- ------------------------------------
Net unrealized gain/(loss) on investment
securities and foreign currencies................. --
(706,692) (3,687,044) (6,956,371)
- ---------------------------------------------------------------------------
- ------------------------------------
Net realized and unrealized loss on investment
securities and foreign currencies................. --
(1,132,325) (5,247,570) (8,585,853)
- ---------------------------------------------------------------------------
- ------------------------------------
Net increase/(decrease) in net assets
resulting from operations......................... $238,297
($322,706) ($1,376,400) ($5,854,179)
- ---------------------------------------------------------------------------
- ------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------
<FN>
(a) The Equity Income, Equity Index, Growth & Income, Appreciation,
Emerging
Growth and Interational Equity Portfolio had dividend withholding
taxes of
$1.693, $172, $5.517, $7,615, $40 and $30,921
</TABLE>
See accompanying Notes to Financial Statements.
SMITH BARNEY SERIES FUND
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
EQUITY GROWTH
EMERGING TOTAL INTERNATIONAL
INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
<C> <C> <C> <C>
Income:
Dividends (net of withholding taxes) (a)............ $236,206
$726,517 $1,657,502 $47,002 $494,165 $284,416
Interest ........................................... 60,280
250,659 467,319 47,209 193,568 80,491
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total income ....................................... 296,486
977,176 2,124,821 94,211 687,733 364,907
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Expenses:
Investment advisory fee (Note 2).................... 38,236
127,450 444,244 68,528 78,167 193,164
Administration fee (Note 2)......................... 19,119
56,644 161,543 18,274 28,424 45,450
Custodian fees (Note 2) ............................ 49,328
22,719 29,028 25,275 21,438 64,246
Transfer agent fees (Note 2) ....................... 5,011
4,599 2,715 5,952 6,091 6,006
Audit fees ......................................... 12,901
27,828 54,857 13,317 5,608 7,021
Legal fees ......................................... 7,573
7,573 7,573 2,430 2,471 2,484
Trustees' fees and expenses (Note 2)................ 3,238
3,238 3,220 1,699 1,699 1,699
Amortization of organization costs (Note 6)......... 6,102
6,117 6,686 3,235 3,235 3,235
Other expenses...................................... 5,031
8,158 3,115 6,998 10,504 19,541
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total expenses before reimbursements
and waivers ...................................... 146,539
264,326 712,981 145,708 157,637 342,846
Expense reimbursements and
fee waivers (Note 2) ............................. (50,992)
- -- -- (36,136) (15,746) (47,424)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total expenses ..................................... 95,547
264,326 712,981 109,572 141,891 295,422
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net investment income/(loss)........................ 200,939
712,850 1,411,840 (15,361) 545,842 69,485
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Realized and unrealized gain/(loss) on investment
securities and foreign currencies
(Notes 1 and 3):
Net realized gain/(loss) on:
Securities transactions........................... 11,334
(343,937) 2,426,383 (1,399,759) 652,730 (358,963)
Futures contracts................................. (50,433)
- -- -- -- -- --
Written options................................... --
- -- -- -- 33,628 --
Forward foreign exchange contracts and
foreign currency transactions.................... --
- -- -- -- -- (99,005)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net realized gain/(loss) on investment securities
and foreign currencies............................ (39,099)
(343,937) 2,426,383 (1,399,759) 686,358 (457,968)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net change in unrealized appreciation/
(depreciation) of:
Securities ....................................... (72,545)
(1,273,005) (4,664,335) 715,785 (830,167) (1,439,066)
Written options................................... --
- -- -- -- 29,899 --
Forward foreign exchange contracts................ --
- -- -- -- -- 4,903
Futures contracts................................. 14,950
- -- -- -- -- --
Translation of assets & liabilities in foreign
currencies........................................ --
- -- -- -- -- (3,002)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net unrealized gain/(loss) on investment
securities and foreign currencies................. (57,595)
(1,273,005) (4,664,335) 715,785 (800,268) (1,437,165)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net realized and unrealized loss on investment
securities and foreign currencies................. (96,694)
(1,616,942) (2,237,952) (683,974) (113,910) (1,895,133)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net increase/(decrease) in net assets
resulting from operations........................ $104,245
($904,092) ($826,112) ($699,335) $431,932 ($1,825,648)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<FN>
(a) The Equity Income, Equity Index, Growth & Income, Appreciation,
Emerging
See accompanying Notes to Financial Statements.
</TABLE>
15
<PAGE>
SMITH BARNEY SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS For the Year Ended December 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY
INTERMEDIATE STRATEGIC EQUITY
MARKET HIGH
GRADE INCOME INCOME
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)........................ $238,297
$809,619 $3,871,170 $2,731,674
Net realized gain/(loss) on securities,
futures contracts, forward foreign
exchange contracts, written options and foreign
currency transactions during the year............ --
(425,633) (1,560,526) (1,629,482)
Net unrealized appreciation/(depreciation)
of securities, forward foreign exchange
contracts, futures contracts, written options,
currencies and net other assets during the year.. --
(706,692) (3,687,044) (6,956,371)
- ---------------------------------------------------------------------------
- ---------------------------------
Net increase/(decrease) in net assets
resulting from operations ........................ 238,297
(322,706) (1,376,400) (5,854,179)
Dividends from net investment income................ (238,297)
(754,838) (3,209,940) (2,331,772)
Distributions from net realized capital gains....... --
(96,524) -- (117,669)
Distributions from capital.......................... --
- -- (200,460) --
- ---------------------------------------------------------------------------
- ---------------------------------
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales ................................ 9,671,065
5,706,733 18,827,572 3,601,508
Reinvested distributions, at net asset value........ 242,610
851,363 3,410,400 2,449,442
Payments for redemptions ........................... (6,475,417)
(1,963,006) (5,435,332) (13,489,892)
- ---------------------------------------------------------------------------
- ---------------------------------
Increase/(decrease) in net assets from shares
of beneficial interest transactions.............. 3,438,258
4,595,090 16,802,640 (7,438,942)
- ---------------------------------------------------------------------------
- ---------------------------------
Total increase/(decrease) in net assets............. 3,438,258
3,421,022 12,015,840 (15,742,562)
Net assets at beginning of year..................... 3,702,688
9,859,140 43,244,415 60,159,958
- ---------------------------------------------------------------------------
- ---------------------------------
Net assets, at end of year (including
undistributed net investment income
of $0; $174,543; $662; $627,374;
$200,919; $74,799; $1,410,239; $0;
$133,581 and $0, respectively).................... $7,140,946
$13,280,162 $55,260,255 $44,417,396
- ---------------------------------------------------------------------------
- ---------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------
<FN>
See accompanying Notes to Financial Statements.
</TABLE>
STATEMENTS OF ASSETS AND LIABILITIES
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
EQUITY GROWTH
EMERGING TOTAL INTERNATIONAL
INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
<C> <C> <C> <C>
Net investment income/(loss)........................ $200,939
$712,850 $1,411,840 ($15,361) $545,842 $69,485
Net realized gain/(loss) on securities,
futures contracts, forward foreign
exchange contracts, written options and foreign
currency transactions during the year............ (39,099)
(343,937) 2,426,383 (1,399,759) 686,358 (457,968)
Net unrealized appreciation/(depreciation)
of securities, forward foreign exchange
contracts, futures contracts, written options,
currencies and net other assets during the year.. (57,595)
(1,273,005) (4,664,335) 715,785 (800,268) (1,437,165)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net increase/(decrease) in net assets
resulting from operations ........................ 104,245
(904,092) (826,112) (699,335) 431,932 (1,825,648)
Dividends from net investment income................ (111,775)
(667,174) (893,799) (897) (413,990) --
Distributions from net realized capital gains....... (111,690)
- -- -- -- -- --
Distributions from capital.......................... --
- -- -- -- -- --
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales ................................ 2,438,324
7,429,055 10,824,472 11,029,729 20,827,157 25,681,169
Reinvested distributions, at net asset value........ 223,465
667,175 893,799 897 413,991 --
Payments for redemptions ........................... (1,159,262)
(2,448,822) (7,016,905) (1,048,804) (840,368) (1,309,624)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Increase/(decrease) in net assets from shares
of beneficial interest transactions.............. 1,502,527
5,647,408 4,701,366 9,981,822 20,400,780 24,371,545
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total increase/(decrease) in net assets............. 1,383,307
4,076,142 2,981,455 9,281,590 20,418,722 22,545,897
Net assets at beginning of year..................... 8,842,105
25,548,528 77,841,161 2,257,468 2,777,169 5,866,909
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net assets, at end of year (including
undistributed net investment income
of $0; $174,543; $662; $627,374;
$200,919; $74,799; $1,410,239; $0;
$133,581 and $0, respectively).................... $10,225,412
$29,624,670 $80,822,616 $11,539,058 $23,195,891 $28,412,806
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
See accompanying Notes to Financial Statements.
</TABLE>
16
<PAGE>
SMITH BARNEY SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS For the Year Ended December 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY
INTERMEDIATE STRATEGIC EQUITY
MARKET HIGH
GRADE INCOME INCOME
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ------------------------------
- ---------------------------------------------------------------------------
- ------------------------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)........................ $59,637
$337,758 $2,120,233 $2,084,229
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
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
- ---------------------------------------------------------------------------
- -------------------------------
Net increase in net assets
resulting from operations......................... 59,637
429,025 3,297,239 3,023,779
Dividends from net invesment income................ (59,637)
(218,080) (1,827,578) (1,864,027)
Distributions from net realized capital gains...... --
(31,565) (126,471) (38,208)
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
Reinvested distributions, at net asset value....... 55,327
249,645 2,129,857 1,902,234
Payments for redemptions........................... (2,676,898)
(510,783) (1,814,878) (2,005,394)
- ---------------------------------------------------------------------------
- -------------------------------
Increase in net assets from shares
of beneficial interest transactions............. 1,594,567
6,059,180 22,085,911 33,053,155
- ---------------------------------------------------------------------------
- -------------------------------
Total increase in net assets....................... 1,594,567
6,238,560 23,253,294 34,174,699
Net assets at beginning of period.................. 2,108,121
3,620,580 19,991,121 25,985,259
- ---------------------------------------------------------------------------
- -------------------------------
Net assets at end of period (including
undistributed 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
- ---------------------------------------------------------------------------
- -------------------------------
- ---------------------------------------------------------------------------
- -------------------------------
</TABLE>
SMITH BARNEY SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER
31,1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
EQUITY GROWTH
EMERGING TOTAL INTERNATIONAL
INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO*
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
<C> <C> <C> <C>
Net investment income/(loss......................... $112,931
$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......... 113,540
(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.......... 295,138
1,276,241 4,310,589 67,008 39,390 27,377
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net increase in net assets
resulting from operations........................ 521,609
1,672,015 4,705,365 66,760 41,119 24,729
Dividends from net invesment income................. (71,439)
(446,237) (579,472) -- -- --
Distributions from net realized capital gains....... (55,587)
- -- -- -- -- --
Distributions in excess of realized gains........... --
(38,122) -- -- -- --
Distributions from capital.......................... --
- -- -- -- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales................................. 4,842,485
13,336,475 22,133,876 2,190,708 2,736,050 5,842,180
Reinvested distributions, at net asset value........ 127,026
484,359 579,472 -- -- --
Payments for redemptions............................ (699,836)
(410,728) (2,447,740) -- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Increase in net assets from shares
of beneficial interest transactions.............. 4,269,675
13,410,106 20,265,608 2,190,708 2,736,050 5,842,180
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total increase in net assets........................ 4,664,258
14,597,762 24,391,501 2,257,468 2,777,169 5,866,909
Net assets at beginning of period................... 4,177,847
10,950,766 53,449,660 -- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net assets at end of period (including
undistributed net investment income
of $0; $119,762; $0; $227,472;
$111,758; $30,295; $892,198; $895;
$1,729 and $0, respectively)...................... $8,842,105
$25,548,528 $77,841,161 $2,257,468 $2,777,169 $5,866,909
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<FN>
* The Portfolios commenced operations on December 3, 1993.
See accompanying Notes to Financial Statements.
</TABLE>
17
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Smith Barney Series Fund (formerly "Smith Barney Shearson Series Fund")
(the
"Fund") was organized under the laws of the Commonwealth of Massachusetts
on
May 13, 1991 and commenced operations on October 16, 1991. The Fund is
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company established as a
Massachusetts business trust. As of the date of this report, the Fund
offers
ten managed investment portfolios (the "Portfolios"): Money Market
Portfolio,
Intermediate High Grade Portfolio, Diversified Strategic Income Portfolio,
Equity Income Portfolio, Equity Index Portfolio, Growth & Income Portfolio,
Appreciation Portfolio, Emerging Growth Portfolio, Total Return Portfolio
and
International Equity Portfolio. Shares of the Fund can be bought through
investing in a Symphony Annuity (the "Annuity"), an individual flexible
premium
deferred combination fixed and variable annuity contract from IDS Life
Insurance
Company ("IDS Life") or a certificate evidencing your interest in a master
group
flexible premium deferred annuity from IDS Life Insurance Company of New
York
("IDS Life of New York"). Net purchase payments for the Annuity are
allocated
to one or more of the ten subaccounts of the IDS Life Account or the IDS
Life of
New York Account (the "Variable Accounts"). The following is a summary of
significant accounting policies consistently followed by the Fund in the
preparation of its financial statements.
PORTFOLIO VALUATION:
Generally, a Portfolio's investments are valued at market value or, in the
absence of a market value with respect to any portfolio securities, at fair
value as determined by or under the direction of the Fund's Board of
Trustees.
A security that is primarily traded on a U.S. or foreign exchange
(including
securities traded through the National Market System) is valued at the last
sale
price on that exchange or, if there were no sales during the day, at
current
quoted bid price. Portfolio securities that are primarily traded on
foreign
exchanges are generally valued at the preceding closing values of such
securities on their respective exchanges, except that when a significant
occurrence subsequent to the time a value was so established is likely to
have
significantly changed the value, then the fair value of those securities
will be
determined by consideration of other factors by or under the direction of
the
Board of Trustees or its delegates. Over-the-counter securities that are
not
traded through the National Market System and securities listed or traded
on
certain foreign exchanges whose operations are similar to the U.S. over-
the-
counter market are valued on the basis of the bid price at the close of
business
on each day. Investments in U.S. Government securities (other than short-
term
securities) are valued at the average of the quoted bid and asked prices in
the
over-the-counter market. The value of a futures contract equals the
unrealized
gain or loss on the contract, which is determined by marking the contract
to the
current settlement price for a like contract acquired on the day on which
the
futures contract is being valued.
Short-term investments that mature in 60 days or less and securities of the
Money Market Portfolio are valued at amortized cost when the Board of
Trustees
determines that this constitutes fair value. Amortized cost valuation
involves
valuing a portfolio instrument at its cost initially and, thereafter,
assuming a
constant amortization to maturity of any discount or premium, regardless of
the
impact of fluctuating interest rates on the market value of the instrument.
The
Money Market Portfolio attempts to maintain a constant net asset value of
$1.00
per share.
FUTURES CONTRACTS (INTERMEDIATE HIGH GRADE, DIVERSIFIED STRATEGIC INCOME,
EQUITY
INCOME, EQUITY INDEX, GROWTH & INCOME, EMERGING GROWTH, TOTAL RETURN AND
INTERNATIONAL EQUITY PORTFOLIOS):
Upon entering into a futures contract, the Portfolio is required to deposit
with
the broker an amount of cash or cash equivalents equal to a certain
percentage
of the contract amount. This is known as the "initial margin." Subsequent
payments ("variation margin") are made or received by the Portfolio each
day,
depending on the daily fluctuation of the value of the contract.
For financial statement purposes, an amount equal to the settlement amount
of
the contract is included in the Portfolio's Statement of Assets and
Liabilities
as an asset and as an equivalent liability. For long futures positions,
the
asset is marked-to-market daily; for short futures positions, the liability
is
marked-to-market daily. The daily changes in the contract are recorded as
unrealized gains or losses. The Portfolio recognizes a realized gain or
loss
when the contract is closed.
18
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
FOREIGN CURRENCY (DIVERSIFIED STRATEGIC INCOME, GROWTH & INCOME, EMERGING
GROWTH
AND INTERNATIONAL EQUITY PORTFOLIOS):
The books and records of the Portfolio are maintained in United States
(U.S.)
dollars. Foreign currencies, investments and other assets and liabilities
are
translated into U.S. dollars at the exchange rates prevailing at the end of
the
period, and purchases and sales of investment securities, income and
expenses
are translated on the respective dates of such transactions. Unrealized
gains
and losses which result from changes in foreign currency exchange rates
have
been included in the unrealized appreciation/(depreciation) of investments
and
net other assets. Net realized foreign currency gains and losses resulting
from
changes in exchange rates include foreign currency gains and losses between
trade date and settlement date on investment securities transactions,
foreign
currency transactions and the difference between the amounts of interest
and
dividends recorded on the books of the Portfolio and the amount actually
received. The portion of foreign currency gains and losses related to
fluctuation in exchange rates between the initial purchase trade date and
subsequent sale trade date is included in realized gains and losses on
investment securities sold.
FORWARD FOREIGN CURRENCY CONTRACTS (DIVERSIFIED STRATEGIC INCOME, GROWTH
AND
INCOME, EMERGING GROWTH AND INTERNATIONAL EQUITY PORTFOLIOS):
Forward foreign currency contracts are valued at the forward rate and are
marked-to-market daily. The change in market value is recorded by the
Portfolio
as an unrealized gain or loss. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the value
of the
contract at cost and the value at the time that it was closed.
The use of forward foreign currency contracts does not eliminate
fluctuations in
the underlying prices of the Portfolio's investment securities, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts limit the risk of loss due to a decline
in
the value of the hedged currency, they also limit any potential gain that
might
result should the value of the currency increase. In addition, the
Portfolio
could be exposed to risks if the counterparties to the contracts are unable
to
meet the terms of their contracts.
OPTION CONTRACTS (ALL PORTFOLIOS WITH THE EXCEPTION OF MONEY MARKET
PORTFOLIO):
Upon the purchase of a put option or a call option by the Portfolio, the
premium
paid is recorded as an investment, the value of which is marked-to-market
daily.
When a purchased option expires, the Portfolio will realize a loss in the
amount
of the cost of the option. When the Portfolio enters into a closing sale
transaction, the Portfolio will realize a gain or loss depending on whether
the
sales proceeds from the closing sale transaction are greater or less than
the
cost of the option. When the Portfolio exercises a put option, it will
realize
a gain or loss from the sale of the underlying security and the proceeds
from
such sale will be decreased by the premium originally paid. When the
Portfolio
exercises a call option, the cost of the security which the Portfolio
purchases
upon exercise will be increased by the premium originally paid.
When a Portfolio writes a call option or a put option, an amount equal to
the
premium received by the Portfolio is recorded as a liability, the value of
which
is marked-to-market daily. When a written option expires, the Portfolio
realizes a gain equal to the amount of the premium received. When the
Portfolio
enters into a closing purchase transaction, the Portfolio realizes a gain
(or
loss if the cost of the closing purchase transaction exceeds the premium
received when the option was sold) without regard to any unrealized gain or
loss
on the underlying security, and the liability related to such option is
eliminated. When a call option is exercised, the Portfolio realizes a gain
or
loss from the sale of the underlying security and the proceeds from such
sale
are increased by the premium originally received. When a put option is
exercised, the amount of the premium originally received will reduce the
cost of
the security which the Portfolio purchased upon exercise.
19
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 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. Any permanent book and tax basis differences at
fiscal
year-end have been reclassified to reflect the tax characterization.
FEDERAL INCOME TAXES:
The Fund intends that each Portfolio separately qualify as a regulated
investment company by complying with the requirements of the Internal
Revenue
Code of 1986, as amended, applicable to regulated investment companies and
by
distributing all of its taxable income to its shareholders. Therefore, no
Federal income tax provision is required.
2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS
The Money Market Portfolio, Intermediate High Grade Portfolio, Diversified
Strategic Income Portfolio, Equity Income Portfolio and Growth & Income
Portfolio have each entered into an investment advisory agreement (the
"Advisory
Agreement") with a division of Mutual Management Corp., which has been
transferred, effective November 7, 1994, to Smith Barney Mutual Funds
20
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Management Inc. ("SBMFM") (formerly known as "Smith, Barney Advisers,
Inc.").
Mutual Management Corp. and SBMFM are both wholly-owned subsidiaries of
Smith
Barney Holdings Inc. ("Holdings"). Holdings is a wholly owned subsidiary
of The
Travelers Inc. ("Travelers"). Under the Advisory Agreement, the Money
Market
Portfolio, Intermediate High Grade Portfolio, Diversified Strategic Income
Portfolio, Equity Income Portfolio and Growth & Income Portfolio each pays
a
monthly fee at the annual rates of 0.30%, 0.40%, 0.45%, 0.45% and 0.45%,
respectively, of the value of their average daily net assets.
The Equity Index Portfolio has entered into an investment advisory
agreement
with PanAgora Asset Management Inc. ("PanAgora"). PanAgora is 50% owned by
Nippon Life Insurance Company and 50% is owned by Lehman Brothers Inc.
Under
the investment advisory agreement, the Equity Index Portfolio pays a
monthly fee
at the annual rate of 0.40% of the value of its average daily net assets.
The Appreciation Portfolio, Total Return Portfolio and International Equity
Portfolio have entered into investment advisory agreements with SBMFM.
Under
the investment advisory agreements, the Portfolios pay a monthly fee at the
annual rates of 0.55%, 0.55% and 0.85%, respectively, of the value of their
average daily net assets.
The Emerging Growth Portfolio has entered into an investment advisory
agreement
with American Capital Asset Management, Inc. Under the investment advisory
agreement, the Emerging Growth Portfolio pays a monthly fee at the annual
rate
of 0.75% of the value of its average daily net assets.
Smith Barney Global Capital Management, Inc. ("SBGCM") serves as sub-
investment
adviser to the Diversified Strategic Income Portfolio and is paid a monthly
fee
by SBMFM 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
SBGCM.
Prior to April 20, 1994, each Portfolio was party to an administration
agreement
with The Boston Company Advisors, Inc. ("Boston Advisors"), an indirect
wholly
owned subsidiary of Mellon Bank Corporation ("Mellon"). Under the
agreements,
each Portfolio paid a monthly fee at the annual rate of 0.20% of the value
of
its average daily net assets.
As of the close of business on April 20, 1994, SBMFM succeeded Boston
Advisors
as each Portfolio's administrator. The new administration agreements
contains
substantially the same terms and conditions, including the same level of
fees,
as the predecessor agreements.
As of the close of business on April 20, 1994, each Portfolio also entered
into
a sub-administration agreement (the "Sub-Administration Agreement") with
Boston
Advisors. Under the Sub-Administration Agreement, Boston Advisors is paid
a
portion of the fee paid by the Portfolios to SBMFM at a rate agreed upon
from
time to time between SBMFM and Boston Advisors.
Boston Safe Deposit and Trust Company ("Boston Safe"), an indirect wholly
owned
subsidiary of Mellon, serves as the Fund's custodian. The Shareholder
Services
Group, Inc. ("TSSG"), a subsidiary of First Data Corporation, serves as the
Fund's transfer and dividend paying agent.
The agreements provide that if the aggregate expenses of a Portfolio
exclusive
of interest, taxes, brokerage expenses and extraordinary expenses, exceed
the
agreed upon limitation, the relevant investment adviser, SBGCM, SBMFM,
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.
21
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
For the year ended December 31, 1994, the investment advisers,
administrator,
transfer agent and custodian reimbursed and/or waived fees pursuant to the
above
agreements as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
- ------------------------------------
TOTAL INVESTMENT
BOSTON
FEE WAIVERS ADVISERS
ADMINISTRATOR TSSG SAFE
<S> <C> <C> <C>
<C> <C>
Money Market Portfolio . . . . . . . . . $16,616 $ 6,198
$4,132 $1,582 $ 4,704
Intermediate High Grade Portfolio. . . . 12,616 6,939
3,470 704 1,503
Equity Index Portfolio . . . . . . . . . 25,496 9,185
4,592 1,201 10,518
Emerging Growth Portfolio. . . . . . . . 18,068 10,509
2,802 767 3,990
Total Return Portfolio . . . . . . . . . 7,873 4,652
1,692 297 1,232
International Equity Portfolio . . . . . 23,712 14,886
3,503 385 4,938
- ---------------------------------------------------------------------------
- -----------------------------------
</TABLE>
For the year ended December 31, 1994, IDS Life reimbursed expenses pursuant
to
the above agreements as follows:
<TABLE>
- ---------------------------------------------------------------------------
- -----
<S> <C>
Money Market Portfolio . . . . . . . . . . $16,616
Intermediate High Grade Portfolio. . . . . 12,616
Equity Index Portfolio . . . . . . . . . . 25,496
Emerging Growth Portfolio. . . . . . . . . 18,068
Total Return Portfolio . . . . . . . . . . 7,873
International Equity Portfolio . . . . . . 23,712
- ---------------------------------------------------------------------------
- -----
</TABLE>
For the year ended December 31, 1994, the Fund incurred total brokerage
commissions of $455,841 of which $18,774 was paid to Smith Barney, Inc.
("Smith
Barney").
At December 31, 1994, the Variable Accounts owned all of the outstanding
shares
of the ten Portfolios as investment accounts for the Annuities offered by
IDS
Life and IDS Life of New York.
No officer, director or employee of Smith Barney, PanAgora or any of their
affiliates receives any compensation from the Fund for serving as a Trustee
or
officer of the Fund. The Fund pays each Trustee who is not a director,
officer
or employee of Smith Barney or PanAgora or any of their affiliates $5,000
per
annum plus $500 per meeting attended and reimburses each Trustee for travel
and
out-of-pocket expenses.
22
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. PURCHASES AND SALES OF SECURITIES
Costs of purchases and proceeds from sales of securities, excluding short-
term
obligations, during the year ended December 31, 1994 were as follows:
<TABLE>
<CAPTION>
DIVERSIFIED
INTERMEDIATE STRATEGIC EQUITY EQUITY
GROWTH EMERGING TOTAL INTERNATIONAL
HIGH GRADE INCOME INCOME INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
<C> <C> <C> <C>
PURCHASES:
GOV'T. SECURITIES $10,983,738 $13,168,995 - -
- - - - $989,100 -
OTHER SECURITIES 3,657,161 14,904,482 $10,144,089 $1,712,168
$26,090,798 $47,946,662 $14,639,837 27,158,934 $30,138,515
SALES:
GOV'T SECURITIES 9,354,078 3,846,470 - -
- - - - 1,067,150 -
OTHER SECURITIES 1,123,592 9,044,116 14,437,135 121,154
20,277,066 42,317,167 5,253,423 11,021,318 2,460,597
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
</TABLE>
Option activity for Total Return Portfolio for the year ended December 31,
1994
was as follows:
<TABLE>
<CAPTION>
NUMBER OF
PREMIUMS CONTRACTS
-------- ---------
<S> <C> <C>
Written options outstanding at
December 31, 1993 0 0
Written options opened during the period $115,067 280
Options cancelled in closing purchase
transactions (70,793) (230)
- -------------------------------------------------------------------------
Written options outstanding at December
31, 1994 $44,274 50
- -------------------------------------------------------------------------
</TABLE>
4. SHARES OF BENEFICIAL INTEREST TRANSACTIONS
Transactions in shares of each Portfolio were as follows:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/94 12/31/93
- ---------------------------------------------------------------------------
- -----
<S> <C> <C>
MONEY MARKET PORTFOLIO:
Sold . . . . . . . . . . . . . . . 9,671,065 4,216,138
Issued as reinvestment of
distributions. . . . . . . . . . 242,610 55,327
Redeemed . . . . . . . . . . . . . (6,475,417) (2,676,898)
----------- -----------
Net increase . . . . . . . . . . . 3,438,258 1,594,567
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
</TABLE>
23
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/94 12/31/93*
- ---------------------------------------------------------------------------
- -----
<S> <C> <C>
INTERMEDIATE HIGH GRADE PORTFOLIO:
Sold . . . . . . . . . . . . . . . 564,424 594,646
Issued as reinvestment of
distributions. . . . . . . . . . 85,472 23,455
Redeemed . . . . . . . . . . . . . (197,590) (48,017)
----------- -----------
Net increase . . . . . . . . . . . 452,306 570,084
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
DIVERSIFIED STRATEGIC INCOME PORTFOLIO:
Sold . . . . . . . . . . . . . . . 1,945,230 2,183,374
Issued as reinvestment of
distributions. . . . . . . . . . 359,109 214,341
Redeemed . . . . . . . . . . . . . (580,248) (183,226)
---------- ----------
Net increase . . . . . . . . . . . 1,724,091 2,214,489
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
EQUITY INCOME PORTFOLIO:
Sold . . . . . . . . . . . . . . . 347,468 2,836,381
Issued as reinvestment of
distributions. . . . . . . . . . 237,447 162,501
Redeemed . . . . . . . . . . . . . (1,293,068) (172,201)
---------- ----------
Net increase/(decrease). . . . . . (708,153) 2,826,681
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- ------
EQUITY INDEX PORTFOLIO:
Sold . . . . . . . . . . . . . . . 210,404 420,506
Issued as reinvestment of
distributions. . . . . . . . . . 19,828 11,433
Redeemed . . . . . . . . . . . . . (98,160) (59,811)
---------- ----------
Net increase . . . . . . . . . . . 132,072 372,128
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
GROWTH & INCOME PORTFOLIO:
Sold . . . . . . . . . . . . . . . 671,652 1,214,676
Issued as reinvestment of
distributions. . . . . . . . . . 61,176 43,827
Redeemed . . . . . . . . . . . . . (222,279) (37,111)
---------- ----------
Net increase . . . . . . . . . . . 510,549 1,221,392
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
</TABLE>
24
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/94 12/31/93*
- ---------------------------------------------------------------------------
- -----
<S> <C> <C>
APPRECIATION PORTFOLIO:
Sold . . . . . . . . . . . . . . . 932,854 1,952,237
Issued as reinvestment of
distributions. . . . . . . . . . 78,610 52,441
Redeemed . . . . . . . . . . . . . (601,153) (213,912)
---------- ----------
Net increase . . . . . . . . . . . 410,311 1,790,766
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
EMERGING GROWTH PORTFOLIO:
Sold . . . . . . . . . . . . . . . 1,090,077 216,901
Issued as reinvestment of
distributions. . . . . . . . . . 88 -
Redeemed . . . . . . . . . . . . . (108,957) -
---------- ----------
Net increase 981,208 216,901
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
TOTAL RETURN PORTFOLIO:
Sold . . . . . . . . . . . . . . . 1,921,345 269,587
Issued as reinvestment of
distributions. . . . . . . . . . 37,914 -
Redeemed . . . . . . . . . . . . . (77,439) -
---------- ----------
Net increase . . . . . . . . . . . 1,881,820 269,587
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
INTERNATIONAL EQUITY PORTFOLIO:
Sold 2,639,835 583,970
Redeemed . . . . . . . . . . . . . (137,645) -
---------- ----------
Net increase . . . . . . . . . . . 2,502,190 583,970
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
<FN>
*The Emerging Growth, Total Return and International Equity Portfolios
commenced
operations on December 3, 1993.
</TABLE>
25
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ----------------------------------------------------------------------
5. FINANCIAL HIGHLIGHT INFORMATION
FOR THE YEAR ENDED DECEMBER 31, 1994
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
Diversified
Money Intermediate Strategic
Market High Grade Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of year....................................
$1.000 $10.69 $10.07
Net income from investment operations:
Net investment income **..............................................
0.035 0.61 0.58
Net realized and unrealized
gain/(loss) on investments .........................................
- -- (0.94) (0.86)
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
0.035 (0.33) (0.28)
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.035) (0.61) (0.58)
Distributions from capital gains...................................
- -- (0.09) --
Distributions from capital..........................................
- -- -- (0.03)
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.035) (0.70) (0.61)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of year..........................................
$1.000 $9.66 $9.18
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
3.56% (3.05)% (2.81)%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of year (000's).......................................
$7,141 $13,280 $55,260
Ratio of operating expenses to
average net assets ++.................................................
0.75% 0.85% 0.95%
Ratio of net investment income/(loss) to
average net assets....................................................
3.65% 6.57% 7.31%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
90% 54%
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
Equity Equity Growth
Income Index & Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of year....................................
$11.55 $11.90 $11.37
Net income from investment operations:
Net investment income **..............................................
0.58 0.23 0.27
Net realized and unrealized
gain/(loss) on investments .........................................
(1.75) (0.14) (0.63)
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
(1.17) 0.09 (0.36)
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.49) (0.15) (0.26)
Distributions from capital gains...................................
(0.02) (0.15) --
Distributions from capital..........................................
- -- -- --
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.51) (0.30) (0.26)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of year..........................................
$9.87 $11.69 $10.75
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
(10.20)% 0.85% (3.20)%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of year (000's).......................................
$44,417 $10,225 $29,625
Ratio of operating expenses to
average net assets ++.................................................
0.84% 1.00% 0.93%
Ratio of net investment income/(loss) to
average net assets....................................................
5.51% 2.10% 2.52%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
21% 1% 77%
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
Emerging Total
Appreciation Growth Return
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of year....................................
$11.80 $10.41 $10.30
Net income from investment operations:
Net investment income **..............................................
0.20 0.00 *** 0.34
Net realized and unrealized
gain/(loss) on investments .........................................
(0.32) (0.78) 0.42 #
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
(0.12) (0.78) 0.76
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.14) 0.00 *** (0.28)
Distributions from capital gains...................................
- -- -- --
Distributions from capital..........................................
- -- -- --
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.14) 0.00 (0.28)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of year..........................................
$11.54 $9.63 $10.78
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
(1.12)% (7.48)% 7.40%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of year (000's).......................................
$80,823 $11,539 $23,196
Ratio of operating expenses to
average net assets ++.................................................
0.88% 1.20% 1.00%
Ratio of net investment income/(loss) to
average net assets....................................................
1.75% (0.17)% 3.84%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
61% 66% 118%
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
International
Equity
Portfolio
- ---------------------------------------------------------------------------
- ----------
- ---------------------------------------------------------------------------
- ----------
<S> <C>
Net asset value, beginning of year....................................
$10.05
Net income from investment operations:
Net investment income **..............................................
0.00 ***
Net realized and unrealized
gain/(loss) on investments .........................................
(0.84)
- ---------------------------------------------------------------------------
- ----------
Total from investment operations......................................
(0.84)
- ---------------------------------------------------------------------------
- ----------
Less distributions:
Dividends from net investment income...............................
- --
Distributions from capital gains...................................
- --
Distributions from capital..........................................
- --
- ---------------------------------------------------------------------------
- ----------
Total distributions...................................................
- --
- ---------------------------------------------------------------------------
- ----------
Net asset value, end of year..........................................
$9.21
- ---------------------------------------------------------------------------
- ----------
Total return +........................................................
(8.36)
- ---------------------------------------------------------------------------
- ----------
Ratios to average net assets/
supplemental data:
Net assets, end of year (000's).......................................
$28,413
Ratio of operating expenses to
average net assets ++.................................................
1.30%
Ratio of net investment income/(loss) to
average net assets....................................................
0.31%
- ---------------------------------------------------------------------------
- ----------
Portfolio turnover rate ..............................................
12%
- ---------------------------------------------------------------------------
- ----------
- ---------------------------------------------------------------------------
- ----------
<FN>
** Net investment income before waiver of fees and reimbursement of
expenses
by investment adviser, administrator and/or custodian and/or transfer
agent
and IDS were:$0.0301, $0.59, N/A , N/A, $0.17 , N/A, N/A, $(0.01),
$0.33
and $0.00, 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, respectively.
*** Amount represents lelss 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:
1.26%, 1.05%, N/A, N/A, 1.53%, N/A, N/A, 1.59%, 1.11%, and 1.51%,
respectively, for the Money Market Portfolio, Intermediate High Grade
Portfolio, Diversified Strategic Income Portfolio, Equity Income
Portfolio,
Equity Index Portfolio, Growth & Income Portfolio, Appreciation
Portfolio,
Emerging Growth Portfolio, Total Return Portfolio and International
Equity
Portfolio.
# The amount shown in this caption for each share outstanding throughout
the
period may not accord with the change in the aggregate gains and
losses in
the portfolio securities for the period because of the timing of
purchases
and withdrawals of shares in relation to the fluctuating market values
of
the portfolio.
</TABLE>
26
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ---------------------------------------------------------------------------
- -----
FINANCIAL HIGHLIGHT INFORMATION (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31,
1993 #
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
Diversified
Money Intermediate Strategic
Market High Grade Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of period..................................
$1.000 $10.29 $9.61
Net income from investment operations:
Net investment income **..............................................
0.023 0.55 0.70
Net realized and unrealized
gain/(loss) on investments .........................................
- -- 0.26 0.47
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
0.023 0.81 1.17
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.023) (0.36) (0.61)
Distributions from capital gains...................................
- -- (0.05) (0.04)
Distributions in excess of realized gains..........................
- -- -- (0.05)
Distributions from capital.........................................
- -- -- (0.01)
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.023) (0.41) (0.71)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of period........................................
$1.000 $10.69 $10.07
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
2.37% 8.00% 12.56%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of period (000's).....................................
$3,703 $9,859 $43,244
Ratio of operating expenses to
average net assets ++.................................................
0.75% 0.85% 1.00%
Ratio of net investment income to
average net assets....................................................
2.34% 5.25% 7.14%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
- -- 139% 94%
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
Equity Equity Growth
Income Index & Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of period..................................
$10.90 $11.27 $10.68
Net income from investment operations:
Net investment income **..............................................
0.53 0.20 0.30
Net realized and unrealized
gain/(loss) on investments .........................................
0.60 0.71 0.67
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
1.13 0.91 0.97
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.47) (0.16) (0.26)
Distributions from capital gains...................................
(0.01) (0.12) --
Distributions in excess of realized gains..........................
- -- -- (0.02)
Distributions from capital.........................................
- -- -- --
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.48) (0.28) (0.28)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of period........................................
$11.55 $11.90 $11.37
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
10.41% 8.66% 9.09%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of period (000's).....................................
$60,160 $8,842 $25,549
Ratio of operating expenses to
average net assets ++.................................................
0.87% 1.00% 1.00%
Ratio of net investment income to
average net assets....................................................
4.54% 1.77% 2.68%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
4% 1% 78%
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
Emerging Total
Appreciation Growth Return
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of period..................................
$11.13 $10.00 $10.00
Net income from investment operations:
Net investment income **..............................................
0.15 0.01 0.01
Net realized and unrealized
gain/(loss) on investments .........................................
0.63 0.40 0.29
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
0.78 0.41 0.30
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.11) -- --
Distributions from capital gains...................................
- -- -- --
Distributions in excess of realized gains..........................
- -- -- --
Distributions from capital.........................................
- -- -- --
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.11) (0.00) (0.00)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of period........................................
$11.80 $10.41 $10.30
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
7.03% 4.10% 3.00%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of period (000's).....................................
$77,843 $2,257 $2,777
Ratio of operating expenses to
average net assets ++.................................................
1.01% 1.05% 0.85%
Ratio of net investment income to
average net assets....................................................
1.35% 1.37% 1.93%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
33% -- --
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
International
Equity
Portfolio
- ---------------------------------------------------------------------------
- ----------
- ---------------------------------------------------------------------------
- ----------
<S> <C>
Net asset value, beginning of period..................................
$10.00
Net income from investment operations:
Net investment income **..............................................
0.00 ***
Net realized and unrealized
gain/(loss) on investments .........................................
0.05
- ---------------------------------------------------------------------------
- ----------
Total from investment operations......................................
0.05
- ---------------------------------------------------------------------------
- ----------
Less distributions:
Dividends from net investment income...............................
- --
Distributions from capital gains...................................
- --
Distributions in excess of realized gains..........................
- --
Distributions from capital.........................................
- --
- ---------------------------------------------------------------------------
- ----------
Total distributions...................................................
(0.00)
- ---------------------------------------------------------------------------
- ----------
Net asset value, end of period........................................
$10.05
- ---------------------------------------------------------------------------
- ----------
Total return +........................................................
0.50%
- ---------------------------------------------------------------------------
- ----------
Ratios to average net assets/
supplemental data:
Net assets, end of period (000's).....................................
$5,867
Ratio of operating expenses to
average net assets ++.................................................
1.08%
Ratio of net investment income to
average net assets....................................................
(0.51)
- ---------------------------------------------------------------------------
- ----------
Portfolio turnover rate ..............................................
- --
- ---------------------------------------------------------------------------
- ----------
- ---------------------------------------------------------------------------
- ----------
<FN>
# The per share amounts have been calculated using the monthly average
shares
method, which more appropriately presents per share data for this year
since use of the undistributed method did not accord with the results
of
operations.
* The Portfolios commenced operations on December 3, 1993.
** Net investment income before waiver of fees and reimbursement of
expenses
by investment adviser and/or custodian and/or transfer agent 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 Income
Portfolio,
Equity Index Portfolio, Growth & Income Portfolio, Appreciation
Portfolio,
Emerging Growth Portfolio, Total Return Portfolio and International
Equity
Portfolio.
</TABLE>
27
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ---------------------------------------------------------------------------
- -----
FINANCIAL HIGHLIGHT INFORMATION (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31,
1992
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
Diversified
Money Intermediate Strategic
Market High Grade Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S>
<C> <C> <C>
Net asset value, beginning of
year.................................................. $1.000
$10.24 $10.14
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.027 0.45 0.67
Net realized and unrealized gain/(loss) on investments
............................. -- 0.08
(0.53)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total from investment
operations....................................................
0.027 0.53 0.14
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Less distributions:
Dividends from net investment
income.............................................. (0.027)
(0.48) (0.67)
Distributions from net realized capital
gains..................................... -- --
- --
Distributions from capital (Note
1)............................................... --
- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total
distributions..............................................................
... (0.027) (0.48) (0.67)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net asset value, end of
year........................................................
$1.000 $10.29 $9.61
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total return
+......................................................................
2.75% 5.28% 1.42%
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of year
(000's).....................................................
$2,108 $3,621 $19,891
Ratio of operating expenses to average net assets
++................................ 0.75% 0.85%
1.00%
Ratio of net investment income to average net
assets................................ 2.79% 4.75%
7.70%
Portfolio turnover rate
............................................................
- -- 124% 65%
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<CAPTION>
Equity Equity
Income Index
Portfolio Portfolio
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
<S>
<C> <C>
Net asset value, beginning of
year.................................................. $10.20
$10.62
- ---------------------------------------------------------------------------
- ----------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.45 0.17
Net realized and unrealized gain/(loss) on investments
............................. 0.72 0.55
- ---------------------------------------------------------------------------
- ----------------------------------------
Total from investment
operations....................................................
1.17 0.72
- ---------------------------------------------------------------------------
- ----------------------------------------
Less distributions:
Dividends from net investment
income.............................................. (0.47)
(0.02)
Distributions from net realized capital
gains..................................... -- (0.05)
Distributions from capital (Note
1)............................................... --
- --
- ---------------------------------------------------------------------------
- ----------------------------------------
Total
distributions..............................................................
... (0.47) (0.07)
- ---------------------------------------------------------------------------
- ----------------------------------------
Net asset value, end of
year........................................................
$10.90 $11.27
- ---------------------------------------------------------------------------
- ----------------------------------------
Total return
+......................................................................
11.74% 6.74%
- ---------------------------------------------------------------------------
- ----------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of year
(000's).....................................................
$25,985 $4,178
Ratio of operating expenses to average net assets
++................................ 1.00% 1.00%
Ratio of net investment income to average net
assets................................ 4.93% 2.10%
Portfolio turnover rate
............................................................
4% 8%
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
<CAPTION>
Growth
& Income Appreciation
Portfolio Portfolio
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
<S>
<C> <C>
Net asset value, beginning of
year.................................................. $10.15
$10.49
- ---------------------------------------------------------------------------
- ----------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.27 0.11
Net realized and unrealized gain/(loss) on investments
............................. 0.55 0.53
- ---------------------------------------------------------------------------
- ----------------------------------------
Total from investment
operations....................................................
0.82 0.64
- ---------------------------------------------------------------------------
- ----------------------------------------
Less distributions:
Dividends from net investment
income.............................................. (0.29)
(0.00) ***
Distributions from net realized capital
gains..................................... -- --
Distributions from capital (Note
1)............................................... (0.00) ***
- --
- ---------------------------------------------------------------------------
- ----------------------------------------
Total
distributions..............................................................
... (0.29) (0.00)
- ---------------------------------------------------------------------------
- ----------------------------------------
Net asset value, end of
year........................................................
$10.68 $11.13
- ---------------------------------------------------------------------------
- ----------------------------------------
Total return
+......................................................................
8.44% 6.13%
- ---------------------------------------------------------------------------
- ----------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of year
(000's).....................................................
$10,951 $53,450
Ratio of operating expenses to average net assets
++................................ 1.00% 1.00%
Ratio of net investment income to average net
assets................................ 3.06% 1.61%
Portfolio turnover rate
............................................................
78% 14%
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
<FN>
** Net investment income before waiver of fees and reimbursement of
expenses
by investment adviser and/or custodian and/or transfer agent were:
$0.013, $0.32, $0.64, $0.43, $0.02, $0.21 and $0.10, respectively.
*** Amount represents less than $0.01.
+ Total return represents aggregate total return for the period
indicated.
++ Operating expense ratios before fees waived and expenses reimbursed by
the
affiliated agents were:
2.18%, 2.28%, 1.41%, 1.27%, 2.89%, 1.65%, 1.16%, respectively.
</TABLE>
28
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ---------------------------------------------------------------------------
- -----
FINANCIAL HIGHLIGHT INFORMATION (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31,
1992
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
Diversified
Money Intermediate Strategic
Market High Grade Income
Portfolio* Portfolio* Portfolio*
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S>
<C> <C> <C>
Net asset value, beginning of
period................................................ $1.000
$10.00 $10.00
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.005 0.03 0.02
Net realized and unrealized gain on investments
.................................... -- 0.21
0.12
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total from investment
operations....................................................
0.005 0.24 0.14
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
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
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total return
+......................................................................
0.53% 2.40% 1.40%
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of period
(000's)................................................... $830
$697 $3,914
Ratio of operating expenses to average net
assets++................................. 0.65% 0.80%
0.94%
Ratio of net investment income to average net
assets................................ 3.35% 4.49%
4.57%
Portfolio turnover rate
............................................................
- -- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<CAPTION>
Equity Equity
Income Index
Portfolio* Portfolio*
- ---------------------------------------------------------------------------
- -----------------------------------------
- ---------------------------------------------------------------------------
- -----------------------------------------
<S>
<C> <C>
Net asset value, beginning of
period................................................ $10.00
$10.00
- ---------------------------------------------------------------------------
- -----------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.02 0.04
Net realized and unrealized gain on investments
.................................... 0.18 0.58
- ---------------------------------------------------------------------------
- -----------------------------------------
Total from investment
operations....................................................
0.20 0.62
- ---------------------------------------------------------------------------
- -----------------------------------------
Less distributions:
Dividends from net investment
income................................................ --
- --
- ---------------------------------------------------------------------------
- -----------------------------------------
Total distributions
- -- --
- ---------------------------------------------------------------------------
- -----------------------------------------
Net assset value, end of period
.................................................... $10.20
$10.62
- ---------------------------------------------------------------------------
- -----------------------------------------
Total return
+......................................................................
2.00% 6.20%
- ---------------------------------------------------------------------------
- -----------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of period
(000's)................................................... $3,900
$1,733
Ratio of operating expenses to average net
assets++................................. 0.93% 0.98%
Ratio of net investment income to average net
assets................................ 4.14% 2.91%
Portfolio turnover rate
............................................................
- -- --
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
<CAPTION>
Growth
& Income Appreciation
Portfolio* Portfolio*
- ---------------------------------------------------------------------------
- -----------------------------------------
- ---------------------------------------------------------------------------
- -----------------------------------------
<S>
<C> <C>
Net asset value, beginning of
period................................................ $10.00
$10.00
- ---------------------------------------------------------------------------
- -----------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.02 0.01
Net realized and unrealized gain on investments
.................................... 0.13 0.48
- ---------------------------------------------------------------------------
- -----------------------------------------
Total from investment
operations....................................................
0.15 0.49
- ---------------------------------------------------------------------------
- -----------------------------------------
Less distributions:
Dividends from net investment
income................................................ --
- --
- ---------------------------------------------------------------------------
- -----------------------------------------
Total distributions
- -- --
- ---------------------------------------------------------------------------
- -----------------------------------------
Net assset value, end of
period..................................................... $10.15
$10.49
- ---------------------------------------------------------------------------
- -----------------------------------------
Total return
+......................................................................
1.40% 4.90%
- ---------------------------------------------------------------------------
- -----------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of period
(000's)................................................... $1,904
$11,436
Ratio of operating expenses to average net
assets++................................. 0.90% 0.94%
Ratio of net investment income to average net
assets................................ 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 agent were:
$(0.029), $(0.14), $(0.01), $(0.01), $(0.05), $(0.05) and $0.00,
respectively.
+ Total return represents aggregate total return for the period
indicated.
++ Annualized operating expense ratios before fees waived and expenses
reimbursed by the affiliated agents were:
21.47%, 26.28%, 7.76%, 8.34%; 7.60%; 20.02% and 3.64%, respectively.
</TABLE>
29
<PAGE>
SMITH BARNEY 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, Money Market Portfolio invests at least 25%
of
its assets in short-term bank instruments and Equity Income Portfolio
invests at
least 25% of its assets in the utility industry. Because of their
concentration
policy, these Portfolios may be subject to greater risk and market
fluctuation
than a portfolio that had securities representing a broader range of
investment
alternatives. Various factors could adversely affect the ability and
inclination of companies in these industries to declare and pay dividends
or
interest and the ability of holders of securities of such companies to
realize
any value from the assets of the issuer upon liquidation or bankruptcy.
8. FOREIGN SECURITIES (DIVERSIFIED STRATEGIC INCOME AND INTERNATIONAL
EQUITY
PORTFOLIOS):
Investing in securities of foreign companies and foreign governments
involves
special risks and considerations not typically associated with investing in
U.S.
companies and the U.S. Government. These risks include revaluation of
currencies and future adverse political and economic developments.
Moreover,
securities of many foreign companies and foreign governments and their
markets
may be less liquid and their prices more volatile than those of securities
of
comparable U.S. companies and the United States Government.
9. LINE OF CREDIT
The Fund and several affiliated entities participate in a $50 million line
of
credit provided by Bank of America (formerly "Continental Bank N.A.") under
an
Amended and Restated Line of Credit Agreement (the "Agreement") dated April
30,
1992 and renewed effective May 31, 1994, primarily for temporary or
emergency
purposes, including the meeting of redemption requests that otherwise might
require the untimely disposition of securities. Under the Agreement, each
Portfolio may generally borrow up to the lesser of $25 million or 25% of
its net
assets adjusted for purposes of the Agreement. However pursuant to the
Fund's
prospectus, each Portfolio may only borrow up to 20% of its net assets.
Interest is payable either at the bank's Money Market Rate or the London
Interbank Offered Rate (LIBOR) plus 0.375% on an annualized basis. Under
the
terms of the agreement, as amended as of May 31, 1994, the Fund and the
other
affiliated entities are charged an aggregate commitment fee of $100,000,
which
is allocated equally among each of the participants. The Agreement
requires,
among other provisions, each participating Portfolio to maintain a ratio of
net
assets (not including funds borrowed pursuant to the Agreement) to
aggregate
amount of indebtness pursuant to the Agreement of no less than 5 to 1.
During
the year ended December 31, 1994, the Equity Income Portfolio had an
average
outstanding daily balance of $9,315 with interest rates ranging from 3.625%
to
3.689%. Interest expense totalled $346 for the year ended December 31,
1994
and has been offset against interest income on the Statement of Operations.
30
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
10. CAPITAL LOSS CARRYFORWARDS
As of December 31, 1994, the following Portfolios had available for Federal
tax
purposes unused capital losses:
<TABLE>
<CAPTION>
EXPIRING IN THE EXPIRING IN
THE
YEAR 2002 YEAR
2001
<S> <C> <C>
Intermediate High Grade Portfolio........ $392,650 -
Diversified Strategic Income Fund........ $800,897 -
Equity Income Portfolio.................. $1,549,024 -
Growth & Income Portfolio................ $342,765 $80,758
Emerging Growth Portfolio................ $1,212,225 $1,143
International Equity Portfolio........... $55,801 -
</TABLE>
11. SUBSEQUENT EVENT
On January 25, 1995, the Board of Trustees of Smith Barney Series Fund
approved
for its sub-trust, Equity Index Portfolio (the "Portfolio"), termination of
the
investment advisory agreement with PanAgora Asset Management Inc.,
effective
March 31, 1995. Furthermore, the Board has proposed, and will submit to
the
Portfolio's shareholders for approval, that the Portfolio enter into a new
investment advisory agreement with Travelers Investment Management Company,
a
wholly-owned subsidiary of Smith Barney Holdings Inc., the parent of the
Portfolio's distributor and administrator. The new investment advisory
agreement would mirror the existing agreement, including the same level of
fees.
31
<PAGE>
SMITH BARNEY SERIES FUND
MONEY MARKET PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMERCIAL PAPER - 73.2%
- ---------------------------------------------------------------------------
- ----
ASSET BACKED SPONSOR - 14.0%
- ---------------------------------------------------------------------------
- ----
Corporate Asset Funding Company, 5.870% (b), due
01/11/1995..........................................$200,000
$199,675
Corporate Receivables Corporation, 6.170% (b), due
02/13/1995.......................................... 300,000
297,814
Preferred Receivables Funding Corporation, 5.880%
(b), due 01/03/1995................................ 250,000
249,919
Working Capital Management, 6.100% (b), due
01/09/1995......................................... 250,000
249,663
----
- ----
997,071
- ---------------------------------------------------------------------------
- ----
FINANCIAL SERVICES - 11.9%
Dean Witter, Discover & Company, 5.890% (b), due
01/13/1995......................................... 300,000
299,415
Goldman Sachs & Company, 5.980% (b), due 01/20/1995. 300,000
299,058
Merrill Lynch, 5.890% (b), due 01/13/1995........... 250,000
249,512
----
- ----
847,985
- ---------------------------------------------------------------------------
- ----
FINANCIAL COMPANIES - 10.6%
AIG Funding, Inc., 6.010% (b), due 01/12/1995....... 310,000
309,433
Ford Motor Credit Corporation, 6.030% (b), due
01/09/1995......................................... 300,000
299,600
General Electric Capital Corporation, 5.450% (b),
due 01/17/1995..................................... 150,000
149,642
----
- ----
758,675
- ---------------------------------------------------------------------------
- ----
BANKING - 8.4%
ABN-AMBRO Holdings, 5.950% (b), due 01/04/1995...... 300,000
299,851
Den Danske, 6.160 % (b), due 01/05/1995............. 300,000
299,795
----
- ----
599,646
- ---------------------------------------------------------------------------
- ----
CONSUMER NON DURABLES - 8.4%
Nestle Capital Corporation, 5.920% (b), due
01/13/1995......................................... 200,000
199,607
Pepsico Inc., 6.000% (b), due 01/06/1995............ 300,000
299,751
Philip Morris Companies Inc., 5.760% (b), due
01/18/1995......................................... 100,000
99,730
----
- ----
599,088
- ---------------------------------------------------------------------------
- ----
BASIC INDUSTRIES - 8.0%
BAT Capital Corporation, 5.860% (b), due 01/03/1995. 300,000
299,903
PHH Corporation, 6.080 % (b), due 01/17/1995........ 275,000
274,261
----
- ----
574,164
- ---------------------------------------------------------------------------
- ----
HEALTHCARE - 4.2%
Smithkline Beecham Corporation, 5.890% (b), due
01/03/1995......................................... 300,000
299,902
- ---------------------------------------------------------------------------
- ----
CONSUMER SERVICES - 4.2%
Penney (J C) Inc., 6.030% (b), due 01/04/1995....... 300,000
299,850
- ---------------------------------------------------------------------------
- ----
TELEPHONE - 3.5%
AT & T Corporation, 6.050% (b), due 01/25/1995...... 250,000
249,000
- ---------------------------------------------------------------------------
- ----
TOTAL COMMERCIAL PAPER (Cost $5,225,381)............
5,225,381
- ---------------------------------------------------------------------------
- ----
U.S. GOVERNMENT AND AGENCY OBLIGATIONS-22.4%
- ---------------------------------------------------------------------------
- ----
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 5.6%
FHLMC, 5.760% (b), due 01/03/1995................... 400,000
399,872
- ---------------------------------------------------------------------------
- ----
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 5.6%
FNMA, 5.930 % (b), due 01/04/1995................... 400,000
399,803
- ---------------------------------------------------------------------------
- ----
FEDERAL FARM CREDIT BANK (FFCB) - 5.6%
FFCB, 5.940% (b), due 01/05/1995.................... 400,000
399,737
- ---------------------------------------------------------------------------
- ----
FEDERAL HOME LOAN BANK (FHLB) - 5.6%
FHLB, 5.940% (b), due 01/13/1995.................... 400,000
399,211
- ---------------------------------------------------------------------------
- ----
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $1,598,623)...................................
1,598,623
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
32
<PAGE>
SMITH BARNEY SERIES FUND
MONEY MARKET PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
- -----------
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- -----------
<S> <C>
<C>
REPURCHASE AGREEMENT - 4.4% (Cost $316,000)
- ---------------------------------------------------------------------------
- -----------
Agreement with Barclays de Zoete Wedd, 5.000% dated
12/30/1994 to be repurchased at $316,173 on 01/03/95
collateralized by $315,000 U.S. Treasury Notes, 8.625%
due 10/15/1995........................................ $316,000
$316,000
- ---------------------------------------------------------------------------
- -----------
TOTAL INVESTMENTS (Cost $7,140,004) (c)................ 100.0 %
7,140,004
OTHER ASSETS AND LIABILITIES (Net)..................... 0.0
942
- ---------------------------------------------------------------------------
- -----------
NET ASSETS............................................. 100.0 %
$7,140,946
- ---------------------------------------------------------------------------
- -----------
<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, 1994, the cost of securities for Federal income tax
purposes
was $7,140,004.
</TABLE>
See accompanying Notes to Financial Statements.
33
<PAGE>
SMITH BARNEY SERIES FUND
INTERMEDIATE HIGH GRADE PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31,
1994
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 53.3%
- ---------------------------------------------------------------------------
- ----
U.S. TREASURY BONDS - 24.6%
11.625% due 11/15/2004........................... $ 440,000 $
551,470
8.125% due 08/15/2019............................ 2,680,000
2,718,297
-----
- ----
3,269,767
- ---------------------------------------------------------------------------
- ----
U.S. TREASURY NOTES - 19.4%
8.500% due 11/15/1995............................ 490,000
495,635
8.500% due 04/15/1997............................ 870,000
883,781
7.000% due 04/15/1999............................ 600,000
582,066
8.500% due 11/15/2000............................ 600,000
619,092
-----
- ----
2,580,574
- ---------------------------------------------------------------------------
- ----
FEDERAL HOME LOAN BANK (FHLB) - 7.2%
FHLB, 7.360% due 07/01/2004...................... 1,000,000
950,350
- ---------------------------------------------------------------------------
- ----
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 2.1%
FNMA, 7.200% due 01/10/2002...................... 300,000
282,849
- ---------------------------------------------------------------------------
- ----
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $7,494,006)................................
7,083,540
- ---------------------------------------------------------------------------
- ----
CORPORATE BONDS AND NOTES - 36.0%
- ---------------------------------------------------------------------------
- ----
BANKING & FINANCE - 17.9%
Associates Corporation of North America, Note,
8.800% due 03/01/1996........................... 500,000
506,250
Bayerische Landesbank, Girozentrale, New York Branch,
Sub. Note, 7.375% due 12/14/2002................ 500,000
475,000
Chrysler Financial Corporation, Note,
5.625% due 01/15/1999........................... 500,000
455,625
Ford Motor Credit Corporation, Note,
8.000% due 10/01/1996........................... 650,000
650,812
International Lease Financial Corporation,
6.500% due 07/15/1997........................... 300,000
288,000
-----
- ----
2,375,687
- ---------------------------------------------------------------------------
- ----
TRANSPORTATION - 5.9%
Boeing Company, Note,
8.375% due 03/01/1996........................... 250,000
252,188
Federal Express Corporation, Note,
9.650% due 06/15/2012........................... 500,000
528,125
-----
- ----
780,313
- ---------------------------------------------------------------------------
- ----
OIL SERVICES - 3.6%
Mobil Corporation, Note,
6.500% due 12/17/1996........................... 485,000
473,481
- ---------------------------------------------------------------------------
- ----
RETAIL - 3.5%
Wal Mart Stores Inc., Note,
8.000% due 05/01/1996........................... 470,000
471,175
- ---------------------------------------------------------------------------
- ----
TELECOMMUNICATIONS - 3.5%
Telecommunications Inc., Medium Term Step Note,
6.580% until 02/14/1999, 8.350% due
02/15/2005...................................... 500,000
460,625
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
INTERMEDIATE HIGH GRADE PORTFOLIO INVESTMENTS IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- ----
PERSONAL CARE PRODUCTS/COSMETICS - 1.6%
Johnson & Johnson, Note,
8.500% due 08/15/1995.......................... $205,000 $
207,050
- ---------------------------------------------------------------------------
- ----
TOTAL CORPORATE BONDS AND NOTES (Cost $5,050,022).
4,768,331
- ---------------------------------------------------------------------------
- ----
FOREIGN BOND - 2.9% (Cost $404,965)
- ---------------------------------------------------------------------------
- ----
Province of Ontario, ADR,
6.125% due 06/28/2000.......................... 430,000
388,612
- ---------------------------------------------------------------------------
- ----
REPURCHASE AGREEMENT - 5.9% (COST $789,000)
- ---------------------------------------------------------------------------
- ----
Agreement with Barclays de Zoete Wedd, 5.000%
dated 12/30/1994 to be repurchased at $789,438
on 01/03/1995 collateralized by $790,000 U.S.
Treasury Notes, 7.250% due 08/31/1996 ......... 789,000
789,000
- ---------------------------------------------------------------------------
- ----
TOTAL INVESTMENTS (Cost $13,737,993) (b)......... 98.1 %
13,029,483
OTHER ASSETS AND LIABILITIES (Net)............... 1.9
250,679
- ---------------------------------------------------------------------------
- ----
NET ASSETS....................................... 100.0 %
$13,280,162
- ---------------------------------------------------------------------------
- ----
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) At December 31, 1994, the cost of securities for Federal income tax
purposes
was $13,737,993 and the aggregate unrealized appreciation and
depreciation
based on that cost was:
Unrealized appreciation....... $0
Unrealized depreciation....... 708,510
---------------------------------------------
Net unrealized depreciation... ($708,510)
---------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31,1994
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 36.1%
- ---------------------------------------------------------------------------
- -------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) - 28.0%
GNMA Pool #0184160, 9.000% due 11/15/2016.................
$189,384 $191,323
GNMA Pool #0226157, 8.000% due 05/15/2017.................
65,505 63,903
GNMA Pool #0224939, 8.000% due 07/15/2017.................
137,826 134,166
GNMA Pool #0229898, 8.000% due 07/15/2017.................
75,726 73,684
GNMA Pool #0234511, 8.000% due 05/15/2018.................
74,899 72,295
GNMA Pool #0249574, 9.000% due 04/15/2018.................
166,839 168,564
GNMA Pool #0212565, 9.000% due 04/15/2018.................
177,557 179,400
GNMA Pool #0261166, 8.000% due 01/15/2019.................
56,956 55,309
GNMA Pool #0278750, 9.000% due 10/15/2019.................
263,526 266,406
GNMA Pool #0281944, 9.000% due 11/15/2019.................
93,792 94,741
GNMA Pool #0282407, 9.000% due 11/15/2019.................
446,348 450,891
GNMA Pool #0277913, 9.000% due 12/15/2019.................
82,483 83,328
GNMA Pool #0284401, 9.000% due 12/15/2019.................
94,407 95,439
GNMA Pool #0200076, 9.000% due 01/15/2020.................
67,597 68,286
GNMA Pool #0283134, 9.000% due 01/15/2020.................
134,019 135,401
GNMA Pool #0285036, 9.000% due 01/15/2020.................
193,769 195,765
GNMA Pool #0282568, 9.000% due 02/15/2020.................
213,892 216,230
GNMA Pool #0269142, 9.000% due 03/15/2020.................
458,310 463,031
GNMA Pool #0283859, 9.000% due 03/15/2020.................
700,915 708,576
GNMA Pool #0284628, 9.000% due 03/15/2020.................
152,540 154,110
GNMA Pool #0311222, 9.000% due 03/15/2020.................
178,350 180,300
GNMA Pool #0261938, 9.000% due 04/15/2020.................
25,625 25,885
GNMA Pool #0282844, 9.000% due 04/15/2020.................
215,266 217,453
GNMA Pool #0293750, 9.000% due 10/15/2020.................
229,075 231,396
GNMA Pool #0300242, 9.000% due 01/15/2021.................
157,184 158,776
GNMA Pool #0299189, 9.000% due 02/15/2021.................
762,247 770,578
GNMA Pool #0305473, 9.000% due 03/15/2021.................
155,515 157,116
GNMA Pool #0305597, 8.000% due 04/15/2021.................
98,538 95,644
GNMA Pool #0305456, 9.000% due 04/15/2021.................
173,215 174,961
GNMA Pool #0291718, 8.000% due 05/15/2021.................
76,294 74,160
GNMA Pool #0307669, 8.000% due 05/15/2021.................
95,924 93,052
GNMA Pool #0296005, 9.000% due 05/15/2021.................
127,750 129,146
GNMA Pool #0308026, 9.000% due 05/15/2021.................
478,529 483,759
GNMA Pool #0304570, 9.000% due 07/15/2021.................
120,976 122,253
GNMA Pool #0302263, 9.000% due 07/15/2021.................
600,885 607,086
GNMA Pool #0308806, 9.000% due 08/15/2021.................
525,853 531,285
GNMA Pool #0307450, 9.000% due 09/15/2021.................
97,640 98,649
GNMA Pool #0310362, 9.000% due 09/15/2021.................
82,269 83,168
GNMA Pool #0297872, 8.000% due 12/15/2021.................
866,435 842,357
GNMA Pool #0325495, 9.000% due 02/15/2022.................
344,563 348,205
GNMA Pool #0323011, 9.000% due 06/15/2022.................
165,839 167,580
GNMA Pool #0329471, 9.000% due 09/15/2022.................
643,220 650,251
GNMA Pool #0380006, 9.000% due 05/15/2024.................
669,004 676,283
GNMA Pool #0388746, 9.000% due 06/15/2024.................
105,449 106,599
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C> <C>
<C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
GNMA Pool #0396873, 9.000% due 07/15/2024.................
$509,449 $515,013
GNMA Pool #0379483, 9.000% due 08/15/2024.................
74,220 75,031
GNMA Pool #0380119, 9.000% due 08/15/2024.................
330,940 334,557
GNMA Pool #0381906, 9.000% due 08/15/2024.................
499,072 504,526
GNMA Pool #0387580, 9.000% due 08/15/2024.................
274,475 277,475
GNMA Pool #0400349, 9.000% due 08/15/2024.................
827,630 836,668
GNMA Pool #0400351, 9.000% due 08/15/2024.................
74,525 75,340
GNMA Pool #0404468, 9.000% due 08/15/2024.................
510,782 516,364
GNMA Pool #0380130, 9.000% due 09/15/2024.................
507,426 512,972
GNMA Pool #0390796, 9.000% due 09/15/2024.................
513,081 518,684
GNMA Pool #0331985, 9.000% due 09/15/2024.................
397,415 401,759
- --------------
15,465,179
- ---------------------------------------------------------------------------
- --------------------
U.S. TREASURY NOTES - 6.1%
6.125% due 12/31/1996.....................................
970,000 943,956
4.750% due 09/30/1998.....................................
2,750,000 2,478,657
- --------------
3,422,613
- ---------------------------------------------------------------------------
- --------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 1.7%
FHLMC Group #54-4608 9.000% due 01/01/2020................
215,589 216,531
FHLMC Group #54-6611 9.000% due 02/01/2020................
13,380 13,439
FHLMC Group #55-3305 9.000% due 02/01/2020................
385,994 387,573
FHLMC Group #55-4415 9.000% due 12/01/2020................
22,675 22,769
FHLMC Group #55-4588 9.000% due 02/01/2021................
53,183 53,397
FHLMC Group #55-4872 9.000% due 05/01/2021................
219,735 220,631
- --------------
914,340
- ---------------------------------------------------------------------------
- --------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 0.2%
FNMA, Canadian Dollar/Australian Dollar/Japanese Yen,
Multi Principal Exchange Rate Linked Security,
12.950% due 03/09/1995....................................
250,000 98,750
- ---------------------------------------------------------------------------
- --------------------
STUDENT LOAN MORTGAGE ASSOCIATION (SLMA) - 0.1%
SLMA, U.S. Dollar/Italian Lira/Spanish Peseta/Deutsche
Mark/Japanese Yen, Multi Currency, Principal Exchange Rate,
11.150% due 04/07/1997....................................
250,000 58,750
- ---------------------------------------------------------------------------
- --------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $21,273,333).....................................
19,959,632
- ---------------------------------------------------------------------------
- --------------------
INTERNATIONAL BONDS - 30.2%
- ---------------------------------------------------------------------------
- --------------------
SPANISH PESATA BONDS - 4.3%
BNCE ,13.000% due 01/29/1997..............................ESP
40,000,000 300,095
Kingdom of Spain, 11.600% due 01/15/1997..................
105,000,000 803,704
Kingdom of Spain, 8.300% due 12/15/1998...................
100,000,000 680,912
Kingdom of Spain, 12.250% due 03/25/2000..................
30,000,000 231,196
Kingdom of Spain, 11.900% due 07/15/1996..................
50,000,000 385,209
- --------------
2,401,116
- ---------------------------------------------------------------------------
- --------------------
AUSTRALIAN DOLLAR BONDS - 3.5%
NSWTC, 12.000% due 12/01/2001.............................AUD
400,000 334,567
Phillipines National Bank, 8.000% due 03/25/1997..........
350,000 270,388
Queensland Treasury Corporation, 8.000% due 05/14/1997....
1,200,000 889,600
Queensland Treasury Corporation, 8.000% due 05/14/2003....
700,000 472,127
- --------------
1,966,682
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C> <C>
<C>
INTERNATIONAL BONDS (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
CANADIAN DOLLAR BONDS - 3.0%
Canadian Government, 7.500% due 07/01/1997................CAD
150,000 $103,825
Canadian Government, 11.750% due 02/01/2003...............
650,000 532,159
Export Finance, 10.250% due 05/29/1996....................
1,000,000 721,128
International Finance, 7.750% due 08/18/1998..............
100,000 67,947
KFW, 9.500% due 05/13/2002................................
300,000 213,131
- --------------
1,638,190
- ---------------------------------------------------------------------------
- --------------------
IRISH PUNTAS BONDS - 2.9%
Republic of Ireland, 8.750% due 07/27/1997................IEP
500,000 778,866
Republic of Ireland, 9.250% due 07/11/2003................
500,000 799,433
- --------------
1,578,299
- ---------------------------------------------------------------------------
- --------------------
NEW ZEALAND DOLLAR BONDS - 2.7%
New Zealand, 8.000% due 11/15/1995........................NZD
1,000,000 631,948
New Zealand, 9.000% due 11/15/1996........................
800,000 507,799
New Zealand, 10.000% due 03/15/2002.......................
500,000 343,880
- --------------
1,483,627
- ---------------------------------------------------------------------------
- --------------------
PORTUGAL ESCUDOS BONDS - 2.5%
Bank of Ireland, 8.750% due 11/25/1998....................PTE
60,000,000 341,681
Euro Investment Bank, 8.875% due 12/15/1998...............
100,000,000 569,076
Euro Investment Bank, 10.125% due 08/03/2000..............
50,000,000 289,454
World Bank, 11.500% due 02/28/1997........................
30,000,000 187,358
- --------------
1,387,569
- ---------------------------------------------------------------------------
- --------------------
SWEDISH KRONA BONDS - 2.3%
European Investment Bank, 10.000% due 02/26/1999..........SEK
5,000,000 660,281
Kingdom of Sweden, 10.750% due 01/21/1997.................
1,000,000 136,262
Kingdom of Sweden, 11.000% due 01/21/1999.................
3,500,000 479,713
- --------------
1,276,256
- ---------------------------------------------------------------------------
- --------------------
GREAT BRITISH POUND STERLING BONDS - 2.3%
Hydro Quebec, 6.500% due 12/09/1998.......................GBP
400,000 568,891
Smith-Kline Beecham, 8.125% due 11/25/1998................
400,000 604,679
United Kingdom, 9.750% due 08/27/2002.....................
50,000 81,794
- --------------
1,255,364
- ---------------------------------------------------------------------------
- --------------------
ITALIAN LIRA BONDS - 2.2%
Cert Di Credito Del Tes, 12.250% due 08/01/1999 .........ITL
600,000,000 368,918
Government of Italy, 12.000% due 01/01/1998...............
500,000,000 309,416
Government of Italy, 9.000% due 10/01/1998................
500,000,000 283,881
Government of Italy, 7.438% due 01/01/1999 (e)............
500,000,000 276,534
- --------------
1,238,749
- ---------------------------------------------------------------------------
- --------------------
FINNISH MARKKA BONDS - 1.4%
Republic of Finland, 6.000% due 01/15/1999................FIM
2,000,000 369,683
Republic of Finland, 9.500% due 03/15/2004................
2,000,000 405,655
- --------------
775,338
- ---------------------------------------------------------------------------
- --------------------
U.S. DOLLAR BONDS - 1.4%
Argentina Government Bond, 4.938% due 05/31/1996 (f).....USD
500,000 164,250
Argentina Government Bond, 7.125% due 03/03/2023 (e).....
300,000 182,625
Mexican Government Bond, Series B, 6.250% due 12/31/2019..
750,000 404,062
- --------------
750,937
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C> <C>
<C>
INTERNATIONAL BONDS (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
DANISH KRONER BONDS - 0.6%
Great Belt, 7.000% due 09/02/2003.........................DKK
1,000,000 $141,987
Kingdom of Denmark, 9.000% due 11/15/1998.................
1,250,000 207,343
- --------------
349,330
- ---------------------------------------------------------------------------
- --------------------
GERMAN MARKS BOND - 0.6%
National Bank of Hungary, 9.250% due 03/17/2000...........DEM
500,000 322,664
- ---------------------------------------------------------------------------
- --------------------
EUROPEAN CURRENCY UNIT BOND - 0.5%
United Kingdom, 9.125% due 02/21/2001.....................ECU
200,000 251,427
- ---------------------------------------------------------------------------
- --------------------
TOTAL INTERNATIONAL BONDS
(Cost $17,071,221).....................................
16,675,548
- ---------------------------------------------------------------------------
- --------------------
CORPORATE BONDS AND NOTES - 24.0%
- ---------------------------------------------------------------------------
- --------------------
COMMUNICATIONS - 2.5%
Bell Cablemedia, Inc., Sr. Disc. Step Note,
Non-interest bearing until 07/15/1999,
11.950% due 07/15/2004....................................
$500,000 267,500
Continental Cablevision, Inc., Sr. Sub. Deb.,
11.000% due 06/01/2007....................................
200,000 203,500
Dial Call Communications, Inc., Sr. Disc. Note,
Zero Coupon due 04/15/2004................................
600,000 225,000
Nextel Communications, Sr. Disc. Step Note,
Non-interest bearing until 02/15/1999,
9.750% due 08/15/2004.....................................
650,000 230,750
Rogers' Cablesystems Ltd.:
Sr. Debenture,
9.650% due 01/15/2014.....................................
250,000 148,815
Sr. Note,
10.125% due 09/01/2012....................................
100,000 96,125
Rogers' Communications Inc., Sr. Deb.,
10.875% due 04/15/2004....................................
100,000 101,250
USA Mobile Communication Inc., Sr. Note,
9.500% due 02/01/2004.....................................
100,000 81,500
- --------------
1,354,440
- ---------------------------------------------------------------------------
- --------------------
PACKAGING & CONTAINERS - 2.2%
Gaylord Container Corporation, Sr. Note,
11.500% due 05/15/2001....................................
250,000 256,875
Repap Wisconsin Inc., 2nd Priority Sr. Note,
9.875% due 05/01/2006.....................................
300,000 261,375
Sea Containers, Ltd., Sr. Sub. Deb.,
12.500% due 12/01/2004....................................
180,000 182,250
Silgan Holdings, Sr. Step Deb.,
Non-interest bearing until 06/15/1996,
13.250% due 12/15/2002....................................
250,000 210,000
Stone Container Corporation, Sr. Note,
10.750% due 10/01/2002....................................
250,000 250,625
United States Can Company, Sr. Sub. Note,
13.500% due 01/15/2002....................................
30,000 32,775
- --------------
1,193,900
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
39
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C>
<C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
HEALTH & PERSONAL CARE - 2.1%
American Medical International Inc., Sr. Sub.,
13.500% due 08/15/2001....................................
$205,000 $224,475
Charter Medical Corp, Sr. Sub. Note,
11.250% due 10/01/2003....................................
200,000 201,000
Gillette Holdings Inc., Sr. Sub. Note,
12.250% due 06/30/2002....................................
125,000 132,344
Healthtrust Inc., The Hospital Company, Sub. Deb.,
10.750% due 05/01/2002....................................
100,000 106,625
MacAndrews & Forbes Group, Sub. Note,
12.250% due 07/01/1996....................................
30,000 29,925
Ornda Healthcorp, Sr. Sub. Note,
12.250% due 05/15/2002....................................
330,000 350,625
Revlon Consumer Products Corporation, Sub. Note,
10.500% due 02/15/2003....................................
125,000 111,875
- --------------
1,156,869
- ---------------------------------------------------------------------------
- --------------------
HOTELS & GAMING - 2.0%
Boyd Gaming Corporation, Series B, Sr. Sub. Note,
10.750% due 09/01/2003....................................
200,000 183,000
Empress River Casino, Finance Note,
10.750% due 04/01/2002....................................
100,000 91,500
GNF Corporation, Guaranteed Mortgage Note,
10.625% due 04/01/2003....................................
200,000 132,000
Remington Arms Inc., Sr. Note,
10.000% due 12/01/2003 (d)................................
200,000 167,000
Station Casinos Inc. Sub. Note,
9.625% due 06/01/2003.....................................
400,000 334,000
Trump Plaza Funding, Inc., Note,
10.875% due 06/15/2001....................................
150,000 114,000
Trump Taj Mahal, First Mortgage Note,
11.350% due 11/15/1999 (b,d)..............................
157,521 104,751
- --------------
1,126,251
- ---------------------------------------------------------------------------
- --------------------
BUILDING & CONSTRUCTION - 1.8%
American Standard, Inc., Sr. Sub. Deb.,
11.375% due 05/15/2004....................................
225,000 230,625
Greystone Homes, Inc., Gtd. Sr. Note,
10.750% due 03/01/2004....................................
250,000 222,188
Hovnanian K Enterprises, Inc., Gtd. Sub. Note,
11.250% due 04/15/2002....................................
150,000 126,188
Miles Homes Services Units, Gtd. Sr. Note,
12.000% due 04/01/2001....................................
50,000 28,500
UDC Homes, Note,
11.750% due 04/30/2003....................................
225,000 150,750
US Home Corporation, New Note,
9.750% due 06/15/2003.....................................
150,000 128,625
Wickes Lumber Company, Sr. Sub. Note,
11.625% due 12/15/2003....................................
100,000 95,000
- --------------
981,876
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
40
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C>
<C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
OIL & NATURAL GAS - 1.6%
Giant Industries Inc., Gtd. Sr. Sub. Note,
9.750% due 11/15/2003.....................................
$242,000 $222,640
Mesa Capital Corporation, Secured Disc. Step Note,
Non-interest bearing until 06/30/1995,
12.750% due 06/30/1998....................................
500,000 428,125
Santa Fe Energy Resource Inc., Sr. Sub. Note,
11.000% due 05/15/2004....................................
200,000 201,000
- --------------
851,765
- ---------------------------------------------------------------------------
- --------------------
AUTOMOBILE AND TRUCK PARTS & MANUFACTURING - 1.3%
Fairfield Manufacturing Inc., Sr. Sub. Note,
11.375% due 07/01/2001....................................
100,000 95,000
SPX Corporation, Sr. Sub. Note,
11.750% due 06/01/2002....................................
200,000 199,000
Truck Components Inc., Sr. Note,
12.750% due 06/30/2001....................................
400,000 422,000
- --------------
716,000
- ---------------------------------------------------------------------------
- --------------------
PAPER & FOREST PRODUCTS - 1.3%
Domtar Inc., Sr. Note,
12.000% due 04/15/2001....................................
300,000 310,500
Riverwood International Corporation, Sr. Sub. Note,
11.250% due 06/15/2002....................................
200,000 207,000
Stone Consolidated Corporation, Sr. Secured Note,
10.250% due 12/15/2000....................................
200,000 195,500
- --------------
713,000
- ---------------------------------------------------------------------------
- --------------------
CHEMICALS - 1.3%
NL Industries Inc., Sr. Secured Note,
11.750% due 10/15/2003....................................
400,000 401,000
UCC Investment Holdings Inc., Sr. Sub. Note,
11.000% due 05/01/2003....................................
200,000 198,500
UCC Investment Holdings Inc., Sub. Disc. Step Note,
Non-interest bearing until 05/01/1998,
12.000% due 05/01/2005....................................
170,000 111,988
- --------------
711,488
- ---------------------------------------------------------------------------
- --------------------
PUBLISHING - 1.2%
Bell & Howell Holdings Co., Sr. Step Debenture,
Non-interest bearing until 03/01/2000,
11.500% due 03/01/2005....................................
250,000 133,750
Marvel III Holdings Inc., Sr. Note,
9.125% due 02/15/1998.....................................
250,000 218,125
Zero Coupon due 04/15/1998................................
125,000 77,500
News America Holdings Inc., Deb.,
8.625% due 02/07/2014...........................................
350,000 204,183
- --------------
633,558
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
41
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C>
<C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
GROCERY & RETAIL - 1.1%
Big V Supermarket Inc., Sr. Sub. Note,
11.000% due 02/15/2004....................................
$150,000 $123,000
Bradlees Inc., Sr. Sub. Note,
11.000% due 08/01/2002....................................
225,000 205,594
Farm Fresh Inc., Sr. Note,
12.250% due 10/01/2000....................................
200,000 172,750
P & C Food Markets Inc., Deb.,
11.500% due 10/15/2001....................................
30,000 30,975
Pathmark Stores Inc., Sr. Note,
12.625% due 06/15/2002....................................
100,000 101,000
- --------------
633,319
- ---------------------------------------------------------------------------
- --------------------
TEXTILES & APPAREL - 0.9%
CMI Industries, Sr. Sub. Note,
9.500% due 04/15/2004.....................................
200,000 166,750
Hartmarx Corporation, Sr. Sub. Note,
10.875% due 01/15/2002....................................
275,000 257,125
JPS Textile Group, Sr. Sub. Note,
10.250% due 06/01/1999....................................
92,000 56,120
- --------------
479,995
- ---------------------------------------------------------------------------
- --------------------
INDUSTRIAL - 0.8%
Federal Industries Ltd, Sr. Note,
10.250% due 06/15/2000....................................
125,000 117,187
Harvard International Technologies, Sr. Note,
12.000% due 07/15/2004....................................
250,000 253,750
Interlake Corporation, Sr. Sub. Deb,
12.125% due 03/01/2002....................................
100,000 93,750
- --------------
464,687
- ---------------------------------------------------------------------------
- --------------------
METALS & MINING - 0.8%
AK Steel Corporation, Sr. Note,
10.750% due 04/01/2004 ...................................
280,000 277,550
Essex Group Inc., Sr. Note,
10.000% due 05/01/2003....................................
200,000 186,250
- --------------
463,800
- ---------------------------------------------------------------------------
- --------------------
CONSUMER DURABLE GOODS - 0.6%
Colman Holdings Inc., Note,
Zero Coupon due 05/27/1998................................
250,000 169,375
International Semi-Tech, Sr. Step Note,
noninterest bearing until 8/15/2000,
11.500% due 08/15/2003....................................
375,000 168,750
- --------------
338,125
- ---------------------------------------------------------------------------
- --------------------
ELECTRONICS & COMPUTERS - 0.5%
Anacomp Inc., Sr. Sub. Note,
15.000% due 11/01/2000....................................
256,000 270,400
- ---------------------------------------------------------------------------
- --------------------
BANKING & FINANCE - 0.4%
Indah Kiat International Finance Company, Gtd. Note,
11.375% due 06/15/1999....................................
250,000 243,125
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
42
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C>
<C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
UTILITIES - 0.3%
Midland Funding Corporation I, Sr. Secured Lease Obligatio
10.330% due 7/23/2002.....................................
$189,336 $183,419
- ---------------------------------------------------------------------------
- --------------------
INSURANCE - 0.2%
Life Partners Group, Inc., Sr. Sub. Deb.,
12.750% due 07/15/2002....................................
125,000 137,031
- ---------------------------------------------------------------------------
- --------------------
AEROSPACE - 0.1%
Tracor Inc., Sr. Sub. Note,
10.875% due 08/15/2001....................................
50,000 48,250
- ---------------------------------------------------------------------------
- --------------------
OTHER - 1.0%
Consolidated Cigar, Sr. Sub. Deb.,
10.500% due 03/01/2003....................................
150,000 135,750
S.D. Warren, Sr. Sub. Note,
12.000% due 12/15/2004 (d)................................
400,000 411,000
- --------------
546,750
- ---------------------------------------------------------------------------
- --------------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $14,566,538).....................................
13,248,048
- ---------------------------------------------------------------------------
- --------------------
SHARES
- ---------------------------------------------------------------------------
- --------------------
PREFERRED STOCK - 1.1% (Cost $697,848)
- ---------------------------------------------------------------------------
- --------------------
Foxmeyer Health Corporation, Pfd,.........................
16,377 528,154
Gulf Canada Resources, Series 1, Pfd, (c).................
40,000 100,000
- -------------
628,154
- ---------------------------------------------------------------------------
- --------------------
PREFERRED CONVERTIBLE STOCK - 0.4% (Cost $200,381)
- ---------------------------------------------------------------------------
- --------------------
Navistar International Corp, Series G, Pfd., Conv. $6.00
3,750 193,125
- ---------------------------------------------------------------------------
- --------------------
WARRANTS - 0.0% (Cost $8,250)
- ---------------------------------------------------------------------------
- --------------------
Dial Call, expire 04/25/2009 (c)..........................
600 90
Miles Home, Inc., expire 04/01/1997 (c)...................
600 300
- --------------
390
- ---------------------------------------------------------------------------
- --------------------
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- --------------------
REPURCHASE AGREEMENT - 4.1% (Cost $2,277,000)
- ---------------------------------------------------------------------------
- --------------------
Agreement with Barclays de Zoete Wedd, 5.000% dated 12/30/1994 to be
repurchased at $2,278,265 on 01/03/1995 collateralized by
$2,285,000 U.S. Treasury Note, 7.250% due 08/31/1996......
$2,277,000 2,277,000
- ---------------------------------------------------------------------------
- --------------------
TOTAL INVESTMENTS (Cost $56,094,571) (g)..................
95.9 % 52,981,897
OTHER ASSETS AND LIABILITIES (Net)........................
4.1 2,278,358
- ---------------------------------------------------------------------------
- --------------------
NET ASSETS................................................
100.0 % $55,260,255
- ---------------------------------------------------------------------------
- --------------------
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Payment-in-kind bond.
(c) Non-income producing security.
(d) Security exempt from registration under Rule 144A of the Securities Act
of 1933. These
securities may be resold in transactions exempt from registration to
qualified
institutional buyers.
(e) Rate resets semi-annually.
(f) Rate resets quarterly.
(g) At December 31, 1994, the cost of securities for Federal income tax
purposes was
$56,094,571 and the aggregate unrealized appreciation and depreciation
based on that cost
was:
Unrealized appreciation ................
$266,572
Unrealized depreciation ................
3,379,246
---------------------------------------------------
- ---
Net unrealized depreciation ............
($3,112,674)
---------------------------------------------------
- ---
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
43
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO SCHEDULE FOR FORWARD FOREIGN
EXCHANGE
CONTRACTS
- ---------------------------------------------------------------------------
- -----
DECEMBER 31,1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
CONTRACT
VALUE
DATE
VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
499,826 British Pounds.................................... 01/06/1995
$ (781,977)
222,484 European Currency Unit............................ 01/06/1995
(272,788)
908,545,000 Italian Lire.................................. 01/09/1995
(560,312)
241,487,499 Portuguese Escudo............................. 01/06/1995
(1,519,554)
231,835,789 Spanish Pesatas............................... 01/09/1995
(1,761,335)
2,568,425 Swedish Krona................................... 01/09/1995
(345,658)
- ---------------------------------------------------------------------------
- -------------------
TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
(Contract amount $5,244,545)................................
$ (5,241,624)
- ---------------------------------------------------------------------------
- -------------------
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- -----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -----------------
<S> <C>
<C>
COMMON STOCKS - 78.3%
- ---------------------------------------------------------------------------
- -----------------
UTILITIES - 54.1%
Allegheny Power Systems Inc. .................................
15,000 $326,250
American Electric Power Inc. .................................
25,000 821,875
Boston Edison Company.........................................
25,000 596,875
Central & South West Corporation..............................
25,000 565,625
CINergy Corporation...........................................
40,000 935,000
Citizens Utilities Company, Class B (b).......................
10,140 128,017
Consolidated Edison Company of New York Inc. .................
25,000 643,750
Detroit Edison Company........................................
35,000 914,375
Dominion Resources of Virginia Inc. ..........................
30,000 1,072,500
DPL Inc. .....................................................
40,000 820,000
DQE Inc. .....................................................
35,000 1,036,875
Eastern Utilities Association.................................
30,000 660,000
Enron Corporation.............................................
25,000 762,500
FPL Group Inc. ...............................................
40,000 1,405,000
General Public Utilities Corporation..........................
30,000 787,500
Illinova Corporation..........................................
50,000 1,087,500
Long Island Lighting Company..................................
40,000 615,000
New England Electric System...................................
25,000 803,125
NIPSCO Industries Inc. .......................................
35,000 1,041,250
Pacific Gas & Electric Company................................
27,000 658,125
Pacificorp....................................................
40,000 725,000
PECO Energy Company,..........................................
45,000 1,102,500
Public Service Company of Colorado............................
25,000 734,375
Public Service Enterprise Group...............................
35,000 927,500
San Diego Gas & Electric Company..............................
25,000 481,250
SCANA Corporation.............................................
20,000 842,500
Southern Company..............................................
50,000 1,000,000
Texas Utilities Company.......................................
40,000 1,280,000
Unicom Corporation............................................
40,000 960,000
Western Resources Inc. .......................................
10,000 286,250
- ------------
24,020,517
- ---------------------------------------------------------------------------
- -----------------
TELECOMMUNICATION - 18.8%
AT&T Corporation..............................................
42,500 2,135,625
Ameritech Corporation.........................................
20,000 807,500
Bell Atlantic Corporation.....................................
20,000 995,000
BellSouth Corporation.........................................
10,000 541,250
GTE Corporation...............................................
20,000 607,500
NYNEX Corporation.............................................
30,000 1,102,500
Sprint Corporation............................................
20,000 552,500
US West Inc. .................................................
45,000 1,603,125
- ------------
8,345,000
- ---------------------------------------------------------------------------
- -----------------
GAS - 5.4%
MCN Corporation...............................................
40,000 725,000
Panhandle Eastern Corporation.................................
25,000 493,750
Westcoast Energy Inc. ........................................
35,000 555,625
Williams Company Inc. ........................................
25,000 628,125
- ------------
2,402,500
- ---------------------------------------------------------------------------
- -----------------
</TABLE>
See accompanying Notes to Financial Statements.
45
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- -----------------
- ---------------------------------------------------------------------------
- -----------------
<S> <C>
<C>
TOTAL COMMON STOCKS (Cost $38,771,416)........................
$34,768,017
- ---------------------------------------------------------------------------
- -----------------
ISSUER
- ---------------------------------------------------------------------------
- -----------------
CORPORATE BONDS AND NOTES - 18.1%
- ---------------------------------------------------------------------------
- -----------------
UTILITIES - 18.1%
Arizona Public Service Company, First Mortgage:
7.250% due 08/01/2023...................................... $250,000
204,063
8.750% due 01/15/2024...................................... 250,000
239,688
8.000% due 02/01/2025...................................... 200,000
177,250
Central Illinois Public Service Company,
8.500% due 05/15/2022...................................... 255,000
256,912
Cincinnati Gas & Electric Company,
8.500% due 09/01/2022...................................... 200,000
193,250
Commonwealth Edison Company,
8.375% due 09/15/2022...................................... 250,000
225,312
Dayton Power & Light Company, First Mortgage,
8.150% due 01/15/2026...................................... 250,000
230,938
Duquesne Light Company, 1st Collateral Trust:
8.375% due 05/15/2024...................................... 200,000
186,250
7.550% due 06/15/2025...................................... 250,000
213,438
Idaho Power Company, First Mortgage,
8.750% due 03/15/2027...................................... 200,000
198,500
Illinois Power Company,
8.000% due 02/15/2023...................................... 500,000
452,500
Kentucky Utilities Company,
8.550% due 05/15/2027...................................... 300,000
290,625
Madison Gas & Electric Company, First Mortgage:
8.500% due 04/15/2022...................................... 200,000
191,750
7.700% due 02/15/2028...................................... 500,000
438,750
Midwest Power Systems Inc.,
8.125% due 02/01/2023...................................... 250,000
231,875
New England Power Company, General & Reference,
8.000% due 08/01/2022...................................... 200,000
182,500
New York State Electric & Gas Corporation, First Mortgage:
8.300% due 12/15/2022...................................... 250,000
231,563
7.450% due 07/15/2023...................................... 250,000
213,438
Niagara Mohawk Power,
8.500% due 07/01/2023 ..................................... 250,000
220,625
Pacific Gas & Electric Company,
6.750% due 10/01/2023...................................... 250,000
197,187
Pennsylvania Power & Light Company,
8.500% due 05/01/2022...................................... 500,000
483,125
Public Service Company, Oklahoma, First Mortgage,
7.375% due 04/01/2023...................................... 300,000
256,875
</TABLE>
See accompanying Notes to Financial Statements.
46
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- ------------------
<S> <C>
<C>
CORPORATE BONDS AND NOTES (continued)
- ---------------------------------------------------------------------------
- ------------------
UTILITIES (CONTINUED)
Public Service Electric & Gas Company, 1st & Refunding,
8.750% due 02/01/2022...................................... $198,000
$194,040
San Diego Gas & Electric Company,
8.500% due 04/01/2022...................................... 200,000
193,250
Tampa Electric,
7.750% due 11/01/2022...................................... 550,000
495,687
Texas Utilities,
7.625% due 07/01/2025...................................... 500,000
430,000
Virginia Electric & Power Company, First Mortgage,
7.500% due 06/01/2023...................................... 250,000
218,437
Wisconsin Electric Power Company, First Mortgage,
7.050% due 08/01/2024...................................... 400,000
334,000
Wisconsin Power & Light Company, Note,
8.600% due 03/15/2027...................................... 300,000
298,500
Wisconsin Public Service Corporation, First Mortgage,
7.125% due 07/01/2023...................................... 425,000
359,656
- ---------------------------------------------------------------------------
- ------------------
TOTAL CORPORATE BONDS AND NOTES (Cost $8,954,017).............
8,039,984
- ---------------------------------------------------------------------------
- ------------------
REPURCHASE AGREEMENT - 1.3% (Cost $599,000)
- ---------------------------------------------------------------------------
- ------------------
Agreement with Barclays de Zoete Wedd, 5.000% dated 12/30/1994 to
be repurchased at $599,333 on 01/03/1995 collateralized by
$600,000 U.S. Treasury Notes, 7.250% due 08/31/1996.........
599,000 599,000
- ---------------------------------------------------------------------------
- ------------------
TOTAL INVESTMENTS (Cost $48,324,433) (c)......................
97.7 % 43,407,001
OTHER ASSETS AND LIABILITIES (Net)............................
2.3 1,010,395
- ---------------------------------------------------------------------------
- ------------------
NET ASSETS....................................................
100.0 % $44,417,396
- ---------------------------------------------------------------------------
- ------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Non-income producing security.
(c) At December 31, 1994, the cost of securities for Federal income tax
purposes was $48,324,
appreciation and depreciation based on that cost was:
Unrealized appreciation........
$669,592
Unrealized depreciation........
5,587,024
--------------------------------------------
- -----
Net unrealized depreciation....
($4,917,432)
--------------------------------------------
- -----
</TABLE>
See accompanying Notes to Financial Statements.
47
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- ------------------
<S> <C>
<C>
COMMON STOCKS - 87.1%
- ---------------------------------------------------------------------------
- -------------------
CONSUMER NON-DURABLES - 12.3%
American Brands Inc. .............................................
500 $18,750
Anheuser Busch Companies Inc. ....................................
700 35,613
Archer Daniels Midland Company ...................................
1,330 27,431
Avon Products Inc. ...............................................
200 11,950
Ball Corporation .................................................
100 3,150
Brown Forman Corporation, Class B ................................
300 9,150
Campbell Soup Company ............................................
700 30,887
Clorox Company....................................................
100 5,888
Coca Cola Company ................................................
3,500 180,250
Colgate Palmolive Company ........................................
400 25,350
Conagra Inc. .....................................................
700 21,875
Coors Adolph Company, Class B ....................................
100 1,675
CPC International Inc. ...........................................
400 21,300
Crown Cork & Seal Inc (b). .......................................
200 7,550
Dial Corporation, Arizona ........................................
200 4,250
Eastman Chemical Company .........................................
175 8,837
Eastman Kodak Company ............................................
900 42,975
General Mills Inc. ...............................................
400 22,800
Gillette Company .................................................
600 44,850
Hartmarx Corporation (b)..........................................
100 588
Hasbro Inc. ......................................................
200 5,850
Heinz (H J) Company ..............................................
700 25,725
Hershey Foods Corporation ........................................
200 9,675
International Flavors & Fragrances Inc. ..........................
300 13,875
Kellogg Company ..................................................
600 34,875
Liz Claiborne Inc. ...............................................
200 3,375
Mattel Inc. ......................................................
437 10,980
McDonald's Corporation ...........................................
1,900 55,575
McKesson Corporation .............................................
100 3,262
Nike Inc., Class B ...............................................
200 14,925
PepsiCo Inc. .....................................................
2,100 76,125
Pet Inc. .........................................................
300 5,925
Philip Morris Companies Inc. .....................................
2,400 138,000
Pioneer Hi Bred International ....................................
200 6,900
Polaroid Corporation .............................................
100 3,250
Premark International Inc. .......................................
200 8,750
Procter & Gamble Company .........................................
1,800 111,600
Quaker Oats Company ..............................................
400 12,300
Ralston Purina Group..............................................
300 13,388
Reebok International Ltd. ........................................
200 7,900
Rubbermaid Inc. ..................................................
400 11,500
Russell Corporation ..............................................
100 3,138
Sara Lee Corporation..............................................
1,300 32,825
Seagram Ltd. .....................................................
1,000 29,500
Sherwin Williams Company..........................................
200 6,625
</TABLE>
See accompanying Notes to Financial Statements.
48
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
CONSUMER NON-DURABLES (CONTINUED)
Stride Rite Corporation ..........................................
100 $1,113
Unilever N.V. ADR ................................................
400 46,600
UST Inc. .........................................................
600 16,650
V F Corporation ..................................................
200 9,725
Whitman Corporation ..............................................
300 5,175
Wrigley (Wm) Jr Company ..........................................
300 14,812
- ---------
1,265,037
- ---------------------------------------------------------------------------
- -------------------
UTILITIES - 10.8%
Airtouch Communications (b).......................................
1,300 37,863
American Electric Power Inc. .....................................
500 16,438
AT&T Corporation .................................................
4,200 211,050
Ameritech Corporation ............................................
1,500 60,563
Baltimore Gas & Electric Company..................................
350 7,744
Bell Atlantic Corporation ........................................
1,200 59,700
BellSouth Corporation ............................................
1,300 70,362
Carolina Power & Light Company ...................................
400 10,650
Central & South West Corporation (b)..............................
500 11,312
Columbia Gas Systems Inc. (b).....................................
100 2,350
Consolidated Edison Company New York Inc. ........................
600 15,450
Consolidated Natural Gas Company .................................
200 7,100
Detroit Edison Company ...........................................
400 10,450
Dominion Resources Inc. of Virginia ..............................
450 16,088
Duke Power Company ...............................................
600 22,875
Entergy Corporation ..............................................
600 13,125
FPL Group Inc. ...................................................
500 17,563
GTE Corporation ..................................................
2,600 78,975
Houston Industries Inc. ..........................................
400 14,250
MCI Communications Corporations ..................................
1,700 31,238
Niagara Mohawk Power Corporation .................................
400 5,700
Nicor Inc. .......................................................
100 2,275
Northern States Power Company of Minnesota ......................
200 8,800
NYNEX Corporation ................................................
1,100 40,425
Ohio Edison Company ..............................................
400 7,400
Oneok Inc. .......................................................
100 1,800
Pacific Corporation ..............................................
800 14,500
Pacific Enterprises ..............................................
200 4,250
Pacific Gas & Electric Company ...................................
1,100 26,813
Pacific Telesis Group ............................................
1,100 31,350
PECO Energy Company ..............................................
600 14,700
Peoples Energy Corporation .......................................
100 2,613
Public Service Enterprise Group ..................................
700 18,550
SCE Corporation ..................................................
1,200 17,550
Southern Company .................................................
1,700 34,000
Southwestern Bell Corporation ....................................
1,600 64,600
Sprint Corporation ...............................................
900 24,862
Texas Utilities Company ..........................................
600 19,200
</TABLE>
See accompanying Notes to Financial Statements.
49
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
UTILITIES (CONTINUED)
U S West Inc. ....................................................
1,200 $42,750
Union Electric Company ...........................................
300 10,613
- ---------
1,107,897
- ---------------------------------------------------------------------------
- -------------------
ENERGY - 9.5%
Amerada Hess Corporation .........................................
300 13,688
Amoco Corporation ................................................
1,300 76,863
Ashland Oil Inc. .................................................
200 6,900
Atlantic Richfield Company .......................................
400 40,700
Baker Hughes Inc. ................................................
400 7,300
Burlington Resources Inc. ........................................
300 10,500
Chevron Corporation ..............................................
1,800 80,325
CINergy Corporation...............................................
204 4,769
Coastal Corporation ..............................................
300 7,725
Dresser Industries Inc. ..........................................
500 9,438
Eastern Enterprises ..............................................
100 2,625
Enron Corporation ................................................
700 21,350
Enserch Corporation ..............................................
200 2,625
Exxon Corporation ................................................
3,300 200,475
Halliburton Company ..............................................
300 9,938
Helmerich & Payne Inc. ...........................................
100 2,563
Kerr McGee Corporation ...........................................
100 4,600
Louisiana Land & Exploration Company .............................
100 3,638
Maxus Energy Corporation (b).....................................
400 1,350
McDermott International Inc. .....................................
100 2,475
Mobil Corporation ................................................
1,100 92,675
Noram Energy Corporation (b) .....................................
300 1,613
Occidental Petroleum Corporation .................................
800 15,400
Oryx Energy Company (b)...........................................
300 3,563
Panhandle Eastern Corporation ....................................
300 5,925
Pennzoil Company .................................................
100 4,413
Phillips Petroleum Company .......................................
700 22,925
Pittston Services Group ..........................................
100 2,650
Rowan Companies Inc. (b) .........................................
200 1,225
Royal Dutch Petroleum Company.....................................
1,400 150,500
Santa Fe Energy Resources (b).....................................
200 1,600
Schlumberger Ltd. ................................................
700 35,263
Sonat Inc. .......................................................
200 5,600
Sun Inc. .........................................................
300 8,625
Tenneco Inc. .....................................................
500 21,250
Texaco Inc. ......................................................
700 41,913
Transco Energy Company ...........................................
100 1,663
Unocal Corporation ...............................................
600 16,350
USX-Marathon Group ..............................................
800 13,100
Western Atlas Inc. (b)............................................
100 3,763
Williams Companies Inc. ..........................................
300 7,538
- ---------
967,401
- ---------------------------------------------------------------------------
- -------------------
</TABLE>
See accompanying Notes to Financial Statements.
50
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
TECHNOLOGY - 9.4%
Advanced Micro Devices Inc. (b)...................................
200 $4,975
ALLTEL Corporation................................................
500 15,063
Amdahl Corporation (b)............................................
300 3,300
AMP Inc. .........................................................
300 21,825
Andrew Corporation (b)............................................
100 5,225
Apple Computer Inc. ..............................................
300 11,700
Autodesk Inc. ....................................................
200 7,925
Automatic Data Processing Inc. ...................................
400 23,400
Ceridian Corporation (b) .........................................
100 2,688
cisco Systems Inc. (b)............................................
700 24,587
Compaq Computer Corporation (b)...................................
700 27,650
Computer Association International Inc. ..........................
400 19,400
Computer Sciences Corporation (b).................................
100 5,100
Cray Research Inc. (b)............................................
100 1,575
Data General Corporation (b)......................................
100 1,000
Digital Equipment Corporation (b).................................
400 13,300
DSC Communications Corporation (b)...............................
300 10,762
EG & G Inc. ......................................................
200 2,825
E-Systems Inc. ...................................................
100 4,163
Harris Corporation................................................
100 4,250
Hewlett Packard Company ..........................................
700 69,913
Honeywell Inc. ...................................................
400 12,600
Intel Corporation ................................................
1,100 70,263
Intergraph Corporation (b)........................................
100 813
International Business Machines Corporation ......................
1,600 117,600
ITT Corporation ..................................................
300 26,588
Loral Corporation ................................................
200 7,575
Lotus Development Corporation (b).................................
100 4,100
M A Company Inc. (b)..............................................
100 725
Micron Technology, Inc. ..........................................
300 13,238
Microsoft Corporation (b).........................................
1,500 91,687
Minnesota Mining & Manufacturing Company .........................
1,100 58,713
Motorola Inc. ....................................................
1,500 86,813
National Semiconductor Corporation (b) ...........................
300 5,850
Northern Telecom Ltd. ............................................
700 23,363
Novell Inc. (b) ..................................................
1,000 17,125
Oracle Systems Corporation (b) ...................................
800 35,300
Perkin-Elmer Corporation .........................................
100 2,563
Pitney Bowes Inc. ................................................
400 12,700
Scientific Atlanta Inc. ..........................................
200 4,200
Shared Medical Systems Corporation ...............................
100 3,275
Sun Microsystems Inc. (b) ........................................
300 10,650
Tandem Computers Inc. (b) ........................................
300 5,138
Tektronix Inc. ...................................................
100 3,425
Texas Instruments Inc. ...........................................
200 14,975
Unicom Corporation................................................
600 14,400
Unisys Corporation ...............................................
500 4,313
Xerox Corporation ................................................
300 29,700
- ---------
958,318
- ---------------------------------------------------------------------------
- -------------------
</TABLE>
See accompnaying Notes to Financial Statements.
51
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
CONSUMER SERVICES - 9.4%
Albertsons Inc. ..................................................
700 $20,300
American Greetings Corporation, Class A ..........................
200 5,400
American Stores Company ..........................................
400 10,750
Bally Entertainment Corporation (b)...............................
100 613
Brunos Inc. ......................................................
200 1,675
Brunswick Corporation ............................................
300 5,662
Capital Cities ABC, Inc. .........................................
400 34,100
Charming Shoppes Inc. ............................................
300 1,987
Circuit City Stores Inc. .........................................
300 6,675
Comcast Corporation, Class A, (Special)...........................
650 10,197
Dayton Hudson Corporation ........................................
200 14,150
Deluxe Corporation ...............................................
200 5,300
Dillard Department Stores Inc., Class A ..........................
300 8,025
Disney (Walt) Company ............................................
1,400 64,575
Donnelley (R R) & Sons Company ...................................
400 11,800
Dow Jones & Company Inc. .........................................
300 9,300
Dun & Bradstreet Corporation .....................................
500 27,500
Ecolab Inc. ......................................................
200 4,200
Fleming Companies Inc. ...........................................
100 2,325
Gannett Inc. .....................................................
400 21,300
Gap Inc. .........................................................
400 12,200
Giant Food Inc., Class A .........................................
200 4,350
Great Atlantic & Pacific Tea Inc. ................................
100 1,812
Handleman Company ................................................
100 1,138
Harcourt General Inc. ............................................
200 7,050
Harland (John H) Company .........................................
100 2,000
Hilton Hotels Corporation ........................................
100 6,738
Home Depot Inc. ..................................................
1,233 56,718
Interpublic Group Companies Inc. .................................
200 6,425
Jostens Inc. .....................................................
100 1,863
K Mart Corporation ...............................................
1,100 14,300
King World Productions Inc. (b)...................................
100 3,450
Knight Ridder Inc. ...............................................
100 5,050
Kroger Company (b)...............................................
300 7,238
Limited Inc. .....................................................
1,000 18,125
Longs Drug Stores Corporation.....................................
100 3,175
Lowes Companies Inc. .............................................
400 13,900
Lubys Cafeterias Inc. ............................................
100 2,238
Marriott International Inc. ......................................
300 8,438
May Department Stores Company ....................................
700 23,625
McGraw Hill Inc. .................................................
100 6,688
Melville Corporation .............................................
300 9,262
Mercantile Stores Inc. ...........................................
100 3,950
National Education Corporation (b) ...............................
100 413
</TABLE>
See accompanying Notes to Financial Statements.
52
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
CONSUMER SERVICES (CONTINUED)
National Service Industries Inc. .................................
100 $2,563
New York Times Company, Class A ..................................
300 6,637
Nordstrom Inc. ...................................................
200 8,400
Penney (J C) Inc. ................................................
600 26,775
Pep Boys - Manny, Moe and Jack ...................................
200 6,200
Price Costco Inc. (b).............................................
600 7,725
Promus Companies Inc. (b) ........................................
250 7,750
Rite Aid Corporation .............................................
200 4,675
Rollins Environmental Services Inc. (b)...........................
200 975
Ryan's Family Steak Houses Inc. (b) ..............................
100 750
Safety-Kleen Corporation .........................................
200 2,950
Sears Roebuck & Company ..........................................
900 41,400
Service Corporation International ................................
250 6,938
Shoney's Inc. (b) ................................................
100 1,275
Super Value Inc. .................................................
200 4,900
Sysco Corporation ................................................
500 12,875
Tandy Corporation ................................................
200 10,025
Tele-Communications Inc., Class A (b) ............................
1,500 32,625
Time Warner Inc. .................................................
1,000 35,125
Times Mirror Company, Series A ...................................
300 9,413
TJX Companies Inc. ...............................................
200 3,125
Toys 'R' Us Inc. (b) .............................................
800 24,400
Tribune Company...................................................
200 10,950
Viacom, Inc., Class B (b).........................................
900 36,563
Walgreen Company .................................................
300 13,125
Wal-Mart Stores Inc. .............................................
6,200 131,750
Wendy's International Inc. .......................................
300 4,313
Winn Dixie Stores Inc. ...........................................
200 10,275
Woolworth Corporation ............................................
400 6,000
- ---------
956,457
- ---------------------------------------------------------------------------
- -------------------
FINANCIAL SERVICES - 9.3%
Aetna Life & Casualty Company ....................................
300 14,138
Ahmanson (H F) & Company .........................................
300 4,838
Alexander & Alexander Services Inc. ..............................
100 1,850
American Express Company..........................................
1,300 38,350
American General Corporation .....................................
600 16,950
American International Group Inc. ................................
900 88,200
Banc One Corporation .............................................
1,010 25,629
Bank of Boston Corporation .......................................
300 7,763
BankAmerica Corporation ..........................................
988 39,026
Bankers Trust of New York Corporation ..........................
200 11,075
Barnett Banks Inc. ...............................................
300 11,512
Beneficial Corporation ...........................................
200 7,800
Block (H & R) Inc. ...............................................
300 11,137
Boatmens Bancshares Inc. .........................................
300 8,137
Chase Manhattan Corporation ......................................
500 17,187
Chemical Banking Corporation .....................................
700 25,113
Chubb Corporation ................................................
200 15,475
</TABLE>
See accompanying Notes to Financial Statements.
53
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
FINANCIAL SERVICES (CONTINUED)
CIGNA Corporation ................................................
200 $12,725
CitiCorporation (b)...............................................
1,000 41,375
Continental Corporation ..........................................
100 1,900
CoreStates Financial Corporation .................................
400 10,400
Dean Witter Discover & Company....................................
434 14,702
Federal Home Loan Mortgage Corporation ...........................
500 25,250
Federal National Mortgage Association ............................
700 51,013
First Chicago Corporation ........................................
200 9,550
First Data Corporation............................................
300 14,212
First Fidelity BanCorporation.....................................
200 8,975
First Interstate BanCorporation ..................................
200 13,525
First Mississippi Corporation.....................................
100 2,500
First Union Corporation ..........................................
500 20,688
Fleet Financial Group Inc. .......................................
400 13,000
General Re Corporation ...........................................
200 24,750
Golden West Financial Corporation of Delaware ....................
200 7,050
Great Western Financial Corporation ..............................
400 6,400
Household International Inc. .....................................
300 11,138
Jefferson Pilot Corporation ......................................
100 5,188
KeyCorporation....................................................
600 15,000
Lincoln National Corporation......................................
300 10,500
Marsh & McLennan Companies Inc. ..................................
200 15,850
MBNA Corporation .................................................
400 9,350
Mellon Bank Corporation ..........................................
300 9,188
Merrill Lynch & Company Inc. .....................................
500 17,875
Morgan (J P) & Company Inc. ......................................
500 28,000
National City Corporation.........................................
400 10,350
NationsBank Corporation ..........................................
684 30,866
NBD BanCorporation Inc. ..........................................
400 10,950
Norwest Corporation ..............................................
900 21,038
PNC Bank Corporation ............................................
600 12,675
Providian Corporation (b) ........................................
300 9,263
SAFECO Corporation ...............................................
200 10,400
Salomon Inc. .....................................................
300 11,250
Shawmut National Corporation .....................................
300 4,913
St Paul Companies Inc. ...........................................
200 8,950
Suntrust Banks Inc. ..............................................
300 14,325
Torchmark Corporation ............................................
150 5,231
Transamerica Corporation .........................................
200 9,950
UNUM Corporation .................................................
200 7,550
USF&G Corporation ...............................................
200 2,725
USLIFE Corporation ...............................................
100 3,488
U.S. BanCorporation of Oregon ....................................
300 6,788
Wachovia Corporation (b) .........................................
500 16,125
Wells Fargo & Company ............................................
100 14,500
- ---------
955,621
- ---------------------------------------------------------------------------
- -------------------
</TABLE>
See accompanying Notes to Financial Statements.
54
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
HEALTH CARE - 8.2%
Abbott Laboratories ..............................................
2,200 $71,775
Allergan Inc. ....................................................
200 5,650
ALZA Corporation (b)..............................................
200 3,600
American Home Products Corporation ...............................
800 50,200
Amgen Inc. (b)....................................................
400 23,600
Bard (C R) Inc. .................................................
100 2,700
Bausch & Lomb Inc. ...............................................
200 6,775
Baxter International Inc. ........................................
700 19,775
Becton, Dickinson & Company ......................................
200 9,600
Beverly Enterprises Inc. .........................................
200 2,875
Biomet Inc. (b)...................................................
300 4,200
Bristol-Myers-Squibb Company......................................
1,400 81,025
Columbia Healthcare Corporation ..................................
932 34,018
Community Psychiatric Centers ....................................
100 1,100
Johnson & Johnson ................................................
1,700 93,075
Lilly (Eli) & Company ............................................
800 52,500
Mallinckrodt Group Inc. ..........................................
200 5,975
Manor Care Inc. ..................................................
200 5,475
Medtronic Inc. ...................................................
400 22,250
Merck & Company Inc. .............................................
3,400 129,625
Millipore Corporation ............................................
100 4,837
National Medical Enterprises Inc. (b).............................
400 5,650
Pall Corporation .................................................
333 6,244
Pfizer Inc. ......................................................
900 69,525
Schering-Plough Corporation ......................................
500 37,000
St. Jude Medical Inc. ............................................
100 3,975
US Healthcare Inc. ...............................................
400 16,500
United Healthcare Corporation.....................................
400 18,050
United States Surgical Corporation ...............................
200 3,800
Upjohn Company ...................................................
500 15,375
Warner Lambert Company ...........................................
400 30,800
- ---------
837,549
- ---------------------------------------------------------------------------
- -------------------
BASIC INDUSTRIES - 6.9%
Air Products & Chemicals Inc. ....................................
300 13,388
Alcan Aluminum Ltd. ..............................................
600 15,225
Alco Standard Corporation.........................................
100 6,275
Allied Signal Inc. ...............................................
800 27,200
Aluminum Company of America .....................................
200 17,325
American Barrick Resource Corporation ............................
800 17,800
Armco Inc. (b)....................................................
300 1,988
ASARCO Inc. ......................................................
100 2,850
Avery Dennison Corporation .......................................
200 7,100
Bemis Inc. .......................................................
100 2,400
Bethlehem Steel Corporation (b)...................................
300 5,400
Boise Cascade Corporation ........................................
100 2,675
Champion International Corporation ...............................
300 10,950
</TABLE>
See accompanying Notes to Financial Statements.
55
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
BASIC INDUSTRIES (CONTINUED)
Cyprus Amax Minerals Company .....................................
200 $5,225
Dow Chemical Company .............................................
700 47,075
du Pont (E I) De Nemours & Co. ...................................
1,800 101,250
Echo Bay Mines Ltd. ..............................................
300 3,188
Engelhard Corporation ............................................
250 5,563
Federal Paper Board Inc. .........................................
100 2,900
FMC Corporation ..................................................
100 5,775
General Signal Corporation .......................................
100 3,188
Georgia Pacific Corporation ......................................
200 14,300
Goodrich (B F) Company ...........................................
100 4,338
Grace (W R) & Company.............................................
300 11,588
Great Lakes Chemical Corporation .................................
200 11,400
Harnischfeger Industriess Inc. ...................................
100 2,813
Hercules Inc. ....................................................
100 11,538
Homestake Mining Company .........................................
400 6,850
Inco Ltd. ........................................................
300 8,588
Inland Steel Industries Inc. (b)..................................
100 3,513
International Paper Company ......................................
300 22,613
James River Corporation of Virginia .............................
200 4,050
Kimberly Clark Corporation .......................................
400 20,200
Louisiana Pacific Corporation ....................................
300 8,175
Mead Corporation .................................................
200 9,725
Monsanto Company .................................................
300 21,150
Morton International Industries Inc. .............................
300 8,550
Nalco Chemical Company ...........................................
200 6,700
Newmont Mining Corporation .......................................
249 8,964
Nucor Corporation ................................................
200 11,100
Phelps Dodge Corporation .........................................
200 12,375
Placer Dome Inc. .................................................
600 13,050
Potlatch Corporation..............................................
100 3,725
PPG Industries Inc. ..............................................
600 22,275
Praxair Inc. .....................................................
400 8,200
Reynolds Metals Company ..........................................
200 9,800
Rohm & Haas Company ..............................................
200 11,425
Scott Paper Company...............................................
200 13,825
Stone Container Corporation (b)...................................
202 3,485
Temple Inland Inc. ...............................................
100 4,512
Trinova Corporation ..............................................
100 2,938
Union Camp Corporation ...........................................
200 9,425
Union Carbide Corporation ........................................
400 11,750
USX - U.S. Steel Group............................................
200 7,100
Westvaco Corporation .............................................
200 7,850
Weyerhaeuser Company .............................................
600 22,500
WMX Technologies Inc. ............................................
1,300 34,125
Worthington Industries Inc. ......................................
250 5,000
- ---------
704,255
- ---------------------------------------------------------------------------
- -------------------
</TABLE>
See accompanying Notes to Financial Statements.
56
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
CAPITAL GOODS - 6.8%
Armstrong World Industries Inc. ..................................
100 $3,850
Boeing Company....................................................
900 42,075
Browning Ferris Industries Inc. ..................................
500 14,188
Caterpillar Inc. .................................................
600 33,075
Centex Corporation ...............................................
100 2,275
Cincinnati Milacron Inc. .........................................
100 2,363
Cooper Industries Inc. ...........................................
300 10,238
Crane Company ....................................................
100 2,687
Cummins Engine Inc. ..............................................
100 4,525
Dana Corporation .................................................
300 7,013
Deere & Company ..................................................
200 13,250
Dover Corporation ................................................
200 10,325
Eaton Corporation ................................................
200 9,900
Echlin Inc. ......................................................
200 6,000
Emerson Electric Company .........................................
600 37,500
Fluor Corporation ................................................
200 8,625
Foster Wheeler Corporation .......................................
100 2,975
General Dynamics Corporation .....................................
200 8,700
General Electric Company .........................................
4,600 234,600
Giddings & Lewis Inc. ............................................
100 1,475
Grainger (W W) Inc. ..............................................
100 5,775
Illinois Tool Works Inc. .........................................
300 13,125
Ingersoll Rand Company ...........................................
300 9,450
Johnson Controls Inc. ............................................
100 4,900
Kaufman & Broad Home Corporation .................................
100 1,288
Lockheed Corporation .............................................
200 14,525
Martin Marietta Corporation.......................................
300 13,313
McDonnell Douglas Corporation ....................................
100 14,200
Moore Ltd. .......................................................
300 5,662
Morrison Knudsen Corporation .....................................
100 1,275
Navistar International Corporation (b)............................
240 3,630
Northrop Grumman Corporation .....................................
100 4,200
Ogden Corporation ................................................
100 1,875
Owens-Corning Fiberglass Corporation .............................
100 3,200
Paccar Inc. ......................................................
115 5,089
Parker Hannifin Corporation ......................................
100 4,550
Raychem Corporation ..............................................
100 3,563
Raytheon Corporation .............................................
400 25,550
Rockwell International Corporation ...............................
600 21,450
Santa Fe Pacific Gold Corporation (b).............................
300 3,863
Stanley Works.....................................................
100 3,575
Teledyne Inc. (b).................................................
100 2,013
Textron Inc. .....................................................
200 10,075
Timken Company....................................................
100 3,525
Thomas & Betts Corporation........................................
100 6,713
TRW Inc. .........................................................
200 13,200
Tyco International Ltd. ..........................................
100 4,750
United Technologies Corporation ..................................
300 18,863
</TABLE>
See accompanying Notes to Financial Statements.
57
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
CAPITAL GOODS (CONTINUED)
Varity Corporation (b) ...........................................
100 $3,625
Westinghouse Electric Corporation ................................
1,000 12,250
- ---------
694,711
- ---------------------------------------------------------------------------
- -------------------
CONSUMER DURABLES - 3.0%
Black & Decker Corporation .......................................
200 4,750
Chrysler Corporation .............................................
1,000 49,000
Cooper Tire & Rubber Company .....................................
200 4,725
Corning Inc. .....................................................
600 17,925
Fleetwood Enterprises Inc. .......................................
100 1,875
Ford Motor Company ...............................................
2,700 75,600
General Motors Corporation .......................................
2,000 84,500
Genuine Parts Company ............................................
300 10,800
Goodyear Tire & Rubber Company....................................
400 13,450
Masco Corporation ................................................
400 9,050
Maytag Corporation ...............................................
300 4,500
Newell Company ...................................................
400 8,400
Outboard Marine Corporation.......................................
100 1,963
Pulte Corporation ................................................
100 2,300
Snap-On Tools Corporation ........................................
100 3,325
Whirlpool Corporation ............................................
200 10,050
Zenith Electrics Corporation (b) .................................
100 1,162
- ---------
303,375
- ---------------------------------------------------------------------------
- -------------------
TRANSPORTATION - 1.5%
AMR Corporation (b) ..............................................
200 10,650
Burlington Northern Inc. .........................................
200 9,625
Conrail Inc. .....................................................
200 10,100
Consolidated Freightways Inc. ....................................
100 2,238
CSX Corporation ..................................................
300 20,849
Delta Air Lines Inc. .............................................
100 5,050
Federal Express Corporation (b)...................................
200 12,050
Norfolk Southern Corporation .....................................
400 24,250
Roadway Services Inc. ............................................
100 5,675
Ryder Systems Inc. ...............................................
200 4,400
Santa Fe Pacific Corporation .....................................
500 8,750
Southwest Airlines Company........................................
400 6,700
Union Pacific Corporation ........................................
600 27,375
USAir Group Inc. (b) .............................................
200 875
Yellow Corporation ...............................................
100 2,387
- ---------
150,974
- ---------------------------------------------------------------------------
- -------------------
TOTAL COMMON STOCKS (COST $8,483,214 ) ...........................
8,901,595
- ---------------------------------------------------------------------------
- -------------------
PREFERRED CONVERTIBLE STOCK - 0.0% (COST $2,591)
- ---------------------------------------------------------------------------
- -------------------
Alberto Culver Company, Class B .................................
100 2,725
- ---------------------------------------------------------------------------
- -------------------
</TABLE>
See accompanying Notes to Financial Statements.
58
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C>
<C>
U.S. TREASURY BILL - 1.2% (COST $118,561)
- ---------------------------------------------------------------------------
- --------------------
U.S. Treasury Bill, 5.270 % (c) due 03/23/1995 ..................
$120,000 $118,561
- ---------------------------------------------------------------------------
- --------------------
REPURCHASE AGREEMENT - 11.5% (COST $1,182,000)
- ---------------------------------------------------------------------------
- --------------------
Agreement with Union Bank of Switzerland Securities Inc., 5.625%
dated 12/30/1994 to be repurchased at $1,182,739 on 01/03/1995,
collateralized by $ 1,205,000 U.S. Treasury Notes,
6.125% due7/31/1996 ...........................................
1,182,000 1,182,000
- ---------------------------------------------------------------------------
- --------------------
TOTAL INVESTMENTS (Cost $9,786,366) (d) ..........................
99.8 % 10,204,881
- ---------------------------------------------------------------------------
- --------------------
- ---------------------------------------------------------------------------
- --------------------
<CAPTION>
CONTRACTS
- ---------------------------------------------------------------------------
- --------------------
<S> <C> <C>
<C>
FUTURES CONTRACTS - LONG POSITION - 13.5%
(Contract amount $1,365,450)
Standard & Poor's 500 Index, March 1995 6
13.5 1,384,050
- ---------------------------------------------------------------------------
- --------------------
OTHER ASSETS AND LIABILITIES (Net) ...............................
(13.3) (1,363,519)
- ---------------------------------------------------------------------------
- --------------------
NET ASSETS .......................................................
100.0 % $10,225,412
- ---------------------------------------------------------------------------
- --------------------
<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 collateralize futures contracts.
(d) At December 31, 1994, the cost of securities for Federal income tax
purposes was $9,786,36 gross unrealized appreciation and depreciation
based
on that cost was:
Unrealized appreciation........
$843,462
Unrealized depreciation........
424,947
----------------------------------------
- -----
Net unrealized appreciation....
$418,515
----------------------------------------
- -----
</TABLE>
See accompanying Notes to Financial Statements.
59
<PAGE>
SMITH BARNEY SERIES FUND
GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMON STOCKS - 77.0%
- ---------------------------------------------------------------------------
- ----
TECHNOLOGY - 11.0%
AMP Inc. .............................................. 7,000
$509,250
Automatic Data Processing Inc. ........................ 9,000
526,500
Hewlett Packard Company................................ 9,000
898,875
Motorola Inc. ......................................... 14,000
810,250
Raytheon Company....................................... 8,000
511,000
------
- ----
3,255,875
- ---------------------------------------------------------------------------
- ----
CONSUMER DURABLES - 10.4%
Bemis Inc. ............................................ 14,000
336,000
Fuller, (H.B.) Company................................. 6,500
221,812
Genuine Parts Company.................................. 14,000
504,000
Leggett & Platt Inc. .................................. 8,000
280,000
Minnesota Mining & Manufacturing Company............... 10,000
533,750
Procter & Gamble Company............................... 8,000
496,000
Temple - Inland, Inc................................... 11,000
496,375
Valspar Corporation.................................... 6,000
201,000
------
- ----
3,068,937
- ---------------------------------------------------------------------------
- ----
ENERGY - 8.0%
Fluor Corporation...................................... 11,000
474,375
Mobil Corporation...................................... 7,000
589,750
Murphy Oil Corporation................................. 7,500
318,750
Phillips Petroleum Company............................. 15,000
491,250
Royal Dutch Petroleum Company.......................... 4,500
483,750
------
- ----
2,357,875
- ---------------------------------------------------------------------------
- ----
CONSUMER SERVICES - 7.2%
Gannett Inc. .......................................... 9,000
479,250
McDonald's Corporation................................. 15,000
438,750
Reuters Holdings PLC, ADR (c).......................... 15,000
658,125
Tribune Company........................................ 10,000
547,500
------
- ----
2,123,625
- ---------------------------------------------------------------------------
- ----
FINANCIAL SERVICES - 6.4%
Firstar Corporation.................................... 8,000
215,000
G.P. Financial Corporation............................. 13,000
268,125
KeyCorp (New).......................................... 17,000
425,000
Morgan (J P) & Company Inc. ........................... 8,000
448,000
NationsBank Corporation................................ 12,000
541,500
------
- ----
1,897,625
- ---------------------------------------------------------------------------
- ----
CAPITAL GOODS - 6.1%
Belden Inc. ........................................... 15,000
333,750
General Electric Company............................... 15,000
765,000
Hubbell Inc, Class B................................... 4,000
213,000
Whirlpool Corporation.................................. 10,000
502,500
------
- ----
1,814,250
- ---------------------------------------------------------------------------
- ----
UTILITIES - 5.4%
Ameritech Corporation (New)............................ 12,000
484,500
Bell Atlantic Corporation.............................. 9,000
447,750
GTE Corporation........................................ 15,000
455,625
Northern States Power Company.......................... 5,000
220,000
------
- ----
1,607,875
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
60
<PAGE>
SMITH BARNEY SERIES FUND
GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ----
CHEMICALS - 4.1%
Hanna (M.A.) Company................................... 10,500
$249,375
Monsanto Company....................................... 6,000
423,000
Schulman (A.) Inc. .................................... 11,250
309,375
Witco Corporation...................................... 10,000
246,250
------
- ----
1,228,000
- ---------------------------------------------------------------------------
- ----
CONSUMER NON-DURABLES - 4.0%
Coca-Cola Company...................................... 12,000
618,000
International Flavors & Fragrances Inc. ............... 12,000
555,000
------
- ----
1,173,000
- ---------------------------------------------------------------------------
- ----
BASIC INDUSTRIES - 3.7%
Kimberly Clark Corporation............................. 10,000
505,000
Parker - Hannifin Corporation.......................... 13,000
591,500
------
- ----
1,096,500
- ---------------------------------------------------------------------------
- ----
HEALTH CARE - 3.7%
Johnson & Johnson Corporation.......................... 10,000
547,500
Pfizer, Inc. .......................................... 7,000
540,750
------
- ----
1,088,250
- ---------------------------------------------------------------------------
- ----
TRANSPORTATION - 3.6%
CSX Corporation........................................ 10,000
696,250
Southwest Airlines Company............................. 23,000
385,250
------
- ----
1,081,500
- ---------------------------------------------------------------------------
- ----
RETAIL - 2.1%
May Department Stores Company.......................... 9,000
303,750
Penney (J.C.) Inc. .................................... 7,000
312,375
------
- ----
616,125
- ---------------------------------------------------------------------------
- ----
TELECOMMUNICATIONS - 1.3%
TCA Cable TV Inc. ..................................... 18,000
391,500
- ---------------------------------------------------------------------------
- ----
TOTAL COMMON STOCKS (COST $22,210,479).................
22,800,937
- ---------------------------------------------------------------------------
- ----
PREFERRED STOCKS - 3.3%
- ---------------------------------------------------------------------------
- ----
General Motors Corporation, Depositary Shares,
Series C, Pfd......................................... 9,000
516,375
Sears Roebuck & Company, Depositary Shares,
Series A, Pfd......................................... 8,500
472,812
- ---------------------------------------------------------------------------
- ----
TOTAL PREFERRED STOCKS (COST $997,763)
989,187
- ---------------------------------------------------------------------------
- ----
PREFERRED CONVERTIBLE STOCK - 1.5% (COST $485,250)
Unocal Corporation, Pfd. Conv 7.000%(b)................ 9,000
441,000
- ---------------------------------------------------------------------------
- ----
INTERNATIONAL COMMON STOCK - 2.6% (COST $696,013)
AUSTRALIA - 2.6%
Broken Hill Properties................................. 50,650
769,622
- ---------------------------------------------------------------------------
- ----
CORPORATE BONDS AND NOTES - 6.2%
- ---------------------------------------------------------------------------
- ----
Dean Witter Discover & Company,
6.875% due 03/01/2003................................. 500,000
455,625
General Motors Acceptance Corporation,
7.000% due 09/15/2002................................. 1,000,000
905,000
Limited Inc.,
7.800% due 05/15/2002................................. 500,000
485,625
- ---------------------------------------------------------------------------
- ----
TOTAL CORPORATE BONDS AND NOTES (COST $2,055,216)......
1,846,250
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
61
<PAGE>
SMITH BARNEY SERIES FUND
GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
CONVERTIBLE NOTE - 1.7% (COST $483,823)
- ---------------------------------------------------------------------------
- ----
Thermo Electron Corporation,
4.625% due 01/08/1997................................. $350,000
$493,500
- ---------------------------------------------------------------------------
- ----
REPURCHASE AGREEMENT - 6.7% (COST $1,985,000)
- ---------------------------------------------------------------------------
- ----
Agreement with Barclays de Zoete Wedd, 5.000% dated
12/30/1994 to be repurchased at $1,986,103 on
01/03/1995, collateralized by $1,990,000 U.S.
Treasury Notes 7.250% due 08/31/1996 ............... 1,985,000
1,985,000
- ---------------------------------------------------------------------------
- ----
TOTAL INVESTMENTS (COST $28,913,544)(d)................ 99.0 %
29,325,496
OTHER ASSETS AND LIABILITIES (NET)..................... 1.0
299,174
- ---------------------------------------------------------------------------
- ----
NET ASSETS............................................. 100.0 %
$29,624,670
- ---------------------------------------------------------------------------
- ----
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Security exempt from registration under Rule 144A of the Securities Act
of
1933, as amended. These securities maybe resold in transactions exempt
from
registration to qualified institutional buyers.
(c) ADR - American Depository Receipt.
(d) At December 31, 1994, the cost of securities for Federal income tax
purposes
was $28,913,544 and the aggregate appreciation and depreciation based
on
that cost was:
Unrealized appreciation....... $1,591,093
Unrealized depreciation....... 1,179,141
-----------------------------------------
- -----
Net unrealized appreciation... $411,952
-----------------------------------------
- -----
</TABLE>
See accompanying Notes to Financial Statements.
62
<PAGE>
SMITH BARNEY SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMON STOCKS - 89.0%
- ---------------------------------------------------------------------------
- ----
CONSUMER SERVICES - 13.0%
Capital Cities/ABC, Inc. .............................. 6,000
$511,500
CBS Inc................................................ 14,500
802,938
Disney (Walt) Productions Company...................... 22,000
1,014,750
Donnelley (RR) & Sons Company ......................... 43,000
1,268,500
Gannett Inc............................................ 10,000
532,500
Gaylord Entertainment Company, Class A ................ 10,000
227,500
G.C. Companies Inc (b)................................. 6,000
157,500
Harcourt General Inc. ................................. 11,000
387,750
Home Depot Inc......................................... 16,000
736,000
McDonald's Corporation................................. 28,000
819,000
Penney (J.C.).......................................... 8,000
357,000
Savoy Pictures Entertainment, Inc (b).................. 30,000
195,000
Time-Warner Inc. ...................................... 38,000
1,334,750
Toys "R" Us Inc. (b)................................... 20,000
610,000
Tribune Company........................................ 10,000
547,500
Wal-Mart Stores Inc. .................................. 48,000
1,020,000
-------
- ----
10,522,188
- ---------------------------------------------------------------------------
- ----
FINANCIAL SERVICES - 9.0%
Aetna Life & Casualty Company.......................... 9,500
447,687
American Express Company............................... 12,500
368,750
American International Group Inc....................... 12,500
1,225,000
Bank of New York Inc. ................................. 20,000
580,000
Barnett Banks Inc. .................................... 10,000
383,750
Chemical Banking Corporation........................... 22,000
789,250
Federal National Mortgage Association.................. 13,000
947,375
First Virginia Banks Inc. ............................ 10,000
320,000
Keycorp ............................................... 15,000
375,000
Leucadia National Corporation.......................... 7,500
333,750
Republic New York Corporation.......................... 10,000
452,500
US Trust Corporation................................... 5,300
336,550
Wells Fargo & Company.................................. 5,000
725,000
-------
- ----
7,284,612
- ---------------------------------------------------------------------------
- ----
ENERGY - 8.8%
Amerada Hess Corporation............................... 19,000
866,875
Amoco Corporation...................................... 25,000
1,478,125
Atlantic Richfield Company............................. 7,000
712,250
British Petroleum ADR (c).............................. 6,000
479,250
Burlington Resources Inc. ............................. 10,000
350,000
Mobil Corporation...................................... 23,500
1,979,875
Questar Corporation ................................... 7,000
192,500
Royal Dutch Petroleum Company.......................... 10,000
1,075,000
-------
- ----
7,133,875
- ---------------------------------------------------------------------------
- ----
TELECOMMUNICATIONS - 8.7%
AT&T Corporation....................................... 57,500
2,889,375
Bell Atlantic Corporation.............................. 12,000
597,000
Comcast Corporation, Class A........................... 24,000
376,500
</TABLE>
See accompanying Notes to Financial Statements.
63
<PAGE>
SMITH BARNEY SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE (a)
- ---------------------------------------------------------------------------
- ------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------
TELECOMMUNICATIONS (CONTINUED)
Groupo Televisa S.A. ADR (c) ........................... 10,500
$333,375
Motorola, Inc. ......................................... 22,500
1,302,188
Scandanavian Broadcasting System S.A. ADR (b, c)........ 12,000
246,000
Southwestern Bell Corporation........................... 10,000
403,750
Tele Communications Inc., Class A (b)................... 34,500
750,375
Viacom Inc., Class B (b)................................ 3,000
121,875
- -----------
7,020,438
- ---------------------------------------------------------------------------
- ------------
CAPITAL GOODS - 8.5%
Allied Signal Inc. ..................................... 10,000
340,000
AMP Inc. ............................................... 20,000
1,455,000
Boeing Company.......................................... 13,000
607,750
Caterpillar Inc. ....................................... 8,000
441,000
Eaton Corporation....................................... 6,500
321,750
Emerson Electric Company................................ 8,000
500,000
Fluor Corporation....................................... 12,500
539,062
General Electric Company................................ 24,000
1,224,000
Ingersoll-Rand Company.................................. 13,000
409,500
United Technologies Corporation......................... 16,000
1,006,000
- -----------
6,844,062
- ---------------------------------------------------------------------------
- ------------
CONSUMER NON-DURABLES - 8.1%
Coca-Cola Company....................................... 25,000
1,287,500
CPC International, Inc. ................................ 12,500
665,625
Crown Cork & Seal, Inc (b).............................. 25,000
943,750
Gillette Company........................................ 17,000
1,270,750
Herseys Foods Corporation............................... 4,000
193,500
International Flavors & Fragrances Inc. ................ 18,500
855,625
McCormick & Company..................................... 5,000
91,250
Proctor & Gamble Company................................ 20,000
1,240,000
- -----------
6,548,000
- ---------------------------------------------------------------------------
- ------------
DIVERSIFIED CONGLOMERATE - 7.1%
Eastman Kodak Company................................... 63,000
3,008,250
Minnesota Mining & Manufacturing........................ 50,500
2,695,438
- -----------
5,703,688
- ---------------------------------------------------------------------------
- ------------
HEALTH CARE - 6.9%
Abbott Laboratories..................................... 12,500
407,812
American Home Products Corporation...................... 19,100
1,198,525
Bristol-Myers-Squibb Company............................ 16,000
926,000
Forest Laboratories, Inc., Class A (b).................. 8,500
396,312
Johnson & Johnson....................................... 23,000
1,259,250
Merck & Company, Inc.................................... 15,000
571,875
SmithKline Beecham PLC, ADR (c) ........................ 8,000
274,000
Warner Lambert Company.................................. 7,000
539,000
- -----------
5,572,774
- ---------------------------------------------------------------------------
- ------------
TECHNOLOGY - 6.9%
Alco Standard Corporation............................... 8,500
533,375
First Data Corporation.................................. 10,000
473,750
</TABLE>
See accompanying Notes to Financial Statements.
64
<PAGE>
SMITH BARNEY SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE (a)
- ---------------------------------------------------------------------------
- ------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------
TECHNOLOGY (CONTINUED)
Fiserv Inc.(b).......................................... 6,000
$129,000
Intel Corporation ...................................... 11,000
702,625
International Business Machines Corporation............. 11,000
808,500
Microsoft Corporation (b)............................... 18,000
1,100,250
Reynolds & Reynolds Inc., Class A ...................... 9,000
225,000
Xerox Corporation....................................... 16,000
1,584,000
- -----------
5,556,500
- ---------------------------------------------------------------------------
- ------------
BASIC INDUSTRIES - 5.0%
du Pont (E.I.) De Nemours & Company..................... 31,000
1,743,750
Hercules, Inc. ......................................... 6,000
692,250
International Paper Company............................. 8,000
603,000
Mead Corporation........................................ 6,500
316,063
Monsanto Company ....................................... 4,500
317,250
St. Joe Paper Company................................... 6,500
352,625
- -----------
4,024,938
- ---------------------------------------------------------------------------
- ------------
CONSUMER DURABLES - 4.7%
Chrysler Corporation.................................... 16,000
784,000
Ford Motor Company...................................... 34,000
952,000
General Motors Corporation.............................. 20,000
845,000
Goodyear Tire & Rubber Company.......................... 15,000
504,375
Newell Company.......................................... 15,000
315,000
Whirlpool Corporation................................... 8,000
402,000
- -----------
3,802,375
- ---------------------------------------------------------------------------
- ------------
TRANSPORTATION - 2.3%
Burlington Northern Inc. ............................... 14,000
673,750
Conrail Inc. ........................................... 9,000
454,500
Southern Pacific Rail Corporation (b) .................. 12,000
217,500
Union Pacific Corporation............................... 12,000
547,500
- -----------
1,893,250
- ---------------------------------------------------------------------------
- ------------
TOTAL COMMON STOCKS (COST $68,876,423)..................
71,906,700
- ---------------------------------------------------------------------------
- ------------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- ------------
<S> <C>
<C>
REPURCHASE AGREEMENT - 11.0% (COST $8,930,000)
- ---------------------------------------------------------------------------
- ------------
Agreement with Union Bank of Switzerland Securities Inc.,
5.625% dated 12/30/1994 to be repurchased at $8,935,581
on 01/03/1995 collateralized by $9,295,000 U.S. Treasury
Notes 3.875% due 10/31/1998 .......................... $8,930,000
8,930,000
- ---------------------------------------------------------------------------
- ------------
TOTAL INVESTMENTS (COST $77,806,423)(d)................. 100.0 %
80,836,700
OTHER ASSETS AND LIABILITIES (Net)...................... 0.0
(14,084)
- ---------------------------------------------------------------------------
- ------------
NET ASSETS.............................................. 100.0 %
$80,822,616
- ---------------------------------------------------------------------------
- ------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Non-income producing security.
(c) ADR - American Depository Receipt.
(d) At December 31, 1994, the cost of securities for Federal income tax
purposes was
$77,806,423 appreciation and depreciation based on that cost was:
Unrealized appreciation...... $5,862,339
Unrealized depreciation...... 2,832,062
---------------------------------------------
Net unrealized appreciation.. $3,030,277
---------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
65
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
- ---------------------------------------------------------------------------
- ----
COMMON STOCKS - 92.2%
- ---------------------------------------------------------------------------
- ----
TECHNOLOGY - 23.2%
Alliance Semiconductor Corporation (b).............. 500
$15,625
American Management Systems, Inc. (b)............... 1,500
28,875
Amphenol Corporation, Class A (b)................... 1,500
36,000
Analog Devices, Inc. (b) ........................... 2,500
87,812
Andrew Corporation (b) ............................. 2,500
130,625
Applied Materials Inc (b)........................... 1,500
63,375
Atmel Corporation (b)............................... 4,000
134,000
Broderbund Software, Inc. (b) ...................... 2,000
93,500
C-COR Electronics, Inc. (b)......................... 1,000
31,000
Cadence Design Systems, Inc. (b).................... 1,500
30,937
Ceridian Corporation................................ 1,500
40,313
DSC Communications Corporation (b).................. 1,500
53,812
Electroglas, Inc. (b)............................... 1,500
50,062
Emulex Corporation.................................. 1,000
13,500
Frame Technology Corporation (b).................... 2,000
32,750
General Instruments Corporation (b)................. 3,500
105,000
IMRS, Inc. (b) ..................................... 500
19,750
Integrated Device Technology Inc (b) ............... 1,000
29,500
KLA Instruments Corporation (b) .................... 2,000
98,000
Kronos, Inc. (b).................................... 1,000
26,000
Lam Research Corporation (b)........................ 1,500
55,875
Linear Technology Corporation ...................... 2,500
123,750
LSI Logic Corporation (b) .......................... 3,000
121,125
Medic Computer Systems, Inc. (b).................... 1,500
46,500
Micros Systems, Inc. (b)............................ 800
30,200
Micron Technology Inc .............................. 2,500
110,313
Microchip Technology Inc (b)........................ 5,000
137,500
Microtest, Inc. (b)................................. 1,500
35,625
NetManage, Inc. (b) ................................ 1,000
40,500
Network Equipment Technoligies (b).................. 1,000
24,000
Novellus Systems Inc (b) ........................... 2,000
100,000
Optical Data Systems of Texas, Inc. (b)............. 500
14,563
Proxima Corporation (b)............................. 500
14,438
Sierra Semiconductor Corporation (b)................ 1,500
22,875
Silicon Graphics Inc (b) ........................... 2,000
62,000
Softkey International, Inc. (b)..................... 400
10,200
StrataCom, Inc.(b).................................. 1,000
35,000
Stratus Computer, Inc. (b).......................... 500
19,000
Tektronix, Inc. .................................... 1,500
51,375
Tellabs, Inc (b).................................... 3,500
195,125
Tencor Instruments, Inc. (b)........................ 1,500
57,750
3Com Corporation (b)................................ 1,000
51,563
Ultratech Stepper, Inc. (b)......................... 1,500
57,000
Vishay Intertechnology, Inc. (b).................... 2,000
98,000
Watkins-Johnson Company ............................ 1,500
44,625
-------
- ----
2,679,338
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
66
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- ----
HEALTH CARE - 16.4%
American Medical Holdings Inc (b) .................. 2,500
$60,312
Cordis Corporation (b).............................. 2,000
121,000
Coventry Corporation (b)............................ 2,000
49,000
Genentech Inc. (b) ................................. 900
40,837
Genesis Health Ventures, Inc. (b)................... 500
15,812
Gulf South Medical Supply, Inc. (b)................. 500
18,625
HBO & Company....................................... 4,500
155,250
Health Management Association Inc., Class A (b)..... 3,750
93,750
HEALTHSOUTH Rehabilitation (b)...................... 1,500
55,500
HealthCare COMPARE Corporation (b).................. 3,000
102,375
Horizon Healthcare Corporation (b) ................. 1,500
42,000
Integrated Health Services Inc (b) ................. 1,000
39,500
Lincare Holdings Inc. (b)........................... 2,000
58,000
Living Centers America, Inc. (b).................... 1,000
33,375
Mariner Health Group Inc (b) ....................... 1,000
21,625
Marquette Electronics, Inc., Class A (b)............ 1,000
23,250
Medaphis Corporation (b)............................ 2,500
116,250
Mylan Labs, Inc. ................................... 2,500
67,500
Omnicare, Inc. ..................................... 1,500
65,813
Oxford Health Plans Inc., Class A (b)............... 1,500
118,875
Pharmacy Management Services, Inc. (b).............. 500
7,750
PhyCor, Inc. (b).................................... 3,500
93,625
Quantum Health Resources Inc. (b) .................. 1,000
28,750
REN-Corp USA (b).................................... 1,500
19,875
Rotech Medical Corporation (b)...................... 1,500
42,750
STERIS Corporation (b).............................. 500
18,750
Sun Healthcare Group, Inc. (b)...................... 2,500
63,438
TheraTx, Inc. (b)................................... 1,000
19,500
United American Healthcare Corporation (b).......... 500
12,438
United Healthcare Corporation....................... 1,500
67,688
Universal Health Services, Inc., Class B ........... 1,500
36,750
Value Health Inc. (b) .............................. 2,500
93,125
Vencor, Inc. (b).................................... 1,250
34,844
Watson Pharmaceuticals, Inc. (b).................... 2,000
52,500
--------
- ----
1,890,432
- ---------------------------------------------------------------------------
- ----
CONSUMER SERVICES - 8.7%
Apple South Inc..................................... 3,000
39,375
Avid Technology Inc (b) ............................ 2,500
80,312
Belo (A.H.), Corporation, Class A................... 1,000
56,500
Clear Channel Communications Inc. (b)............... 1,425
72,319
Equifax Inc. ...................................... 2,500
65,937
Franklin Quest Company (b) ......................... 1,000
29,875
Gartner Group, Inc., Class A (b).................... 2,000
78,000
</TABLE>
See accompanying Notes to Financial Statements.
67
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- ----
CONSUMER SERVICES - (CONTINUED)
Heritage Media Corporation, Class A (b)............. 2,500
$67,187
Hospitality Franchise Systems Inc.(b)............... 2,000
53,000
La Quinta Inns, Inc. ............................... 3,000
64,125
Landry's Seafood Restaurants, Inc. (b).............. 1,000
28,375
Lee Enterprises, Inc. .............................. 500
17,250
Manpower, Inc. ..................................... 2,000
56,250
Meridith Corporation................................ 1,600
74,600
Outback Steakhouse Inc (b).......................... 2,000
47,000
Reynolds & Reynolds, Class A........................ 1,000
25,000
Robert Half International Inc. (b).................. 3,000
72,000
Scientific Games Holdings Corporation (b)........... 1,500
75,000
-------
- ----
1,002,105
- ---------------------------------------------------------------------------
- ----
CONSUMER DISTRIBUTION - 7.3%
Ann Taylor Stores Corporation (b) .................. 1,500
51,562
Carson, Pirie, Scott & Company of Illinios (b)...... 1,500
28,500
Caseys General Stores, Inc. ........................ 500
7,500
Dollar General Corporation.......................... 3,750
112,500
Gymboree Corporation (b) ........................... 2,000
57,500
Lowes Companies, Inc. ............................. 3,500
121,625
Nordstrom, Inc. ................................... 2,000
84,000
Premark International, Inc. ........................ 1,000
44,750
Safeway, Inc. (New) (b) ............................ 2,000
63,750
Talbots, Inc. ...................................... 1,000
31,250
Tiffany & Company (New)............................. 1,000
39,000
Viking Office Products Inc (b) ..................... 3,000
91,875
Williams-Sonoma Inc (b) ............................ 3,750
112,734
-------
- ----
846,546
- ---------------------------------------------------------------------------
- ----
CAPITAL GOODS/PRODUCTION - 7.0%
AGCO Corporation.................................... 2,250
68,344
AMETEK, Inc. ..................................... 4,000
67,500
Clark Equipment Company ............................ 2,000
108,500
Danaher Corporation................................. 1,500
78,375
Echlin, Inc. ....................................... 1,000
30,000
Furon Company....................................... 1,000
22,000
Image Industries, Inc. (b) ......................... 1,000
11,375
Newpark Resources, Inc.(b).......................... 1,500
36,000
Parker-Hannifin Corporation ........................ 2,000
91,000
Sanifill Inc (b).................................... 3,000
75,000
TRW, Inc. .......................................... 1,000
66,000
Wabash National Corporation ........................ 2,250
87,750
Wellman, Inc. ...................................... 1,500
42,375
X-Rite, Inc. (b).................................... 1,000
19,750
-------
- ----
803,969
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
68
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
<S> <C> <C>
- ---------------------------------------------------------------------------
- ----
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- ----
FINANCIAL SERVICES - 6.3%
ADVANTA Corporation, Class A........................ 1,000
$26,250
BayBanks Inc........................................ 2,000
105,500
Crestar Financial Corporation....................... 2,000
75,250
Cullen Frost Bankers Inc ........................... 1,000
30,875
Equitable of Iowa Inc .............................. 1,000
28,250
First American Corporation (Tennessee) ............. 1,000
26,875
GFC Financial Corporation........................... 1,500
47,625
Green Tree Financial Corporation.................... 2,000
60,750
Hibernia Corporation, Class A ...................... 4,000
31,000
Mercantile Bancorporation Inc ...................... 2,000
62,500
Michigan National Corporation ...................... 1,366
102,109
Midatlantic Corporation ............................ 2,000
53,000
Star Banc Corporation .............................. 1,000
36,375
West One Bancorp ................................... 1,500
39,750
-------
- ----
726,109
- ---------------------------------------------------------------------------
- ----
ENERGY - 5.9%
Apache Corporation ................................. 3,500
87,500
Barrett Resources Corporation (b)................... 1,500
30,750
Chesapeake Energy Corporation (b)................... 2,500
39,375
Enron Oil & Gas Company ............................ 4,000
75,000
Input/Output Inc (b)................................ 4,000
94,500
Kerr-McGee Corporation.............................. 1,000
46,000
Noble Affiliates Inc ............................... 2,500
61,875
Offshore Pipelines, Inc. (b) ....................... 1,000
22,625
Petroleum GEO Services (b).......................... 1,000
18,625
Pogo Producing Company ............................ 2,500
44,375
Smith International Inc ............................ 3,000
37,500
Union Texas Petroleum Holdings, Inc. ............... 1,500
31,125
Weatherford International, Inc. (b)................. 2,000
19,500
Western Company of North America (b)................ 4,500
75,938
-------
- ----
684,688
- ---------------------------------------------------------------------------
- ----
BASIC INDUSTRIES/RAW MATERIALS - 4.9%
A.K. Steel Holdings Corporation (b)................. 2,000
61,500
Chesapeake Corporation.............................. 1,000
33,000
Georgia Gulf Corporation ........................... 3,000
116,625
Kennametal Inc ..................................... 1,000
24,500
Millipore Corporation .............................. 2,000
96,750
Olin Corporation.................................... 1,000
51,500
Potash Saskatchewan Corporation, Inc. .............. 2,000
68,000
Praxair, Inc. ...................................... 2,000
41,000
Terra Industries, Inc. ............................. 3,500
36,312
Timken Company...................................... 1,000
35,250
-------
- ----
564,437
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
69
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
<S> <C> <C>
- ---------------------------------------------------------------------------
- ----
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- ----
CONSUMER NON-DURABLES - 4.6%
Canadaigua Wine, Inc., Class A (b) ................. 1,500
$57,000
Fieldcrest Cannon Inc. (b) ......................... 1,000
25,500
Fossil, Inc. (b).................................... 2,000
26,250
IBP Inc ............................................ 2,000
60,500
Lancaster Colony Corporation........................ 2,333
68,532
Nautica Enterprises Inc. (b) ....................... 2,500
75,625
Smithfield Foods, Inc. (b).......................... 2,000
64,000
St. John Knits Inc. ................................ 1,500
42,937
Tommy Hilfinger Corporation (b)..................... 1,500
67,688
Wolverine World Wide Inc. (b) ...................... 1,500
38,625
-------
- ----
526,657
- ---------------------------------------------------------------------------
- ----
CONSUMER DURABLES - 3.3%
Callaway Golf Company............................... 4,000
132,500
Cobra Golf, Inc. (b)................................ 1,500
53,625
Exide Corporation................................... 1,000
56,250
Harman International Industries Inc. .............. 1,500
55,500
Oakwood Homes Corporation .......................... 1,500
36,562
Sunbeam-Oyster, Inc. ............................... 1,500
38,625
Ultralife Batteries, Inc. (b)....................... 500
8,000
-------
- ----
381,062
- ---------------------------------------------------------------------------
- ----
UTILITIES - 2.5%
ALC Communications Corporation (b).................. 3,000
93,375
Cellular Communications, Inc., Class A (b) ......... 500
26,750
Century Tel Enterprises, Inc. ...................... 2,000
59,000
LCI International, Inc. (b)......................... 3,000
80,250
Nationwide Cellular Services, Inc. (b).............. 500
9,563
Telephone & Data Systems, Inc. ..................... 500
23,063
-------
- ----
292,001
- ---------------------------------------------------------------------------
- ----
TRANSPORTATION - 2.1%
American Freightways Corporation (b)................ 1,500
29,812
Landstar Systems Inc (b) ........................... 1,000
32,750
Pittston Services Group ............................ 2,500
66,250
Swift Transportation, Inc. (b)...................... 2,000
41,000
TNT Freightways Corporation......................... 2,000
51,250
Wisconsin Central Transportation Corporation (b).... 500
20,625
-------
- ----
241,687
- ---------------------------------------------------------------------------
- ----
TOTAL COMMON STOCKS (COST $9,856,238)...............
10,639,031
- ---------------------------------------------------------------------------
- ----
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 1.8%
- ---------------------------------------------------------------------------
- ----
U.S. TREASURY BILLS
5.010% (c) due 02/09/1995 .................... $100,000
99,502
5.360% (c) due 03/09/1995 .................... 115,000
113,821
- ---------------------------------------------------------------------------
- ----
TOTAL U.S. TREASURY OBLIGATIONS (COST $213,323).....
213,323
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
70
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
DISCOUNT NOTES - 9.8%
- ---------------------------------------------------------------------------
- ----
Federal Farm Credit Bank,
5.630% (c) due 01/04/1995 ................. $100,000
$99,953
Federal Home Loan Mortgage Corporation,
5.740 % (c) due 01/23/1995 ................ 130,000
129,544
Federal National Mortgage Association,
5.960% (c) due 01/23/1995 ................. 110,000
109,599
Federal National Mortgage Association,
5.730% (c) due 02/27/1995 ................. 795,000
787,787
- ---------------------------------------------------------------------------
- ----
TOTAL DISCOUNT NOTES (COST $1,126,883).............
1,126,883
- ---------------------------------------------------------------------------
- ----
TOTAL INVESTMENTS (COST $11,196,444) (d)............ 103.8 %
11,979,237
OTHER ASSETS AND LIABILITIES (NET).................. (3.8)
(440,179)
- ---------------------------------------------------------------------------
- ----
NET ASSETS.......................................... 100.0 %
$11,539,058
- ---------------------------------------------------------------------------
- ----
<FN>
(a) Values are determined by procedures described in Note 1 to the
Financial
Statements.
(b) Non - income producing security.
(c) Rate represents annualized yield to maturity (unaudited).
(d) At December 31, 1994, the cost of securities for Federal income tax
purposes was $11,196,444 and the aggregate unrealized appreciation and
depreciation based on that cost was:
Unrealized appreciation ..... $1,154,777
Unrealized depreciation ..... 371,984
---------------------------------------------
Net unrealized appreciation.. $782,793
---------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
71
<PAGE>
SMITH BARNEY SERIES FUND
TOTAL RETURN PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
<S>
<C> <C>
- ---------------------------------------------------------------------------
- --------------------------------------------------
COMMON STOCKS - 57.2%
- ---------------------------------------------------------------------------
- --------------------------------------------------
REAL ESTATE - 18.3%
BRE Properties, Class
A......................................................................
20,000 $617,500
Crown American Realty
.......................................................................
60,000 810,000
DeBartolo Reality
Corporation................................................................
45,000 675,000
General Growth Properties Inc.
..............................................................
20,000 452,500
Spieker Properties Inc.
.....................................................................
22,000 448,250
TriNet Corporate Realty Trust
...............................................................
25,000 731,250
Western Investment Real Estate Trust
........................................................ 40,000
515,000
- --------------
4,249,500
- ---------------------------------------------------------------------------
- --------------------------------------------------
FINANCIAL SERVICES - 12.8%
Ahmanson (H F) & Company
....................................................................
30,000 483,750
BankAmerica Corporation
.....................................................................
12,000 474,000
Downey Savings & Loan Association
........................................................... 20,000
378,125
Great Western Financial Corporation
......................................................... 40,000
640,000
Irvine Apartment Communities
................................................................
30,000 491,250
Storage Equities, Inc.
......................................................................
35,000 503,125
- --------------
2,970,250
- ---------------------------------------------------------------------------
- --------------------------------------------------
ENERGY - 11.0%
Amoco
Corporation................................................................
............ 8,000 473,000
Dresser Industries Inc.
.....................................................................
30,000 566,250
FINA Inc., Class A
..........................................................................
8,000 547,000
Pennzoil
Company....................................................................
......... 12,000 529,500
Phillips Petroleum Company
..................................................................
13,000 425,750
- --------------
2,541,500
- ---------------------------------------------------------------------------
- --------------------------------------------------
HEALTH CARE- 5.4%
ALZA
Corporation................................................................
............. 10,000 180,000
Bristol-Myers-Squibb Company
................................................................
7,000 405,125
Lilly (Eli) & Company
.......................................................................
10,000 656,250
- --------------
1,241,375
- ---------------------------------------------------------------------------
- --------------------------------------------------
TECHNOLOGY- 3.0%
IMP Inc.
(b)........................................................................
......... 200,000 343,760
Texas Instruments Inc.
......................................................................
5,000 374,375
- --------------
718,135
- ---------------------------------------------------------------------------
- --------------------------------------------------
BASIC INDUSTRIES - 2.4%
duPont (E.I.) DeNemours & Company
........................................................... 10,000
562,500
- ---------------------------------------------------------------------------
- --------------------------------------------------
CONSUMER DURABLES - 2.4%
General Motors Corporation
..................................................................
13,000 549,250
- ---------------------------------------------------------------------------
- --------------------------------------------------
TELECOMMUNICATIONS - 1.9%
Tele Communications Inc. (b)
................................................................
20,000 435,000
- ---------------------------------------------------------------------------
- --------------------------------------------------
TOTAL COMMON STOCKS (COST $13,875,811)
......................................................
13,267,510
- ---------------------------------------------------------------------------
- --------------------------------------------------
PREFERRED CONVERTIBLE STOCKS - 14.2%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Amax Gold Inc., Preferred Convertible, Series B,
7.500%...................................... 10,000 482,500
Catellus Development Corporation, Preferred Convertible, Series A
........................... 13,000 602,875
Delta Air Lines Inc., Depositary Shares representing 1/1000 Preferred
Convertible, Series C.. 20,000 875,000
Republic New York Corporation, Cumulative Preferred Convertible,
$3.375...................... 12,000 606,000
Rouse Company, Preferred Convertible, Series A, 6.500%
..................................... 15,000 727,500
- ---------------------------------------------------------------------------
- --------------------------------------------------
TOTAL PREFERRED CONVERTIBLE STOCKS (COST $3,476,351)
........................................ 3,293,875
- ---------------------------------------------------------------------------
- --------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
72
<PAGE>
SMITH BARNEY SERIES FUND
TOTAL RETURN PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE(a)
<S>
<C> <C>
- ---------------------------------------------------------------------------
- --------------------------------------------------
COMMERCIAL PAPER - 5.0% (COST $1,165,000)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Prudential Funding Corporation, 5.800% due
01/03/1995........................................ $1,165,000
$1,165,000
- ---------------------------------------------------------------------------
- --------------------------------------------------
REPURCHASE AGREEMENTS - 24.3%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Agreement with Salomon Brothers, 5.750% dated 12/30/1994
to be repurchased at $3,498,234 on 01/03/1995, collateralized by
$3,725,000 U.S. Treasury Notes, 7.250% due
11/15/2016.................................... 3,496,000
3,496,000
Agreement with Union Bank of Switzerland Securities, 5.625% dated
12/30/1994
to be repurchased at $2,147,341 on 01/03/1995, collateralized by
$2,180,000 U.S. Treasury Notes, 6.125% due 07/31/1996
................................... 2,146,000 2,146,000
- ---------------------------------------------------------------------------
- --------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost $5,642,000)
...............................................
5,642,000
- ---------------------------------------------------------------------------
- --------------------------------------------------
TOTAL INVESTMENTS (Cost $24,159,162) (c)
.................................................... 100.7 %
23,368,385
- ---------------------------------------------------------------------------
- --------------------------------------------------
<CAPTION>
CONTRACTS
- ---------------------------------------------------------------------------
- --------------------------------------------------
<S> <C>
<C> <C>
CALL OPTIONS WRITTEN - (0.1%) (PREMIUM $44,274)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Texas Instruments Inc., January 1995, $100.00 ......... 50
(0.1) (14,375)
- ---------------------------------------------------------------------------
- --------------------------------------------------
OTHER ASSETS AND LIABILITIES (Net)
.......................................................... (0.6)
(158,119)
- ---------------------------------------------------------------------------
- --------------------------------------------------
NET ASSETS
...........................................................................
....... 100.0 % $23,195,891
- ---------------------------------------------------------------------------
- --------------------------------------------------
<FN>
(a) Values are determined by procedures described in Note 1 to the
Financial
Statements.
(b) Non-income producing security.
(c) At December 31, 1994, the cost of securities for Federal income tax
purposes was $24,159,162 and the aggregate unrealized appreciation and
depreciation based on that cost was:
Unrealized appreciation ....... $292,075
Unrealized depreciation ....... 1,082,852
-----------------------------------------------
- --
Net unrealized depreciation.... ($790,777)
-----------------------------------------------
- --
</TABLE>
See accompanying Notes to Financial Statements.
73
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE (a)
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
INTERNATIONAL COMMON STOCKS - 95.9%
- ---------------------------------------------------------------------------
- ---------
JAPAN - 10.5%
Doutor Coffee Company.................................. 6,600
$258,304
Hitachi Limited........................................ 19,000
188,570
Japan Telecom.......................................... 5
170,095
Mr. Max, Inc. ......................................... 7,600
196,006
Matsushita Electric Industries Company................. 16,000
263,322
Meiwa Trading Company (b).............................. 34,000
149,784
Mitsubishi Heavy Industries............................ 42,000
320,321
Nippon Denso........................................... 16,000
337,180
Rohm Company........................................... 6,000
254,089
Shohkoh Fund & Company................................. 3,000
620,171
Sony Music Entertainment............................... 3,900
219,167
--
- ---------
2,977,009
- ---------------------------------------------------------------------------
- ---------
SWEDEN - 8.1%
Allgon AB, Series B.................................... 30,000
565,348
Astra AB 'A', Free..................................... 4,000
103,378
Astra AB, Series B, Free............................... 2,000
51,016
Autoliv AB (b)......................................... 15,000
577,463
Ericsson (L.M.) Tele, Series B......................... 7,000
387,264
Hennes and Mauritz, Series B .......................... 7,500
384,639
Volvo AB, Series B, Free............................... 12,500
235,562
--
- ---------
2,304,670
- ---------------------------------------------------------------------------
- ---------
SINGAPORE - 7.5%
Cerebos Pacific........................................ 70,000
384,220
D.B.S. Land............................................ 70,000
208,439
Fraser & Neave......................................... 15,000
155,403
Hong Leong Finance..................................... 85,000
291,595
Jardine Matheson Holdings (b).......................... 25,234
180,185
Jurong Engineering..................................... 18,750
128,645
Jurong Shipyard........................................ 15,000
115,266
Overseas Union Bank (b)................................ 26,000
151,630
Sembawang Maritime..................................... 35,000
169,297
Tuan Sing Holdings..................................... 300,000
107,032
Van Der Horst (b)...................................... 75,000
230,532
--
- ---------
2,122,244
- ---------------------------------------------------------------------------
- ---------
ITALY - 7.1%
Alleanza Assicuraz di Risp............................. 30,000
253,654
Cofide (b)............................................. 250,000
163,429
Industrie Natuzzi Spa (b) ............................. 15,000
510,000
Lloyd Adriatico........................................ 30,000
360,407
Olivetti C Spa (b)..................................... 250,000
318,378
Parmalat Finanziara.................................... 150,000
157,262
Telecom Italia......................................... 100,000
260,253
--
- ---------
2,023,383
- ---------------------------------------------------------------------------
- ---------
MALAYSIA - 6.5%
Hong Leong Credit Berhad............................... 22,500
109,262
Leader Universal Holdings.............................. 83,333
267,605
Malaysian Helicopter................................... 12,000
22,557
Renong Berhad.......................................... 125,000
154,690
</TABLE>
See accompanying Notes to Financial Statements.
74
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE (a)
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
INTERNATIONAL COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ---------
MALAYSIA (continued)
Resorts World Berhad................................... 50,000
$293,715
Sungei Way Holdings (b)................................ 112,000
447,386
Technology Resource Industries (b)..................... 110,000
351,087
Telekom Malaysia ...................................... 30,000
203,250
--
- ---------
1,849,552
- ---------------------------------------------------------------------------
- ---------
GERMANY - 6.1%
Bayer.................................................. 1,200
281,168
Bayer Motoren Werke.................................... 546
271,370
Friedrich Grohe........................................ 1,000
296,918
Linde.................................................. 400
233,661
Mannesmann............................................. 1,200
326,868
Spar Handels........................................... 1,500
314,668
--
- ---------
1,724,653
- ---------------------------------------------------------------------------
- ---------
MEXICO - 4.2%
Coca Cola Femsa (b).................................... 5,000
123,125
Gruma (b).............................................. 50,000
205,025
Grupo Carso (b)........................................ 20,000
146,734
Grupo Industrial Bimbo................................. 31,432
169,006
Grupo Iusacell......................................... 8,850
161,288
Grupo Televisa......................................... 2,000
55,514
Grupo Tribasa (b)...................................... 3,099
51,521
Kimberly Clark de Mexico............................... 15,000
175,779
Telefonos de Mexico.................................... 2,500
102,500
--
- ---------
1,190,492
- ---------------------------------------------------------------------------
- ---------
AUSTRIA - 4.0%
Bau Holdings........................................... 3,000
217,511
Baumax Holdings........................................ 5,500
217,052
Burgenland Holdings.................................... 5,000
181,259
Interunfall Ver........................................ 1,200
193,833
Macula Holdings........................................ 1,000
82,599
Vae Eisenhahnsystem.................................... 2,200
250,367
--
- ---------
1,142,621
- ---------------------------------------------------------------------------
- ---------
AUSTRALIA - 3.9%
Burns Philp and Company................................ 52,697
124,603
Coca Cola Amatil....................................... 51,479
327,255
Mayne Nickless Limited................................. 65,000
332,582
M.I.M. Holdings........................................ 201,984
336,664
--
- ---------
1,121,104
- ---------------------------------------------------------------------------
- ---------
IRELAND - 3.9%
Bank of Ireland........................................ 60,000
268,943
CRH.................................................... 30,000
165,539
Greencore.............................................. 30,276
189,524
Independent Newspapers................................. 75,000
318,790
Irish Continental Group................................ 25,064
160,772
--
- ---------
1,103,568
- ---------------------------------------------------------------------------
- ---------
HONG KONG - 3.8%
Guang Zhou Investments Company......................... 400,000
81,163
Guoco Group............................................ 30,000
128,336
</TABLE>
See accompanying Notes to Financial Statements.
75
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE (a)
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
INTERNATIONAL COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ---------
HONG KONG (CONTINUED)
Hong Kong & China Gas (b).............................. 100,000
$161,551
Pricerite Group........................................ 1,000,000
147,981
Shaw Brothers.......................................... 50,000
76,898
Shun Tak Holdings...................................... 200,000
142,165
Sun Hung Kai Properties................................ 25,000
149,273
Wharf Holdings......................................... 60,000
202,391
--
- ---------
1,089,758
- ---------------------------------------------------------------------------
- ---------
CHILE - 3.3%
Cristalerias de Chile.................................. 15,000
236,250
Embotelladora Andina................................... 15,000
391,875
Laboratorio Chile...................................... 13,500
295,313
--
- ---------
923,438
- ---------------------------------------------------------------------------
- ---------
GREAT BRITIAN - 3.1%
British Airport Authority.............................. 20,000
148,651
Flextech (b)........................................... 15,000
92,711
GKN ................................................... 35,443
327,211
Reuters Holdings....................................... 3,000
131,625
Vodafone Group......................................... 5,000
168,125
--
- ---------
868,323
- ---------------------------------------------------------------------------
- ---------
NORWAY - 2.9%
Gresvig (b)............................................ 25,000
295,814
Petroleum Geo Services (b)............................. 8,000
145,541
Sensonor (b)........................................... 35,000
217,423
Unitor................................................. 10,000
168,614
--
- ---------
827,392
- ---------------------------------------------------------------------------
- ---------
CANADA - 2.7%
Grad & Walker Energy Company........................... 25,000
109,161
Loewen Group........................................... 15,000
392,978
Videotron.............................................. 29,000
273,926
--
- ---------
776,065
- ---------------------------------------------------------------------------
- ---------
FRANCE - 2.7%
Castorama Dubois Invest................................ 2,014
251,514
Filipacchi Medias...................................... 1,200
224,452
Guilbert............................................... 3,394
289,770
--
- ---------
765,736
- ---------------------------------------------------------------------------
- ---------
NETHERLANDS - 2.7%
Heineken............................................... 2,500
377,038
IHC Caland............................................. 10,000
252,895
NBM Amstelland (b)..................................... 12,300
129,668
--
- ---------
759,601
- ---------------------------------------------------------------------------
- ---------
PHILIPPINES - 2.4%
International Container (b)............................ 150,000
119,242
Liberty Telecoms Holdings (b).......................... 3,000,000
207,909
Universal Robina Corporation (b)....................... 500,000
356,706
--
- ---------
683,857
- ---------------------------------------------------------------------------
- ---------
</TABLE>
See accompanying Notes to Financial Statements.
76
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
INTERNATIONAL COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ---------
ARGENTINA - 2.3%
Quilmes Industries..................................... 25,000
$575,000
Sociedad Commercial Del Plata.......................... 30,000
76,496
--
- ---------
651,496
- ---------------------------------------------------------------------------
- ---------
ISRAEL - 1.7%
Gilat Satellite Networks............................... 40,000
480,000
- ---------------------------------------------------------------------------
- ---------
DENMARK - 1.6%
Tele Danmark (b)....................................... 15,000
445,754
- ---------------------------------------------------------------------------
- ---------
THAILAND - 1.5%
Bangkok Bank Public Company............................ 30,000
320,255
Land & House........................................... 6,000
107,070
--
- ---------
427,325
- ---------------------------------------------------------------------------
- ---------
PANAMA - 1.1%
Panamerican Beverage, Inc. (b)......................... 10,000
316,250
- ---------------------------------------------------------------------------
- ---------
GREECE - 1.0%
Sarantopoulos (b)...................................... 18,000
296,127
- ---------------------------------------------------------------------------
- ---------
INDONESIA - 0.4%
Japfa Comfeed.......................................... 100,000
117,152
- ---------------------------------------------------------------------------
- ---------
SWITZERLAND - 0.3%
Vetropack Holdings..................................... 25
95,493
- ---------------------------------------------------------------------------
- ---------
TAIWAN - 0.3%
Formosa Growth Fund (b)................................ 5,000
81,250
- ---------------------------------------------------------------------------
- ---------
FINLAND - 0.3%
Nokia Corporation...................................... 500
73,886
Tampella (b)........................................... 1,990
5,881
--
- ---------
79,767
- ---------------------------------------------------------------------------
- ---------
TOTAL INTERNATIONAL COMMON STOCKS (Cost $28,995,572) .................
27,244,080
- ---------------------------------------------------------------------------
- ---------
INTERNATIONAL PREFERRED STOCK - 1.6% (Cost $183,899)
- ---------------------------------------------------------------------------
- ---------
AUSTRIA - 1.6%
Nokia AB, Preferred.................................... 3,000
442,052
- ---------------------------------------------------------------------------
- ---------
RIGHTS - 0.1% (Cost $2,768)
- ---------------------------------------------------------------------------
- ---------
Sungei Way Holdings, Expire 06/29/1999 (b)............. 12,500
21,931
- ---------------------------------------------------------------------------
- ---------
WARRANTS - 0.0%
- ---------------------------------------------------------------------------
- ---------
Hong Kong & China Gas, Expire 12/31/1995 (b)........... 5,000
950
Singapore Finance, Expire 06/22/1999 (b)............... 8,500
6,590
- ---------------------------------------------------------------------------
- ---------
TOTAL WARRANTS (Cost $3,792)...........................
7,540
- ---------------------------------------------------------------------------
- ---------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
COMMERCIAL PAPER - 1.3% (Cost $382,000)
- ---------------------------------------------------------------------------
- ---------
Prudential Funding Corporation, 5.800% (c) due 01/03/19 $382,000
382,000
- ---------------------------------------------------------------------------
- ---------
CONVERTIBLE BOND - 1.1% (Cost $243,476)
- ---------------------------------------------------------------------------
- ---------
DENMARK - 1.1%
Danske Traelastkompagni, 5.250% due 01/01/2002......... 1,400,000
303,822
- ---------------------------------------------------------------------------
- ---------
</TABLE>
See accompanying Notes to Financial Statements.
77
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
VALUE(a)
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
TOTAL INVESTMENTS (Cost $29,811,507) (d) .............. 100.0 %
$28,401,425
OTHER ASSETS AND LIABILITIES (Net) .................... 0.0
11,381
- ---------------------------------------------------------------------------
- ---------
NET ASSETS............................................. 100.0 %
$28,412,806
- ---------------------------------------------------------------------------
- ---------
<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).
(d) At December 31, 1994, the cost of securities for Federal income tax
purposes was
$29,811,507 the aggregate unrealized appreciation and depreciation
based
on that cost was:
Unrealized appreciation...... $2,163,388
Unrealized depreciation...... 3,573,470
--------------------------------------------
Net unrealized depreciation..$(1,410,082)
--------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
78
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PERCENTAGE OF
SECTOR DIVERSIFICATION NET ASSETS VALUE (a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
Financial Services 13.3 % $
3,779,381
Food & Beverages 7.8
2,215,611
Capital Goods 7.6
2,159,557
Basic Industries 6.0
1,714,835
Consumer Non-Durables 5.8
1,649,849
Technology 5.7
1,620,534
Consumer Durables 5.7
1,610,145
Transportation 5.5
1,549,825
Consumer Services 5.3
1,521,575
Retail 5.3
1,519,503
Utilities 5.3
1,510,064
Telecommunications 4.3
1,217,246
Construction 3.1
871,238
Healthcare 3.0
842,684
Conglomerate 2.7
767,579
Cable & Entertainment 2.7
760,699
Energy 0.4
109,161
Other 6.4
1,824,594
- ---------------------------------------------------------------------------
- ----
TOTAL COMMON STOCKS 95.9
27,244,080
- ---------------------------------------------------------------------------
- ----
Preferred Stock 1.6
442,052
Rights & Warrants 0.1
29,471
Commercial Paper 1.3
382,000
Convertible Bond 1.1
303,822
- ---------------------------------------------------------------------------
- ----
TOTAL INVESTMENTS 100.0
28,401,425
Other Assets and Liabilities(Net) 0.0
11,381
- ---------------------------------------------------------------------------
- ----
NET ASSETS 100.0 % $
28,412,806
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
79
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
___________________________________________________________________________
_____
To the Policyholders and Trustees of
Smith Barney Series Fund:
We have audited the accompanying statements of assets and liabilities of
Smith
Barney Series Fund (formerly "Smith Barney Shearson Series Fund") (the
"Fund")
(consisting of 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 schedule of forward foreign
exchange
contracts (Diversified Strategic Income Portfolio), as of December 31, 1994
and
the related statements of operations, the statements of changes in net
assets
and financial highlights for each of the respective periods presented.
These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights 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 financial
highlights 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, 1994 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 financial highlights referred
to
above present fairly, in all material respects, the financial position of
the
aforementioned portfolios of Smith Barney Series Fund as of December 31,
1994,
and the results of their operations, the changes in their net assets and
the
financial highlights for each of the respective periods presented, in
conformity
with generally accepted accounting principles.
COOPERS & LYBRAND
L.L.P.
Boston, Massachusetts
February 10, 1995
80
<PAGE>
TAX INFOMATION (UNAUDITED) YEAR ENDED DECEMBER 31, 1994
The capital gains dividend distribution paid to shareholders for the fiscal
year
ended December 31, 1994, whether taken in shares or in cash, is as follows:
<TABLE>
<S> <C>
Portfolio: . . . . . . . . . . . . . . . . . . . .
Equity Index Portfolio . . . . . . . . . . . . . . $67,230
Intermediate High Grade Portfolio. . . . . . . . . $16,151
Equity Income Portfolio. . . . . . . . . . . . . . $29,483
</TABLE>
Of the distributions from ordinary income made during the fiscal year ended
December 31, 1994, the amount of each distributions which will qualify for
the
dividend received deduction available to corporate shareholders is as
follows:
<TABLE>
<S> <C>
Portfolio:
Total Return Portfolio . . . . . . . . . . . . . . 35.11%
Growth & Income Portfolio. . . . . . . . . . . . . 69.00%
</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.
81
Smith Barney Series Fund
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies
Smith Barney Series Fund (formerly "Smith Barney Shearson Series Fund")
(the "Fund") was organized under the laws of the Commonwealth of
Massachusetts on May 13, 1991 and commenced operations on October 16, 1991.
The Fund is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company
established as a Massachusetts business trust. As of the date of this
report, the Fund offers ten managed investment portfolios (the
"Portfolios"): Money Market Portfolio, Intermediate High Grade Portfolio,
Diversified Strategic Income Portfolio, Equity Income Portfolio, Equity
Index Portfolio, Growth & Income Portfolio, Appreciation Portfolio,
Emerging Growth Portfolio, Total Return Portfolio and International Equity
Portfolio. Shares of the Fund can be bought through investing in a
Symphony Annuity (the "Annuity"), an individual flexible premium deferred
combination fixed and variable annuity contract from IDS Life Insurance
Company ("IDS Life") or a certificate evidencing your interest in a master
group flexible premium deferred annuity from IDS Life Insurance Company of
New York ("IDS Life of New York"). Net purchase payments for the Annuity
are allocated to one or more of the ten subaccounts of the IDS Life Account
or the IDS Life of New York Account (the "Variable Accounts"). The
following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements.
Portfolio valuation:
Generally, a Portfolio's investments are valued at market value or, in the
absence of a market value with respect to any portfolio securities, at fair
value as determined by or under the direction of the Fund's Board of
Trustees. A security that is primarily traded on a U.S. or foreign
exchange (including securities traded through the National Market System)
is valued at the last sale price on that exchange or, if there were no
sales during the day, at current quoted bid price. Portfolio securities
that are primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
except that when a significant occurrence subsequent to the time a value
was so established is likely to have significantly changed the value, then
the fair value of those securities will be determined by consideration of
other factors by or under the direction of the Board of Trustees or its
delegates. Over-the-counter securities that are not traded through the
National Market System and securities listed or traded on certain foreign
exchanges whose operations are similar to the U.S. over-the-counter market
are valued on the basis of the bid price at the close of business on each
day. Investments in U.S. Government securities (other than short-term
securities) are valued at the average of the quoted bid and asked prices in
the over-the-counter market. The value of a futures contract equals the
unrealized gain or loss on the contract, which is determined by marking the
contract to the current settlement price for a like contract acquired on
the day on which the futures contract is being valued.
Short-term investments that mature in 60 days or less and securities of the
Money Market Portfolio are valued at amortized cost when the Board of
Trustees determines that this constitutes fair value. Amortized cost
valuation involves valuing a portfolio instrument at its cost initially
and, thereafter, assuming a constant amortization to maturity of any
discount or premium, regardless of the impact of fluctuating interest rates
on the market value of the instrument. The Money Market Portfolio attempts
to maintain a constant net asset value of $1.00 per share.
Futures contracts (Intermediate High Grade, Diversified Strategic Income,
Equity Income, Equity Index, Growth & Income, Emerging Growth, Total Return
and International Equity Portfolios):
Upon entering into a futures contract, the Portfolio is required to deposit
with the broker an amount of cash or cash equivalents equal to a certain
percentage of the contract amount. This is known as the "initial margin."
Subsequent payments ("variation margin") are made or received by the
Portfolio each day, depending on the daily fluctuation of the value of the
contract.
For financial statement purposes, an amount equal to the settlement amount
of the contract is included in the Portfolio's Statement of Assets and
Liabilities as an asset and as an equivalent liability. For long futures
positions, the asset is marked-to-market daily; for short futures
positions, the liability is marked-to-market daily. The daily changes in
the contract are recorded as unrealized gains or losses. The Portfolio
recognizes a realized gain or loss when the contract is closed.
There are several risks in connection with the use of futures contracts as
a hedging device. The change in value of futures contracts primarily
corresponds with the value of their underlying instruments, which may not
correlate with the change in value of the hedged investments. In addition,
there is the risk the Portfolio may not be able to enter into a closing
transaction because of an illiquid secondary market.
Foreign currency (Diversified Strategic Income, Growth & Income, Emerging
Growth and International Equity Portfolios):
The books and records of the Portfolio are maintained in United States
(U.S.) dollars. Foreign currencies, investments and other assets and
liabilities are translated into U.S. dollars at the exchange rates
prevailing at the end of the period, and purchases and sales of investment
securities, income and expenses are translated on the respective dates of
such transactions. Unrealized gains and losses which result from changes
in foreign currency exchange rates have been included in the unrealized
appreciation/(depreciation) of investments and net other assets. Net
realized foreign currency gains and losses resulting from changes in
exchange rates include foreign currency gains and losses between trade date
and settlement date on investment securities transactions, foreign currency
transactions and the difference between the amounts of interest and
dividends recorded on the books of the Portfolio and the amount actually
received. The portion of foreign currency gains and losses related to
fluctuation in exchange rates between the initial purchase trade date and
subsequent sale trade date is included in realized gains and losses on
investment securities sold.
Forward foreign currency contracts (Diversified Strategic Income, Growth
and Income, Emerging Growth and International Equity Portfolios):
Forward foreign currency contracts are valued at the forward rate and are
marked-to-market daily. The change in market value is recorded by the
Portfolio as an unrealized gain or loss. When the contract is closed, the
Portfolio records a realized gain or loss equal to the difference between
the value of the contract at cost and the value at the time that it was
closed.
The use of forward foreign currency contracts does not eliminate
fluctuations in the underlying prices of the Portfolio's investment
securities, but it does establish a rate of exchange that can be achieved
in the future. Although forward foreign currency contracts limit the risk
of loss due to a decline in the value of the hedged currency, they also
limit any potential gain that might result should the value of the currency
increase. In addition, the Portfolio could be exposed to risks if the
counterparties to the contracts are unable to meet the terms of their
contracts.
Option contracts (All Portfolios with the exception of Money Market
Portfolio):
Upon the purchase of a put option or a call option by the Portfolio, the
premium paid is recorded as an investment, the value of which is marked-to-
market daily. When a purchased option expires, the Portfolio will realize
a loss in the amount of the cost of the option. When the Portfolio enters
into a closing sale transaction, the Portfolio will realize a gain or loss
depending on whether the sales proceeds from the closing sale transaction
are greater or less than the cost of the option. When the Portfolio
exercises a put option, it will realize a gain or loss from the sale of the
underlying security and the proceeds from such sale will be decreased by
the premium originally paid. When the Portfolio exercises a call option,
the cost of the security which the Portfolio purchases upon exercise will
be increased by the premium originally paid.
When a Portfolio writes a call option or a put option, an amount equal to
the premium received by the Portfolio is recorded as a liability, the value
of which is marked-to-market daily. When a written option expires, the
Portfolio realizes a gain equal to the amount of the premium received.
When the Portfolio enters into a closing purchase transaction, the
Portfolio realizes a gain (or loss if the cost of the closing purchase
transaction exceeds the premium received when the option was sold) without
regard to any unrealized gain or loss on the underlying security, and the
liability related to such option is eliminated. When a call option is
exercised, the Portfolio realizes a gain or loss from the sale of the
underlying security and the proceeds from such sale are increased by the
premium originally received. When a put option is exercised, the amount of
the premium originally received will reduce the cost of the security which
the Portfolio purchased upon exercise.
The risk associated with purchasing options is limited to the premium
originally paid. The risk in writing a call option is the Portfolio may
forego the opportunity of profit if the market price of the underlying
security increases and the option is exercised. The risk in writing a put
option is that the Portfolio may incur a loss if the market price of the
underlying security decreases and the option is exercised. In addition,
there is the risk the Portfolio may not be able to enter into a closing
transaction because of an illiquid secondary market.
Repurchase agreements (All Portfolios):
The Portfolios may engage in repurchase agreement transactions. Under the
terms of a typical repurchase agreement, the Portfolio takes possession of
an underlying debt obligation, subject to an obligation of the seller to
repurchase, and the Portfolio to resell, the obligation at an agreed upon
price and time, thereby determining the yield during the Portfolio's
holding period. This arrangement results in a fixed rate of return that is
not subject to market fluctuations during the Portfolio's holding period.
The value of the collateral is at least equal at all times to the total
amount of the repurchase obligations, including interest. In the event of
counterparty default, the Portfolio has the right to use the collateral to
offset losses incurred. There is potential loss to the Portfolio in the
event the Portfolio is delayed or was prevented from exercising its rights
to dispose of the collateral securities including the risk of a possible
decline in the value of the underlying securities during the period while
the Portfolio seeks to assert its rights. The Portfolio's investment
adviser, acting under the supervision of the Board of Trustees, reviews the
value of the collateral and the creditworthiness of those banks and dealers
with which the Portfolio enters into repurchase agreements to evaluate
potential risks.
Securities transactions and investment income:
Securities transactions are recorded as of the trade date. Realized gains
and losses from securities sold are recorded on the identified cost basis.
Dividend income and distributions to shareholders are recorded on the ex-
dividend date. Interest income is recorded on the accrual basis.
Dividends and distributions to shareholders:
Dividends from net investment income, if any, of the Money Market,
Intermediate High Grade, Diversified Strategic Income, Equity Income and
Total Return Portfolios are distributed monthly. Dividends from net
investment income, if any, of the Growth & Income Portfolio are distributed
quarterly. Dividends from net investment income, if any, of the Equity
Index, Appreciation, Emerging Growth and International Equity Portfolios
are distributed annually. Any net realized capital gains will be declared
and distributed annually, shortly after the close of the fiscal year in
which they are earned. Such distributions are reinvested in additional
full and fractional shares of the relevant Portfolio.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. The differences are primarily due to
differing treatments of income and gains on various investment securities
held by each Portfolio, timing differences and differing characterization
of distributions made by the Portfolio as a whole. Any permanent book and
tax basis differences at fiscal year-end have been reclassified to reflect
the tax characterization.
Federal income taxes:
The Fund intends that each Portfolio separately qualify as a regulated
investment company by complying with the requirements of the Internal
Revenue Code of 1986, as amended, applicable to regulated investment
companies and by distributing all of its taxable income to its
shareholders. Therefore, no Federal income tax provision is required.
2. Investment Advisory Fee, Administration Fee and Other Transactions
The Money Market Portfolio, Intermediate High Grade Portfolio, Diversified
Strategic Income Portfolio, Equity Income Portfolio and Growth & Income
Portfolio have each entered into an investment advisory agreement (the
"Advisory Agreement") with a division of Mutual Management Corp., which has
been transferred, effective November 7, 1994, to Smith Barney Mutual Funds
Management Inc. ("SBMFM") (formerly known as "Smith, Barney Advisers,
Inc."). Mutual Management Corp. and SBMFM are both wholly-owned
subsidiaries of Smith Barney Holdings Inc. ("Holdings"). Holdings is a
wholly owned subsidiary of The Travelers Inc. ("Travelers"). Under the
Advisory Agreement, the Money Market Portfolio, Intermediate High Grade
Portfolio, Diversified Strategic Income Portfolio, Equity Income Portfolio
and Growth & Income Portfolio each pays a monthly fee at the annual rates
of 0.30%, 0.40%, 0.45%, 0.45% and 0.45%, respectively, of the value of
their average daily net assets.
The Equity Index Portfolio has entered into an investment advisory
agreement with PanAgora Asset Management Inc. ("PanAgora"). PanAgora is
50% owned by Nippon Life Insurance Company and 50% is owned by Lehman
Brothers Inc. Under the investment advisory agreement, the Equity Index
Portfolio pays a monthly fee at the annual rate of 0.40% of the value of
its average daily net assets.
The Appreciation Portfolio, Total Return Portfolio and International Equity
Portfolio have entered into investment advisory agreements with SBMFM.
Under the investment advisory agreements, the Portfolios pay a monthly fee
at the annual rates of 0.55%, 0.55% and 0.85%, respectively, of the value
of their average daily net assets.
The Emerging Growth Portfolio has entered into an investment advisory
agreement with American Capital Asset Management, Inc. Under the
investment advisory agreement, the Emerging Growth Portfolio pays a monthly
fee at the annual rate of 0.75% of the value of its average daily net
assets.
Smith Barney Global Capital Management, Inc. ("SBGCM") serves as sub-
investment adviser to the Diversified Strategic Income Portfolio and is
paid a monthly fee by SBMFM 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 SBGCM.
Prior to April 20, 1994, each Portfolio was party to an administration
agreement with The Boston Company Advisors, Inc. ("Boston Advisors"), an
indirect wholly owned subsidiary of Mellon Bank Corporation ("Mellon").
Under the agreements, each Portfolio paid a monthly fee at the annual rate
of 0.20% of the value of its average daily net assets.
As of the close of business on April 20, 1994, SBMFM succeeded Boston
Advisors as each Portfolio's administrator. The new administration
agreements contains substantially the same terms and conditions, including
the same level of fees, as the predecessor agreements.
As of the close of business on April 20, 1994, each Portfolio also entered
into a sub-administration agreement (the "Sub-Administration Agreement")
with Boston Advisors. Under the Sub-Administration Agreement, Boston
Advisors is paid a portion of the fee paid by the Portfolios to SBMFM at a
rate agreed upon from time to time between SBMFM and Boston Advisors.
Boston Safe Deposit and Trust Company ("Boston Safe"), an indirect wholly
owned subsidiary of Mellon, serves as the Fund's custodian. The
Shareholder Services Group, Inc. ("TSSG"), a subsidiary of First Data
Corporation, serves as the Fund's transfer and dividend paying agent.
The agreements provide that if the aggregate expenses of a Portfolio
exclusive of interest, taxes, brokerage expenses and extraordinary
expenses, exceed the agreed upon limitation, the relevant investment
adviser, SBGCM, SBMFM, 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.
For the year ended December 31, 1994, the investment advisers,
administrator, transfer agent and custodian reimbursed and/or waived fees
pursuant to the above agreements as follows:
Total
Investment
Boston
Fee Waivers
Advisers
Administrator
TSSG
Safe
Money Market Portfolio
$16,616
$ 6,198
$4,132
$1,582
$ 4,704
Intermediate High Grade Portfolio
12,616
6,939
3,470
704
1,503
Equity Index Portfolio
25,496
9,185
4,592
1,201
10,518
Emerging Growth Portfolio
18,068
10,509
2,802
767
3,990
Total Return Portfolio
7,873
4,652
1,692
297
1,232
International Equity Portfolio
23,712
14,886
3,503
385
4,938
For the year ended December 31, 1994, IDS Life reimbursed expenses pursuant
to the above agreements as follows:
Money Market Portfolio
$16,616
Intermediate High Grade Portfolio
12,616
Equity Index Portfolio
25,496
Emerging Growth Portfolio
18,068
Total Return Portfolio
7,873
International Equity Portfolio
23,712
For the year ended December 31, 1994, the Fund incurred total brokerage
commissions of $455,841 of which $18,774 was paid to Smith Barney, Inc.
("Smith Barney").
At December 31, 1994, the Variable Accounts owned all of the outstanding
shares of the ten Portfolios as investment accounts for the Annuities
offered by IDS Life and IDS Life of New York.
No officer, director or employee of Smith Barney, PanAgora or any of their
affiliates receives any compensation from the Fund for serving as a Trustee
or officer of the Fund. The Fund pays each Trustee who is not a director,
officer or employee of Smith Barney or PanAgora or any of their affiliates
$5,000 per annum plus $500 per meeting attended and reimburses each Trustee
for travel and out-of-pocket expenses.
3. Purchases and Sales of Securities
Costs of purchases and proceeds from sales of securities, excluding short-
term obligations, during the year ended December 31, 1994 were as follows:
Diversified
Intermediate
Strategic
Equity
Equity
Growth
Emerging
Total
International
High Grade
Income
Income
Index
& Income
Appreciation
Growth
Return
Equity
Portfolio
Portfolio
Portfolio
Portfolio
Portfolio
Portfolio
Portfolio
Portfolio
Portfolio
Purchases:
Gov't. Securities
$10,983,738
$13,168,995
- -
- -
- -
- -
- -
$989,100
- -
Other Securities
3,657,161
14,904,482
$10,144,089
$1,712,168
$26,090,798
$47,946,662
$14,639,837
27,158,934
$30,138,515
Sales:
Gov't Securities
9,354,078
3,846,470
- -
- -
- -
- -
- -
1,067,150
- -
Other Securities
1,123,592
9,044,116
14,437,135
121,154
20,277,066
42,317,167
5,253,423
11,021,318
2,460,597
Option activity for Total Return Portfolio for the year ended December 31,
1994 was as follows:
Premiums
Number of
Contracts
Written options outstanding at
December 31, 1993
0
0
Written options opened during the period
$115,067
280
Options cancelled in closing purchase transactions
(70,793)
(230)
Written options outstanding at December 31, 1994
$44,274
50
4. Shares of Beneficial Interest Transactions
Transactions in shares of each Portfolio were as follows:
Year Ended
Year Ended
12/31/94
12/31/93
Money Market Portfolio:
Sold
9,671,065
4,216,138
Issued as reinvestment of
distributions
242,610
55,327
Redeemed
(6,475,417)
(2,676,898)
Net increase
3,438,258
1,594,567
Year Ended
Year Ended
12/31/94
12/31/93*
Intermediate High Grade Portfolio:
Sold
564,424
594,646
Issued as reinvestment of
distributions
85,472
23,455
Redeemed
(197,590)
(48,017)
Net increase
452,306
570,084
Diversified Strategic Income Portfolio:
Sold
1,945,230
2,183,374
Issued as reinvestment of
distributions
359,109
214,341
Redeemed
(580,248)
(183,226)
Net increase
1,724,,091
2,214,489
Equity Income Portfolio:
Sold
347,468
2,836,381
Issued as reinvestment of
distributions
237,447
162,501
Redeemed
(1,293,068)
(172,201)
Net increase/(decrease)
(708,153)
2,826,681
Equity Index Portfolio:
Sold
210,404
420,506
Issued as reinvestment of
distributions
19,828
11,433
Redeemed
(98,160)
(59,811)
Net increase
132,072
372,128
Growth & Income Portfolio:
Sold
671,652
1,214,676
Issued as reinvestment of
distributions
61,176
43,827
Redeemed
(222,279)
(37,111)
Net increase
510,549
1,221,392
Year Ended
Year Ended
12/31/94
12/31/93*
Appreciation Portfolio:
Sold
932,854
1,952,237
Issued as reinvestment of
distributions
78,610
52,441
Redeemed
(601,153)
(213,912)
Net increase
410,311
1,790,766
Emerging Growth Portfolio:
Sold
1,090,077
216,901
Issued as reinvestment of
distributions
88
- -
Redeemed
(108,957)
-
Net increase
981,208
216,901
Total Return Portfolio:
Sold
1,921,345
269,587
Issued as reinvestment of
distributions
37,914
- -
Redeemed
(77,439)
-
Net increase
1,881,820
269,587
International Equity Portfolio:
Sold
2,639,835
583,970
Redeemed
(137,645)
-
Net increase
2,502,190
583,970
*The Emerging Growth, Total Return and International Equity Portfolios
commenced operations on December 3, 1993.
5. Financial Highlights Information
6. Organization Costs
The Fund bears all costs in connection with its organization including the
fees and expenses of registering and qualifying its shares for distribution
under Federal and state securities regulations. All such costs are being
amortized on the straight-line method over a period of five years from
commencement of operations. If any of the initial shares of the Fund are
redeemed during such amortization period, the Fund will be reimbursed for
any unamortized organization costs in the same proportion as the number of
shares redeemed bears to the number of initial shares outstanding at the
time of the redemption.
7. Concentration of Risk (Money Market and Equity Income Portfolios):
Under normal market conditions, Money Market Portfolio invests at least 25%
of its assets in short-term bank instruments and Equity Income Portfolio
invests at least 25% of its assets in the utility industry. Because of
their concentration policy, these Portfolios may be subject to greater risk
and market fluctuation than a portfolio that had securities representing a
broader range of investment alternatives. Various factors could adversely
affect the ability and inclination of companies in these industries to
declare and pay dividends or interest and the ability of holders of
securities of such companies to realize any value from the assets of the
issuer upon liquidation or bankruptcy.
8. Foreign Securities (Diversified Strategic Income and International
Equity Portfolios):
Investing in securities of foreign companies and foreign governments
involves special risks and considerations not typically associated with
investing in U.S. companies and the U.S. Government. These risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign companies and foreign
governments and their markets may be less liquid and their prices more
volatile than those of securities of comparable U.S. companies and the
United States Government.
9. Line of Credit
The Fund and several affiliated entities participate in a $50 million line
of credit provided by Bank of America (formerly "Continental Bank N.A.")
under an Amended and Restated Line of Credit Agreement (the "Agreement")
dated April 30, 1992 and renewed effective May 31, 1994, primarily for
temporary or emergency purposes, including the meeting of redemption
requests that otherwise might require the untimely disposition of
securities. Under the Agreement, each Portfolio may generally borrow up to
the lesser of $25 million or 25% of its net assets adjusted for purposes of
the Agreement. However pursuant to the Fund's prospectus, each Portfolio
may only borrow up to 20% of its net assets. Interest is payable either at
the bank's Money Market Rate or the London Interbank Offered Rate (LIBOR)
plus 0.375% on an annualized basis. Under the terms of the agreement, as
amended as of May 31, 1994, the Fund and the other affiliated entities are
charged an aggregate commitment fee of $100,000, which is allocated equally
among each of the participants. The Agreement requires, among other
provisions, each participating Portfolio to maintain a ratio of net assets
(not including funds borrowed pursuant to the Agreement) to aggregate
amount of indebtness pursuant to the Agreement of no less than 5 to 1.
During the year ended December 31, 1994, the Equity Income Portfolio had an
average outstanding daily balance of $9,315 with interest rates ranging
from 3.625% to 3.689%. Interest expense totalled $346 for the year ended
December 31, 1994 and has been offset against interest income on the
Statement of Operations.
10. Capital Loss Carryforwards
As of December 31, 1994, the following Portfolios had available for Federal
tax purposes unused capital losses:
Expiring in the
Year 2002
Expiring in the
Year 2001
Intermediate High Grade Portfolio
$392,650
- -
Diversified Strategic Inocme Fund
$800,897
- -
Equity Income Portfolio
$1,549,024
- -
Growth & Income Portfolio
$342,765
$80,758
Emerging Growth Portfolio
$1,212,225
$1,143
International Equity Portfolio
$55,801
- -
11. Subsequent Event
On January 25, 1995, the Board of Trustees of Smith Barney Series Fund
approved for its sub-trust, Equity Index Portfolio (the "Portfolio"),
termination of the investment advisory agreement with PanAgora Asset
Management Inc., effective March 31, 1995. Furthermore, the Board has
proposed, and will submit to the Portfolio's shareholders for approval,
that the Portfolio enter into a new investment advisory agreement with
Travelers Investment Management Company, a wholly-owned subsidiary of Smith
Barney Holdings Inc., the parent of the Portfolio's distributor and
administrator. The new investment advisory agreement would mirror the
existing agreement, including the same level of fees.
Tax Infomation (Unaudited) Year Ended December 31, 1994
The capital gains dividend distribution paid to shareholders for the fiscal
year ended December 31, 1994, whether taken in shares or in cash, is as
follows:
Portfolio:
Equity Index Portfolio
$67,230
Intermediate High Grade Portfolio
$16,151
Equity Income Portfolio
$29,483
Of the distributions from ordinary income made during the fiscal year ended
December 31, 1994, the amount of each distributions which will qualify for
the dividend received deduction available to corporate shareholders is as
follows:
Portfolio:
Total Return Portfolio
35.11%
Growth & Income Portfolio
69.00%
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.
Report of Independent Accountants
___________________________________________________________________________
__________________________
To the Policyholders and Trustees of
Smith Barney Series Fund:
We have audited the accompanying statements of assets and liabilities of
Smith Barney Series Fund (formerly "Smith Barney Shearson Series Fund")
(the "Fund") (consisting of 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
schedule of forward foreign exchange contracts (Diversified Strategic
Income Portfolio), as of December 31, 1994 and the related statements of
operations, the statements of changes in net assets and financial
highlights for each of the respective periods presented. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights 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
financial highlights 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, 1994 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 financial highlights referred
to above present fairly, in all material respects, the financial position
of the aforementioned portfolios of Smith Barney Series Fund as of December
31, 1994, and the results of their operations, the changes in their net
assets and the financial highlights for each of the respective periods
presented, in conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
February 10, 1995
SMITH BARNEY SERIES FUND
- ---------------------------------------------------------------------------
- -----
ADDITIONAL INFORMATION (UNAUDITED)
On April 29, 1994, a special meeting of the shareholders of the
Fund's
Diversified Strategic Income Portfolio (the "Portfolio") was held for
the
purpose of voting on the following matter:
(1) To approve a new sub-investment advisory agreement between the
Fund, on
behalf of the Portfolio, and Smith Barney Global Capital Management,
Inc.,
containing substantially the same terms and conditions as the Fund's
then
existing sub-investment advisory agreement.
The results of the vote on the Proposal were as follows:
<TABLE>
<CAPTION>
% OF
OUTSTANDING % OF SHARES
VOTE NO. OF SHARES SHARES VOTED
----------- ------------- ----------- -----------
<S> <C> <C> <C>
Affirmative 4,275,532.498 88.903% 88.903%
Against 170,534.607 3.546% 3.546%
Abstain 363,143.492 7.551% 7.551%
------------- ----------- -----------
Total 4,809,210.597 100.000% 100.000%
------------- ----------- -----------
------------- ----------- -----------
</TABLE>
82
<PAGE>
This report is submitted for the
general
information of the owners of the
Symphony Annuity which invests in
the
Smith Barney Series Fund. It is not
authorized for distribution to
prospective investors unless
accompanied
or preceded by an effective
Prospectus
for the Fund, which contains
information
concerning the Fund's investment
policies, fees and expenses, as
well as
other pertinent information.
Symphony
investments are sponsored and
managed by:
Smith Barney Inc.
and subsidiaries
Symphony is underwritten, issued
and
serviced by :
IDS Life Insurance Company and
IDS Life Insurance Company of New
York
S-6225 F(2/95)
<PAGE>
SMITH BARNEY SERIES FUND
ANNUAL REPORT
DECEMBER 31,
1994
<PAGE>
SMITH BARNEY SERIES FUND
- ---------------------------------------------------------------------------
- -----
Dear Owner:
We are pleased to present to you the 1994 annual report for the Smith
Barney
Series Fund.
A REVIEW OF THE MARKET IN 1994
For most investments, 1994 was both a difficult and an unusual year. There
were
a number of positive forces in the financial markets last year, such as a
strong
economy, rapidly growing corporate earnings, low inflation and a
recovering
world economy. These beneficial factors were more than counter-
balanced,
however, by a weak dollar and fears of rising inflation on a worldwide
basis. In
the United States, inflation worries caused the Federal Reserve Board
(the
"Fed") to raise the federal funds rate -- the rate banks charge each
other for
overnight loans -- six times throughout the year.
The Fed implements monetary policy by raising or lowering key
short-term
interest rates. When 1994 began, the Fed's monetary policy was
stimulative. The
federal funds rate was at 3%, its lowest level in more than 20 years. These
low
rates were intended to accelerate economic recovery from the 1991
recession.
Early in 1994, the Fed, believing that a stronger economy might
lead to
inflation, raised the federal funds rate from 3.0% to 3.25%. That rate
hike, and
another in March, caused heavy selling in the stock and bond markets,
both in
the United States and abroad. By December, the federal funds rate had
reached
5.5%.
The sell-off in stocks occurred in spite of extremely strong corporate
earnings,
creating a stalemate in the equity markets with the popular averages
producing
flat-to-slightly positive results for the year. While earnings helped push
stock
prices higher at times during 1994, interest-rate worries largely
overwhelmed
corporate-profit growth.
In February of 1995, the Fed raised the federal funds rate for the seventh
time
in a year by one-half percentage point. Although the robust growth that
closed
out 1994 has yet to translate into higher prices, the Fed views recent
economic
indicators as pointing toward rising wages, and consequently, price
increases.
The Fed's goal is to contain such increases and keep inflation subdued
which may
require additional rate hikes in the first half of the year. We
believe,
however, that the interest-rate cycle will turn at some point during the
year
and that the stock market will benefit from the prospect of lower
short-term
interest rates and continued, though perhaps somewhat slower, earnings
growth.
Accordingly, we are cautiously optimistic that the capital markets in 1995
will
provide more attractive returns.
MONEY MARKET PORTFOLIO
Money market funds again presented investors with attractive and
competitive
returns last year, especially when compared to other short-term
investment
options. Throughout 1994, money market interest rates rose
substantially,
propelled upward by the Fed's series of increases in short-term interest
rates.
1
<PAGE>
SMITH BARNEY SERIES FUND
- ---------------------------------------------------------------------------
- -----
In order to take advantage of rising interest rates, we kept the
average
maturity of the Portfolio very short. We believe that moderate growth
will
continue in 1995 which should cause the Fed to continue tightening its
monetary
policy. For this reason, we will remain cautious in the near term and
will
continue to maintain a short average maturity.
INTERMEDIATE HIGH GRADE PORTFOLIO
In 1994, there was no place to hide in the bond markets. With the Fed
increasing
the federal funds rate by 250 basis points to 5.5%, the two-year Treasury
yield
rose by 344 basis points and the 30-year Treasury yield rose by 153 basis
points
to end the year at 7.66% and 7.88%, respectively. For the past
year, the
Portfolio's total return was -3.05% compared with -2.92% for the Lehman
Brothers
Aggregate Bond Index for the same period. During the first half of the
year,
relative performance was supported by a shorter relative duration
and an
overweighting in mortgages (approximately 20% of the Portfolio's
total
holdings). During the second half, the Portfolio benefited from a
barbell
maturity structure as the yield curve flattened significantly.
During the year we eliminated our mortgage positions and raised our
corporate
sector holdings from 30% to 40% with purchases of industrial credits
such as
Chrysler Financial Corporation, Federal Express Corporation
and
Telecommunications, Inc., as we believe that the economic expansion
will
continue to provide some support to the industrial sector. We also
continued to
underweight domestic banks and utilities as we wait for more
attractive
opportunities in these areas. While few opportunities remain for large
gains in
the investment grade corporate bond market, we believe high quality names
will
continue to provide good performance.
Looking forward, we are concerned that Fed tightening will continue to
drive
short-term interest rates higher. We believe that the two- to 30-year
maturities
may be fairly valued but retain the potential for some negative price
movements.
Consistent with this outlook, emphasis is being placed on a barbell
type
structure using highly liquid U.S. Treasuries and high quality corporate
issues.
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
The Diversified Strategic Income Portfolio seeks high current income
through
investments in a diversified portfolio of fixed-income securities. In a
year
when extremely negative factors affected the bond market, our asset
allocation
of 36% mortgage securities, 30% foreign bonds, 24% high yielding corporate
bonds
and 10% in cash and other investments has been beneficial in
minimizing net
asset value erosion. For the past year, the Portfolio produced a total
return of
- -2.81% compared to -2.92% for the Lehman Brothers Aggregate Bond Index
during
the same period.
In the mortgage sector, we remain committed to Ginnie Mae pass-
through
securities as a means of generating a higher income stream to offset
the
principal risk associated with higher interest rates.
The high yield market generated break-even results in the fourth
quarter. For
calendar year 1994, the high yield market outperformed the other fixed
income
markets because of its relatively lower interest rate sensitivity,
especially on
middle tier issues. Over the course of the quarter, the market
continued to
offer reasonable value with yield spreads remaining over 400 basis points
higher
than comparable maturity Treasury securities from less than 300 basis
points in
January, 1994.
We maintained close to a fully invested position over the past quarter
ended
December 31, 1994. Our heaviest concentrations were in a number of
economically
sensitive sectors including forest products and paper, metals and mining,
auto
and truck parts manufacturing, and general manufacturing. However, since
year
end we have been methodically reducing our cyclical exposure in
anticipation of
a potential economic slowdown. At the same time we have been increasing
our
2
<PAGE>
SMITH BARNEY SERIES FUND
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- -----
exposure to traditional defensive sectors including cable TV,
broadcasting,
media, and wireless telecommunications and paging. We continue to limit
our
overall interest rate risk by limiting overall portfolio average call
adjusted
maturities to the six- to seven-year range.
In the foreign investment area, European countries achieved a year
of
higher-than-expected growth, particularly in the U.K., with the export
sector
being very buoyant. This, coupled with political concerns in the U.S.,
helped
the more solid European currencies strengthen by over 10%. Fears of
resurgent
inflation and concern over sharply rising public borrowing requirements
pushed
longer yields up significantly over the period although shorter rates
moved
little. During the coming months, we anticipate that this will reverse
with
short rates rising by 1% to 2% while longer bonds stabilize.
EQUITY INCOME PORTFOLIO
This past year was a difficult one for utility investors as a
combination of
rising interest rates and continuing concerns about industry deregulation
caused
utility stocks to decline. The majority of the price decline was a
result of
rising long-term interest rates reflecting a stronger economy. Forces of
change
continue to impact all levels of the utility industry and are being
motivated by
a combination of regulatory, political and consumer-driven efforts to
lower
electricity prices. During this transition to a more competitive
environment,
careful stock selection and diversification are essential, as not all
companies
will be affected to the same degree.
The substantial period of underperformance of utilities compared
with the
broad-based equity market appears to have ended. The near term
competitive
pressures and slower growth rates are reflected in the prices of many
individual
issues. During the last quarter of 1994, several utility industry
analysts
increased their recommended portfolio weightings. We expect utilities to
provide
competitive total returns during 1995, when compared to the overall
equity
market. If market volatility increases, utility investors could
outperform as
more defensive sectors attract investment capital.
Our portfolio strategy stresses attractive relative valuation and
positive
fundamental analysis. This includes both our stock and bond
weightings and
individual stock selection. Our current portfolio mix is 78% stocks
(54%
utilities, 19% telecommunication and 5% gas), 18% bonds and 4% cash.
Recent
additions to our holdings include: American Electric Power Inc.,
NIPSCO
Industries Inc., Enron Corporation and Panhandle Eastern Corporation. We
have
sold or reduced our holdings of Dominion Resources of Virginia Inc.
and
Allegheny Power Systems Inc. as we believe the electric utility sector
to be
over-valued relative to the electric utility sector. The total return on
your
investment during the past year was -10.20% compared with the Standard &
Poor's
Daily Price Index of 500 Common Stocks ("S&P 500") which returned 1.31% 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. The Portfolio is currently 87% invested in 486 stocks included in
the S&P
500. The remaining 13% 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
because of legal restrictions. During the past fiscal year, the
Portfolio
provided investors with a total return of 0.85%. By comparison, the
S&P 500
produced a total return of 1.31% for the same period.
3
<PAGE>
SMITH BARNEY SERIES FUND
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GROWTH AND INCOME PORTFOLIO
This past year was a difficult one for the capital markets. Both stock and
bond
returns in 1994 were well below their long-term averages. Both
reacted
negatively as the Fed increased interest rates during the year. These
Fed
tightenings, and the resulting fears of slower economic growth, have
prompted a
subtle shift in stock market leadership towards the end of the year.
Consumer
companies and other stocks considered to be consistent growers
outperformed at
the expense of more cyclical issues.
The Growth and Income Portfolio concentrates on quality companies with
growing
dividends. Although primarily an equity fund, it does hold several
investment
grade corporate bonds. The Portfolio has a cyclical bent to its stock
holdings,
with a concentration in manufacturing and industrial companies,
and a
de-emphasis on more stable growth sectors. This combination penalized
relative
performance in 1994, as the market favored lower quality and lower
yielding
companies. Also, the underweighting in stable growth sectors penalized
relative
performance towards year end. The total return on your investment
during the
past year was -3.20% compared with 1.31% for the S&P 500 during the same
period.
Within the Growth and Income Portfolio, we continue to emphasize
economically
sensitive stocks. It is our belief that the longer-term outlook for
industrial
and manufacturing stocks remains intact. These companies are world-class,
and
costs are low while product quality is high. They are also benefiting
from the
infrastructure investments by emerging market economies. We believe
that
manufacturing and industrial stocks will be the premier performers in the
'90s.
APPRECIATION PORTFOLIO
Although the investment background in 1994 was difficult, with our
cautious
approach the Appreciation Portfolio continued to offer a relatively good
haven
for investors. In a period marked by a series of negative events
for the
financial markets, we believe our approach of investing in top-quality
companies
with solid managements, excellent financials and attractive growth
prospects is
a time-proven method for long-term growth of capital.
In our opinion, the weakness in the financial markets during the first
half of
1994 was due more to the process of reversing the prior speculative
excesses in
NASDAQ, emerging foreign markets, and the new issue market than to the
upturn in
interest rates. Since midyear, however, interest rates have continued to
rise,
partly because of a strong economy, but also due to an acceleration of
de-
leveraging by "derivative players." This has caused the overall market to
stall
and some areas of the market to go through full-scale washouts.
While the overall market did not provide good returns in 1994, there were
some
good winners in the Portfolio, including Johnson & Johnson, Amoco
Corporation,
American International Group Inc., Gillette Company and Coca-Cola
Company.
However, part of the difficulty with the market was the rapidity with
which
stocks would decline on either no news, or even on news which was positive
but
did not exceed high expectations. Stocks such as Eastman Kodak Company,
duPont
(E.I.) De Nemours & Company, Federal National Mortgage Corporation and
Xerox
Corporation, which were big winners early in the year, saw much of their
gains
erased in a matter of days. We also had our share of poor performers,
primarily
in the auto and financial sectors. Despite good earnings results, the
stocks of
companies in these sectors corrected with the rise in interest rates. We
believe
that the fundamental outlook for these companies remains good and that
the
stocks have overreacted on the downside. The total return on your
investment
during the past year was -1.12% compared to 1.31% for the S&P 500 during
the
same period.
4
<PAGE>
SMITH BARNEY SERIES FUND
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- -----
We enter 1995 with a more optimistic outlook than we had 12 months ago as
many
of the conditions that concerned us in early 1994 have been resolved.
The
Portfolio is well positioned for potential growth in what we expect to be a
less
hostile environment this year. The recent Orange County, California,
fiasco and
the unraveling of the Mexican market have proven once again that reaching
for
unreasonable returns carries high risks. We will continue to
manage the
Portfolio, not just for growth in good times, but also for
preservation of
capital and low volatility in challenging times.
EMERGING GROWTH PORTFOLIO
The Emerging Growth Portfolio fell 7.48% during 1994, declining with a
market
that was in a correction caused by rising interest rates. The NASDAQ
Composite
Index fell 3.20% over the same period. The market correction more
severely
impacted the high growth stocks that comprise the majority of assets in
the
Portfolio, as many investors decided to take the large gains many of
these
stocks had enjoyed over the previous three years. There was also a
desire by
some investors to reduce perceived risk in a less hospitable investment
climate.
The first half of the year was particularly difficult, with the
Portfolio
declining 11.7%, followed by a rebound in the second half as the
Portfolio
gained 4.8%. The rebound was not broadly based as technology stocks
were the
only big winners during the rally.
The investment style employed by the Portfolio is a bottom-up approach
which
focuses on stock selection rather than "market timing" or "sector
rotation."
Risk is controlled by maintaining a broadly diversified portfolio and not
making
big bets on any one sector or stock. Usually the Portfolio remains
fully
invested, but cash levels have risen to approximately 10% during the
year in
response to the difficult market. Our objective is to outperform the
market by
picking the best stocks in each sector. This investment style is
designed to
deliver consistent results.
Stocks are selected based on a company's potential to deliver upside
earnings
surprises. To find such companies, we look for rising earnings
estimates and
improving margins. Investments are made in the highest growth companies in
each
sector that meet the screening criteria. In general, these will be
smaller
companies with revenues less than $1 billion. Our biggest gain during the
year
were all technology stocks (reflecting that group's leadership during the
year)
including: Broderbund Software, Inc., LSI Logic Corporation, Tellabs,
Inc.,
Andrew Corporation and Atmel Corporation.
We continue to remain optimistic about the prospect for small
capitalization
stocks. These stocks are still selling at historically low valuation levels
when
compared to larger capitalization stocks, and would benefit strongly from
any
cut in the capital gains tax rate.
TOTAL RETURN PORTFOLIO
The Total Return Portfolio appreciated 7.40% in 1994. This return was
below our
objective of a 12% annual return from capital gains, dividends, interest
and
occasional premiums earned from the sale of options. The 1994
performance,
however, compared favorably with that of the major market indices. Last
year, a
year which frustrated both bulls and bears alike, was a difficult one
punctuated
by one of the worst bond markets since 1927. Higher interest rates often
are a
strong "headwind" for equity values.
The Portfolio's investment adviser, Davis Skaggs Investment Management,
believes
that we are near the end of the trend toward higher interest rates.
Short-term
rates are nearing those at the long
5
<PAGE>
SMITH BARNEY SERIES FUND
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- -----
end, and it is the adviser's opinion that the worst of the news on the
interest
rate front is over. We believe that one of the keys to the stock market is
the
bond market, and we look for a slowing economy and somewhat lower interest
rates
as 1995 unfolds.
The largest position in the Total Return Portfolio is in high quality
real
estate investment trusts (also known as REITs). We believe that, on
average,
REITs should increase their dividends by 7% this
year for a 15% total return. Our second largest sector is in interest
rate
sensitive issues which were under pressure late in 1994 but should
rebound
substantially if 1995 develops as we expect.
Energy stocks make up our third largest holding. As a weighting of the S&P
500,
energy is now at the lowest level in 15 years. We feel that continued
world
business expansion will cause earnings of many energy companies to grow at
rates
faster than that of the S&P 500 in 1995.
If one wanted to choose an "all-ugly" list of stocks, airlines would
qualify. We
believe this sector may outperform the market by as much as a 2-to-1
ratio in
1995 and have chosen to participate in this sector by investing in
convertible
securities. As a general rule, convertible stocks have less volatility
than the
underlying shares but capture much of an upside. Other major positions
include
selected drugs and pharmaceutical companies, leading technology,
communications
and chemical companies.
Our long-term view of the market suggests that we need to lean toward
the
industrial rather than the consumer side of the market. In 1994, our
104-year
financial assets-vs-hard assets chart gave its fourth buy signal since
1890, in
favor of "hard assets." Although this signal is often anticipatory, it
indicates
to us that real estate, natural resource and commodity companies should
make up
an important part of the Portfolio over the next three to five years.
For the fiscal year ended December 31, 1994, the total return on the
Total
Return Portfolio was approximately 7.40% compared to 1.31% for the S&P
500. Our
current cash position is about 29% of assets. These assets will be
committed as
stock prices for selected issues reach our targets.
INTERNATIONAL EQUITY PORTFOLIO
The International Equity Portfolio produced a total return of - 8.36% in
1994,
which compares unfavorably with the 8.06% increase of the Europe, Australia
and
Far East Index ("EAFE Index"). We believe our 1994 decline and
underperformance
of the index was attributable to:
*A relative underweighted position (10.5% at year-end) in yen-
based Japanese stocks which dominated the EAFE Index. The yen
appreciated substantially versus the dollar during 1994.
*Rising global interest rates, which provided an attractive
alternative to equities, and which can cause a price-earnings
multiple compression on growth stocks.
*Sharp declines in selected markets, such as Hong Kong and Mexico,
due to local macroeconomic and political developments.
*Our policy of being virtually fully invested at all times.
6
<PAGE>
SMITH BARNEY SERIES FUND
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- -----
The near-term outlook for the international equity markets has been
clouded, not
only by the Mexican peso devaluation, which has caused sympathetic
downward
pressure on other Latin markets, but also by the expectation of
rising
short-term U.S. interest rates.
Nevertheless, corporate earnings growth continues to be good to excellent
and
that gives us continued cause for optimism over the next 12 to 24 months.
Many
non-U.S. companies are restructuring, and the global economic
rebound is
providing cash for renewed merger and acquisition activity (i.e.,
in the
pharmaceutical and food sectors). If the U.S. economy begins to slow, as
some
forecasters are now envisaging, and concerns of recession emerge, we
believe the
superior growth of the non-U.S. markets will again merit attention.
We are keeping with our long-term approach of diversified growth stock
investing
and have not made any major changes in holdings over the past quarter.
Latin
American holdings comprised 14% of the Portfolio of which, due to
price
declines, Mexican holdings comprise less than 5% of the Portfolio. We
have
reexamined all our Mexican positions for potential problems in light of
the
devaluation. The geographic allocation of the Portfolio is now 35%
in the
Pacific Rim, 46% in Europe and 5% in cash. Subsequent to year-end, our
Pacific
Rim holdings suffered losses due to macroeconomic conditions.
However, we
believe this decline was only temporary and, therefore, have not
significantly
adjusted the Portfolio's holdings in the Pacific Rim.
IN CONCLUSION
The table below summarizes the performance of the Smith Barney Series
Fund for
1994.
<TABLE>
<S> <C>
1994 PERFORMANCE SUMMARY
PORTFOLIO TOTAL
RETURN
------------------------------------------------------------------ ------
- ------
Money Market......................................................
3.56%
Intermediate High Grade........................................... -
3.05%
Diversified Strategic Income...................................... -
2.81%
Equity Income..................................................... -
10.20%
Equity Index......................................................
0.85%
Growth & Income................................................... -
3.20%
Appreciation...................................................... -
1.12%
Emerging Growth................................................... -
7.48%
Total Return......................................................
7.40%
International Equity.............................................. -
8.36%
</TABLE>
We want to thank you for your participation in the Smith Barney Series Fund
and
pledge out best efforts to achieve competitive returns in changing
market and
economic environments. We look forward to meeting your financial needs in
the
years to come.
Sincerely,
HEATH B. MCLENDON
Chairman of the Board
and Investment Officer
February 13, 1995
7
<PAGE>
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - INTERMEDIATE HIGH GRADE PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (3.05)% (3.24)%
Inception
10/16/91
through
12/31/94 3.85% 2.59%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Intermediate High Grade Portfolio on October 16, 1991
(inception)
with that of a similar investment in the Lehman Brothers Aggregate Bond
Index.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used. Figures for the
Lehman Brothers Aggregate Bond Index, an unmanaged index, are composed of
the
Lehman Intermediate Government/Corporate Bond Index and the Mortgage-Backed
Securities Index and includes treasury issues, agency issues, corporate
bond
issues and mortgage-backed securities.
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 Grade Fund shares on October 16, 1991 through December
31,
1994 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:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares Lehman Brothers
Month Ended of the Fund Aggregate Bond Index
<S> <C> <C>
10/16/91 $10,000 --
10/91 $10,000 $10,000
11/91 $10,030 $10,092
12/91 $10,240 $10,392
03/92 $10,085 $10,259
06/92 $10,407 $10,674
09/92 $10,844 $11,132
12/92 $10,781 $11,161
03/93 $11,160 $11,623
06/93 $11,352 $11,932
09/93 $11,631 $12,243
12/93 $11,643 $12,250
3/94 $11,411 $11,898
6/94 $11,185 $11,775
9/94 $11,218 $11,847
12/94 $11,287 $11,892
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from October 16, 1991 to the present. A shareholder's actual return for
periods
during which waivers and reimbursements were in effect would be the higher
of
the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - DIVERSIFIED STRATEGIC INCOME PORTFOLIO AS OF
12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (2.81)% N/A
Inception
10/16/91
through
12/31/94 3.74% 3.52%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Diversified Strategic Income Portfolio on October 16, 1991
(inception) with that of a similar investment in the Lehman Brothers
Aggregate
Bond Index. Index information is available at month-end only; therefore,
the
closest month-end to inception date of the Portfolio has been used. Figures
for
the Lehman Brothers Aggregate Bond Index, an unmanaged index, are composed
of
the Lehman Intermediate Government/Corporate Bond Index and the Mortgage-
Backed
Securities Index and includes treasury issues, agency issues, corporate
bond
issues and mortgage-backed securities.
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 Fund shares on October 16, 1991 through
December 31, 1994 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:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares Lehman Brothers
Month Ended of the Fund Aggregate Bond Index
<S> <C> <C>
10/16/91 $10,000 --
10/91 $10,000 $10,000
11/91 $10,020 $10,092
12/91 $10,140 $10,392
03/92 $ 9,930 $10,259
06/92 $10,270 $10,674
09/92 $10,354 $11,132
12/92 $10,284 $11,161
03/93 $10,749 $11,623
06/93 $11,027 $11,932
09/93 $11,287 $12,243
12/93 $11,576 $12,250
3/94 $11,310 $11,898
6/94 $11,208 $11,775
9/94 $11,247 $11,847
12/94 $11,251 $11,892
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from October 16, 1991 to December 31, 1993. A shareholder's actual return
for
periods during which waivers and reimbursements were in effect would be the
higher of the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
8
<PAGE>
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - EQUITY INCOME PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (10.20)% N/A
Inception
10/16/91
through
12/31/94 3.88% 3.72%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Equity Income Portfolio on October 16, 1991 (inception) with
that
of a similar investment in the Variable Annuity Lipper Equity Income Funds
Peer
Group Average and S&P 500 Stock Index. Index information is available at
month-end only; therefore, the closest month-end to inception date of the
Portfolio has been used. The S&P 500 Stock Index is an unmanaged index
composed
of 500 widely held common stocks listed on the New York Stock Exchange,
American
Stock Exchange and over-the-counter market.
The Variable Annuity Lipper Equity Income Funds Peer Group Average is
composed
of 41 equity income variable annuities.
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 Fund shares on October 16, 1991 through December 31, 1994 as
compared
with the growth of a $10,000 investment in Standard & Poor's 500 Index and
Variable Annuity Lipper Equity Income Funds Peer Group Index. The plot
points
used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Investment in the
Growth of $10,000 Variable Annuity
Growth of $10,000 Investment in the Lipper Equity Income
Invested in shares Standard & Poor's Funds Peer Group
Month Ended of the Fund 500 Index Index
<S> <C> <C> <C>
10/16/91 $10,000 -- --
10/91 $10,000 $10,000 $10,000
11/91 $10,020 $ 9,598 $ 9,698
12/91 $10,200 $10,694 $10,434
03/92 $ 9,957 $10,424 $10,392
06/92 $10,522 $10,622 $10,618
09/92 $11,124 $10,957 $10,918
12/92 $11,397 $11,508 $11,463
03/93 $12,268 $12,011 $12,298
06/93 $12,545 $12,068 $12,556
09/93 $13,080 $12,379 $13,105
12/93 $12,583 $12,667 $13,170
3/94 $11,554 $12,188 $12,753
6/94 $11,144 $12,238 $12,877
9/94 $11,163 $11,836 $13,445
12/94 $11,300 $12,833 $13,185
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from October 16, 1991 to December 31, 1992. A shareholder's actual return
for
periods during which waivers and reimbursements were in effect would be the
higher of the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - GROWTH & INCOME PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (3.20)% N/A
Inception
10/16/91
through
12/31/94 4.77% 4.31%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Growth & Income Portfolio on October 16, 1991 (inception)
with
that of a similar investment in the Variable Annuity Lipper Growth & Income
Funds Peer Group Average and S&P 500 Stock Index. Index information is
available
at month-end only; therefore, the closest month-end to inception date of
the
Portfolio has been used. The S&P 500 Stock Index is an unmanaged index
composed
of 500 widely held common stocks listed on the New York Stock Exchange,
American
Stock Exchange and over-the-counter market.
The Variable Annuity Lipper Growth & Income Funds Peer Group Average is
composed
of 40 growth and income variable annuities.
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 Fund shares on October 16, 1991 through December 31, 1994 as
compared
with the growth of a $10,000 investment in Standard & Poor's 500 Index and
Variable Annuity Lipper Growth & Income Funds Peer Group Index. The plot
points
used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Investment in the
Growth of $10,000 Variable Annuity
Growth of $10,000 Investment in the Lipper Growth &
Invested in shares Standard & Poor's Income Funds Peer
Month Ended of the Fund 500 Index Group Index
<S> <C> <C> <C>
10/16/91 $10,000 -- --
10/91 $10,000 $10,000 $10,000
11/91 $ 9,720 $ 9,598 $ 9,614
12/91 $10,140 $10,694 $10,521
03/92 $10,070 $10,424 $10,513
06/92 $10,261 $10,622 $10,520
09/92 $10,556 $10,957 $10,827
12/92 $10,995 $11,508 $11,448
03/93 $11,325 $12,011 $11,959
06/93 $11,315 $12,068 $12,086
09/93 $11,618 $12,379 $12,532
12/93 $11,995 $12,667 $12,840
3/94 $11,502 $12,188 $12,442
6/94 $11,452 $12,238 $12,403
9/94 $11,794 $11,836 $12,991
12/94 $11,611 $12,833 $12,804
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from October 16, 1991 to December 31, 1993. A shareholder's actual return
for
periods during which waivers and reimbursements were in effect would be the
higher of the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
9
<PAGE>
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - APPRECIATION PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (1.12)% N/A
Inception
10/16/91
through
12/31/94 5.27% 5.21%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Appreciation Portfolio on October 16, 1991 (inception) with
that
of a similar investment in the S&P 500 Stock Index. Index information is
available at month-end only; therefore, the closest month-end to inception
date
of the portfolio has been used. The S&P 500 Stock Index is an unmanaged
index
composed of 500 widely held common stocks listed on the New York Stock
Exchange,
American Stock Exchange and over-the-counter market.
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 Fund shares on October 16, 1991 through December 31,
1994 as
compared with the growth of a $10,000 investment in Standard & Poor's 500
Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares Standard & Poor's
Month Ended of the Fund 500 Index
<S> <C> <C>
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 $12,011
06/93 $11,330 $12,068
09/93 $11,583 $12,379
12/93 $11,926 $12,667
3/94 $11,532 $12,188
6/94 $11,618 $12,238
9/94 $11,853 $11,836
12/94 $11,792 $12,833
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from October 16, 1991 to December 31, 1992. A shareholder's actual return
for
periods during which waivers and reimbursements were in effect would be the
higher of the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
10
<PAGE>
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - EMERGING GROWTH PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (7.48)% (7.84)%
Inception
12/3/93
through
12/31/94 (3.43)% (4.33)%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Emerging Growth Portfolio on December 3, 1993 (inception)
with
that of a similar investment in the NASDAQ Composite Index. Index
information is
available at month-end only; therefore, the closest month-end to inception
date
of the Portfolio has been used. NASDAQ Composite Index is a market
capitalization price-only index that tracks the performance of domestic
common
stocks traded on the regular NASDAQ market as well as foreign common stocks
and
ADRs traded on the National Market System.
A line graph depicting the total growth (including reinvestment of
dividends and
capital gains) of a hypothetical investment of $10,000 in Series Fund--
Emerging
Growth Fund shares on December 3, 1993 through December 31, 1994 as
compared
with the growth of a $10,000 investment in the NASDAQ Composite Index. The
plot
points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares NASDAQ Composite
Month Ended of the Fund Index
<S> <C> <C>
11/93 -- $10,000
12/03/93 $10,000 --
12/93 $10,410 $10,297
3/94 $ 9,920 $ 9,855
6/94 $ 9,191 $ 9,357
9/94 $ 9,771 $10,130
12/94 $ 9,631 $ 9,968
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from December 3, 1993 to the present. A shareholder's actual return for
periods
during which waivers and reimbursements were in effect would be the higher
of
the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
11
<PAGE>
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - TOTAL RETURN PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with without
Waiver Waiver
<S> <C> <C>
Year
Ended
12/31/94 7.40% 7.30%
Inception
12/3/93
through
12/31/94 9.82% 9.53%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in Total Return Portfolio on December 3, 1993 (inception) with
that
of a similar investment in the Standard & Poor's 500. Index information is
available at month-end only; therefore, the closest month-end to inception
date
of the portfolio has been used. The S&P 500 Stock Index is an unmanaged
index
composed of 500 widely held common stocks listed on the New York Stock
Exchange,
American Stock Exchange, and over-the-counter market.
A line graph depicting the total growth (including reinvestment of
dividends and
capital gains) of a hypothetical investment of $10,000 in Series Fund--
Total
Return Fund shares on December 3, 1993 through December 31, 1994 as
compared
with the growth of a $10,000 investment in Standard & Poor's 500 Index. The
plot
points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares Standard & Poor's
Month Ended of the Fund 500 Index
<S> <C> <C>
11/93 -- $10,000
12/03/93 $10,000 --
12/93 $10,300 $10,121
3/94 $10,514 $ 9,739
6/94 $11,197 $ 9,778
9/94 $11,248 $10,256
12/94 $11,062 $10,253
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from December 3, 1993 to the present. A shareholder's actual return for
periods
during which waivers and reimbursements were in effect would be the higher
of
the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
- ---------------------------------------------------------------------------
- -----
PERFORMANCE COMPARISON - INTERNATIONAL EQUITY PORTFOLIO AS OF 12/31/94
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
with Waiver without Waiver
<S> <C> <C>
Year
Ended
12/31/94 (8.36)% (8.51)%
Inception
12/3/93
through
12/31/94 (7.35)% (7.68)%
</TABLE>
The chart to the right compares the growth in value of a hypothetical
$10,000
investment in International Equity Portfolio on December 3, 1993
(inception)
with that of a similar investment in the Morgan Stanley EAFE Index. Index
information is available at month-end only; therefore, the closest month-
end to
inception date of the portfolio has been used. The Morgan Stanley EAFE
Index is
a composite portfolio consisting of equity total returns for the countries
of
Europe, Australia, New Zealand and countries in the Far East, weighted
based on
each country's gross domestic product.
A line graph depicting the total growth (including reinvestment of
dividends and
capital gains) of a hypothetical investment of $10,000 in Series
Fund--International Equity Fund shares on December 3, 1993 through December
31,
1994 as compared with the growth of a $10,000 investment in Morgan Stanley
EAFE
Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Growth of $10,000
Growth of $10,000 Investment in the
Invested in shares Morgan Stanley
Month Ended of the Fund EAFE Index
<S> <C> <C>
11/93 -- $10,000
12/03/93 $10,000 --
12/93 $10,050 $10,724
3/94 $ 9,370 $11,105
6/94 $ 9,280 $11,682
9/94 $ 9,960 $11,700
12/94 $ 9,210 $11,589
</TABLE>
- ---------------------------------------------------------------------------
- -----
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary
with
market conditions, and the principal value of shares, when redeemed, may be
more
or less than original cost. The Portfolio waived fees and reimbursed
expenses
from December 3, 1993 to the present. A shareholder's actual return for
periods
during which waivers and reimbursements were in effect would be the higher
of
the two numbers shown.
Average annual total returns are historical in nature and measure net
investment
income and capital gain or loss from portfolio investments assuming
reinvestment
of dividends. The returns do not reflect expenses associated with the
subaccount
such as administrative fees, account charges and surrender charges which,
if
reflected, would reduce the performance shown.
12
<PAGE>
<PAGE>
SMITH BARNEY SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES December 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY
INTERMEDIATE STRATEGIC EQUITY
MARKET HIGH
GRADE INCOME INCOME
ASSETS PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------
<S> <C> <C>
<C> <C>
Portfolio investments, at value :
(Cost $7,140,004; $13,737,993: $56,094,571;
$48,324,433; $9,786,366; $28,913,544;
$77,806,423; $11,196,444; $24,159,162; and
$29,811,507, respectively).
(Note 1) See accompanying schedules:
Securities..................................... $6,824,004
$12,240,483 $50,704,897 $42,808,001
Repurchase agreements.......................... 316,000
789,000 2,277,000 599,000
- ---------------------------------------------------------------------------
- ---------------------------------
Total investments.............................. 7,140,004
13,029,483 52,981,897 43,407,001
Cash and/or foreign currency (a) 782
629 1,132,677 763
Receivable for forward foreign exchange
contracts to sell................................ --
- -- 5,244,545 --
Financial futures contracts - long position,
at value (Cost $1,365,450)(Note 1)
See accompanying schedule....................... --
- -- -- --
Receivable for investment securites sold........... --
- -- 14,783 621,579
Due from affiliated agents (Note 2)................ 11,716
6,649 -- --
Dividends and/or interest receivable .............. 187
260,258 1,210,464 461,572
Receivable for Portfolio shares sold............... --
- -- -- --
Unamortized organization costs (Note 6) 8,937
8,934 9,333 9,331
- ---------------------------------------------------------------------------
- ----------------------------------
Total assets ...................................... 7,161,626
13,305,953 60,593,699 44,500,246
- ---------------------------------------------------------------------------
- ----------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------
Liabilities
- ---------------------------------------------------------------------------
- ----------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------
Aggregate exercise cost of financial
futures-long position......................... --
- -- -- --
Payable for investment securities purchased...... --
- -- -- --
Payable for Portfolio shares redeemed............ 19
228 10,464 14,585
Call option written, at value
(Premiums received $44,274) (Notes 1 and 3)
See accompanying schedule........................ --
- -- -- --
Forward foreign exchange contracts to sell,
at value (Contract cost $5,244,545) (Note 1)
See accompanying schedule........................ --
- -- 5,241,624 --
Transfer agent fees payable (Note 2)............... 3,132
2,373 1,350 1,836
Due to custodian --
- -- -- --
Investment advisory fee payable (Note 2)........... 1,563
4,220 21,200 16,999
Administration fee payable (Note 2)................ 1,042
2,110 9,422 7,555
Accrued legal and audit fees ...................... 4,080
7,361 24,042 31,137
Custodian fees payable (Note 2) ................... 6,669
3,395 10,014 4,354
Accrued Trustees' fees and expenses (Note 2)....... 143
143 143 143
Accrued registration and filing fees............... 1,102
1,291 4,835 1,000
Accrued printing fees.............................. 2,600
2,600 2,600 2,600
Accrued expenses and other payables................ 330
2,070 7,750 2,641
- ---------------------------------------------------------------------------
- ---------------------------------
Total liabilities ................................. 20,680
25,791 5,333,444 82,850
- ---------------------------------------------------------------------------
- ---------------------------------
Net assets applicable to shares of
beneficial interest outstanding ................. $7,140,946
$13,280,162 $55,260,255 $44,417,396
- ---------------------------------------------------------------------------
- ---------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------
</TABLE>
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
EQUITY
GROWTH EMERGING TOTAL INTERNATIONAL
INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
ASSETS PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
<C> <C> <C> <C>
Portfolio investments, at value :
(Cost $7,140,004; $13,737,993: $56,094,571;
$48,324,433; $9,786,366; $28,913,544;
$77,806,423; $11,196,444; $24,159,162; and
$29,811,507, respectively).
(Note 1) See accompanying schedules:
Securities...................................... $9,022,881
$27,340,496 $71,906,700 $11,979,237 $17,726,385 $28,401,425
Repurchase agreements............................. 1,182,000
1,985,000 8,930,000 -- 5,642,000 --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total investments................................ 10,204,881
29,325,496 80,836,700 11,979,237 23,368,385 28,401,425
Cash and/or foreign currency (a) --
708 2,737 2,742 697 43,365
Receivable for forward foreign exchange
contracts to sell. --
- -- -- -- -- --
Financial futures contracts - long position,
at value (Cost $1,365,450)(Note 1)
See accompanying schedule........................ 1,384,050
- -- -- -- -- --
Receivable for investment securites sold......... --
703,985 -- 93,396 38,484 --
Due from affiliated agents (Note 2).............. 31,148
- -- -- 11,385 6,111 8,404
Dividends and/or interest receivable ............ 26,422
123,875 153,810 5,164 64,644 37,602
Receivable for Portfolio shares sold............. --
7,112 -- 6,515 -- --
Unamortized organization costs (Note 6).......... 9,054
9,082 10,219 12,550 12,604 12,621
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total assets ..................................... 11,655,555
30,170,258 81,003,466 12,110,989 23,490,925 28,513,417
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Aggregate exercise cost of financial
futures-long position........................... 1,365,450
- -- -- -- -- --
Payable for investment securities purchased....... --
501,496 -- 536,421 210,300 9,374
Payable for Portfolio shares redeemed............. 4,180
- -- 69,871 -- 34,023 30,084
Call option written, at value
(Premiums received $44,274) (Notes 1 and 3)
See accompanying schedule......................... --
- -- -- -- 14,375 --
Forward foreign exchange contracts to sell,
at value (Contract cost $5,244,545) (Note 1)
See accompanying schedule......................... --
- -- -- -- -- --
Transfer agent fees payable (Note 2).............. 2,682
1,836 1,836 2,547 2,174 2,328
Due to custodian.................................. 27,744
- -- -- -- -- --
Investment advisory fee payable (Note 2).......... 4,006
11,214 37,545 6,377 10,478 19,361
Administration fee payable (Note 2)............... 1,410
4,984 13,653 1,700 3,811 4,555
Accrued legal and audit fees ..................... 6,152
16,380 46,080 10,731 5,068 6,111
Custodian fees payable (Note 2) .................. 14,586
4,224 7,059 7,868 5,164 15,350
Accrued Trustees' fees and expenses (Note 2)...... 143
143 143 143 143 143
Accrued registration and filing fees.............. 441
1,717 1,313 3,442 6,798 8,404
Accrued printing fees............................. 2,600
2,600 2,600 2,600 2,600 2,600
Accrued expenses and other payables............... 749
994 750 102 100 2,301
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total liabilities ................................ 1,430,143
545,588 180,850 571,931 295,034 100,611
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net assets applicable to shares of
beneficial interest outstanding ................. $10,225,412
$29,624,670 $80,822,616 $11,539,058 $23,195,891 $28,412,806
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<FN>
(a) Currency cost basis was $1,125,062 and $43,263 for the Diversified
Strategic Income and International Equity Portfolio,
respectively.
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
SMITH BARNEY SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES December 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY
INTERMEDIATE STRATEGIC EQUITY
MARKET HIGH
GRADE INCOME INCOME
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ----------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------
NET ASSETS REPRESENTED BY
- ---------------------------------------------------------------------------
- ----------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------
<S> <C> <C>
<C> <C>
Shares of beneficial interest outstanding
authorized unlimited number of
shares of $.001 par value......................... $7,141
$1,374 $6,018 $4,502
Additional paid-in capital ......................... 7,133,805
14,238,349 59,214,758 50,332,434
Accumulated net realized gain/(loss)
on securities, futures contracts,
forward foreign exchange contracts, written
options and foreign currency transactions......... --
(425,594) (905,769) (1,629,482)
Undistributed net investment income................. --
174,543 662 627,374
Net unrealized appreciation/(depreciation) of
securities, futures contracts, forward foreign
exchange contracts, written options, foreign
currency transactions and net other assets........ --
(708,510) (3,055,414) (4,917,432)
- ---------------------------------------------------------------------------
- ----------------------------------
Total-representing net assets applicable
to shares of beneficial interest
outstanding ...................................... $7,140,946
$13,280,162 $55,260,255 $44,417,396
- ---------------------------------------------------------------------------
- ----------------------------------
Total number of shares
of beneficial interest outstanding................ 7,140,946
1,374,312 6,018,370 4,502,148
- ---------------------------------------------------------------------------
- ----------------------------------
Net asset value, offering and redemption
price per share of beneficial interest
outstanding....................................... $1.00
$9.66 $9.18 $9.87
- ---------------------------------------------------------------------------
- ----------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
SMITH BARNEY SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) DECEMBER 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
EQUITY GROWTH
EMERGING TOTAL INTERNATIONAL
INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
NET ASSETS REPRESENTED BY
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
<C> <C> <C> <C>
Shares of beneficial interest outstanding
authorized unlimited number of
shares of $.001 par value...................... $875
$2,757 $7,004 $1,198 $2,151 $3,086
Additional paid-in capital ...................... 9,629,252
29,558,685 74,983,079 12,155,969 23,134,679 30,130,146
Accumulated net realized gain/(loss)
on securities, futures contracts,
forward foreign exchange contracts, written
options and foreign currency transactions...... (42,749)
(423,523) 1,392,017 (1,400,902) 686,358 (310,638)
Undistributed net investment income.............. 200,919
74,799 1,410,239 -- 133,581 --
Net unrealized appreciation/(depreciation) of
securities, futures contracts, forward foreign
exchange contracts, written options, foreign
currency transactions and net other assets..... 437,115
411,952 3,030,277 782,793 (760,878) (1,409,788)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total-representing net assets applicable
to shares of beneficial interest
outstanding ................................... $10,225,412
$29,624,670 $80,822,616 $11,539,058 $23,195,891 $28,412,806
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total number of shares
of beneficial interest outstanding............. 874,944
2,757,006 7,004,234 1,198,109 2,151,407 3,086,160
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net asset value, offering and redemption
price per share of beneficial interest
outstanding.................................... $11.69
$10.75 $11.54 $9.63 $10.78 $9.21
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
SMITH BARNEY SERIES FUND
STATEMENTS OF OPERATIONS
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY
INTERMEDIATE STRATEGIC EQUITY
MARKET
HIGH GRADE INCOME INCOME
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------
<S> <C> <C>
<C> <C>
Income:
Dividends (net of withholding taxes) (a)............ --
- -- $62,907 $2,381,677
Interest ........................................... $287,558
$914,252 4,313,546 766,674
- ---------------------------------------------------------------------------
- ------------------------------------
Total income ....................................... 287,558
914,252 4,376,453 3,148,351
- ---------------------------------------------------------------------------
- ------------------------------------
Expenses:
Investment advisory fee (Note 2).................... 19,592
49,279 238,422 223,055
Administration fee (Note 2)......................... 13,062
24,639 105,966 99,135
Custodian fees (Note 2) ............................ 15,660
11,439 68,294 25,543
Transfer agent fees (Note 2) ....................... 5,232
4,940 6,392 3,838
Audit fees ......................................... 9,390
13,992 38,797 39,066
Legal fees ......................................... 7,573
7,573 7,573 7,573
Trustees' fees and expenses (Note 2)................ 3,238
3,238 3,238 3,238
Amortization of organization costs (Note 6)......... 6,046
6,043 6,243 6,241
Other expenses...................................... 2,700
8,722 30,358 8,988
- ---------------------------------------------------------------------------
- ------------------------------------
Total expenses before reimbursements
and waivers ...................................... 82,493
129,865 505,283 416,677
Expense reimbursements and
fee waivers (Note 2) ............................ (33,232)
(25,232) -- --
- ---------------------------------------------------------------------------
- ------------------------------------
Total expenses ..................................... 49,261
104,633 505,283 416,677
- ---------------------------------------------------------------------------
- ------------------------------------
Net investment income/(loss)........................ 238,297
809,619 3,871,170 2,731,674
- ---------------------------------------------------------------------------
- ------------------------------------
Realized and unrealized gain/(loss) on investment
securities and foreign currencies
(Notes 1 and 3):
Net realized gain/(loss) on:
Securities transactions........................... --
(425,633) (1,060,270) (1,629,482)
Futures contracts................................. --
- -- -- --
Written options................................... --
- -- -- --
Forward foreign exchange contracts and
foreign currency transactions.................... --
- -- (500,256) --
- ---------------------------------------------------------------------------
- ------------------------------------
Net realized gain/(loss) on investment securities
and foreign currencies............................ --
(425,633) (1,560,526) (1,629,482)
- ---------------------------------------------------------------------------
- ------------------------------------
Net change in unrealized appreciation/
(depreciation) of:
Securities ....................................... --
(706,692) (3,718,058) (6,956,371)
Written options................................... --
- -- -- --
Forward foreign exchange contracts................ --
- -- (39,946) --
Futures contracts................................. --
- -- -- --
Translation of assets & liabilities in foreign
currencies........................................ --
- -- 70,960 --
- ---------------------------------------------------------------------------
- ------------------------------------
Net unrealized gain/(loss) on investment
securities and foreign currencies................. --
(706,692) (3,687,044) (6,956,371)
- ---------------------------------------------------------------------------
- ------------------------------------
Net realized and unrealized loss on investment
securities and foreign currencies................. --
(1,132,325) (5,247,570) (8,585,853)
- ---------------------------------------------------------------------------
- ------------------------------------
Net increase/(decrease) in net assets
resulting from operations......................... $238,297
($322,706) ($1,376,400) ($5,854,179)
- ---------------------------------------------------------------------------
- ------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------
<FN>
(a) The Equity Income, Equity Index, Growth & Income, Appreciation,
Emerging
Growth and Interational Equity Portfolio had dividend withholding
taxes of
$1.693, $172, $5.517, $7,615, $40 and $30,921
</TABLE>
See accompanying Notes to Financial Statements.
SMITH BARNEY SERIES FUND
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
EQUITY GROWTH
EMERGING TOTAL INTERNATIONAL
INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
<C> <C> <C> <C>
Income:
Dividends (net of withholding taxes) (a)............ $236,206
$726,517 $1,657,502 $47,002 $494,165 $284,416
Interest ........................................... 60,280
250,659 467,319 47,209 193,568 80,491
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total income ....................................... 296,486
977,176 2,124,821 94,211 687,733 364,907
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Expenses:
Investment advisory fee (Note 2).................... 38,236
127,450 444,244 68,528 78,167 193,164
Administration fee (Note 2)......................... 19,119
56,644 161,543 18,274 28,424 45,450
Custodian fees (Note 2) ............................ 49,328
22,719 29,028 25,275 21,438 64,246
Transfer agent fees (Note 2) ....................... 5,011
4,599 2,715 5,952 6,091 6,006
Audit fees ......................................... 12,901
27,828 54,857 13,317 5,608 7,021
Legal fees ......................................... 7,573
7,573 7,573 2,430 2,471 2,484
Trustees' fees and expenses (Note 2)................ 3,238
3,238 3,220 1,699 1,699 1,699
Amortization of organization costs (Note 6)......... 6,102
6,117 6,686 3,235 3,235 3,235
Other expenses...................................... 5,031
8,158 3,115 6,998 10,504 19,541
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total expenses before reimbursements
and waivers ...................................... 146,539
264,326 712,981 145,708 157,637 342,846
Expense reimbursements and
fee waivers (Note 2) ............................. (50,992)
- -- -- (36,136) (15,746) (47,424)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total expenses ..................................... 95,547
264,326 712,981 109,572 141,891 295,422
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net investment income/(loss)........................ 200,939
712,850 1,411,840 (15,361) 545,842 69,485
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Realized and unrealized gain/(loss) on investment
securities and foreign currencies
(Notes 1 and 3):
Net realized gain/(loss) on:
Securities transactions........................... 11,334
(343,937) 2,426,383 (1,399,759) 652,730 (358,963)
Futures contracts................................. (50,433)
- -- -- -- -- --
Written options................................... --
- -- -- -- 33,628 --
Forward foreign exchange contracts and
foreign currency transactions.................... --
- -- -- -- -- (99,005)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net realized gain/(loss) on investment securities
and foreign currencies............................ (39,099)
(343,937) 2,426,383 (1,399,759) 686,358 (457,968)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net change in unrealized appreciation/
(depreciation) of:
Securities ....................................... (72,545)
(1,273,005) (4,664,335) 715,785 (830,167) (1,439,066)
Written options................................... --
- -- -- -- 29,899 --
Forward foreign exchange contracts................ --
- -- -- -- -- 4,903
Futures contracts................................. 14,950
- -- -- -- -- --
Translation of assets & liabilities in foreign
currencies........................................ --
- -- -- -- -- (3,002)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net unrealized gain/(loss) on investment
securities and foreign currencies................. (57,595)
(1,273,005) (4,664,335) 715,785 (800,268) (1,437,165)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net realized and unrealized loss on investment
securities and foreign currencies................. (96,694)
(1,616,942) (2,237,952) (683,974) (113,910) (1,895,133)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net increase/(decrease) in net assets
resulting from operations........................ $104,245
($904,092) ($826,112) ($699,335) $431,932 ($1,825,648)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<FN>
(a) The Equity Income, Equity Index, Growth & Income, Appreciation,
Emerging
See accompanying Notes to Financial Statements.
</TABLE>
15
<PAGE>
SMITH BARNEY SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS For the Year Ended December 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY
INTERMEDIATE STRATEGIC EQUITY
MARKET HIGH
GRADE INCOME INCOME
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)........................ $238,297
$809,619 $3,871,170 $2,731,674
Net realized gain/(loss) on securities,
futures contracts, forward foreign
exchange contracts, written options and foreign
currency transactions during the year............ --
(425,633) (1,560,526) (1,629,482)
Net unrealized appreciation/(depreciation)
of securities, forward foreign exchange
contracts, futures contracts, written options,
currencies and net other assets during the year.. --
(706,692) (3,687,044) (6,956,371)
- ---------------------------------------------------------------------------
- ---------------------------------
Net increase/(decrease) in net assets
resulting from operations ........................ 238,297
(322,706) (1,376,400) (5,854,179)
Dividends from net investment income................ (238,297)
(754,838) (3,209,940) (2,331,772)
Distributions from net realized capital gains....... --
(96,524) -- (117,669)
Distributions from capital.......................... --
- -- (200,460) --
- ---------------------------------------------------------------------------
- ---------------------------------
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales ................................ 9,671,065
5,706,733 18,827,572 3,601,508
Reinvested distributions, at net asset value........ 242,610
851,363 3,410,400 2,449,442
Payments for redemptions ........................... (6,475,417)
(1,963,006) (5,435,332) (13,489,892)
- ---------------------------------------------------------------------------
- ---------------------------------
Increase/(decrease) in net assets from shares
of beneficial interest transactions.............. 3,438,258
4,595,090 16,802,640 (7,438,942)
- ---------------------------------------------------------------------------
- ---------------------------------
Total increase/(decrease) in net assets............. 3,438,258
3,421,022 12,015,840 (15,742,562)
Net assets at beginning of year..................... 3,702,688
9,859,140 43,244,415 60,159,958
- ---------------------------------------------------------------------------
- ---------------------------------
Net assets, at end of year (including
undistributed net investment income
of $0; $174,543; $662; $627,374;
$200,919; $74,799; $1,410,239; $0;
$133,581 and $0, respectively).................... $7,140,946
$13,280,162 $55,260,255 $44,417,396
- ---------------------------------------------------------------------------
- ---------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------
<FN>
See accompanying Notes to Financial Statements.
</TABLE>
STATEMENTS OF ASSETS AND LIABILITIES
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
EQUITY GROWTH
EMERGING TOTAL INTERNATIONAL
INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
<C> <C> <C> <C>
Net investment income/(loss)........................ $200,939
$712,850 $1,411,840 ($15,361) $545,842 $69,485
Net realized gain/(loss) on securities,
futures contracts, forward foreign
exchange contracts, written options and foreign
currency transactions during the year............ (39,099)
(343,937) 2,426,383 (1,399,759) 686,358 (457,968)
Net unrealized appreciation/(depreciation)
of securities, forward foreign exchange
contracts, futures contracts, written options,
currencies and net other assets during the year.. (57,595)
(1,273,005) (4,664,335) 715,785 (800,268) (1,437,165)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net increase/(decrease) in net assets
resulting from operations ........................ 104,245
(904,092) (826,112) (699,335) 431,932 (1,825,648)
Dividends from net investment income................ (111,775)
(667,174) (893,799) (897) (413,990) --
Distributions from net realized capital gains....... (111,690)
- -- -- -- -- --
Distributions from capital.......................... --
- -- -- -- -- --
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales ................................ 2,438,324
7,429,055 10,824,472 11,029,729 20,827,157 25,681,169
Reinvested distributions, at net asset value........ 223,465
667,175 893,799 897 413,991 --
Payments for redemptions ........................... (1,159,262)
(2,448,822) (7,016,905) (1,048,804) (840,368) (1,309,624)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Increase/(decrease) in net assets from shares
of beneficial interest transactions.............. 1,502,527
5,647,408 4,701,366 9,981,822 20,400,780 24,371,545
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total increase/(decrease) in net assets............. 1,383,307
4,076,142 2,981,455 9,281,590 20,418,722 22,545,897
Net assets at beginning of year..................... 8,842,105
25,548,528 77,841,161 2,257,468 2,777,169 5,866,909
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net assets, at end of year (including
undistributed net investment income
of $0; $174,543; $662; $627,374;
$200,919; $74,799; $1,410,239; $0;
$133,581 and $0, respectively).................... $10,225,412
$29,624,670 $80,822,616 $11,539,058 $23,195,891 $28,412,806
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
See accompanying Notes to Financial Statements.
</TABLE>
16
<PAGE>
SMITH BARNEY SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS For the Year Ended December 31,
1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY
INTERMEDIATE STRATEGIC EQUITY
MARKET HIGH
GRADE INCOME INCOME
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ------------------------------
- ---------------------------------------------------------------------------
- ------------------------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)........................ $59,637
$337,758 $2,120,233 $2,084,229
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
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
- ---------------------------------------------------------------------------
- -------------------------------
Net increase in net assets
resulting from operations......................... 59,637
429,025 3,297,239 3,023,779
Dividends from net invesment income................ (59,637)
(218,080) (1,827,578) (1,864,027)
Distributions from net realized capital gains...... --
(31,565) (126,471) (38,208)
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
Reinvested distributions, at net asset value....... 55,327
249,645 2,129,857 1,902,234
Payments for redemptions........................... (2,676,898)
(510,783) (1,814,878) (2,005,394)
- ---------------------------------------------------------------------------
- -------------------------------
Increase in net assets from shares
of beneficial interest transactions............. 1,594,567
6,059,180 22,085,911 33,053,155
- ---------------------------------------------------------------------------
- -------------------------------
Total increase in net assets....................... 1,594,567
6,238,560 23,253,294 34,174,699
Net assets at beginning of period.................. 2,108,121
3,620,580 19,991,121 25,985,259
- ---------------------------------------------------------------------------
- -------------------------------
Net assets at end of period (including
undistributed 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
- ---------------------------------------------------------------------------
- -------------------------------
- ---------------------------------------------------------------------------
- -------------------------------
</TABLE>
SMITH BARNEY SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER
31,1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
EQUITY GROWTH
EMERGING TOTAL INTERNATIONAL
INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO*
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
<C> <C> <C> <C>
Net investment income/(loss......................... $112,931
$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......... 113,540
(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.......... 295,138
1,276,241 4,310,589 67,008 39,390 27,377
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net increase in net assets
resulting from operations........................ 521,609
1,672,015 4,705,365 66,760 41,119 24,729
Dividends from net invesment income................. (71,439)
(446,237) (579,472) -- -- --
Distributions from net realized capital gains....... (55,587)
- -- -- -- -- --
Distributions in excess of realized gains........... --
(38,122) -- -- -- --
Distributions from capital.......................... --
- -- -- -- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Shares of beneficial interest
transactions (Note 4):
Proceeds from sales................................. 4,842,485
13,336,475 22,133,876 2,190,708 2,736,050 5,842,180
Reinvested distributions, at net asset value........ 127,026
484,359 579,472 -- -- --
Payments for redemptions............................ (699,836)
(410,728) (2,447,740) -- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Increase in net assets from shares
of beneficial interest transactions.............. 4,269,675
13,410,106 20,265,608 2,190,708 2,736,050 5,842,180
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total increase in net assets........................ 4,664,258
14,597,762 24,391,501 2,257,468 2,777,169 5,866,909
Net assets at beginning of period................... 4,177,847
10,950,766 53,449,660 -- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net assets at end of period (including
undistributed net investment income
of $0; $119,762; $0; $227,472;
$111,758; $30,295; $892,198; $895;
$1,729 and $0, respectively)...................... $8,842,105
$25,548,528 $77,841,161 $2,257,468 $2,777,169 $5,866,909
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<FN>
* The Portfolios commenced operations on December 3, 1993.
See accompanying Notes to Financial Statements.
</TABLE>
17
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Smith Barney Series Fund (formerly "Smith Barney Shearson Series Fund")
(the
"Fund") was organized under the laws of the Commonwealth of Massachusetts
on
May 13, 1991 and commenced operations on October 16, 1991. The Fund is
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company established as a
Massachusetts business trust. As of the date of this report, the Fund
offers
ten managed investment portfolios (the "Portfolios"): Money Market
Portfolio,
Intermediate High Grade Portfolio, Diversified Strategic Income Portfolio,
Equity Income Portfolio, Equity Index Portfolio, Growth & Income Portfolio,
Appreciation Portfolio, Emerging Growth Portfolio, Total Return Portfolio
and
International Equity Portfolio. Shares of the Fund can be bought through
investing in a Symphony Annuity (the "Annuity"), an individual flexible
premium
deferred combination fixed and variable annuity contract from IDS Life
Insurance
Company ("IDS Life") or a certificate evidencing your interest in a master
group
flexible premium deferred annuity from IDS Life Insurance Company of New
York
("IDS Life of New York"). Net purchase payments for the Annuity are
allocated
to one or more of the ten subaccounts of the IDS Life Account or the IDS
Life of
New York Account (the "Variable Accounts"). The following is a summary of
significant accounting policies consistently followed by the Fund in the
preparation of its financial statements.
PORTFOLIO VALUATION:
Generally, a Portfolio's investments are valued at market value or, in the
absence of a market value with respect to any portfolio securities, at fair
value as determined by or under the direction of the Fund's Board of
Trustees.
A security that is primarily traded on a U.S. or foreign exchange
(including
securities traded through the National Market System) is valued at the last
sale
price on that exchange or, if there were no sales during the day, at
current
quoted bid price. Portfolio securities that are primarily traded on
foreign
exchanges are generally valued at the preceding closing values of such
securities on their respective exchanges, except that when a significant
occurrence subsequent to the time a value was so established is likely to
have
significantly changed the value, then the fair value of those securities
will be
determined by consideration of other factors by or under the direction of
the
Board of Trustees or its delegates. Over-the-counter securities that are
not
traded through the National Market System and securities listed or traded
on
certain foreign exchanges whose operations are similar to the U.S. over-
the-
counter market are valued on the basis of the bid price at the close of
business
on each day. Investments in U.S. Government securities (other than short-
term
securities) are valued at the average of the quoted bid and asked prices in
the
over-the-counter market. The value of a futures contract equals the
unrealized
gain or loss on the contract, which is determined by marking the contract
to the
current settlement price for a like contract acquired on the day on which
the
futures contract is being valued.
Short-term investments that mature in 60 days or less and securities of the
Money Market Portfolio are valued at amortized cost when the Board of
Trustees
determines that this constitutes fair value. Amortized cost valuation
involves
valuing a portfolio instrument at its cost initially and, thereafter,
assuming a
constant amortization to maturity of any discount or premium, regardless of
the
impact of fluctuating interest rates on the market value of the instrument.
The
Money Market Portfolio attempts to maintain a constant net asset value of
$1.00
per share.
FUTURES CONTRACTS (INTERMEDIATE HIGH GRADE, DIVERSIFIED STRATEGIC INCOME,
EQUITY
INCOME, EQUITY INDEX, GROWTH & INCOME, EMERGING GROWTH, TOTAL RETURN AND
INTERNATIONAL EQUITY PORTFOLIOS):
Upon entering into a futures contract, the Portfolio is required to deposit
with
the broker an amount of cash or cash equivalents equal to a certain
percentage
of the contract amount. This is known as the "initial margin." Subsequent
payments ("variation margin") are made or received by the Portfolio each
day,
depending on the daily fluctuation of the value of the contract.
For financial statement purposes, an amount equal to the settlement amount
of
the contract is included in the Portfolio's Statement of Assets and
Liabilities
as an asset and as an equivalent liability. For long futures positions,
the
asset is marked-to-market daily; for short futures positions, the liability
is
marked-to-market daily. The daily changes in the contract are recorded as
unrealized gains or losses. The Portfolio recognizes a realized gain or
loss
when the contract is closed.
18
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
FOREIGN CURRENCY (DIVERSIFIED STRATEGIC INCOME, GROWTH & INCOME, EMERGING
GROWTH
AND INTERNATIONAL EQUITY PORTFOLIOS):
The books and records of the Portfolio are maintained in United States
(U.S.)
dollars. Foreign currencies, investments and other assets and liabilities
are
translated into U.S. dollars at the exchange rates prevailing at the end of
the
period, and purchases and sales of investment securities, income and
expenses
are translated on the respective dates of such transactions. Unrealized
gains
and losses which result from changes in foreign currency exchange rates
have
been included in the unrealized appreciation/(depreciation) of investments
and
net other assets. Net realized foreign currency gains and losses resulting
from
changes in exchange rates include foreign currency gains and losses between
trade date and settlement date on investment securities transactions,
foreign
currency transactions and the difference between the amounts of interest
and
dividends recorded on the books of the Portfolio and the amount actually
received. The portion of foreign currency gains and losses related to
fluctuation in exchange rates between the initial purchase trade date and
subsequent sale trade date is included in realized gains and losses on
investment securities sold.
FORWARD FOREIGN CURRENCY CONTRACTS (DIVERSIFIED STRATEGIC INCOME, GROWTH
AND
INCOME, EMERGING GROWTH AND INTERNATIONAL EQUITY PORTFOLIOS):
Forward foreign currency contracts are valued at the forward rate and are
marked-to-market daily. The change in market value is recorded by the
Portfolio
as an unrealized gain or loss. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the value
of the
contract at cost and the value at the time that it was closed.
The use of forward foreign currency contracts does not eliminate
fluctuations in
the underlying prices of the Portfolio's investment securities, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts limit the risk of loss due to a decline
in
the value of the hedged currency, they also limit any potential gain that
might
result should the value of the currency increase. In addition, the
Portfolio
could be exposed to risks if the counterparties to the contracts are unable
to
meet the terms of their contracts.
OPTION CONTRACTS (ALL PORTFOLIOS WITH THE EXCEPTION OF MONEY MARKET
PORTFOLIO):
Upon the purchase of a put option or a call option by the Portfolio, the
premium
paid is recorded as an investment, the value of which is marked-to-market
daily.
When a purchased option expires, the Portfolio will realize a loss in the
amount
of the cost of the option. When the Portfolio enters into a closing sale
transaction, the Portfolio will realize a gain or loss depending on whether
the
sales proceeds from the closing sale transaction are greater or less than
the
cost of the option. When the Portfolio exercises a put option, it will
realize
a gain or loss from the sale of the underlying security and the proceeds
from
such sale will be decreased by the premium originally paid. When the
Portfolio
exercises a call option, the cost of the security which the Portfolio
purchases
upon exercise will be increased by the premium originally paid.
When a Portfolio writes a call option or a put option, an amount equal to
the
premium received by the Portfolio is recorded as a liability, the value of
which
is marked-to-market daily. When a written option expires, the Portfolio
realizes a gain equal to the amount of the premium received. When the
Portfolio
enters into a closing purchase transaction, the Portfolio realizes a gain
(or
loss if the cost of the closing purchase transaction exceeds the premium
received when the option was sold) without regard to any unrealized gain or
loss
on the underlying security, and the liability related to such option is
eliminated. When a call option is exercised, the Portfolio realizes a gain
or
loss from the sale of the underlying security and the proceeds from such
sale
are increased by the premium originally received. When a put option is
exercised, the amount of the premium originally received will reduce the
cost of
the security which the Portfolio purchased upon exercise.
19
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 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. Any permanent book and tax basis differences at
fiscal
year-end have been reclassified to reflect the tax characterization.
FEDERAL INCOME TAXES:
The Fund intends that each Portfolio separately qualify as a regulated
investment company by complying with the requirements of the Internal
Revenue
Code of 1986, as amended, applicable to regulated investment companies and
by
distributing all of its taxable income to its shareholders. Therefore, no
Federal income tax provision is required.
2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS
The Money Market Portfolio, Intermediate High Grade Portfolio, Diversified
Strategic Income Portfolio, Equity Income Portfolio and Growth & Income
Portfolio have each entered into an investment advisory agreement (the
"Advisory
Agreement") with a division of Mutual Management Corp., which has been
transferred, effective November 7, 1994, to Smith Barney Mutual Funds
20
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Management Inc. ("SBMFM") (formerly known as "Smith, Barney Advisers,
Inc.").
Mutual Management Corp. and SBMFM are both wholly-owned subsidiaries of
Smith
Barney Holdings Inc. ("Holdings"). Holdings is a wholly owned subsidiary
of The
Travelers Inc. ("Travelers"). Under the Advisory Agreement, the Money
Market
Portfolio, Intermediate High Grade Portfolio, Diversified Strategic Income
Portfolio, Equity Income Portfolio and Growth & Income Portfolio each pays
a
monthly fee at the annual rates of 0.30%, 0.40%, 0.45%, 0.45% and 0.45%,
respectively, of the value of their average daily net assets.
The Equity Index Portfolio has entered into an investment advisory
agreement
with PanAgora Asset Management Inc. ("PanAgora"). PanAgora is 50% owned by
Nippon Life Insurance Company and 50% is owned by Lehman Brothers Inc.
Under
the investment advisory agreement, the Equity Index Portfolio pays a
monthly fee
at the annual rate of 0.40% of the value of its average daily net assets.
The Appreciation Portfolio, Total Return Portfolio and International Equity
Portfolio have entered into investment advisory agreements with SBMFM.
Under
the investment advisory agreements, the Portfolios pay a monthly fee at the
annual rates of 0.55%, 0.55% and 0.85%, respectively, of the value of their
average daily net assets.
The Emerging Growth Portfolio has entered into an investment advisory
agreement
with American Capital Asset Management, Inc. Under the investment advisory
agreement, the Emerging Growth Portfolio pays a monthly fee at the annual
rate
of 0.75% of the value of its average daily net assets.
Smith Barney Global Capital Management, Inc. ("SBGCM") serves as sub-
investment
adviser to the Diversified Strategic Income Portfolio and is paid a monthly
fee
by SBMFM 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
SBGCM.
Prior to April 20, 1994, each Portfolio was party to an administration
agreement
with The Boston Company Advisors, Inc. ("Boston Advisors"), an indirect
wholly
owned subsidiary of Mellon Bank Corporation ("Mellon"). Under the
agreements,
each Portfolio paid a monthly fee at the annual rate of 0.20% of the value
of
its average daily net assets.
As of the close of business on April 20, 1994, SBMFM succeeded Boston
Advisors
as each Portfolio's administrator. The new administration agreements
contains
substantially the same terms and conditions, including the same level of
fees,
as the predecessor agreements.
As of the close of business on April 20, 1994, each Portfolio also entered
into
a sub-administration agreement (the "Sub-Administration Agreement") with
Boston
Advisors. Under the Sub-Administration Agreement, Boston Advisors is paid
a
portion of the fee paid by the Portfolios to SBMFM at a rate agreed upon
from
time to time between SBMFM and Boston Advisors.
Boston Safe Deposit and Trust Company ("Boston Safe"), an indirect wholly
owned
subsidiary of Mellon, serves as the Fund's custodian. The Shareholder
Services
Group, Inc. ("TSSG"), a subsidiary of First Data Corporation, serves as the
Fund's transfer and dividend paying agent.
The agreements provide that if the aggregate expenses of a Portfolio
exclusive
of interest, taxes, brokerage expenses and extraordinary expenses, exceed
the
agreed upon limitation, the relevant investment adviser, SBGCM, SBMFM,
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.
21
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
For the year ended December 31, 1994, the investment advisers,
administrator,
transfer agent and custodian reimbursed and/or waived fees pursuant to the
above
agreements as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
- ------------------------------------
TOTAL INVESTMENT
BOSTON
FEE WAIVERS ADVISERS
ADMINISTRATOR TSSG SAFE
<S> <C> <C> <C>
<C> <C>
Money Market Portfolio . . . . . . . . . $16,616 $ 6,198
$4,132 $1,582 $ 4,704
Intermediate High Grade Portfolio. . . . 12,616 6,939
3,470 704 1,503
Equity Index Portfolio . . . . . . . . . 25,496 9,185
4,592 1,201 10,518
Emerging Growth Portfolio. . . . . . . . 18,068 10,509
2,802 767 3,990
Total Return Portfolio . . . . . . . . . 7,873 4,652
1,692 297 1,232
International Equity Portfolio . . . . . 23,712 14,886
3,503 385 4,938
- ---------------------------------------------------------------------------
- -----------------------------------
</TABLE>
For the year ended December 31, 1994, IDS Life reimbursed expenses pursuant
to
the above agreements as follows:
<TABLE>
- ---------------------------------------------------------------------------
- -----
<S> <C>
Money Market Portfolio . . . . . . . . . . $16,616
Intermediate High Grade Portfolio. . . . . 12,616
Equity Index Portfolio . . . . . . . . . . 25,496
Emerging Growth Portfolio. . . . . . . . . 18,068
Total Return Portfolio . . . . . . . . . . 7,873
International Equity Portfolio . . . . . . 23,712
- ---------------------------------------------------------------------------
- -----
</TABLE>
For the year ended December 31, 1994, the Fund incurred total brokerage
commissions of $455,841 of which $18,774 was paid to Smith Barney, Inc.
("Smith
Barney").
At December 31, 1994, the Variable Accounts owned all of the outstanding
shares
of the ten Portfolios as investment accounts for the Annuities offered by
IDS
Life and IDS Life of New York.
No officer, director or employee of Smith Barney, PanAgora or any of their
affiliates receives any compensation from the Fund for serving as a Trustee
or
officer of the Fund. The Fund pays each Trustee who is not a director,
officer
or employee of Smith Barney or PanAgora or any of their affiliates $5,000
per
annum plus $500 per meeting attended and reimburses each Trustee for travel
and
out-of-pocket expenses.
22
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. PURCHASES AND SALES OF SECURITIES
Costs of purchases and proceeds from sales of securities, excluding short-
term
obligations, during the year ended December 31, 1994 were as follows:
<TABLE>
<CAPTION>
DIVERSIFIED
INTERMEDIATE STRATEGIC EQUITY EQUITY
GROWTH EMERGING TOTAL INTERNATIONAL
HIGH GRADE INCOME INCOME INDEX &
INCOME APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
<C> <C> <C> <C>
PURCHASES:
GOV'T. SECURITIES $10,983,738 $13,168,995 - -
- - - - $989,100 -
OTHER SECURITIES 3,657,161 14,904,482 $10,144,089 $1,712,168
$26,090,798 $47,946,662 $14,639,837 27,158,934 $30,138,515
SALES:
GOV'T SECURITIES 9,354,078 3,846,470 - -
- - - - 1,067,150 -
OTHER SECURITIES 1,123,592 9,044,116 14,437,135 121,154
20,277,066 42,317,167 5,253,423 11,021,318 2,460,597
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
</TABLE>
Option activity for Total Return Portfolio for the year ended December 31,
1994
was as follows:
<TABLE>
<CAPTION>
NUMBER OF
PREMIUMS CONTRACTS
-------- ---------
<S> <C> <C>
Written options outstanding at
December 31, 1993 0 0
Written options opened during the period $115,067 280
Options cancelled in closing purchase
transactions (70,793) (230)
- -------------------------------------------------------------------------
Written options outstanding at December
31, 1994 $44,274 50
- -------------------------------------------------------------------------
</TABLE>
4. SHARES OF BENEFICIAL INTEREST TRANSACTIONS
Transactions in shares of each Portfolio were as follows:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/94 12/31/93
- ---------------------------------------------------------------------------
- -----
<S> <C> <C>
MONEY MARKET PORTFOLIO:
Sold . . . . . . . . . . . . . . . 9,671,065 4,216,138
Issued as reinvestment of
distributions. . . . . . . . . . 242,610 55,327
Redeemed . . . . . . . . . . . . . (6,475,417) (2,676,898)
----------- -----------
Net increase . . . . . . . . . . . 3,438,258 1,594,567
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
</TABLE>
23
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/94 12/31/93*
- ---------------------------------------------------------------------------
- -----
<S> <C> <C>
INTERMEDIATE HIGH GRADE PORTFOLIO:
Sold . . . . . . . . . . . . . . . 564,424 594,646
Issued as reinvestment of
distributions. . . . . . . . . . 85,472 23,455
Redeemed . . . . . . . . . . . . . (197,590) (48,017)
----------- -----------
Net increase . . . . . . . . . . . 452,306 570,084
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
DIVERSIFIED STRATEGIC INCOME PORTFOLIO:
Sold . . . . . . . . . . . . . . . 1,945,230 2,183,374
Issued as reinvestment of
distributions. . . . . . . . . . 359,109 214,341
Redeemed . . . . . . . . . . . . . (580,248) (183,226)
---------- ----------
Net increase . . . . . . . . . . . 1,724,091 2,214,489
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
EQUITY INCOME PORTFOLIO:
Sold . . . . . . . . . . . . . . . 347,468 2,836,381
Issued as reinvestment of
distributions. . . . . . . . . . 237,447 162,501
Redeemed . . . . . . . . . . . . . (1,293,068) (172,201)
---------- ----------
Net increase/(decrease). . . . . . (708,153) 2,826,681
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- ------
EQUITY INDEX PORTFOLIO:
Sold . . . . . . . . . . . . . . . 210,404 420,506
Issued as reinvestment of
distributions. . . . . . . . . . 19,828 11,433
Redeemed . . . . . . . . . . . . . (98,160) (59,811)
---------- ----------
Net increase . . . . . . . . . . . 132,072 372,128
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
GROWTH & INCOME PORTFOLIO:
Sold . . . . . . . . . . . . . . . 671,652 1,214,676
Issued as reinvestment of
distributions. . . . . . . . . . 61,176 43,827
Redeemed . . . . . . . . . . . . . (222,279) (37,111)
---------- ----------
Net increase . . . . . . . . . . . 510,549 1,221,392
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
</TABLE>
24
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/94 12/31/93*
- ---------------------------------------------------------------------------
- -----
<S> <C> <C>
APPRECIATION PORTFOLIO:
Sold . . . . . . . . . . . . . . . 932,854 1,952,237
Issued as reinvestment of
distributions. . . . . . . . . . 78,610 52,441
Redeemed . . . . . . . . . . . . . (601,153) (213,912)
---------- ----------
Net increase . . . . . . . . . . . 410,311 1,790,766
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
EMERGING GROWTH PORTFOLIO:
Sold . . . . . . . . . . . . . . . 1,090,077 216,901
Issued as reinvestment of
distributions. . . . . . . . . . 88 -
Redeemed . . . . . . . . . . . . . (108,957) -
---------- ----------
Net increase 981,208 216,901
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
TOTAL RETURN PORTFOLIO:
Sold . . . . . . . . . . . . . . . 1,921,345 269,587
Issued as reinvestment of
distributions. . . . . . . . . . 37,914 -
Redeemed . . . . . . . . . . . . . (77,439) -
---------- ----------
Net increase . . . . . . . . . . . 1,881,820 269,587
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
INTERNATIONAL EQUITY PORTFOLIO:
Sold 2,639,835 583,970
Redeemed . . . . . . . . . . . . . (137,645) -
---------- ----------
Net increase . . . . . . . . . . . 2,502,190 583,970
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------
- -----
<FN>
*The Emerging Growth, Total Return and International Equity Portfolios
commenced
operations on December 3, 1993.
</TABLE>
25
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ----------------------------------------------------------------------
5. FINANCIAL HIGHLIGHT INFORMATION
FOR THE YEAR ENDED DECEMBER 31, 1994
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
Diversified
Money Intermediate Strategic
Market High Grade Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of year....................................
$1.000 $10.69 $10.07
Net income from investment operations:
Net investment income **..............................................
0.035 0.61 0.58
Net realized and unrealized
gain/(loss) on investments .........................................
- -- (0.94) (0.86)
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
0.035 (0.33) (0.28)
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.035) (0.61) (0.58)
Distributions from capital gains...................................
- -- (0.09) --
Distributions from capital..........................................
- -- -- (0.03)
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.035) (0.70) (0.61)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of year..........................................
$1.000 $9.66 $9.18
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
3.56% (3.05)% (2.81)%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of year (000's).......................................
$7,141 $13,280 $55,260
Ratio of operating expenses to
average net assets ++.................................................
0.75% 0.85% 0.95%
Ratio of net investment income/(loss) to
average net assets....................................................
3.65% 6.57% 7.31%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
90% 54%
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
Equity Equity Growth
Income Index & Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of year....................................
$11.55 $11.90 $11.37
Net income from investment operations:
Net investment income **..............................................
0.58 0.23 0.27
Net realized and unrealized
gain/(loss) on investments .........................................
(1.75) (0.14) (0.63)
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
(1.17) 0.09 (0.36)
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.49) (0.15) (0.26)
Distributions from capital gains...................................
(0.02) (0.15) --
Distributions from capital..........................................
- -- -- --
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.51) (0.30) (0.26)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of year..........................................
$9.87 $11.69 $10.75
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
(10.20)% 0.85% (3.20)%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of year (000's).......................................
$44,417 $10,225 $29,625
Ratio of operating expenses to
average net assets ++.................................................
0.84% 1.00% 0.93%
Ratio of net investment income/(loss) to
average net assets....................................................
5.51% 2.10% 2.52%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
21% 1% 77%
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
Emerging Total
Appreciation Growth Return
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of year....................................
$11.80 $10.41 $10.30
Net income from investment operations:
Net investment income **..............................................
0.20 0.00 *** 0.34
Net realized and unrealized
gain/(loss) on investments .........................................
(0.32) (0.78) 0.42 #
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
(0.12) (0.78) 0.76
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.14) 0.00 *** (0.28)
Distributions from capital gains...................................
- -- -- --
Distributions from capital..........................................
- -- -- --
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.14) 0.00 (0.28)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of year..........................................
$11.54 $9.63 $10.78
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
(1.12)% (7.48)% 7.40%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of year (000's).......................................
$80,823 $11,539 $23,196
Ratio of operating expenses to
average net assets ++.................................................
0.88% 1.20% 1.00%
Ratio of net investment income/(loss) to
average net assets....................................................
1.75% (0.17)% 3.84%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
61% 66% 118%
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
International
Equity
Portfolio
- ---------------------------------------------------------------------------
- ----------
- ---------------------------------------------------------------------------
- ----------
<S> <C>
Net asset value, beginning of year....................................
$10.05
Net income from investment operations:
Net investment income **..............................................
0.00 ***
Net realized and unrealized
gain/(loss) on investments .........................................
(0.84)
- ---------------------------------------------------------------------------
- ----------
Total from investment operations......................................
(0.84)
- ---------------------------------------------------------------------------
- ----------
Less distributions:
Dividends from net investment income...............................
- --
Distributions from capital gains...................................
- --
Distributions from capital..........................................
- --
- ---------------------------------------------------------------------------
- ----------
Total distributions...................................................
- --
- ---------------------------------------------------------------------------
- ----------
Net asset value, end of year..........................................
$9.21
- ---------------------------------------------------------------------------
- ----------
Total return +........................................................
(8.36)
- ---------------------------------------------------------------------------
- ----------
Ratios to average net assets/
supplemental data:
Net assets, end of year (000's).......................................
$28,413
Ratio of operating expenses to
average net assets ++.................................................
1.30%
Ratio of net investment income/(loss) to
average net assets....................................................
0.31%
- ---------------------------------------------------------------------------
- ----------
Portfolio turnover rate ..............................................
12%
- ---------------------------------------------------------------------------
- ----------
- ---------------------------------------------------------------------------
- ----------
<FN>
** Net investment income before waiver of fees and reimbursement of
expenses
by investment adviser, administrator and/or custodian and/or transfer
agent
and IDS were:$0.0301, $0.59, N/A , N/A, $0.17 , N/A, N/A, $(0.01),
$0.33
and $0.00, 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, respectively.
*** Amount represents lelss 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:
1.26%, 1.05%, N/A, N/A, 1.53%, N/A, N/A, 1.59%, 1.11%, and 1.51%,
respectively, for the Money Market Portfolio, Intermediate High Grade
Portfolio, Diversified Strategic Income Portfolio, Equity Income
Portfolio,
Equity Index Portfolio, Growth & Income Portfolio, Appreciation
Portfolio,
Emerging Growth Portfolio, Total Return Portfolio and International
Equity
Portfolio.
# The amount shown in this caption for each share outstanding throughout
the
period may not accord with the change in the aggregate gains and
losses in
the portfolio securities for the period because of the timing of
purchases
and withdrawals of shares in relation to the fluctuating market values
of
the portfolio.
</TABLE>
26
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ---------------------------------------------------------------------------
- -----
FINANCIAL HIGHLIGHT INFORMATION (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31,
1993 #
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
Diversified
Money Intermediate Strategic
Market High Grade Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of period..................................
$1.000 $10.29 $9.61
Net income from investment operations:
Net investment income **..............................................
0.023 0.55 0.70
Net realized and unrealized
gain/(loss) on investments .........................................
- -- 0.26 0.47
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
0.023 0.81 1.17
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.023) (0.36) (0.61)
Distributions from capital gains...................................
- -- (0.05) (0.04)
Distributions in excess of realized gains..........................
- -- -- (0.05)
Distributions from capital.........................................
- -- -- (0.01)
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.023) (0.41) (0.71)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of period........................................
$1.000 $10.69 $10.07
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
2.37% 8.00% 12.56%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of period (000's).....................................
$3,703 $9,859 $43,244
Ratio of operating expenses to
average net assets ++.................................................
0.75% 0.85% 1.00%
Ratio of net investment income to
average net assets....................................................
2.34% 5.25% 7.14%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
- -- 139% 94%
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
Equity Equity Growth
Income Index & Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of period..................................
$10.90 $11.27 $10.68
Net income from investment operations:
Net investment income **..............................................
0.53 0.20 0.30
Net realized and unrealized
gain/(loss) on investments .........................................
0.60 0.71 0.67
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
1.13 0.91 0.97
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.47) (0.16) (0.26)
Distributions from capital gains...................................
(0.01) (0.12) --
Distributions in excess of realized gains..........................
- -- -- (0.02)
Distributions from capital.........................................
- -- -- --
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.48) (0.28) (0.28)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of period........................................
$11.55 $11.90 $11.37
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
10.41% 8.66% 9.09%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of period (000's).....................................
$60,160 $8,842 $25,549
Ratio of operating expenses to
average net assets ++.................................................
0.87% 1.00% 1.00%
Ratio of net investment income to
average net assets....................................................
4.54% 1.77% 2.68%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
4% 1% 78%
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
Emerging Total
Appreciation Growth Return
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<S> <C>
<C> <C>
Net asset value, beginning of period..................................
$11.13 $10.00 $10.00
Net income from investment operations:
Net investment income **..............................................
0.15 0.01 0.01
Net realized and unrealized
gain/(loss) on investments .........................................
0.63 0.40 0.29
- ---------------------------------------------------------------------------
- ------------------------------------------
Total from investment operations......................................
0.78 0.41 0.30
- ---------------------------------------------------------------------------
- ------------------------------------------
Less distributions:
Dividends from net investment income...............................
(0.11) -- --
Distributions from capital gains...................................
- -- -- --
Distributions in excess of realized gains..........................
- -- -- --
Distributions from capital.........................................
- -- -- --
- ---------------------------------------------------------------------------
- ------------------------------------------
Total distributions...................................................
(0.11) (0.00) (0.00)
- ---------------------------------------------------------------------------
- ------------------------------------------
Net asset value, end of period........................................
$11.80 $10.41 $10.30
- ---------------------------------------------------------------------------
- ------------------------------------------
Total return +........................................................
7.03% 4.10% 3.00%
- ---------------------------------------------------------------------------
- ------------------------------------------
Ratios to average net assets/
supplemental data:
Net assets, end of period (000's).....................................
$77,843 $2,257 $2,777
Ratio of operating expenses to
average net assets ++.................................................
1.01% 1.05% 0.85%
Ratio of net investment income to
average net assets....................................................
1.35% 1.37% 1.93%
- ---------------------------------------------------------------------------
- ------------------------------------------
Portfolio turnover rate ..............................................
33% -- --
- ---------------------------------------------------------------------------
- ------------------------------------------
- ---------------------------------------------------------------------------
- ------------------------------------------
<CAPTION>
International
Equity
Portfolio
- ---------------------------------------------------------------------------
- ----------
- ---------------------------------------------------------------------------
- ----------
<S> <C>
Net asset value, beginning of period..................................
$10.00
Net income from investment operations:
Net investment income **..............................................
0.00 ***
Net realized and unrealized
gain/(loss) on investments .........................................
0.05
- ---------------------------------------------------------------------------
- ----------
Total from investment operations......................................
0.05
- ---------------------------------------------------------------------------
- ----------
Less distributions:
Dividends from net investment income...............................
- --
Distributions from capital gains...................................
- --
Distributions in excess of realized gains..........................
- --
Distributions from capital.........................................
- --
- ---------------------------------------------------------------------------
- ----------
Total distributions...................................................
(0.00)
- ---------------------------------------------------------------------------
- ----------
Net asset value, end of period........................................
$10.05
- ---------------------------------------------------------------------------
- ----------
Total return +........................................................
0.50%
- ---------------------------------------------------------------------------
- ----------
Ratios to average net assets/
supplemental data:
Net assets, end of period (000's).....................................
$5,867
Ratio of operating expenses to
average net assets ++.................................................
1.08%
Ratio of net investment income to
average net assets....................................................
(0.51)
- ---------------------------------------------------------------------------
- ----------
Portfolio turnover rate ..............................................
- --
- ---------------------------------------------------------------------------
- ----------
- ---------------------------------------------------------------------------
- ----------
<FN>
# The per share amounts have been calculated using the monthly average
shares
method, which more appropriately presents per share data for this year
since use of the undistributed method did not accord with the results
of
operations.
* The Portfolios commenced operations on December 3, 1993.
** Net investment income before waiver of fees and reimbursement of
expenses
by investment adviser and/or custodian and/or transfer agent 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 Income
Portfolio,
Equity Index Portfolio, Growth & Income Portfolio, Appreciation
Portfolio,
Emerging Growth Portfolio, Total Return Portfolio and International
Equity
Portfolio.
</TABLE>
27
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ---------------------------------------------------------------------------
- -----
FINANCIAL HIGHLIGHT INFORMATION (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31,
1992
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
Diversified
Money Intermediate Strategic
Market High Grade Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S>
<C> <C> <C>
Net asset value, beginning of
year.................................................. $1.000
$10.24 $10.14
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.027 0.45 0.67
Net realized and unrealized gain/(loss) on investments
............................. -- 0.08
(0.53)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total from investment
operations....................................................
0.027 0.53 0.14
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Less distributions:
Dividends from net investment
income.............................................. (0.027)
(0.48) (0.67)
Distributions from net realized capital
gains..................................... -- --
- --
Distributions from capital (Note
1)............................................... --
- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total
distributions..............................................................
... (0.027) (0.48) (0.67)
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Net asset value, end of
year........................................................
$1.000 $10.29 $9.61
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total return
+......................................................................
2.75% 5.28% 1.42%
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of year
(000's).....................................................
$2,108 $3,621 $19,891
Ratio of operating expenses to average net assets
++................................ 0.75% 0.85%
1.00%
Ratio of net investment income to average net
assets................................ 2.79% 4.75%
7.70%
Portfolio turnover rate
............................................................
- -- 124% 65%
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<CAPTION>
Equity Equity
Income Index
Portfolio Portfolio
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
<S>
<C> <C>
Net asset value, beginning of
year.................................................. $10.20
$10.62
- ---------------------------------------------------------------------------
- ----------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.45 0.17
Net realized and unrealized gain/(loss) on investments
............................. 0.72 0.55
- ---------------------------------------------------------------------------
- ----------------------------------------
Total from investment
operations....................................................
1.17 0.72
- ---------------------------------------------------------------------------
- ----------------------------------------
Less distributions:
Dividends from net investment
income.............................................. (0.47)
(0.02)
Distributions from net realized capital
gains..................................... -- (0.05)
Distributions from capital (Note
1)............................................... --
- --
- ---------------------------------------------------------------------------
- ----------------------------------------
Total
distributions..............................................................
... (0.47) (0.07)
- ---------------------------------------------------------------------------
- ----------------------------------------
Net asset value, end of
year........................................................
$10.90 $11.27
- ---------------------------------------------------------------------------
- ----------------------------------------
Total return
+......................................................................
11.74% 6.74%
- ---------------------------------------------------------------------------
- ----------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of year
(000's).....................................................
$25,985 $4,178
Ratio of operating expenses to average net assets
++................................ 1.00% 1.00%
Ratio of net investment income to average net
assets................................ 4.93% 2.10%
Portfolio turnover rate
............................................................
4% 8%
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
<CAPTION>
Growth
& Income Appreciation
Portfolio Portfolio
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
<S>
<C> <C>
Net asset value, beginning of
year.................................................. $10.15
$10.49
- ---------------------------------------------------------------------------
- ----------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.27 0.11
Net realized and unrealized gain/(loss) on investments
............................. 0.55 0.53
- ---------------------------------------------------------------------------
- ----------------------------------------
Total from investment
operations....................................................
0.82 0.64
- ---------------------------------------------------------------------------
- ----------------------------------------
Less distributions:
Dividends from net investment
income.............................................. (0.29)
(0.00) ***
Distributions from net realized capital
gains..................................... -- --
Distributions from capital (Note
1)............................................... (0.00) ***
- --
- ---------------------------------------------------------------------------
- ----------------------------------------
Total
distributions..............................................................
... (0.29) (0.00)
- ---------------------------------------------------------------------------
- ----------------------------------------
Net asset value, end of
year........................................................
$10.68 $11.13
- ---------------------------------------------------------------------------
- ----------------------------------------
Total return
+......................................................................
8.44% 6.13%
- ---------------------------------------------------------------------------
- ----------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of year
(000's).....................................................
$10,951 $53,450
Ratio of operating expenses to average net assets
++................................ 1.00% 1.00%
Ratio of net investment income to average net
assets................................ 3.06% 1.61%
Portfolio turnover rate
............................................................
78% 14%
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
<FN>
** Net investment income before waiver of fees and reimbursement of
expenses
by investment adviser and/or custodian and/or transfer agent were:
$0.013, $0.32, $0.64, $0.43, $0.02, $0.21 and $0.10, respectively.
*** Amount represents less than $0.01.
+ Total return represents aggregate total return for the period
indicated.
++ Operating expense ratios before fees waived and expenses reimbursed by
the
affiliated agents were:
2.18%, 2.28%, 1.41%, 1.27%, 2.89%, 1.65%, 1.16%, respectively.
</TABLE>
28
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ---------------------------------------------------------------------------
- -----
FINANCIAL HIGHLIGHT INFORMATION (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31,
1992
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
Diversified
Money Intermediate Strategic
Market High Grade Income
Portfolio* Portfolio* Portfolio*
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<S>
<C> <C> <C>
Net asset value, beginning of
period................................................ $1.000
$10.00 $10.00
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.005 0.03 0.02
Net realized and unrealized gain on investments
.................................... -- 0.21
0.12
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total from investment
operations....................................................
0.005 0.24 0.14
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
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
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Total return
+......................................................................
0.53% 2.40% 1.40%
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of period
(000's)................................................... $830
$697 $3,914
Ratio of operating expenses to average net
assets++................................. 0.65% 0.80%
0.94%
Ratio of net investment income to average net
assets................................ 3.35% 4.49%
4.57%
Portfolio turnover rate
............................................................
- -- -- --
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------
<CAPTION>
Equity Equity
Income Index
Portfolio* Portfolio*
- ---------------------------------------------------------------------------
- -----------------------------------------
- ---------------------------------------------------------------------------
- -----------------------------------------
<S>
<C> <C>
Net asset value, beginning of
period................................................ $10.00
$10.00
- ---------------------------------------------------------------------------
- -----------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.02 0.04
Net realized and unrealized gain on investments
.................................... 0.18 0.58
- ---------------------------------------------------------------------------
- -----------------------------------------
Total from investment
operations....................................................
0.20 0.62
- ---------------------------------------------------------------------------
- -----------------------------------------
Less distributions:
Dividends from net investment
income................................................ --
- --
- ---------------------------------------------------------------------------
- -----------------------------------------
Total distributions
- -- --
- ---------------------------------------------------------------------------
- -----------------------------------------
Net assset value, end of period
.................................................... $10.20
$10.62
- ---------------------------------------------------------------------------
- -----------------------------------------
Total return
+......................................................................
2.00% 6.20%
- ---------------------------------------------------------------------------
- -----------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of period
(000's)................................................... $3,900
$1,733
Ratio of operating expenses to average net
assets++................................. 0.93% 0.98%
Ratio of net investment income to average net
assets................................ 4.14% 2.91%
Portfolio turnover rate
............................................................
- -- --
- ---------------------------------------------------------------------------
- ----------------------------------------
- ---------------------------------------------------------------------------
- ----------------------------------------
<CAPTION>
Growth
& Income Appreciation
Portfolio* Portfolio*
- ---------------------------------------------------------------------------
- -----------------------------------------
- ---------------------------------------------------------------------------
- -----------------------------------------
<S>
<C> <C>
Net asset value, beginning of
period................................................ $10.00
$10.00
- ---------------------------------------------------------------------------
- -----------------------------------------
Income from investment operations:
Net investment income
**............................................................
0.02 0.01
Net realized and unrealized gain on investments
.................................... 0.13 0.48
- ---------------------------------------------------------------------------
- -----------------------------------------
Total from investment
operations....................................................
0.15 0.49
- ---------------------------------------------------------------------------
- -----------------------------------------
Less distributions:
Dividends from net investment
income................................................ --
- --
- ---------------------------------------------------------------------------
- -----------------------------------------
Total distributions
- -- --
- ---------------------------------------------------------------------------
- -----------------------------------------
Net assset value, end of
period..................................................... $10.15
$10.49
- ---------------------------------------------------------------------------
- -----------------------------------------
Total return
+......................................................................
1.40% 4.90%
- ---------------------------------------------------------------------------
- -----------------------------------------
Ratios to average net assets/supplemental data:
Net assets, end of period
(000's)................................................... $1,904
$11,436
Ratio of operating expenses to average net
assets++................................. 0.90% 0.94%
Ratio of net investment income to average net
assets................................ 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 agent were:
$(0.029), $(0.14), $(0.01), $(0.01), $(0.05), $(0.05) and $0.00,
respectively.
+ Total return represents aggregate total return for the period
indicated.
++ Annualized operating expense ratios before fees waived and expenses
reimbursed by the affiliated agents were:
21.47%, 26.28%, 7.76%, 8.34%; 7.60%; 20.02% and 3.64%, respectively.
</TABLE>
29
<PAGE>
SMITH BARNEY 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, Money Market Portfolio invests at least 25%
of
its assets in short-term bank instruments and Equity Income Portfolio
invests at
least 25% of its assets in the utility industry. Because of their
concentration
policy, these Portfolios may be subject to greater risk and market
fluctuation
than a portfolio that had securities representing a broader range of
investment
alternatives. Various factors could adversely affect the ability and
inclination of companies in these industries to declare and pay dividends
or
interest and the ability of holders of securities of such companies to
realize
any value from the assets of the issuer upon liquidation or bankruptcy.
8. FOREIGN SECURITIES (DIVERSIFIED STRATEGIC INCOME AND INTERNATIONAL
EQUITY
PORTFOLIOS):
Investing in securities of foreign companies and foreign governments
involves
special risks and considerations not typically associated with investing in
U.S.
companies and the U.S. Government. These risks include revaluation of
currencies and future adverse political and economic developments.
Moreover,
securities of many foreign companies and foreign governments and their
markets
may be less liquid and their prices more volatile than those of securities
of
comparable U.S. companies and the United States Government.
9. LINE OF CREDIT
The Fund and several affiliated entities participate in a $50 million line
of
credit provided by Bank of America (formerly "Continental Bank N.A.") under
an
Amended and Restated Line of Credit Agreement (the "Agreement") dated April
30,
1992 and renewed effective May 31, 1994, primarily for temporary or
emergency
purposes, including the meeting of redemption requests that otherwise might
require the untimely disposition of securities. Under the Agreement, each
Portfolio may generally borrow up to the lesser of $25 million or 25% of
its net
assets adjusted for purposes of the Agreement. However pursuant to the
Fund's
prospectus, each Portfolio may only borrow up to 20% of its net assets.
Interest is payable either at the bank's Money Market Rate or the London
Interbank Offered Rate (LIBOR) plus 0.375% on an annualized basis. Under
the
terms of the agreement, as amended as of May 31, 1994, the Fund and the
other
affiliated entities are charged an aggregate commitment fee of $100,000,
which
is allocated equally among each of the participants. The Agreement
requires,
among other provisions, each participating Portfolio to maintain a ratio of
net
assets (not including funds borrowed pursuant to the Agreement) to
aggregate
amount of indebtness pursuant to the Agreement of no less than 5 to 1.
During
the year ended December 31, 1994, the Equity Income Portfolio had an
average
outstanding daily balance of $9,315 with interest rates ranging from 3.625%
to
3.689%. Interest expense totalled $346 for the year ended December 31,
1994
and has been offset against interest income on the Statement of Operations.
30
<PAGE>
SMITH BARNEY SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
10. CAPITAL LOSS CARRYFORWARDS
As of December 31, 1994, the following Portfolios had available for Federal
tax
purposes unused capital losses:
<TABLE>
<CAPTION>
EXPIRING IN THE EXPIRING IN
THE
YEAR 2002 YEAR
2001
<S> <C> <C>
Intermediate High Grade Portfolio........ $392,650 -
Diversified Strategic Income Fund........ $800,897 -
Equity Income Portfolio.................. $1,549,024 -
Growth & Income Portfolio................ $342,765 $80,758
Emerging Growth Portfolio................ $1,212,225 $1,143
International Equity Portfolio........... $55,801 -
</TABLE>
11. SUBSEQUENT EVENT
On January 25, 1995, the Board of Trustees of Smith Barney Series Fund
approved
for its sub-trust, Equity Index Portfolio (the "Portfolio"), termination of
the
investment advisory agreement with PanAgora Asset Management Inc.,
effective
March 31, 1995. Furthermore, the Board has proposed, and will submit to
the
Portfolio's shareholders for approval, that the Portfolio enter into a new
investment advisory agreement with Travelers Investment Management Company,
a
wholly-owned subsidiary of Smith Barney Holdings Inc., the parent of the
Portfolio's distributor and administrator. The new investment advisory
agreement would mirror the existing agreement, including the same level of
fees.
31
<PAGE>
SMITH BARNEY SERIES FUND
MONEY MARKET PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMERCIAL PAPER - 73.2%
- ---------------------------------------------------------------------------
- ----
ASSET BACKED SPONSOR - 14.0%
- ---------------------------------------------------------------------------
- ----
Corporate Asset Funding Company, 5.870% (b), due
01/11/1995..........................................$200,000
$199,675
Corporate Receivables Corporation, 6.170% (b), due
02/13/1995.......................................... 300,000
297,814
Preferred Receivables Funding Corporation, 5.880%
(b), due 01/03/1995................................ 250,000
249,919
Working Capital Management, 6.100% (b), due
01/09/1995......................................... 250,000
249,663
----
- ----
997,071
- ---------------------------------------------------------------------------
- ----
FINANCIAL SERVICES - 11.9%
Dean Witter, Discover & Company, 5.890% (b), due
01/13/1995......................................... 300,000
299,415
Goldman Sachs & Company, 5.980% (b), due 01/20/1995. 300,000
299,058
Merrill Lynch, 5.890% (b), due 01/13/1995........... 250,000
249,512
----
- ----
847,985
- ---------------------------------------------------------------------------
- ----
FINANCIAL COMPANIES - 10.6%
AIG Funding, Inc., 6.010% (b), due 01/12/1995....... 310,000
309,433
Ford Motor Credit Corporation, 6.030% (b), due
01/09/1995......................................... 300,000
299,600
General Electric Capital Corporation, 5.450% (b),
due 01/17/1995..................................... 150,000
149,642
----
- ----
758,675
- ---------------------------------------------------------------------------
- ----
BANKING - 8.4%
ABN-AMBRO Holdings, 5.950% (b), due 01/04/1995...... 300,000
299,851
Den Danske, 6.160 % (b), due 01/05/1995............. 300,000
299,795
----
- ----
599,646
- ---------------------------------------------------------------------------
- ----
CONSUMER NON DURABLES - 8.4%
Nestle Capital Corporation, 5.920% (b), due
01/13/1995......................................... 200,000
199,607
Pepsico Inc., 6.000% (b), due 01/06/1995............ 300,000
299,751
Philip Morris Companies Inc., 5.760% (b), due
01/18/1995......................................... 100,000
99,730
----
- ----
599,088
- ---------------------------------------------------------------------------
- ----
BASIC INDUSTRIES - 8.0%
BAT Capital Corporation, 5.860% (b), due 01/03/1995. 300,000
299,903
PHH Corporation, 6.080 % (b), due 01/17/1995........ 275,000
274,261
----
- ----
574,164
- ---------------------------------------------------------------------------
- ----
HEALTHCARE - 4.2%
Smithkline Beecham Corporation, 5.890% (b), due
01/03/1995......................................... 300,000
299,902
- ---------------------------------------------------------------------------
- ----
CONSUMER SERVICES - 4.2%
Penney (J C) Inc., 6.030% (b), due 01/04/1995....... 300,000
299,850
- ---------------------------------------------------------------------------
- ----
TELEPHONE - 3.5%
AT & T Corporation, 6.050% (b), due 01/25/1995...... 250,000
249,000
- ---------------------------------------------------------------------------
- ----
TOTAL COMMERCIAL PAPER (Cost $5,225,381)............
5,225,381
- ---------------------------------------------------------------------------
- ----
U.S. GOVERNMENT AND AGENCY OBLIGATIONS-22.4%
- ---------------------------------------------------------------------------
- ----
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 5.6%
FHLMC, 5.760% (b), due 01/03/1995................... 400,000
399,872
- ---------------------------------------------------------------------------
- ----
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 5.6%
FNMA, 5.930 % (b), due 01/04/1995................... 400,000
399,803
- ---------------------------------------------------------------------------
- ----
FEDERAL FARM CREDIT BANK (FFCB) - 5.6%
FFCB, 5.940% (b), due 01/05/1995.................... 400,000
399,737
- ---------------------------------------------------------------------------
- ----
FEDERAL HOME LOAN BANK (FHLB) - 5.6%
FHLB, 5.940% (b), due 01/13/1995.................... 400,000
399,211
- ---------------------------------------------------------------------------
- ----
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $1,598,623)...................................
1,598,623
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
32
<PAGE>
SMITH BARNEY SERIES FUND
MONEY MARKET PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
- -----------
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- -----------
<S> <C>
<C>
REPURCHASE AGREEMENT - 4.4% (Cost $316,000)
- ---------------------------------------------------------------------------
- -----------
Agreement with Barclays de Zoete Wedd, 5.000% dated
12/30/1994 to be repurchased at $316,173 on 01/03/95
collateralized by $315,000 U.S. Treasury Notes, 8.625%
due 10/15/1995........................................ $316,000
$316,000
- ---------------------------------------------------------------------------
- -----------
TOTAL INVESTMENTS (Cost $7,140,004) (c)................ 100.0 %
7,140,004
OTHER ASSETS AND LIABILITIES (Net)..................... 0.0
942
- ---------------------------------------------------------------------------
- -----------
NET ASSETS............................................. 100.0 %
$7,140,946
- ---------------------------------------------------------------------------
- -----------
<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, 1994, the cost of securities for Federal income tax
purposes
was $7,140,004.
</TABLE>
See accompanying Notes to Financial Statements.
33
<PAGE>
SMITH BARNEY SERIES FUND
INTERMEDIATE HIGH GRADE PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31,
1994
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 53.3%
- ---------------------------------------------------------------------------
- ----
U.S. TREASURY BONDS - 24.6%
11.625% due 11/15/2004........................... $ 440,000 $
551,470
8.125% due 08/15/2019............................ 2,680,000
2,718,297
-----
- ----
3,269,767
- ---------------------------------------------------------------------------
- ----
U.S. TREASURY NOTES - 19.4%
8.500% due 11/15/1995............................ 490,000
495,635
8.500% due 04/15/1997............................ 870,000
883,781
7.000% due 04/15/1999............................ 600,000
582,066
8.500% due 11/15/2000............................ 600,000
619,092
-----
- ----
2,580,574
- ---------------------------------------------------------------------------
- ----
FEDERAL HOME LOAN BANK (FHLB) - 7.2%
FHLB, 7.360% due 07/01/2004...................... 1,000,000
950,350
- ---------------------------------------------------------------------------
- ----
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 2.1%
FNMA, 7.200% due 01/10/2002...................... 300,000
282,849
- ---------------------------------------------------------------------------
- ----
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $7,494,006)................................
7,083,540
- ---------------------------------------------------------------------------
- ----
CORPORATE BONDS AND NOTES - 36.0%
- ---------------------------------------------------------------------------
- ----
BANKING & FINANCE - 17.9%
Associates Corporation of North America, Note,
8.800% due 03/01/1996........................... 500,000
506,250
Bayerische Landesbank, Girozentrale, New York Branch,
Sub. Note, 7.375% due 12/14/2002................ 500,000
475,000
Chrysler Financial Corporation, Note,
5.625% due 01/15/1999........................... 500,000
455,625
Ford Motor Credit Corporation, Note,
8.000% due 10/01/1996........................... 650,000
650,812
International Lease Financial Corporation,
6.500% due 07/15/1997........................... 300,000
288,000
-----
- ----
2,375,687
- ---------------------------------------------------------------------------
- ----
TRANSPORTATION - 5.9%
Boeing Company, Note,
8.375% due 03/01/1996........................... 250,000
252,188
Federal Express Corporation, Note,
9.650% due 06/15/2012........................... 500,000
528,125
-----
- ----
780,313
- ---------------------------------------------------------------------------
- ----
OIL SERVICES - 3.6%
Mobil Corporation, Note,
6.500% due 12/17/1996........................... 485,000
473,481
- ---------------------------------------------------------------------------
- ----
RETAIL - 3.5%
Wal Mart Stores Inc., Note,
8.000% due 05/01/1996........................... 470,000
471,175
- ---------------------------------------------------------------------------
- ----
TELECOMMUNICATIONS - 3.5%
Telecommunications Inc., Medium Term Step Note,
6.580% until 02/14/1999, 8.350% due
02/15/2005...................................... 500,000
460,625
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
SMITH BARNEY SHEARSON SERIES FUND
INTERMEDIATE HIGH GRADE PORTFOLIO INVESTMENTS IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- ----
PERSONAL CARE PRODUCTS/COSMETICS - 1.6%
Johnson & Johnson, Note,
8.500% due 08/15/1995.......................... $205,000 $
207,050
- ---------------------------------------------------------------------------
- ----
TOTAL CORPORATE BONDS AND NOTES (Cost $5,050,022).
4,768,331
- ---------------------------------------------------------------------------
- ----
FOREIGN BOND - 2.9% (Cost $404,965)
- ---------------------------------------------------------------------------
- ----
Province of Ontario, ADR,
6.125% due 06/28/2000.......................... 430,000
388,612
- ---------------------------------------------------------------------------
- ----
REPURCHASE AGREEMENT - 5.9% (COST $789,000)
- ---------------------------------------------------------------------------
- ----
Agreement with Barclays de Zoete Wedd, 5.000%
dated 12/30/1994 to be repurchased at $789,438
on 01/03/1995 collateralized by $790,000 U.S.
Treasury Notes, 7.250% due 08/31/1996 ......... 789,000
789,000
- ---------------------------------------------------------------------------
- ----
TOTAL INVESTMENTS (Cost $13,737,993) (b)......... 98.1 %
13,029,483
OTHER ASSETS AND LIABILITIES (Net)............... 1.9
250,679
- ---------------------------------------------------------------------------
- ----
NET ASSETS....................................... 100.0 %
$13,280,162
- ---------------------------------------------------------------------------
- ----
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) At December 31, 1994, the cost of securities for Federal income tax
purposes
was $13,737,993 and the aggregate unrealized appreciation and
depreciation
based on that cost was:
Unrealized appreciation....... $0
Unrealized depreciation....... 708,510
---------------------------------------------
Net unrealized depreciation... ($708,510)
---------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31,1994
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 36.1%
- ---------------------------------------------------------------------------
- -------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) - 28.0%
GNMA Pool #0184160, 9.000% due 11/15/2016.................
$189,384 $191,323
GNMA Pool #0226157, 8.000% due 05/15/2017.................
65,505 63,903
GNMA Pool #0224939, 8.000% due 07/15/2017.................
137,826 134,166
GNMA Pool #0229898, 8.000% due 07/15/2017.................
75,726 73,684
GNMA Pool #0234511, 8.000% due 05/15/2018.................
74,899 72,295
GNMA Pool #0249574, 9.000% due 04/15/2018.................
166,839 168,564
GNMA Pool #0212565, 9.000% due 04/15/2018.................
177,557 179,400
GNMA Pool #0261166, 8.000% due 01/15/2019.................
56,956 55,309
GNMA Pool #0278750, 9.000% due 10/15/2019.................
263,526 266,406
GNMA Pool #0281944, 9.000% due 11/15/2019.................
93,792 94,741
GNMA Pool #0282407, 9.000% due 11/15/2019.................
446,348 450,891
GNMA Pool #0277913, 9.000% due 12/15/2019.................
82,483 83,328
GNMA Pool #0284401, 9.000% due 12/15/2019.................
94,407 95,439
GNMA Pool #0200076, 9.000% due 01/15/2020.................
67,597 68,286
GNMA Pool #0283134, 9.000% due 01/15/2020.................
134,019 135,401
GNMA Pool #0285036, 9.000% due 01/15/2020.................
193,769 195,765
GNMA Pool #0282568, 9.000% due 02/15/2020.................
213,892 216,230
GNMA Pool #0269142, 9.000% due 03/15/2020.................
458,310 463,031
GNMA Pool #0283859, 9.000% due 03/15/2020.................
700,915 708,576
GNMA Pool #0284628, 9.000% due 03/15/2020.................
152,540 154,110
GNMA Pool #0311222, 9.000% due 03/15/2020.................
178,350 180,300
GNMA Pool #0261938, 9.000% due 04/15/2020.................
25,625 25,885
GNMA Pool #0282844, 9.000% due 04/15/2020.................
215,266 217,453
GNMA Pool #0293750, 9.000% due 10/15/2020.................
229,075 231,396
GNMA Pool #0300242, 9.000% due 01/15/2021.................
157,184 158,776
GNMA Pool #0299189, 9.000% due 02/15/2021.................
762,247 770,578
GNMA Pool #0305473, 9.000% due 03/15/2021.................
155,515 157,116
GNMA Pool #0305597, 8.000% due 04/15/2021.................
98,538 95,644
GNMA Pool #0305456, 9.000% due 04/15/2021.................
173,215 174,961
GNMA Pool #0291718, 8.000% due 05/15/2021.................
76,294 74,160
GNMA Pool #0307669, 8.000% due 05/15/2021.................
95,924 93,052
GNMA Pool #0296005, 9.000% due 05/15/2021.................
127,750 129,146
GNMA Pool #0308026, 9.000% due 05/15/2021.................
478,529 483,759
GNMA Pool #0304570, 9.000% due 07/15/2021.................
120,976 122,253
GNMA Pool #0302263, 9.000% due 07/15/2021.................
600,885 607,086
GNMA Pool #0308806, 9.000% due 08/15/2021.................
525,853 531,285
GNMA Pool #0307450, 9.000% due 09/15/2021.................
97,640 98,649
GNMA Pool #0310362, 9.000% due 09/15/2021.................
82,269 83,168
GNMA Pool #0297872, 8.000% due 12/15/2021.................
866,435 842,357
GNMA Pool #0325495, 9.000% due 02/15/2022.................
344,563 348,205
GNMA Pool #0323011, 9.000% due 06/15/2022.................
165,839 167,580
GNMA Pool #0329471, 9.000% due 09/15/2022.................
643,220 650,251
GNMA Pool #0380006, 9.000% due 05/15/2024.................
669,004 676,283
GNMA Pool #0388746, 9.000% due 06/15/2024.................
105,449 106,599
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C> <C>
<C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
GNMA Pool #0396873, 9.000% due 07/15/2024.................
$509,449 $515,013
GNMA Pool #0379483, 9.000% due 08/15/2024.................
74,220 75,031
GNMA Pool #0380119, 9.000% due 08/15/2024.................
330,940 334,557
GNMA Pool #0381906, 9.000% due 08/15/2024.................
499,072 504,526
GNMA Pool #0387580, 9.000% due 08/15/2024.................
274,475 277,475
GNMA Pool #0400349, 9.000% due 08/15/2024.................
827,630 836,668
GNMA Pool #0400351, 9.000% due 08/15/2024.................
74,525 75,340
GNMA Pool #0404468, 9.000% due 08/15/2024.................
510,782 516,364
GNMA Pool #0380130, 9.000% due 09/15/2024.................
507,426 512,972
GNMA Pool #0390796, 9.000% due 09/15/2024.................
513,081 518,684
GNMA Pool #0331985, 9.000% due 09/15/2024.................
397,415 401,759
- --------------
15,465,179
- ---------------------------------------------------------------------------
- --------------------
U.S. TREASURY NOTES - 6.1%
6.125% due 12/31/1996.....................................
970,000 943,956
4.750% due 09/30/1998.....................................
2,750,000 2,478,657
- --------------
3,422,613
- ---------------------------------------------------------------------------
- --------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 1.7%
FHLMC Group #54-4608 9.000% due 01/01/2020................
215,589 216,531
FHLMC Group #54-6611 9.000% due 02/01/2020................
13,380 13,439
FHLMC Group #55-3305 9.000% due 02/01/2020................
385,994 387,573
FHLMC Group #55-4415 9.000% due 12/01/2020................
22,675 22,769
FHLMC Group #55-4588 9.000% due 02/01/2021................
53,183 53,397
FHLMC Group #55-4872 9.000% due 05/01/2021................
219,735 220,631
- --------------
914,340
- ---------------------------------------------------------------------------
- --------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 0.2%
FNMA, Canadian Dollar/Australian Dollar/Japanese Yen,
Multi Principal Exchange Rate Linked Security,
12.950% due 03/09/1995....................................
250,000 98,750
- ---------------------------------------------------------------------------
- --------------------
STUDENT LOAN MORTGAGE ASSOCIATION (SLMA) - 0.1%
SLMA, U.S. Dollar/Italian Lira/Spanish Peseta/Deutsche
Mark/Japanese Yen, Multi Currency, Principal Exchange Rate,
11.150% due 04/07/1997....................................
250,000 58,750
- ---------------------------------------------------------------------------
- --------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $21,273,333).....................................
19,959,632
- ---------------------------------------------------------------------------
- --------------------
INTERNATIONAL BONDS - 30.2%
- ---------------------------------------------------------------------------
- --------------------
SPANISH PESATA BONDS - 4.3%
BNCE ,13.000% due 01/29/1997..............................ESP
40,000,000 300,095
Kingdom of Spain, 11.600% due 01/15/1997..................
105,000,000 803,704
Kingdom of Spain, 8.300% due 12/15/1998...................
100,000,000 680,912
Kingdom of Spain, 12.250% due 03/25/2000..................
30,000,000 231,196
Kingdom of Spain, 11.900% due 07/15/1996..................
50,000,000 385,209
- --------------
2,401,116
- ---------------------------------------------------------------------------
- --------------------
AUSTRALIAN DOLLAR BONDS - 3.5%
NSWTC, 12.000% due 12/01/2001.............................AUD
400,000 334,567
Phillipines National Bank, 8.000% due 03/25/1997..........
350,000 270,388
Queensland Treasury Corporation, 8.000% due 05/14/1997....
1,200,000 889,600
Queensland Treasury Corporation, 8.000% due 05/14/2003....
700,000 472,127
- --------------
1,966,682
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C> <C>
<C>
INTERNATIONAL BONDS (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
CANADIAN DOLLAR BONDS - 3.0%
Canadian Government, 7.500% due 07/01/1997................CAD
150,000 $103,825
Canadian Government, 11.750% due 02/01/2003...............
650,000 532,159
Export Finance, 10.250% due 05/29/1996....................
1,000,000 721,128
International Finance, 7.750% due 08/18/1998..............
100,000 67,947
KFW, 9.500% due 05/13/2002................................
300,000 213,131
- --------------
1,638,190
- ---------------------------------------------------------------------------
- --------------------
IRISH PUNTAS BONDS - 2.9%
Republic of Ireland, 8.750% due 07/27/1997................IEP
500,000 778,866
Republic of Ireland, 9.250% due 07/11/2003................
500,000 799,433
- --------------
1,578,299
- ---------------------------------------------------------------------------
- --------------------
NEW ZEALAND DOLLAR BONDS - 2.7%
New Zealand, 8.000% due 11/15/1995........................NZD
1,000,000 631,948
New Zealand, 9.000% due 11/15/1996........................
800,000 507,799
New Zealand, 10.000% due 03/15/2002.......................
500,000 343,880
- --------------
1,483,627
- ---------------------------------------------------------------------------
- --------------------
PORTUGAL ESCUDOS BONDS - 2.5%
Bank of Ireland, 8.750% due 11/25/1998....................PTE
60,000,000 341,681
Euro Investment Bank, 8.875% due 12/15/1998...............
100,000,000 569,076
Euro Investment Bank, 10.125% due 08/03/2000..............
50,000,000 289,454
World Bank, 11.500% due 02/28/1997........................
30,000,000 187,358
- --------------
1,387,569
- ---------------------------------------------------------------------------
- --------------------
SWEDISH KRONA BONDS - 2.3%
European Investment Bank, 10.000% due 02/26/1999..........SEK
5,000,000 660,281
Kingdom of Sweden, 10.750% due 01/21/1997.................
1,000,000 136,262
Kingdom of Sweden, 11.000% due 01/21/1999.................
3,500,000 479,713
- --------------
1,276,256
- ---------------------------------------------------------------------------
- --------------------
GREAT BRITISH POUND STERLING BONDS - 2.3%
Hydro Quebec, 6.500% due 12/09/1998.......................GBP
400,000 568,891
Smith-Kline Beecham, 8.125% due 11/25/1998................
400,000 604,679
United Kingdom, 9.750% due 08/27/2002.....................
50,000 81,794
- --------------
1,255,364
- ---------------------------------------------------------------------------
- --------------------
ITALIAN LIRA BONDS - 2.2%
Cert Di Credito Del Tes, 12.250% due 08/01/1999 .........ITL
600,000,000 368,918
Government of Italy, 12.000% due 01/01/1998...............
500,000,000 309,416
Government of Italy, 9.000% due 10/01/1998................
500,000,000 283,881
Government of Italy, 7.438% due 01/01/1999 (e)............
500,000,000 276,534
- --------------
1,238,749
- ---------------------------------------------------------------------------
- --------------------
FINNISH MARKKA BONDS - 1.4%
Republic of Finland, 6.000% due 01/15/1999................FIM
2,000,000 369,683
Republic of Finland, 9.500% due 03/15/2004................
2,000,000 405,655
- --------------
775,338
- ---------------------------------------------------------------------------
- --------------------
U.S. DOLLAR BONDS - 1.4%
Argentina Government Bond, 4.938% due 05/31/1996 (f).....USD
500,000 164,250
Argentina Government Bond, 7.125% due 03/03/2023 (e).....
300,000 182,625
Mexican Government Bond, Series B, 6.250% due 12/31/2019..
750,000 404,062
- --------------
750,937
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C> <C>
<C>
INTERNATIONAL BONDS (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
DANISH KRONER BONDS - 0.6%
Great Belt, 7.000% due 09/02/2003.........................DKK
1,000,000 $141,987
Kingdom of Denmark, 9.000% due 11/15/1998.................
1,250,000 207,343
- --------------
349,330
- ---------------------------------------------------------------------------
- --------------------
GERMAN MARKS BOND - 0.6%
National Bank of Hungary, 9.250% due 03/17/2000...........DEM
500,000 322,664
- ---------------------------------------------------------------------------
- --------------------
EUROPEAN CURRENCY UNIT BOND - 0.5%
United Kingdom, 9.125% due 02/21/2001.....................ECU
200,000 251,427
- ---------------------------------------------------------------------------
- --------------------
TOTAL INTERNATIONAL BONDS
(Cost $17,071,221).....................................
16,675,548
- ---------------------------------------------------------------------------
- --------------------
CORPORATE BONDS AND NOTES - 24.0%
- ---------------------------------------------------------------------------
- --------------------
COMMUNICATIONS - 2.5%
Bell Cablemedia, Inc., Sr. Disc. Step Note,
Non-interest bearing until 07/15/1999,
11.950% due 07/15/2004....................................
$500,000 267,500
Continental Cablevision, Inc., Sr. Sub. Deb.,
11.000% due 06/01/2007....................................
200,000 203,500
Dial Call Communications, Inc., Sr. Disc. Note,
Zero Coupon due 04/15/2004................................
600,000 225,000
Nextel Communications, Sr. Disc. Step Note,
Non-interest bearing until 02/15/1999,
9.750% due 08/15/2004.....................................
650,000 230,750
Rogers' Cablesystems Ltd.:
Sr. Debenture,
9.650% due 01/15/2014.....................................
250,000 148,815
Sr. Note,
10.125% due 09/01/2012....................................
100,000 96,125
Rogers' Communications Inc., Sr. Deb.,
10.875% due 04/15/2004....................................
100,000 101,250
USA Mobile Communication Inc., Sr. Note,
9.500% due 02/01/2004.....................................
100,000 81,500
- --------------
1,354,440
- ---------------------------------------------------------------------------
- --------------------
PACKAGING & CONTAINERS - 2.2%
Gaylord Container Corporation, Sr. Note,
11.500% due 05/15/2001....................................
250,000 256,875
Repap Wisconsin Inc., 2nd Priority Sr. Note,
9.875% due 05/01/2006.....................................
300,000 261,375
Sea Containers, Ltd., Sr. Sub. Deb.,
12.500% due 12/01/2004....................................
180,000 182,250
Silgan Holdings, Sr. Step Deb.,
Non-interest bearing until 06/15/1996,
13.250% due 12/15/2002....................................
250,000 210,000
Stone Container Corporation, Sr. Note,
10.750% due 10/01/2002....................................
250,000 250,625
United States Can Company, Sr. Sub. Note,
13.500% due 01/15/2002....................................
30,000 32,775
- --------------
1,193,900
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
39
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C>
<C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
HEALTH & PERSONAL CARE - 2.1%
American Medical International Inc., Sr. Sub.,
13.500% due 08/15/2001....................................
$205,000 $224,475
Charter Medical Corp, Sr. Sub. Note,
11.250% due 10/01/2003....................................
200,000 201,000
Gillette Holdings Inc., Sr. Sub. Note,
12.250% due 06/30/2002....................................
125,000 132,344
Healthtrust Inc., The Hospital Company, Sub. Deb.,
10.750% due 05/01/2002....................................
100,000 106,625
MacAndrews & Forbes Group, Sub. Note,
12.250% due 07/01/1996....................................
30,000 29,925
Ornda Healthcorp, Sr. Sub. Note,
12.250% due 05/15/2002....................................
330,000 350,625
Revlon Consumer Products Corporation, Sub. Note,
10.500% due 02/15/2003....................................
125,000 111,875
- --------------
1,156,869
- ---------------------------------------------------------------------------
- --------------------
HOTELS & GAMING - 2.0%
Boyd Gaming Corporation, Series B, Sr. Sub. Note,
10.750% due 09/01/2003....................................
200,000 183,000
Empress River Casino, Finance Note,
10.750% due 04/01/2002....................................
100,000 91,500
GNF Corporation, Guaranteed Mortgage Note,
10.625% due 04/01/2003....................................
200,000 132,000
Remington Arms Inc., Sr. Note,
10.000% due 12/01/2003 (d)................................
200,000 167,000
Station Casinos Inc. Sub. Note,
9.625% due 06/01/2003.....................................
400,000 334,000
Trump Plaza Funding, Inc., Note,
10.875% due 06/15/2001....................................
150,000 114,000
Trump Taj Mahal, First Mortgage Note,
11.350% due 11/15/1999 (b,d)..............................
157,521 104,751
- --------------
1,126,251
- ---------------------------------------------------------------------------
- --------------------
BUILDING & CONSTRUCTION - 1.8%
American Standard, Inc., Sr. Sub. Deb.,
11.375% due 05/15/2004....................................
225,000 230,625
Greystone Homes, Inc., Gtd. Sr. Note,
10.750% due 03/01/2004....................................
250,000 222,188
Hovnanian K Enterprises, Inc., Gtd. Sub. Note,
11.250% due 04/15/2002....................................
150,000 126,188
Miles Homes Services Units, Gtd. Sr. Note,
12.000% due 04/01/2001....................................
50,000 28,500
UDC Homes, Note,
11.750% due 04/30/2003....................................
225,000 150,750
US Home Corporation, New Note,
9.750% due 06/15/2003.....................................
150,000 128,625
Wickes Lumber Company, Sr. Sub. Note,
11.625% due 12/15/2003....................................
100,000 95,000
- --------------
981,876
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
40
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C>
<C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
OIL & NATURAL GAS - 1.6%
Giant Industries Inc., Gtd. Sr. Sub. Note,
9.750% due 11/15/2003.....................................
$242,000 $222,640
Mesa Capital Corporation, Secured Disc. Step Note,
Non-interest bearing until 06/30/1995,
12.750% due 06/30/1998....................................
500,000 428,125
Santa Fe Energy Resource Inc., Sr. Sub. Note,
11.000% due 05/15/2004....................................
200,000 201,000
- --------------
851,765
- ---------------------------------------------------------------------------
- --------------------
AUTOMOBILE AND TRUCK PARTS & MANUFACTURING - 1.3%
Fairfield Manufacturing Inc., Sr. Sub. Note,
11.375% due 07/01/2001....................................
100,000 95,000
SPX Corporation, Sr. Sub. Note,
11.750% due 06/01/2002....................................
200,000 199,000
Truck Components Inc., Sr. Note,
12.750% due 06/30/2001....................................
400,000 422,000
- --------------
716,000
- ---------------------------------------------------------------------------
- --------------------
PAPER & FOREST PRODUCTS - 1.3%
Domtar Inc., Sr. Note,
12.000% due 04/15/2001....................................
300,000 310,500
Riverwood International Corporation, Sr. Sub. Note,
11.250% due 06/15/2002....................................
200,000 207,000
Stone Consolidated Corporation, Sr. Secured Note,
10.250% due 12/15/2000....................................
200,000 195,500
- --------------
713,000
- ---------------------------------------------------------------------------
- --------------------
CHEMICALS - 1.3%
NL Industries Inc., Sr. Secured Note,
11.750% due 10/15/2003....................................
400,000 401,000
UCC Investment Holdings Inc., Sr. Sub. Note,
11.000% due 05/01/2003....................................
200,000 198,500
UCC Investment Holdings Inc., Sub. Disc. Step Note,
Non-interest bearing until 05/01/1998,
12.000% due 05/01/2005....................................
170,000 111,988
- --------------
711,488
- ---------------------------------------------------------------------------
- --------------------
PUBLISHING - 1.2%
Bell & Howell Holdings Co., Sr. Step Debenture,
Non-interest bearing until 03/01/2000,
11.500% due 03/01/2005....................................
250,000 133,750
Marvel III Holdings Inc., Sr. Note,
9.125% due 02/15/1998.....................................
250,000 218,125
Zero Coupon due 04/15/1998................................
125,000 77,500
News America Holdings Inc., Deb.,
8.625% due 02/07/2014...........................................
350,000 204,183
- --------------
633,558
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
41
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C>
<C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
GROCERY & RETAIL - 1.1%
Big V Supermarket Inc., Sr. Sub. Note,
11.000% due 02/15/2004....................................
$150,000 $123,000
Bradlees Inc., Sr. Sub. Note,
11.000% due 08/01/2002....................................
225,000 205,594
Farm Fresh Inc., Sr. Note,
12.250% due 10/01/2000....................................
200,000 172,750
P & C Food Markets Inc., Deb.,
11.500% due 10/15/2001....................................
30,000 30,975
Pathmark Stores Inc., Sr. Note,
12.625% due 06/15/2002....................................
100,000 101,000
- --------------
633,319
- ---------------------------------------------------------------------------
- --------------------
TEXTILES & APPAREL - 0.9%
CMI Industries, Sr. Sub. Note,
9.500% due 04/15/2004.....................................
200,000 166,750
Hartmarx Corporation, Sr. Sub. Note,
10.875% due 01/15/2002....................................
275,000 257,125
JPS Textile Group, Sr. Sub. Note,
10.250% due 06/01/1999....................................
92,000 56,120
- --------------
479,995
- ---------------------------------------------------------------------------
- --------------------
INDUSTRIAL - 0.8%
Federal Industries Ltd, Sr. Note,
10.250% due 06/15/2000....................................
125,000 117,187
Harvard International Technologies, Sr. Note,
12.000% due 07/15/2004....................................
250,000 253,750
Interlake Corporation, Sr. Sub. Deb,
12.125% due 03/01/2002....................................
100,000 93,750
- --------------
464,687
- ---------------------------------------------------------------------------
- --------------------
METALS & MINING - 0.8%
AK Steel Corporation, Sr. Note,
10.750% due 04/01/2004 ...................................
280,000 277,550
Essex Group Inc., Sr. Note,
10.000% due 05/01/2003....................................
200,000 186,250
- --------------
463,800
- ---------------------------------------------------------------------------
- --------------------
CONSUMER DURABLE GOODS - 0.6%
Colman Holdings Inc., Note,
Zero Coupon due 05/27/1998................................
250,000 169,375
International Semi-Tech, Sr. Step Note,
noninterest bearing until 8/15/2000,
11.500% due 08/15/2003....................................
375,000 168,750
- --------------
338,125
- ---------------------------------------------------------------------------
- --------------------
ELECTRONICS & COMPUTERS - 0.5%
Anacomp Inc., Sr. Sub. Note,
15.000% due 11/01/2000....................................
256,000 270,400
- ---------------------------------------------------------------------------
- --------------------
BANKING & FINANCE - 0.4%
Indah Kiat International Finance Company, Gtd. Note,
11.375% due 06/15/1999....................................
250,000 243,125
- ---------------------------------------------------------------------------
- --------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
42
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C>
<C>
CORPORATE BONDS AND NOTES (CONTINUED)
- ---------------------------------------------------------------------------
- --------------------
UTILITIES - 0.3%
Midland Funding Corporation I, Sr. Secured Lease Obligatio
10.330% due 7/23/2002.....................................
$189,336 $183,419
- ---------------------------------------------------------------------------
- --------------------
INSURANCE - 0.2%
Life Partners Group, Inc., Sr. Sub. Deb.,
12.750% due 07/15/2002....................................
125,000 137,031
- ---------------------------------------------------------------------------
- --------------------
AEROSPACE - 0.1%
Tracor Inc., Sr. Sub. Note,
10.875% due 08/15/2001....................................
50,000 48,250
- ---------------------------------------------------------------------------
- --------------------
OTHER - 1.0%
Consolidated Cigar, Sr. Sub. Deb.,
10.500% due 03/01/2003....................................
150,000 135,750
S.D. Warren, Sr. Sub. Note,
12.000% due 12/15/2004 (d)................................
400,000 411,000
- --------------
546,750
- ---------------------------------------------------------------------------
- --------------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $14,566,538).....................................
13,248,048
- ---------------------------------------------------------------------------
- --------------------
SHARES
- ---------------------------------------------------------------------------
- --------------------
PREFERRED STOCK - 1.1% (Cost $697,848)
- ---------------------------------------------------------------------------
- --------------------
Foxmeyer Health Corporation, Pfd,.........................
16,377 528,154
Gulf Canada Resources, Series 1, Pfd, (c).................
40,000 100,000
- -------------
628,154
- ---------------------------------------------------------------------------
- --------------------
PREFERRED CONVERTIBLE STOCK - 0.4% (Cost $200,381)
- ---------------------------------------------------------------------------
- --------------------
Navistar International Corp, Series G, Pfd., Conv. $6.00
3,750 193,125
- ---------------------------------------------------------------------------
- --------------------
WARRANTS - 0.0% (Cost $8,250)
- ---------------------------------------------------------------------------
- --------------------
Dial Call, expire 04/25/2009 (c)..........................
600 90
Miles Home, Inc., expire 04/01/1997 (c)...................
600 300
- --------------
390
- ---------------------------------------------------------------------------
- --------------------
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- --------------------
REPURCHASE AGREEMENT - 4.1% (Cost $2,277,000)
- ---------------------------------------------------------------------------
- --------------------
Agreement with Barclays de Zoete Wedd, 5.000% dated 12/30/1994 to be
repurchased at $2,278,265 on 01/03/1995 collateralized by
$2,285,000 U.S. Treasury Note, 7.250% due 08/31/1996......
$2,277,000 2,277,000
- ---------------------------------------------------------------------------
- --------------------
TOTAL INVESTMENTS (Cost $56,094,571) (g)..................
95.9 % 52,981,897
OTHER ASSETS AND LIABILITIES (Net)........................
4.1 2,278,358
- ---------------------------------------------------------------------------
- --------------------
NET ASSETS................................................
100.0 % $55,260,255
- ---------------------------------------------------------------------------
- --------------------
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Payment-in-kind bond.
(c) Non-income producing security.
(d) Security exempt from registration under Rule 144A of the Securities Act
of 1933. These
securities may be resold in transactions exempt from registration to
qualified
institutional buyers.
(e) Rate resets semi-annually.
(f) Rate resets quarterly.
(g) At December 31, 1994, the cost of securities for Federal income tax
purposes was
$56,094,571 and the aggregate unrealized appreciation and depreciation
based on that cost
was:
Unrealized appreciation ................
$266,572
Unrealized depreciation ................
3,379,246
---------------------------------------------------
- ---
Net unrealized depreciation ............
($3,112,674)
---------------------------------------------------
- ---
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
43
<PAGE>
SMITH BARNEY SERIES FUND
DIVERSIFIED STRATEGIC INCOME PORTFOLIO SCHEDULE FOR FORWARD FOREIGN
EXCHANGE
CONTRACTS
- ---------------------------------------------------------------------------
- -----
DECEMBER 31,1994
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
CONTRACT
VALUE
DATE
VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
499,826 British Pounds.................................... 01/06/1995
$ (781,977)
222,484 European Currency Unit............................ 01/06/1995
(272,788)
908,545,000 Italian Lire.................................. 01/09/1995
(560,312)
241,487,499 Portuguese Escudo............................. 01/06/1995
(1,519,554)
231,835,789 Spanish Pesatas............................... 01/09/1995
(1,761,335)
2,568,425 Swedish Krona................................... 01/09/1995
(345,658)
- ---------------------------------------------------------------------------
- -------------------
TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
(Contract amount $5,244,545)................................
$ (5,241,624)
- ---------------------------------------------------------------------------
- -------------------
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- -----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -----------------
<S> <C>
<C>
COMMON STOCKS - 78.3%
- ---------------------------------------------------------------------------
- -----------------
UTILITIES - 54.1%
Allegheny Power Systems Inc. .................................
15,000 $326,250
American Electric Power Inc. .................................
25,000 821,875
Boston Edison Company.........................................
25,000 596,875
Central & South West Corporation..............................
25,000 565,625
CINergy Corporation...........................................
40,000 935,000
Citizens Utilities Company, Class B (b).......................
10,140 128,017
Consolidated Edison Company of New York Inc. .................
25,000 643,750
Detroit Edison Company........................................
35,000 914,375
Dominion Resources of Virginia Inc. ..........................
30,000 1,072,500
DPL Inc. .....................................................
40,000 820,000
DQE Inc. .....................................................
35,000 1,036,875
Eastern Utilities Association.................................
30,000 660,000
Enron Corporation.............................................
25,000 762,500
FPL Group Inc. ...............................................
40,000 1,405,000
General Public Utilities Corporation..........................
30,000 787,500
Illinova Corporation..........................................
50,000 1,087,500
Long Island Lighting Company..................................
40,000 615,000
New England Electric System...................................
25,000 803,125
NIPSCO Industries Inc. .......................................
35,000 1,041,250
Pacific Gas & Electric Company................................
27,000 658,125
Pacificorp....................................................
40,000 725,000
PECO Energy Company,..........................................
45,000 1,102,500
Public Service Company of Colorado............................
25,000 734,375
Public Service Enterprise Group...............................
35,000 927,500
San Diego Gas & Electric Company..............................
25,000 481,250
SCANA Corporation.............................................
20,000 842,500
Southern Company..............................................
50,000 1,000,000
Texas Utilities Company.......................................
40,000 1,280,000
Unicom Corporation............................................
40,000 960,000
Western Resources Inc. .......................................
10,000 286,250
- ------------
24,020,517
- ---------------------------------------------------------------------------
- -----------------
TELECOMMUNICATION - 18.8%
AT&T Corporation..............................................
42,500 2,135,625
Ameritech Corporation.........................................
20,000 807,500
Bell Atlantic Corporation.....................................
20,000 995,000
BellSouth Corporation.........................................
10,000 541,250
GTE Corporation...............................................
20,000 607,500
NYNEX Corporation.............................................
30,000 1,102,500
Sprint Corporation............................................
20,000 552,500
US West Inc. .................................................
45,000 1,603,125
- ------------
8,345,000
- ---------------------------------------------------------------------------
- -----------------
GAS - 5.4%
MCN Corporation...............................................
40,000 725,000
Panhandle Eastern Corporation.................................
25,000 493,750
Westcoast Energy Inc. ........................................
35,000 555,625
Williams Company Inc. ........................................
25,000 628,125
- ------------
2,402,500
- ---------------------------------------------------------------------------
- -----------------
</TABLE>
See accompanying Notes to Financial Statements.
45
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- -----------------
- ---------------------------------------------------------------------------
- -----------------
<S> <C>
<C>
TOTAL COMMON STOCKS (Cost $38,771,416)........................
$34,768,017
- ---------------------------------------------------------------------------
- -----------------
ISSUER
- ---------------------------------------------------------------------------
- -----------------
CORPORATE BONDS AND NOTES - 18.1%
- ---------------------------------------------------------------------------
- -----------------
UTILITIES - 18.1%
Arizona Public Service Company, First Mortgage:
7.250% due 08/01/2023...................................... $250,000
204,063
8.750% due 01/15/2024...................................... 250,000
239,688
8.000% due 02/01/2025...................................... 200,000
177,250
Central Illinois Public Service Company,
8.500% due 05/15/2022...................................... 255,000
256,912
Cincinnati Gas & Electric Company,
8.500% due 09/01/2022...................................... 200,000
193,250
Commonwealth Edison Company,
8.375% due 09/15/2022...................................... 250,000
225,312
Dayton Power & Light Company, First Mortgage,
8.150% due 01/15/2026...................................... 250,000
230,938
Duquesne Light Company, 1st Collateral Trust:
8.375% due 05/15/2024...................................... 200,000
186,250
7.550% due 06/15/2025...................................... 250,000
213,438
Idaho Power Company, First Mortgage,
8.750% due 03/15/2027...................................... 200,000
198,500
Illinois Power Company,
8.000% due 02/15/2023...................................... 500,000
452,500
Kentucky Utilities Company,
8.550% due 05/15/2027...................................... 300,000
290,625
Madison Gas & Electric Company, First Mortgage:
8.500% due 04/15/2022...................................... 200,000
191,750
7.700% due 02/15/2028...................................... 500,000
438,750
Midwest Power Systems Inc.,
8.125% due 02/01/2023...................................... 250,000
231,875
New England Power Company, General & Reference,
8.000% due 08/01/2022...................................... 200,000
182,500
New York State Electric & Gas Corporation, First Mortgage:
8.300% due 12/15/2022...................................... 250,000
231,563
7.450% due 07/15/2023...................................... 250,000
213,438
Niagara Mohawk Power,
8.500% due 07/01/2023 ..................................... 250,000
220,625
Pacific Gas & Electric Company,
6.750% due 10/01/2023...................................... 250,000
197,187
Pennsylvania Power & Light Company,
8.500% due 05/01/2022...................................... 500,000
483,125
Public Service Company, Oklahoma, First Mortgage,
7.375% due 04/01/2023...................................... 300,000
256,875
</TABLE>
See accompanying Notes to Financial Statements.
46
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- ------------------
<S> <C>
<C>
CORPORATE BONDS AND NOTES (continued)
- ---------------------------------------------------------------------------
- ------------------
UTILITIES (CONTINUED)
Public Service Electric & Gas Company, 1st & Refunding,
8.750% due 02/01/2022...................................... $198,000
$194,040
San Diego Gas & Electric Company,
8.500% due 04/01/2022...................................... 200,000
193,250
Tampa Electric,
7.750% due 11/01/2022...................................... 550,000
495,687
Texas Utilities,
7.625% due 07/01/2025...................................... 500,000
430,000
Virginia Electric & Power Company, First Mortgage,
7.500% due 06/01/2023...................................... 250,000
218,437
Wisconsin Electric Power Company, First Mortgage,
7.050% due 08/01/2024...................................... 400,000
334,000
Wisconsin Power & Light Company, Note,
8.600% due 03/15/2027...................................... 300,000
298,500
Wisconsin Public Service Corporation, First Mortgage,
7.125% due 07/01/2023...................................... 425,000
359,656
- ---------------------------------------------------------------------------
- ------------------
TOTAL CORPORATE BONDS AND NOTES (Cost $8,954,017).............
8,039,984
- ---------------------------------------------------------------------------
- ------------------
REPURCHASE AGREEMENT - 1.3% (Cost $599,000)
- ---------------------------------------------------------------------------
- ------------------
Agreement with Barclays de Zoete Wedd, 5.000% dated 12/30/1994 to
be repurchased at $599,333 on 01/03/1995 collateralized by
$600,000 U.S. Treasury Notes, 7.250% due 08/31/1996.........
599,000 599,000
- ---------------------------------------------------------------------------
- ------------------
TOTAL INVESTMENTS (Cost $48,324,433) (c)......................
97.7 % 43,407,001
OTHER ASSETS AND LIABILITIES (Net)............................
2.3 1,010,395
- ---------------------------------------------------------------------------
- ------------------
NET ASSETS....................................................
100.0 % $44,417,396
- ---------------------------------------------------------------------------
- ------------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Non-income producing security.
(c) At December 31, 1994, the cost of securities for Federal income tax
purposes was $48,324,
appreciation and depreciation based on that cost was:
Unrealized appreciation........
$669,592
Unrealized depreciation........
5,587,024
--------------------------------------------
- -----
Net unrealized depreciation....
($4,917,432)
--------------------------------------------
- -----
</TABLE>
See accompanying Notes to Financial Statements.
47
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- ------------------
<S> <C>
<C>
COMMON STOCKS - 87.1%
- ---------------------------------------------------------------------------
- -------------------
CONSUMER NON-DURABLES - 12.3%
American Brands Inc. .............................................
500 $18,750
Anheuser Busch Companies Inc. ....................................
700 35,613
Archer Daniels Midland Company ...................................
1,330 27,431
Avon Products Inc. ...............................................
200 11,950
Ball Corporation .................................................
100 3,150
Brown Forman Corporation, Class B ................................
300 9,150
Campbell Soup Company ............................................
700 30,887
Clorox Company....................................................
100 5,888
Coca Cola Company ................................................
3,500 180,250
Colgate Palmolive Company ........................................
400 25,350
Conagra Inc. .....................................................
700 21,875
Coors Adolph Company, Class B ....................................
100 1,675
CPC International Inc. ...........................................
400 21,300
Crown Cork & Seal Inc (b). .......................................
200 7,550
Dial Corporation, Arizona ........................................
200 4,250
Eastman Chemical Company .........................................
175 8,837
Eastman Kodak Company ............................................
900 42,975
General Mills Inc. ...............................................
400 22,800
Gillette Company .................................................
600 44,850
Hartmarx Corporation (b)..........................................
100 588
Hasbro Inc. ......................................................
200 5,850
Heinz (H J) Company ..............................................
700 25,725
Hershey Foods Corporation ........................................
200 9,675
International Flavors & Fragrances Inc. ..........................
300 13,875
Kellogg Company ..................................................
600 34,875
Liz Claiborne Inc. ...............................................
200 3,375
Mattel Inc. ......................................................
437 10,980
McDonald's Corporation ...........................................
1,900 55,575
McKesson Corporation .............................................
100 3,262
Nike Inc., Class B ...............................................
200 14,925
PepsiCo Inc. .....................................................
2,100 76,125
Pet Inc. .........................................................
300 5,925
Philip Morris Companies Inc. .....................................
2,400 138,000
Pioneer Hi Bred International ....................................
200 6,900
Polaroid Corporation .............................................
100 3,250
Premark International Inc. .......................................
200 8,750
Procter & Gamble Company .........................................
1,800 111,600
Quaker Oats Company ..............................................
400 12,300
Ralston Purina Group..............................................
300 13,388
Reebok International Ltd. ........................................
200 7,900
Rubbermaid Inc. ..................................................
400 11,500
Russell Corporation ..............................................
100 3,138
Sara Lee Corporation..............................................
1,300 32,825
Seagram Ltd. .....................................................
1,000 29,500
Sherwin Williams Company..........................................
200 6,625
</TABLE>
See accompanying Notes to Financial Statements.
48
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
CONSUMER NON-DURABLES (CONTINUED)
Stride Rite Corporation ..........................................
100 $1,113
Unilever N.V. ADR ................................................
400 46,600
UST Inc. .........................................................
600 16,650
V F Corporation ..................................................
200 9,725
Whitman Corporation ..............................................
300 5,175
Wrigley (Wm) Jr Company ..........................................
300 14,812
- ---------
1,265,037
- ---------------------------------------------------------------------------
- -------------------
UTILITIES - 10.8%
Airtouch Communications (b).......................................
1,300 37,863
American Electric Power Inc. .....................................
500 16,438
AT&T Corporation .................................................
4,200 211,050
Ameritech Corporation ............................................
1,500 60,563
Baltimore Gas & Electric Company..................................
350 7,744
Bell Atlantic Corporation ........................................
1,200 59,700
BellSouth Corporation ............................................
1,300 70,362
Carolina Power & Light Company ...................................
400 10,650
Central & South West Corporation (b)..............................
500 11,312
Columbia Gas Systems Inc. (b).....................................
100 2,350
Consolidated Edison Company New York Inc. ........................
600 15,450
Consolidated Natural Gas Company .................................
200 7,100
Detroit Edison Company ...........................................
400 10,450
Dominion Resources Inc. of Virginia ..............................
450 16,088
Duke Power Company ...............................................
600 22,875
Entergy Corporation ..............................................
600 13,125
FPL Group Inc. ...................................................
500 17,563
GTE Corporation ..................................................
2,600 78,975
Houston Industries Inc. ..........................................
400 14,250
MCI Communications Corporations ..................................
1,700 31,238
Niagara Mohawk Power Corporation .................................
400 5,700
Nicor Inc. .......................................................
100 2,275
Northern States Power Company of Minnesota ......................
200 8,800
NYNEX Corporation ................................................
1,100 40,425
Ohio Edison Company ..............................................
400 7,400
Oneok Inc. .......................................................
100 1,800
Pacific Corporation ..............................................
800 14,500
Pacific Enterprises ..............................................
200 4,250
Pacific Gas & Electric Company ...................................
1,100 26,813
Pacific Telesis Group ............................................
1,100 31,350
PECO Energy Company ..............................................
600 14,700
Peoples Energy Corporation .......................................
100 2,613
Public Service Enterprise Group ..................................
700 18,550
SCE Corporation ..................................................
1,200 17,550
Southern Company .................................................
1,700 34,000
Southwestern Bell Corporation ....................................
1,600 64,600
Sprint Corporation ...............................................
900 24,862
Texas Utilities Company ..........................................
600 19,200
</TABLE>
See accompanying Notes to Financial Statements.
49
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
UTILITIES (CONTINUED)
U S West Inc. ....................................................
1,200 $42,750
Union Electric Company ...........................................
300 10,613
- ---------
1,107,897
- ---------------------------------------------------------------------------
- -------------------
ENERGY - 9.5%
Amerada Hess Corporation .........................................
300 13,688
Amoco Corporation ................................................
1,300 76,863
Ashland Oil Inc. .................................................
200 6,900
Atlantic Richfield Company .......................................
400 40,700
Baker Hughes Inc. ................................................
400 7,300
Burlington Resources Inc. ........................................
300 10,500
Chevron Corporation ..............................................
1,800 80,325
CINergy Corporation...............................................
204 4,769
Coastal Corporation ..............................................
300 7,725
Dresser Industries Inc. ..........................................
500 9,438
Eastern Enterprises ..............................................
100 2,625
Enron Corporation ................................................
700 21,350
Enserch Corporation ..............................................
200 2,625
Exxon Corporation ................................................
3,300 200,475
Halliburton Company ..............................................
300 9,938
Helmerich & Payne Inc. ...........................................
100 2,563
Kerr McGee Corporation ...........................................
100 4,600
Louisiana Land & Exploration Company .............................
100 3,638
Maxus Energy Corporation (b).....................................
400 1,350
McDermott International Inc. .....................................
100 2,475
Mobil Corporation ................................................
1,100 92,675
Noram Energy Corporation (b) .....................................
300 1,613
Occidental Petroleum Corporation .................................
800 15,400
Oryx Energy Company (b)...........................................
300 3,563
Panhandle Eastern Corporation ....................................
300 5,925
Pennzoil Company .................................................
100 4,413
Phillips Petroleum Company .......................................
700 22,925
Pittston Services Group ..........................................
100 2,650
Rowan Companies Inc. (b) .........................................
200 1,225
Royal Dutch Petroleum Company.....................................
1,400 150,500
Santa Fe Energy Resources (b).....................................
200 1,600
Schlumberger Ltd. ................................................
700 35,263
Sonat Inc. .......................................................
200 5,600
Sun Inc. .........................................................
300 8,625
Tenneco Inc. .....................................................
500 21,250
Texaco Inc. ......................................................
700 41,913
Transco Energy Company ...........................................
100 1,663
Unocal Corporation ...............................................
600 16,350
USX-Marathon Group ..............................................
800 13,100
Western Atlas Inc. (b)............................................
100 3,763
Williams Companies Inc. ..........................................
300 7,538
- ---------
967,401
- ---------------------------------------------------------------------------
- -------------------
</TABLE>
See accompanying Notes to Financial Statements.
50
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
TECHNOLOGY - 9.4%
Advanced Micro Devices Inc. (b)...................................
200 $4,975
ALLTEL Corporation................................................
500 15,063
Amdahl Corporation (b)............................................
300 3,300
AMP Inc. .........................................................
300 21,825
Andrew Corporation (b)............................................
100 5,225
Apple Computer Inc. ..............................................
300 11,700
Autodesk Inc. ....................................................
200 7,925
Automatic Data Processing Inc. ...................................
400 23,400
Ceridian Corporation (b) .........................................
100 2,688
cisco Systems Inc. (b)............................................
700 24,587
Compaq Computer Corporation (b)...................................
700 27,650
Computer Association International Inc. ..........................
400 19,400
Computer Sciences Corporation (b).................................
100 5,100
Cray Research Inc. (b)............................................
100 1,575
Data General Corporation (b)......................................
100 1,000
Digital Equipment Corporation (b).................................
400 13,300
DSC Communications Corporation (b)...............................
300 10,762
EG & G Inc. ......................................................
200 2,825
E-Systems Inc. ...................................................
100 4,163
Harris Corporation................................................
100 4,250
Hewlett Packard Company ..........................................
700 69,913
Honeywell Inc. ...................................................
400 12,600
Intel Corporation ................................................
1,100 70,263
Intergraph Corporation (b)........................................
100 813
International Business Machines Corporation ......................
1,600 117,600
ITT Corporation ..................................................
300 26,588
Loral Corporation ................................................
200 7,575
Lotus Development Corporation (b).................................
100 4,100
M A Company Inc. (b)..............................................
100 725
Micron Technology, Inc. ..........................................
300 13,238
Microsoft Corporation (b).........................................
1,500 91,687
Minnesota Mining & Manufacturing Company .........................
1,100 58,713
Motorola Inc. ....................................................
1,500 86,813
National Semiconductor Corporation (b) ...........................
300 5,850
Northern Telecom Ltd. ............................................
700 23,363
Novell Inc. (b) ..................................................
1,000 17,125
Oracle Systems Corporation (b) ...................................
800 35,300
Perkin-Elmer Corporation .........................................
100 2,563
Pitney Bowes Inc. ................................................
400 12,700
Scientific Atlanta Inc. ..........................................
200 4,200
Shared Medical Systems Corporation ...............................
100 3,275
Sun Microsystems Inc. (b) ........................................
300 10,650
Tandem Computers Inc. (b) ........................................
300 5,138
Tektronix Inc. ...................................................
100 3,425
Texas Instruments Inc. ...........................................
200 14,975
Unicom Corporation................................................
600 14,400
Unisys Corporation ...............................................
500 4,313
Xerox Corporation ................................................
300 29,700
- ---------
958,318
- ---------------------------------------------------------------------------
- -------------------
</TABLE>
See accompnaying Notes to Financial Statements.
51
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
CONSUMER SERVICES - 9.4%
Albertsons Inc. ..................................................
700 $20,300
American Greetings Corporation, Class A ..........................
200 5,400
American Stores Company ..........................................
400 10,750
Bally Entertainment Corporation (b)...............................
100 613
Brunos Inc. ......................................................
200 1,675
Brunswick Corporation ............................................
300 5,662
Capital Cities ABC, Inc. .........................................
400 34,100
Charming Shoppes Inc. ............................................
300 1,987
Circuit City Stores Inc. .........................................
300 6,675
Comcast Corporation, Class A, (Special)...........................
650 10,197
Dayton Hudson Corporation ........................................
200 14,150
Deluxe Corporation ...............................................
200 5,300
Dillard Department Stores Inc., Class A ..........................
300 8,025
Disney (Walt) Company ............................................
1,400 64,575
Donnelley (R R) & Sons Company ...................................
400 11,800
Dow Jones & Company Inc. .........................................
300 9,300
Dun & Bradstreet Corporation .....................................
500 27,500
Ecolab Inc. ......................................................
200 4,200
Fleming Companies Inc. ...........................................
100 2,325
Gannett Inc. .....................................................
400 21,300
Gap Inc. .........................................................
400 12,200
Giant Food Inc., Class A .........................................
200 4,350
Great Atlantic & Pacific Tea Inc. ................................
100 1,812
Handleman Company ................................................
100 1,138
Harcourt General Inc. ............................................
200 7,050
Harland (John H) Company .........................................
100 2,000
Hilton Hotels Corporation ........................................
100 6,738
Home Depot Inc. ..................................................
1,233 56,718
Interpublic Group Companies Inc. .................................
200 6,425
Jostens Inc. .....................................................
100 1,863
K Mart Corporation ...............................................
1,100 14,300
King World Productions Inc. (b)...................................
100 3,450
Knight Ridder Inc. ...............................................
100 5,050
Kroger Company (b)...............................................
300 7,238
Limited Inc. .....................................................
1,000 18,125
Longs Drug Stores Corporation.....................................
100 3,175
Lowes Companies Inc. .............................................
400 13,900
Lubys Cafeterias Inc. ............................................
100 2,238
Marriott International Inc. ......................................
300 8,438
May Department Stores Company ....................................
700 23,625
McGraw Hill Inc. .................................................
100 6,688
Melville Corporation .............................................
300 9,262
Mercantile Stores Inc. ...........................................
100 3,950
National Education Corporation (b) ...............................
100 413
</TABLE>
See accompanying Notes to Financial Statements.
52
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
CONSUMER SERVICES (CONTINUED)
National Service Industries Inc. .................................
100 $2,563
New York Times Company, Class A ..................................
300 6,637
Nordstrom Inc. ...................................................
200 8,400
Penney (J C) Inc. ................................................
600 26,775
Pep Boys - Manny, Moe and Jack ...................................
200 6,200
Price Costco Inc. (b).............................................
600 7,725
Promus Companies Inc. (b) ........................................
250 7,750
Rite Aid Corporation .............................................
200 4,675
Rollins Environmental Services Inc. (b)...........................
200 975
Ryan's Family Steak Houses Inc. (b) ..............................
100 750
Safety-Kleen Corporation .........................................
200 2,950
Sears Roebuck & Company ..........................................
900 41,400
Service Corporation International ................................
250 6,938
Shoney's Inc. (b) ................................................
100 1,275
Super Value Inc. .................................................
200 4,900
Sysco Corporation ................................................
500 12,875
Tandy Corporation ................................................
200 10,025
Tele-Communications Inc., Class A (b) ............................
1,500 32,625
Time Warner Inc. .................................................
1,000 35,125
Times Mirror Company, Series A ...................................
300 9,413
TJX Companies Inc. ...............................................
200 3,125
Toys 'R' Us Inc. (b) .............................................
800 24,400
Tribune Company...................................................
200 10,950
Viacom, Inc., Class B (b).........................................
900 36,563
Walgreen Company .................................................
300 13,125
Wal-Mart Stores Inc. .............................................
6,200 131,750
Wendy's International Inc. .......................................
300 4,313
Winn Dixie Stores Inc. ...........................................
200 10,275
Woolworth Corporation ............................................
400 6,000
- ---------
956,457
- ---------------------------------------------------------------------------
- -------------------
FINANCIAL SERVICES - 9.3%
Aetna Life & Casualty Company ....................................
300 14,138
Ahmanson (H F) & Company .........................................
300 4,838
Alexander & Alexander Services Inc. ..............................
100 1,850
American Express Company..........................................
1,300 38,350
American General Corporation .....................................
600 16,950
American International Group Inc. ................................
900 88,200
Banc One Corporation .............................................
1,010 25,629
Bank of Boston Corporation .......................................
300 7,763
BankAmerica Corporation ..........................................
988 39,026
Bankers Trust of New York Corporation ..........................
200 11,075
Barnett Banks Inc. ...............................................
300 11,512
Beneficial Corporation ...........................................
200 7,800
Block (H & R) Inc. ...............................................
300 11,137
Boatmens Bancshares Inc. .........................................
300 8,137
Chase Manhattan Corporation ......................................
500 17,187
Chemical Banking Corporation .....................................
700 25,113
Chubb Corporation ................................................
200 15,475
</TABLE>
See accompanying Notes to Financial Statements.
53
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
FINANCIAL SERVICES (CONTINUED)
CIGNA Corporation ................................................
200 $12,725
CitiCorporation (b)...............................................
1,000 41,375
Continental Corporation ..........................................
100 1,900
CoreStates Financial Corporation .................................
400 10,400
Dean Witter Discover & Company....................................
434 14,702
Federal Home Loan Mortgage Corporation ...........................
500 25,250
Federal National Mortgage Association ............................
700 51,013
First Chicago Corporation ........................................
200 9,550
First Data Corporation............................................
300 14,212
First Fidelity BanCorporation.....................................
200 8,975
First Interstate BanCorporation ..................................
200 13,525
First Mississippi Corporation.....................................
100 2,500
First Union Corporation ..........................................
500 20,688
Fleet Financial Group Inc. .......................................
400 13,000
General Re Corporation ...........................................
200 24,750
Golden West Financial Corporation of Delaware ....................
200 7,050
Great Western Financial Corporation ..............................
400 6,400
Household International Inc. .....................................
300 11,138
Jefferson Pilot Corporation ......................................
100 5,188
KeyCorporation....................................................
600 15,000
Lincoln National Corporation......................................
300 10,500
Marsh & McLennan Companies Inc. ..................................
200 15,850
MBNA Corporation .................................................
400 9,350
Mellon Bank Corporation ..........................................
300 9,188
Merrill Lynch & Company Inc. .....................................
500 17,875
Morgan (J P) & Company Inc. ......................................
500 28,000
National City Corporation.........................................
400 10,350
NationsBank Corporation ..........................................
684 30,866
NBD BanCorporation Inc. ..........................................
400 10,950
Norwest Corporation ..............................................
900 21,038
PNC Bank Corporation ............................................
600 12,675
Providian Corporation (b) ........................................
300 9,263
SAFECO Corporation ...............................................
200 10,400
Salomon Inc. .....................................................
300 11,250
Shawmut National Corporation .....................................
300 4,913
St Paul Companies Inc. ...........................................
200 8,950
Suntrust Banks Inc. ..............................................
300 14,325
Torchmark Corporation ............................................
150 5,231
Transamerica Corporation .........................................
200 9,950
UNUM Corporation .................................................
200 7,550
USF&G Corporation ...............................................
200 2,725
USLIFE Corporation ...............................................
100 3,488
U.S. BanCorporation of Oregon ....................................
300 6,788
Wachovia Corporation (b) .........................................
500 16,125
Wells Fargo & Company ............................................
100 14,500
- ---------
955,621
- ---------------------------------------------------------------------------
- -------------------
</TABLE>
See accompanying Notes to Financial Statements.
54
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
HEALTH CARE - 8.2%
Abbott Laboratories ..............................................
2,200 $71,775
Allergan Inc. ....................................................
200 5,650
ALZA Corporation (b)..............................................
200 3,600
American Home Products Corporation ...............................
800 50,200
Amgen Inc. (b)....................................................
400 23,600
Bard (C R) Inc. .................................................
100 2,700
Bausch & Lomb Inc. ...............................................
200 6,775
Baxter International Inc. ........................................
700 19,775
Becton, Dickinson & Company ......................................
200 9,600
Beverly Enterprises Inc. .........................................
200 2,875
Biomet Inc. (b)...................................................
300 4,200
Bristol-Myers-Squibb Company......................................
1,400 81,025
Columbia Healthcare Corporation ..................................
932 34,018
Community Psychiatric Centers ....................................
100 1,100
Johnson & Johnson ................................................
1,700 93,075
Lilly (Eli) & Company ............................................
800 52,500
Mallinckrodt Group Inc. ..........................................
200 5,975
Manor Care Inc. ..................................................
200 5,475
Medtronic Inc. ...................................................
400 22,250
Merck & Company Inc. .............................................
3,400 129,625
Millipore Corporation ............................................
100 4,837
National Medical Enterprises Inc. (b).............................
400 5,650
Pall Corporation .................................................
333 6,244
Pfizer Inc. ......................................................
900 69,525
Schering-Plough Corporation ......................................
500 37,000
St. Jude Medical Inc. ............................................
100 3,975
US Healthcare Inc. ...............................................
400 16,500
United Healthcare Corporation.....................................
400 18,050
United States Surgical Corporation ...............................
200 3,800
Upjohn Company ...................................................
500 15,375
Warner Lambert Company ...........................................
400 30,800
- ---------
837,549
- ---------------------------------------------------------------------------
- -------------------
BASIC INDUSTRIES - 6.9%
Air Products & Chemicals Inc. ....................................
300 13,388
Alcan Aluminum Ltd. ..............................................
600 15,225
Alco Standard Corporation.........................................
100 6,275
Allied Signal Inc. ...............................................
800 27,200
Aluminum Company of America .....................................
200 17,325
American Barrick Resource Corporation ............................
800 17,800
Armco Inc. (b)....................................................
300 1,988
ASARCO Inc. ......................................................
100 2,850
Avery Dennison Corporation .......................................
200 7,100
Bemis Inc. .......................................................
100 2,400
Bethlehem Steel Corporation (b)...................................
300 5,400
Boise Cascade Corporation ........................................
100 2,675
Champion International Corporation ...............................
300 10,950
</TABLE>
See accompanying Notes to Financial Statements.
55
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
BASIC INDUSTRIES (CONTINUED)
Cyprus Amax Minerals Company .....................................
200 $5,225
Dow Chemical Company .............................................
700 47,075
du Pont (E I) De Nemours & Co. ...................................
1,800 101,250
Echo Bay Mines Ltd. ..............................................
300 3,188
Engelhard Corporation ............................................
250 5,563
Federal Paper Board Inc. .........................................
100 2,900
FMC Corporation ..................................................
100 5,775
General Signal Corporation .......................................
100 3,188
Georgia Pacific Corporation ......................................
200 14,300
Goodrich (B F) Company ...........................................
100 4,338
Grace (W R) & Company.............................................
300 11,588
Great Lakes Chemical Corporation .................................
200 11,400
Harnischfeger Industriess Inc. ...................................
100 2,813
Hercules Inc. ....................................................
100 11,538
Homestake Mining Company .........................................
400 6,850
Inco Ltd. ........................................................
300 8,588
Inland Steel Industries Inc. (b)..................................
100 3,513
International Paper Company ......................................
300 22,613
James River Corporation of Virginia .............................
200 4,050
Kimberly Clark Corporation .......................................
400 20,200
Louisiana Pacific Corporation ....................................
300 8,175
Mead Corporation .................................................
200 9,725
Monsanto Company .................................................
300 21,150
Morton International Industries Inc. .............................
300 8,550
Nalco Chemical Company ...........................................
200 6,700
Newmont Mining Corporation .......................................
249 8,964
Nucor Corporation ................................................
200 11,100
Phelps Dodge Corporation .........................................
200 12,375
Placer Dome Inc. .................................................
600 13,050
Potlatch Corporation..............................................
100 3,725
PPG Industries Inc. ..............................................
600 22,275
Praxair Inc. .....................................................
400 8,200
Reynolds Metals Company ..........................................
200 9,800
Rohm & Haas Company ..............................................
200 11,425
Scott Paper Company...............................................
200 13,825
Stone Container Corporation (b)...................................
202 3,485
Temple Inland Inc. ...............................................
100 4,512
Trinova Corporation ..............................................
100 2,938
Union Camp Corporation ...........................................
200 9,425
Union Carbide Corporation ........................................
400 11,750
USX - U.S. Steel Group............................................
200 7,100
Westvaco Corporation .............................................
200 7,850
Weyerhaeuser Company .............................................
600 22,500
WMX Technologies Inc. ............................................
1,300 34,125
Worthington Industries Inc. ......................................
250 5,000
- ---------
704,255
- ---------------------------------------------------------------------------
- -------------------
</TABLE>
See accompanying Notes to Financial Statements.
56
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
CAPITAL GOODS - 6.8%
Armstrong World Industries Inc. ..................................
100 $3,850
Boeing Company....................................................
900 42,075
Browning Ferris Industries Inc. ..................................
500 14,188
Caterpillar Inc. .................................................
600 33,075
Centex Corporation ...............................................
100 2,275
Cincinnati Milacron Inc. .........................................
100 2,363
Cooper Industries Inc. ...........................................
300 10,238
Crane Company ....................................................
100 2,687
Cummins Engine Inc. ..............................................
100 4,525
Dana Corporation .................................................
300 7,013
Deere & Company ..................................................
200 13,250
Dover Corporation ................................................
200 10,325
Eaton Corporation ................................................
200 9,900
Echlin Inc. ......................................................
200 6,000
Emerson Electric Company .........................................
600 37,500
Fluor Corporation ................................................
200 8,625
Foster Wheeler Corporation .......................................
100 2,975
General Dynamics Corporation .....................................
200 8,700
General Electric Company .........................................
4,600 234,600
Giddings & Lewis Inc. ............................................
100 1,475
Grainger (W W) Inc. ..............................................
100 5,775
Illinois Tool Works Inc. .........................................
300 13,125
Ingersoll Rand Company ...........................................
300 9,450
Johnson Controls Inc. ............................................
100 4,900
Kaufman & Broad Home Corporation .................................
100 1,288
Lockheed Corporation .............................................
200 14,525
Martin Marietta Corporation.......................................
300 13,313
McDonnell Douglas Corporation ....................................
100 14,200
Moore Ltd. .......................................................
300 5,662
Morrison Knudsen Corporation .....................................
100 1,275
Navistar International Corporation (b)............................
240 3,630
Northrop Grumman Corporation .....................................
100 4,200
Ogden Corporation ................................................
100 1,875
Owens-Corning Fiberglass Corporation .............................
100 3,200
Paccar Inc. ......................................................
115 5,089
Parker Hannifin Corporation ......................................
100 4,550
Raychem Corporation ..............................................
100 3,563
Raytheon Corporation .............................................
400 25,550
Rockwell International Corporation ...............................
600 21,450
Santa Fe Pacific Gold Corporation (b).............................
300 3,863
Stanley Works.....................................................
100 3,575
Teledyne Inc. (b).................................................
100 2,013
Textron Inc. .....................................................
200 10,075
Timken Company....................................................
100 3,525
Thomas & Betts Corporation........................................
100 6,713
TRW Inc. .........................................................
200 13,200
Tyco International Ltd. ..........................................
100 4,750
United Technologies Corporation ..................................
300 18,863
</TABLE>
See accompanying Notes to Financial Statements.
57
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
- ---------------------------------------------------------------------------
- -------------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- -------------------
CAPITAL GOODS (CONTINUED)
Varity Corporation (b) ...........................................
100 $3,625
Westinghouse Electric Corporation ................................
1,000 12,250
- ---------
694,711
- ---------------------------------------------------------------------------
- -------------------
CONSUMER DURABLES - 3.0%
Black & Decker Corporation .......................................
200 4,750
Chrysler Corporation .............................................
1,000 49,000
Cooper Tire & Rubber Company .....................................
200 4,725
Corning Inc. .....................................................
600 17,925
Fleetwood Enterprises Inc. .......................................
100 1,875
Ford Motor Company ...............................................
2,700 75,600
General Motors Corporation .......................................
2,000 84,500
Genuine Parts Company ............................................
300 10,800
Goodyear Tire & Rubber Company....................................
400 13,450
Masco Corporation ................................................
400 9,050
Maytag Corporation ...............................................
300 4,500
Newell Company ...................................................
400 8,400
Outboard Marine Corporation.......................................
100 1,963
Pulte Corporation ................................................
100 2,300
Snap-On Tools Corporation ........................................
100 3,325
Whirlpool Corporation ............................................
200 10,050
Zenith Electrics Corporation (b) .................................
100 1,162
- ---------
303,375
- ---------------------------------------------------------------------------
- -------------------
TRANSPORTATION - 1.5%
AMR Corporation (b) ..............................................
200 10,650
Burlington Northern Inc. .........................................
200 9,625
Conrail Inc. .....................................................
200 10,100
Consolidated Freightways Inc. ....................................
100 2,238
CSX Corporation ..................................................
300 20,849
Delta Air Lines Inc. .............................................
100 5,050
Federal Express Corporation (b)...................................
200 12,050
Norfolk Southern Corporation .....................................
400 24,250
Roadway Services Inc. ............................................
100 5,675
Ryder Systems Inc. ...............................................
200 4,400
Santa Fe Pacific Corporation .....................................
500 8,750
Southwest Airlines Company........................................
400 6,700
Union Pacific Corporation ........................................
600 27,375
USAir Group Inc. (b) .............................................
200 875
Yellow Corporation ...............................................
100 2,387
- ---------
150,974
- ---------------------------------------------------------------------------
- -------------------
TOTAL COMMON STOCKS (COST $8,483,214 ) ...........................
8,901,595
- ---------------------------------------------------------------------------
- -------------------
PREFERRED CONVERTIBLE STOCK - 0.0% (COST $2,591)
- ---------------------------------------------------------------------------
- -------------------
Alberto Culver Company, Class B .................................
100 2,725
- ---------------------------------------------------------------------------
- -------------------
</TABLE>
See accompanying Notes to Financial Statements.
58
<PAGE>
SMITH BARNEY SERIES FUND
EQUITY INDEX PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT
VALUE (a)
- ---------------------------------------------------------------------------
- --------------------
<S> <C>
<C>
U.S. TREASURY BILL - 1.2% (COST $118,561)
- ---------------------------------------------------------------------------
- --------------------
U.S. Treasury Bill, 5.270 % (c) due 03/23/1995 ..................
$120,000 $118,561
- ---------------------------------------------------------------------------
- --------------------
REPURCHASE AGREEMENT - 11.5% (COST $1,182,000)
- ---------------------------------------------------------------------------
- --------------------
Agreement with Union Bank of Switzerland Securities Inc., 5.625%
dated 12/30/1994 to be repurchased at $1,182,739 on 01/03/1995,
collateralized by $ 1,205,000 U.S. Treasury Notes,
6.125% due7/31/1996 ...........................................
1,182,000 1,182,000
- ---------------------------------------------------------------------------
- --------------------
TOTAL INVESTMENTS (Cost $9,786,366) (d) ..........................
99.8 % 10,204,881
- ---------------------------------------------------------------------------
- --------------------
- ---------------------------------------------------------------------------
- --------------------
<CAPTION>
CONTRACTS
- ---------------------------------------------------------------------------
- --------------------
<S> <C> <C>
<C>
FUTURES CONTRACTS - LONG POSITION - 13.5%
(Contract amount $1,365,450)
Standard & Poor's 500 Index, March 1995 6
13.5 1,384,050
- ---------------------------------------------------------------------------
- --------------------
OTHER ASSETS AND LIABILITIES (Net) ...............................
(13.3) (1,363,519)
- ---------------------------------------------------------------------------
- --------------------
NET ASSETS .......................................................
100.0 % $10,225,412
- ---------------------------------------------------------------------------
- --------------------
<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 collateralize futures contracts.
(d) At December 31, 1994, the cost of securities for Federal income tax
purposes was $9,786,36 gross unrealized appreciation and depreciation
based
on that cost was:
Unrealized appreciation........
$843,462
Unrealized depreciation........
424,947
----------------------------------------
- -----
Net unrealized appreciation....
$418,515
----------------------------------------
- -----
</TABLE>
See accompanying Notes to Financial Statements.
59
<PAGE>
SMITH BARNEY SERIES FUND
GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMON STOCKS - 77.0%
- ---------------------------------------------------------------------------
- ----
TECHNOLOGY - 11.0%
AMP Inc. .............................................. 7,000
$509,250
Automatic Data Processing Inc. ........................ 9,000
526,500
Hewlett Packard Company................................ 9,000
898,875
Motorola Inc. ......................................... 14,000
810,250
Raytheon Company....................................... 8,000
511,000
------
- ----
3,255,875
- ---------------------------------------------------------------------------
- ----
CONSUMER DURABLES - 10.4%
Bemis Inc. ............................................ 14,000
336,000
Fuller, (H.B.) Company................................. 6,500
221,812
Genuine Parts Company.................................. 14,000
504,000
Leggett & Platt Inc. .................................. 8,000
280,000
Minnesota Mining & Manufacturing Company............... 10,000
533,750
Procter & Gamble Company............................... 8,000
496,000
Temple - Inland, Inc................................... 11,000
496,375
Valspar Corporation.................................... 6,000
201,000
------
- ----
3,068,937
- ---------------------------------------------------------------------------
- ----
ENERGY - 8.0%
Fluor Corporation...................................... 11,000
474,375
Mobil Corporation...................................... 7,000
589,750
Murphy Oil Corporation................................. 7,500
318,750
Phillips Petroleum Company............................. 15,000
491,250
Royal Dutch Petroleum Company.......................... 4,500
483,750
------
- ----
2,357,875
- ---------------------------------------------------------------------------
- ----
CONSUMER SERVICES - 7.2%
Gannett Inc. .......................................... 9,000
479,250
McDonald's Corporation................................. 15,000
438,750
Reuters Holdings PLC, ADR (c).......................... 15,000
658,125
Tribune Company........................................ 10,000
547,500
------
- ----
2,123,625
- ---------------------------------------------------------------------------
- ----
FINANCIAL SERVICES - 6.4%
Firstar Corporation.................................... 8,000
215,000
G.P. Financial Corporation............................. 13,000
268,125
KeyCorp (New).......................................... 17,000
425,000
Morgan (J P) & Company Inc. ........................... 8,000
448,000
NationsBank Corporation................................ 12,000
541,500
------
- ----
1,897,625
- ---------------------------------------------------------------------------
- ----
CAPITAL GOODS - 6.1%
Belden Inc. ........................................... 15,000
333,750
General Electric Company............................... 15,000
765,000
Hubbell Inc, Class B................................... 4,000
213,000
Whirlpool Corporation.................................. 10,000
502,500
------
- ----
1,814,250
- ---------------------------------------------------------------------------
- ----
UTILITIES - 5.4%
Ameritech Corporation (New)............................ 12,000
484,500
Bell Atlantic Corporation.............................. 9,000
447,750
GTE Corporation........................................ 15,000
455,625
Northern States Power Company.......................... 5,000
220,000
------
- ----
1,607,875
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
60
<PAGE>
SMITH BARNEY SERIES FUND
GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ----
CHEMICALS - 4.1%
Hanna (M.A.) Company................................... 10,500
$249,375
Monsanto Company....................................... 6,000
423,000
Schulman (A.) Inc. .................................... 11,250
309,375
Witco Corporation...................................... 10,000
246,250
------
- ----
1,228,000
- ---------------------------------------------------------------------------
- ----
CONSUMER NON-DURABLES - 4.0%
Coca-Cola Company...................................... 12,000
618,000
International Flavors & Fragrances Inc. ............... 12,000
555,000
------
- ----
1,173,000
- ---------------------------------------------------------------------------
- ----
BASIC INDUSTRIES - 3.7%
Kimberly Clark Corporation............................. 10,000
505,000
Parker - Hannifin Corporation.......................... 13,000
591,500
------
- ----
1,096,500
- ---------------------------------------------------------------------------
- ----
HEALTH CARE - 3.7%
Johnson & Johnson Corporation.......................... 10,000
547,500
Pfizer, Inc. .......................................... 7,000
540,750
------
- ----
1,088,250
- ---------------------------------------------------------------------------
- ----
TRANSPORTATION - 3.6%
CSX Corporation........................................ 10,000
696,250
Southwest Airlines Company............................. 23,000
385,250
------
- ----
1,081,500
- ---------------------------------------------------------------------------
- ----
RETAIL - 2.1%
May Department Stores Company.......................... 9,000
303,750
Penney (J.C.) Inc. .................................... 7,000
312,375
------
- ----
616,125
- ---------------------------------------------------------------------------
- ----
TELECOMMUNICATIONS - 1.3%
TCA Cable TV Inc. ..................................... 18,000
391,500
- ---------------------------------------------------------------------------
- ----
TOTAL COMMON STOCKS (COST $22,210,479).................
22,800,937
- ---------------------------------------------------------------------------
- ----
PREFERRED STOCKS - 3.3%
- ---------------------------------------------------------------------------
- ----
General Motors Corporation, Depositary Shares,
Series C, Pfd......................................... 9,000
516,375
Sears Roebuck & Company, Depositary Shares,
Series A, Pfd......................................... 8,500
472,812
- ---------------------------------------------------------------------------
- ----
TOTAL PREFERRED STOCKS (COST $997,763)
989,187
- ---------------------------------------------------------------------------
- ----
PREFERRED CONVERTIBLE STOCK - 1.5% (COST $485,250)
Unocal Corporation, Pfd. Conv 7.000%(b)................ 9,000
441,000
- ---------------------------------------------------------------------------
- ----
INTERNATIONAL COMMON STOCK - 2.6% (COST $696,013)
AUSTRALIA - 2.6%
Broken Hill Properties................................. 50,650
769,622
- ---------------------------------------------------------------------------
- ----
CORPORATE BONDS AND NOTES - 6.2%
- ---------------------------------------------------------------------------
- ----
Dean Witter Discover & Company,
6.875% due 03/01/2003................................. 500,000
455,625
General Motors Acceptance Corporation,
7.000% due 09/15/2002................................. 1,000,000
905,000
Limited Inc.,
7.800% due 05/15/2002................................. 500,000
485,625
- ---------------------------------------------------------------------------
- ----
TOTAL CORPORATE BONDS AND NOTES (COST $2,055,216)......
1,846,250
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
61
<PAGE>
SMITH BARNEY SERIES FUND
GROWTH & INCOME PORTFOLIO INVESTMENTS IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER AMOUNT VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
CONVERTIBLE NOTE - 1.7% (COST $483,823)
- ---------------------------------------------------------------------------
- ----
Thermo Electron Corporation,
4.625% due 01/08/1997................................. $350,000
$493,500
- ---------------------------------------------------------------------------
- ----
REPURCHASE AGREEMENT - 6.7% (COST $1,985,000)
- ---------------------------------------------------------------------------
- ----
Agreement with Barclays de Zoete Wedd, 5.000% dated
12/30/1994 to be repurchased at $1,986,103 on
01/03/1995, collateralized by $1,990,000 U.S.
Treasury Notes 7.250% due 08/31/1996 ............... 1,985,000
1,985,000
- ---------------------------------------------------------------------------
- ----
TOTAL INVESTMENTS (COST $28,913,544)(d)................ 99.0 %
29,325,496
OTHER ASSETS AND LIABILITIES (NET)..................... 1.0
299,174
- ---------------------------------------------------------------------------
- ----
NET ASSETS............................................. 100.0 %
$29,624,670
- ---------------------------------------------------------------------------
- ----
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Security exempt from registration under Rule 144A of the Securities Act
of
1933, as amended. These securities maybe resold in transactions exempt
from
registration to qualified institutional buyers.
(c) ADR - American Depository Receipt.
(d) At December 31, 1994, the cost of securities for Federal income tax
purposes
was $28,913,544 and the aggregate appreciation and depreciation based
on
that cost was:
Unrealized appreciation....... $1,591,093
Unrealized depreciation....... 1,179,141
-----------------------------------------
- -----
Net unrealized appreciation... $411,952
-----------------------------------------
- -----
</TABLE>
See accompanying Notes to Financial Statements.
62
<PAGE>
SMITH BARNEY SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- ----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMON STOCKS - 89.0%
- ---------------------------------------------------------------------------
- ----
CONSUMER SERVICES - 13.0%
Capital Cities/ABC, Inc. .............................. 6,000
$511,500
CBS Inc................................................ 14,500
802,938
Disney (Walt) Productions Company...................... 22,000
1,014,750
Donnelley (RR) & Sons Company ......................... 43,000
1,268,500
Gannett Inc............................................ 10,000
532,500
Gaylord Entertainment Company, Class A ................ 10,000
227,500
G.C. Companies Inc (b)................................. 6,000
157,500
Harcourt General Inc. ................................. 11,000
387,750
Home Depot Inc......................................... 16,000
736,000
McDonald's Corporation................................. 28,000
819,000
Penney (J.C.).......................................... 8,000
357,000
Savoy Pictures Entertainment, Inc (b).................. 30,000
195,000
Time-Warner Inc. ...................................... 38,000
1,334,750
Toys "R" Us Inc. (b)................................... 20,000
610,000
Tribune Company........................................ 10,000
547,500
Wal-Mart Stores Inc. .................................. 48,000
1,020,000
-------
- ----
10,522,188
- ---------------------------------------------------------------------------
- ----
FINANCIAL SERVICES - 9.0%
Aetna Life & Casualty Company.......................... 9,500
447,687
American Express Company............................... 12,500
368,750
American International Group Inc....................... 12,500
1,225,000
Bank of New York Inc. ................................. 20,000
580,000
Barnett Banks Inc. .................................... 10,000
383,750
Chemical Banking Corporation........................... 22,000
789,250
Federal National Mortgage Association.................. 13,000
947,375
First Virginia Banks Inc. ............................ 10,000
320,000
Keycorp ............................................... 15,000
375,000
Leucadia National Corporation.......................... 7,500
333,750
Republic New York Corporation.......................... 10,000
452,500
US Trust Corporation................................... 5,300
336,550
Wells Fargo & Company.................................. 5,000
725,000
-------
- ----
7,284,612
- ---------------------------------------------------------------------------
- ----
ENERGY - 8.8%
Amerada Hess Corporation............................... 19,000
866,875
Amoco Corporation...................................... 25,000
1,478,125
Atlantic Richfield Company............................. 7,000
712,250
British Petroleum ADR (c).............................. 6,000
479,250
Burlington Resources Inc. ............................. 10,000
350,000
Mobil Corporation...................................... 23,500
1,979,875
Questar Corporation ................................... 7,000
192,500
Royal Dutch Petroleum Company.......................... 10,000
1,075,000
-------
- ----
7,133,875
- ---------------------------------------------------------------------------
- ----
TELECOMMUNICATIONS - 8.7%
AT&T Corporation....................................... 57,500
2,889,375
Bell Atlantic Corporation.............................. 12,000
597,000
Comcast Corporation, Class A........................... 24,000
376,500
</TABLE>
See accompanying Notes to Financial Statements.
63
<PAGE>
SMITH BARNEY SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE (a)
- ---------------------------------------------------------------------------
- ------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------
TELECOMMUNICATIONS (CONTINUED)
Groupo Televisa S.A. ADR (c) ........................... 10,500
$333,375
Motorola, Inc. ......................................... 22,500
1,302,188
Scandanavian Broadcasting System S.A. ADR (b, c)........ 12,000
246,000
Southwestern Bell Corporation........................... 10,000
403,750
Tele Communications Inc., Class A (b)................... 34,500
750,375
Viacom Inc., Class B (b)................................ 3,000
121,875
- -----------
7,020,438
- ---------------------------------------------------------------------------
- ------------
CAPITAL GOODS - 8.5%
Allied Signal Inc. ..................................... 10,000
340,000
AMP Inc. ............................................... 20,000
1,455,000
Boeing Company.......................................... 13,000
607,750
Caterpillar Inc. ....................................... 8,000
441,000
Eaton Corporation....................................... 6,500
321,750
Emerson Electric Company................................ 8,000
500,000
Fluor Corporation....................................... 12,500
539,062
General Electric Company................................ 24,000
1,224,000
Ingersoll-Rand Company.................................. 13,000
409,500
United Technologies Corporation......................... 16,000
1,006,000
- -----------
6,844,062
- ---------------------------------------------------------------------------
- ------------
CONSUMER NON-DURABLES - 8.1%
Coca-Cola Company....................................... 25,000
1,287,500
CPC International, Inc. ................................ 12,500
665,625
Crown Cork & Seal, Inc (b).............................. 25,000
943,750
Gillette Company........................................ 17,000
1,270,750
Herseys Foods Corporation............................... 4,000
193,500
International Flavors & Fragrances Inc. ................ 18,500
855,625
McCormick & Company..................................... 5,000
91,250
Proctor & Gamble Company................................ 20,000
1,240,000
- -----------
6,548,000
- ---------------------------------------------------------------------------
- ------------
DIVERSIFIED CONGLOMERATE - 7.1%
Eastman Kodak Company................................... 63,000
3,008,250
Minnesota Mining & Manufacturing........................ 50,500
2,695,438
- -----------
5,703,688
- ---------------------------------------------------------------------------
- ------------
HEALTH CARE - 6.9%
Abbott Laboratories..................................... 12,500
407,812
American Home Products Corporation...................... 19,100
1,198,525
Bristol-Myers-Squibb Company............................ 16,000
926,000
Forest Laboratories, Inc., Class A (b).................. 8,500
396,312
Johnson & Johnson....................................... 23,000
1,259,250
Merck & Company, Inc.................................... 15,000
571,875
SmithKline Beecham PLC, ADR (c) ........................ 8,000
274,000
Warner Lambert Company.................................. 7,000
539,000
- -----------
5,572,774
- ---------------------------------------------------------------------------
- ------------
TECHNOLOGY - 6.9%
Alco Standard Corporation............................... 8,500
533,375
First Data Corporation.................................. 10,000
473,750
</TABLE>
See accompanying Notes to Financial Statements.
64
<PAGE>
SMITH BARNEY SERIES FUND
APPRECIATION PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- -----
(Percentage represents value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE (a)
- ---------------------------------------------------------------------------
- ------------
<S> <C>
<C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ------------
TECHNOLOGY (CONTINUED)
Fiserv Inc.(b).......................................... 6,000
$129,000
Intel Corporation ...................................... 11,000
702,625
International Business Machines Corporation............. 11,000
808,500
Microsoft Corporation (b)............................... 18,000
1,100,250
Reynolds & Reynolds Inc., Class A ...................... 9,000
225,000
Xerox Corporation....................................... 16,000
1,584,000
- -----------
5,556,500
- ---------------------------------------------------------------------------
- ------------
BASIC INDUSTRIES - 5.0%
du Pont (E.I.) De Nemours & Company..................... 31,000
1,743,750
Hercules, Inc. ......................................... 6,000
692,250
International Paper Company............................. 8,000
603,000
Mead Corporation........................................ 6,500
316,063
Monsanto Company ....................................... 4,500
317,250
St. Joe Paper Company................................... 6,500
352,625
- -----------
4,024,938
- ---------------------------------------------------------------------------
- ------------
CONSUMER DURABLES - 4.7%
Chrysler Corporation.................................... 16,000
784,000
Ford Motor Company...................................... 34,000
952,000
General Motors Corporation.............................. 20,000
845,000
Goodyear Tire & Rubber Company.......................... 15,000
504,375
Newell Company.......................................... 15,000
315,000
Whirlpool Corporation................................... 8,000
402,000
- -----------
3,802,375
- ---------------------------------------------------------------------------
- ------------
TRANSPORTATION - 2.3%
Burlington Northern Inc. ............................... 14,000
673,750
Conrail Inc. ........................................... 9,000
454,500
Southern Pacific Rail Corporation (b) .................. 12,000
217,500
Union Pacific Corporation............................... 12,000
547,500
- -----------
1,893,250
- ---------------------------------------------------------------------------
- ------------
TOTAL COMMON STOCKS (COST $68,876,423)..................
71,906,700
- ---------------------------------------------------------------------------
- ------------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- ------------
<S> <C>
<C>
REPURCHASE AGREEMENT - 11.0% (COST $8,930,000)
- ---------------------------------------------------------------------------
- ------------
Agreement with Union Bank of Switzerland Securities Inc.,
5.625% dated 12/30/1994 to be repurchased at $8,935,581
on 01/03/1995 collateralized by $9,295,000 U.S. Treasury
Notes 3.875% due 10/31/1998 .......................... $8,930,000
8,930,000
- ---------------------------------------------------------------------------
- ------------
TOTAL INVESTMENTS (COST $77,806,423)(d)................. 100.0 %
80,836,700
OTHER ASSETS AND LIABILITIES (Net)...................... 0.0
(14,084)
- ---------------------------------------------------------------------------
- ------------
NET ASSETS.............................................. 100.0 %
$80,822,616
- ---------------------------------------------------------------------------
- ------------
<FN>
(a) Values are determined by policies described in Note 1 to the Financial
Statements.
(b) Non-income producing security.
(c) ADR - American Depository Receipt.
(d) At December 31, 1994, the cost of securities for Federal income tax
purposes was
$77,806,423 appreciation and depreciation based on that cost was:
Unrealized appreciation...... $5,862,339
Unrealized depreciation...... 2,832,062
---------------------------------------------
Net unrealized appreciation.. $3,030,277
---------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
65
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
- ---------------------------------------------------------------------------
- ----
COMMON STOCKS - 92.2%
- ---------------------------------------------------------------------------
- ----
TECHNOLOGY - 23.2%
Alliance Semiconductor Corporation (b).............. 500
$15,625
American Management Systems, Inc. (b)............... 1,500
28,875
Amphenol Corporation, Class A (b)................... 1,500
36,000
Analog Devices, Inc. (b) ........................... 2,500
87,812
Andrew Corporation (b) ............................. 2,500
130,625
Applied Materials Inc (b)........................... 1,500
63,375
Atmel Corporation (b)............................... 4,000
134,000
Broderbund Software, Inc. (b) ...................... 2,000
93,500
C-COR Electronics, Inc. (b)......................... 1,000
31,000
Cadence Design Systems, Inc. (b).................... 1,500
30,937
Ceridian Corporation................................ 1,500
40,313
DSC Communications Corporation (b).................. 1,500
53,812
Electroglas, Inc. (b)............................... 1,500
50,062
Emulex Corporation.................................. 1,000
13,500
Frame Technology Corporation (b).................... 2,000
32,750
General Instruments Corporation (b)................. 3,500
105,000
IMRS, Inc. (b) ..................................... 500
19,750
Integrated Device Technology Inc (b) ............... 1,000
29,500
KLA Instruments Corporation (b) .................... 2,000
98,000
Kronos, Inc. (b).................................... 1,000
26,000
Lam Research Corporation (b)........................ 1,500
55,875
Linear Technology Corporation ...................... 2,500
123,750
LSI Logic Corporation (b) .......................... 3,000
121,125
Medic Computer Systems, Inc. (b).................... 1,500
46,500
Micros Systems, Inc. (b)............................ 800
30,200
Micron Technology Inc .............................. 2,500
110,313
Microchip Technology Inc (b)........................ 5,000
137,500
Microtest, Inc. (b)................................. 1,500
35,625
NetManage, Inc. (b) ................................ 1,000
40,500
Network Equipment Technoligies (b).................. 1,000
24,000
Novellus Systems Inc (b) ........................... 2,000
100,000
Optical Data Systems of Texas, Inc. (b)............. 500
14,563
Proxima Corporation (b)............................. 500
14,438
Sierra Semiconductor Corporation (b)................ 1,500
22,875
Silicon Graphics Inc (b) ........................... 2,000
62,000
Softkey International, Inc. (b)..................... 400
10,200
StrataCom, Inc.(b).................................. 1,000
35,000
Stratus Computer, Inc. (b).......................... 500
19,000
Tektronix, Inc. .................................... 1,500
51,375
Tellabs, Inc (b).................................... 3,500
195,125
Tencor Instruments, Inc. (b)........................ 1,500
57,750
3Com Corporation (b)................................ 1,000
51,563
Ultratech Stepper, Inc. (b)......................... 1,500
57,000
Vishay Intertechnology, Inc. (b).................... 2,000
98,000
Watkins-Johnson Company ............................ 1,500
44,625
-------
- ----
2,679,338
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
66
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- ----
HEALTH CARE - 16.4%
American Medical Holdings Inc (b) .................. 2,500
$60,312
Cordis Corporation (b).............................. 2,000
121,000
Coventry Corporation (b)............................ 2,000
49,000
Genentech Inc. (b) ................................. 900
40,837
Genesis Health Ventures, Inc. (b)................... 500
15,812
Gulf South Medical Supply, Inc. (b)................. 500
18,625
HBO & Company....................................... 4,500
155,250
Health Management Association Inc., Class A (b)..... 3,750
93,750
HEALTHSOUTH Rehabilitation (b)...................... 1,500
55,500
HealthCare COMPARE Corporation (b).................. 3,000
102,375
Horizon Healthcare Corporation (b) ................. 1,500
42,000
Integrated Health Services Inc (b) ................. 1,000
39,500
Lincare Holdings Inc. (b)........................... 2,000
58,000
Living Centers America, Inc. (b).................... 1,000
33,375
Mariner Health Group Inc (b) ....................... 1,000
21,625
Marquette Electronics, Inc., Class A (b)............ 1,000
23,250
Medaphis Corporation (b)............................ 2,500
116,250
Mylan Labs, Inc. ................................... 2,500
67,500
Omnicare, Inc. ..................................... 1,500
65,813
Oxford Health Plans Inc., Class A (b)............... 1,500
118,875
Pharmacy Management Services, Inc. (b).............. 500
7,750
PhyCor, Inc. (b).................................... 3,500
93,625
Quantum Health Resources Inc. (b) .................. 1,000
28,750
REN-Corp USA (b).................................... 1,500
19,875
Rotech Medical Corporation (b)...................... 1,500
42,750
STERIS Corporation (b).............................. 500
18,750
Sun Healthcare Group, Inc. (b)...................... 2,500
63,438
TheraTx, Inc. (b)................................... 1,000
19,500
United American Healthcare Corporation (b).......... 500
12,438
United Healthcare Corporation....................... 1,500
67,688
Universal Health Services, Inc., Class B ........... 1,500
36,750
Value Health Inc. (b) .............................. 2,500
93,125
Vencor, Inc. (b).................................... 1,250
34,844
Watson Pharmaceuticals, Inc. (b).................... 2,000
52,500
--------
- ----
1,890,432
- ---------------------------------------------------------------------------
- ----
CONSUMER SERVICES - 8.7%
Apple South Inc..................................... 3,000
39,375
Avid Technology Inc (b) ............................ 2,500
80,312
Belo (A.H.), Corporation, Class A................... 1,000
56,500
Clear Channel Communications Inc. (b)............... 1,425
72,319
Equifax Inc. ...................................... 2,500
65,937
Franklin Quest Company (b) ......................... 1,000
29,875
Gartner Group, Inc., Class A (b).................... 2,000
78,000
</TABLE>
See accompanying Notes to Financial Statements.
67
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- ----
CONSUMER SERVICES - (CONTINUED)
Heritage Media Corporation, Class A (b)............. 2,500
$67,187
Hospitality Franchise Systems Inc.(b)............... 2,000
53,000
La Quinta Inns, Inc. ............................... 3,000
64,125
Landry's Seafood Restaurants, Inc. (b).............. 1,000
28,375
Lee Enterprises, Inc. .............................. 500
17,250
Manpower, Inc. ..................................... 2,000
56,250
Meridith Corporation................................ 1,600
74,600
Outback Steakhouse Inc (b).......................... 2,000
47,000
Reynolds & Reynolds, Class A........................ 1,000
25,000
Robert Half International Inc. (b).................. 3,000
72,000
Scientific Games Holdings Corporation (b)........... 1,500
75,000
-------
- ----
1,002,105
- ---------------------------------------------------------------------------
- ----
CONSUMER DISTRIBUTION - 7.3%
Ann Taylor Stores Corporation (b) .................. 1,500
51,562
Carson, Pirie, Scott & Company of Illinios (b)...... 1,500
28,500
Caseys General Stores, Inc. ........................ 500
7,500
Dollar General Corporation.......................... 3,750
112,500
Gymboree Corporation (b) ........................... 2,000
57,500
Lowes Companies, Inc. ............................. 3,500
121,625
Nordstrom, Inc. ................................... 2,000
84,000
Premark International, Inc. ........................ 1,000
44,750
Safeway, Inc. (New) (b) ............................ 2,000
63,750
Talbots, Inc. ...................................... 1,000
31,250
Tiffany & Company (New)............................. 1,000
39,000
Viking Office Products Inc (b) ..................... 3,000
91,875
Williams-Sonoma Inc (b) ............................ 3,750
112,734
-------
- ----
846,546
- ---------------------------------------------------------------------------
- ----
CAPITAL GOODS/PRODUCTION - 7.0%
AGCO Corporation.................................... 2,250
68,344
AMETEK, Inc. ..................................... 4,000
67,500
Clark Equipment Company ............................ 2,000
108,500
Danaher Corporation................................. 1,500
78,375
Echlin, Inc. ....................................... 1,000
30,000
Furon Company....................................... 1,000
22,000
Image Industries, Inc. (b) ......................... 1,000
11,375
Newpark Resources, Inc.(b).......................... 1,500
36,000
Parker-Hannifin Corporation ........................ 2,000
91,000
Sanifill Inc (b).................................... 3,000
75,000
TRW, Inc. .......................................... 1,000
66,000
Wabash National Corporation ........................ 2,250
87,750
Wellman, Inc. ...................................... 1,500
42,375
X-Rite, Inc. (b).................................... 1,000
19,750
-------
- ----
803,969
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
68
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
<S> <C> <C>
- ---------------------------------------------------------------------------
- ----
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- ----
FINANCIAL SERVICES - 6.3%
ADVANTA Corporation, Class A........................ 1,000
$26,250
BayBanks Inc........................................ 2,000
105,500
Crestar Financial Corporation....................... 2,000
75,250
Cullen Frost Bankers Inc ........................... 1,000
30,875
Equitable of Iowa Inc .............................. 1,000
28,250
First American Corporation (Tennessee) ............. 1,000
26,875
GFC Financial Corporation........................... 1,500
47,625
Green Tree Financial Corporation.................... 2,000
60,750
Hibernia Corporation, Class A ...................... 4,000
31,000
Mercantile Bancorporation Inc ...................... 2,000
62,500
Michigan National Corporation ...................... 1,366
102,109
Midatlantic Corporation ............................ 2,000
53,000
Star Banc Corporation .............................. 1,000
36,375
West One Bancorp ................................... 1,500
39,750
-------
- ----
726,109
- ---------------------------------------------------------------------------
- ----
ENERGY - 5.9%
Apache Corporation ................................. 3,500
87,500
Barrett Resources Corporation (b)................... 1,500
30,750
Chesapeake Energy Corporation (b)................... 2,500
39,375
Enron Oil & Gas Company ............................ 4,000
75,000
Input/Output Inc (b)................................ 4,000
94,500
Kerr-McGee Corporation.............................. 1,000
46,000
Noble Affiliates Inc ............................... 2,500
61,875
Offshore Pipelines, Inc. (b) ....................... 1,000
22,625
Petroleum GEO Services (b).......................... 1,000
18,625
Pogo Producing Company ............................ 2,500
44,375
Smith International Inc ............................ 3,000
37,500
Union Texas Petroleum Holdings, Inc. ............... 1,500
31,125
Weatherford International, Inc. (b)................. 2,000
19,500
Western Company of North America (b)................ 4,500
75,938
-------
- ----
684,688
- ---------------------------------------------------------------------------
- ----
BASIC INDUSTRIES/RAW MATERIALS - 4.9%
A.K. Steel Holdings Corporation (b)................. 2,000
61,500
Chesapeake Corporation.............................. 1,000
33,000
Georgia Gulf Corporation ........................... 3,000
116,625
Kennametal Inc ..................................... 1,000
24,500
Millipore Corporation .............................. 2,000
96,750
Olin Corporation.................................... 1,000
51,500
Potash Saskatchewan Corporation, Inc. .............. 2,000
68,000
Praxair, Inc. ...................................... 2,000
41,000
Terra Industries, Inc. ............................. 3,500
36,312
Timken Company...................................... 1,000
35,250
-------
- ----
564,437
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
69
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
<S> <C> <C>
- ---------------------------------------------------------------------------
- ----
COMMON STOCKS - (CONTINUED)
- ---------------------------------------------------------------------------
- ----
CONSUMER NON-DURABLES - 4.6%
Canadaigua Wine, Inc., Class A (b) ................. 1,500
$57,000
Fieldcrest Cannon Inc. (b) ......................... 1,000
25,500
Fossil, Inc. (b).................................... 2,000
26,250
IBP Inc ............................................ 2,000
60,500
Lancaster Colony Corporation........................ 2,333
68,532
Nautica Enterprises Inc. (b) ....................... 2,500
75,625
Smithfield Foods, Inc. (b).......................... 2,000
64,000
St. John Knits Inc. ................................ 1,500
42,937
Tommy Hilfinger Corporation (b)..................... 1,500
67,688
Wolverine World Wide Inc. (b) ...................... 1,500
38,625
-------
- ----
526,657
- ---------------------------------------------------------------------------
- ----
CONSUMER DURABLES - 3.3%
Callaway Golf Company............................... 4,000
132,500
Cobra Golf, Inc. (b)................................ 1,500
53,625
Exide Corporation................................... 1,000
56,250
Harman International Industries Inc. .............. 1,500
55,500
Oakwood Homes Corporation .......................... 1,500
36,562
Sunbeam-Oyster, Inc. ............................... 1,500
38,625
Ultralife Batteries, Inc. (b)....................... 500
8,000
-------
- ----
381,062
- ---------------------------------------------------------------------------
- ----
UTILITIES - 2.5%
ALC Communications Corporation (b).................. 3,000
93,375
Cellular Communications, Inc., Class A (b) ......... 500
26,750
Century Tel Enterprises, Inc. ...................... 2,000
59,000
LCI International, Inc. (b)......................... 3,000
80,250
Nationwide Cellular Services, Inc. (b).............. 500
9,563
Telephone & Data Systems, Inc. ..................... 500
23,063
-------
- ----
292,001
- ---------------------------------------------------------------------------
- ----
TRANSPORTATION - 2.1%
American Freightways Corporation (b)................ 1,500
29,812
Landstar Systems Inc (b) ........................... 1,000
32,750
Pittston Services Group ............................ 2,500
66,250
Swift Transportation, Inc. (b)...................... 2,000
41,000
TNT Freightways Corporation......................... 2,000
51,250
Wisconsin Central Transportation Corporation (b).... 500
20,625
-------
- ----
241,687
- ---------------------------------------------------------------------------
- ----
TOTAL COMMON STOCKS (COST $9,856,238)...............
10,639,031
- ---------------------------------------------------------------------------
- ----
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 1.8%
- ---------------------------------------------------------------------------
- ----
U.S. TREASURY BILLS
5.010% (c) due 02/09/1995 .................... $100,000
99,502
5.360% (c) due 03/09/1995 .................... 115,000
113,821
- ---------------------------------------------------------------------------
- ----
TOTAL U.S. TREASURY OBLIGATIONS (COST $213,323).....
213,323
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
70
<PAGE>
SMITH BARNEY SERIES FUND
EMERGING GROWTH PORTFOLIO INVESTMENTS IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE(a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
DISCOUNT NOTES - 9.8%
- ---------------------------------------------------------------------------
- ----
Federal Farm Credit Bank,
5.630% (c) due 01/04/1995 ................. $100,000
$99,953
Federal Home Loan Mortgage Corporation,
5.740 % (c) due 01/23/1995 ................ 130,000
129,544
Federal National Mortgage Association,
5.960% (c) due 01/23/1995 ................. 110,000
109,599
Federal National Mortgage Association,
5.730% (c) due 02/27/1995 ................. 795,000
787,787
- ---------------------------------------------------------------------------
- ----
TOTAL DISCOUNT NOTES (COST $1,126,883).............
1,126,883
- ---------------------------------------------------------------------------
- ----
TOTAL INVESTMENTS (COST $11,196,444) (d)............ 103.8 %
11,979,237
OTHER ASSETS AND LIABILITIES (NET).................. (3.8)
(440,179)
- ---------------------------------------------------------------------------
- ----
NET ASSETS.......................................... 100.0 %
$11,539,058
- ---------------------------------------------------------------------------
- ----
<FN>
(a) Values are determined by procedures described in Note 1 to the
Financial
Statements.
(b) Non - income producing security.
(c) Rate represents annualized yield to maturity (unaudited).
(d) At December 31, 1994, the cost of securities for Federal income tax
purposes was $11,196,444 and the aggregate unrealized appreciation and
depreciation based on that cost was:
Unrealized appreciation ..... $1,154,777
Unrealized depreciation ..... 371,984
---------------------------------------------
Net unrealized appreciation.. $782,793
---------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
71
<PAGE>
SMITH BARNEY SERIES FUND
TOTAL RETURN PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
ISSUER
SHARES VALUE (a)
<S>
<C> <C>
- ---------------------------------------------------------------------------
- --------------------------------------------------
COMMON STOCKS - 57.2%
- ---------------------------------------------------------------------------
- --------------------------------------------------
REAL ESTATE - 18.3%
BRE Properties, Class
A......................................................................
20,000 $617,500
Crown American Realty
.......................................................................
60,000 810,000
DeBartolo Reality
Corporation................................................................
45,000 675,000
General Growth Properties Inc.
..............................................................
20,000 452,500
Spieker Properties Inc.
.....................................................................
22,000 448,250
TriNet Corporate Realty Trust
...............................................................
25,000 731,250
Western Investment Real Estate Trust
........................................................ 40,000
515,000
- --------------
4,249,500
- ---------------------------------------------------------------------------
- --------------------------------------------------
FINANCIAL SERVICES - 12.8%
Ahmanson (H F) & Company
....................................................................
30,000 483,750
BankAmerica Corporation
.....................................................................
12,000 474,000
Downey Savings & Loan Association
........................................................... 20,000
378,125
Great Western Financial Corporation
......................................................... 40,000
640,000
Irvine Apartment Communities
................................................................
30,000 491,250
Storage Equities, Inc.
......................................................................
35,000 503,125
- --------------
2,970,250
- ---------------------------------------------------------------------------
- --------------------------------------------------
ENERGY - 11.0%
Amoco
Corporation................................................................
............ 8,000 473,000
Dresser Industries Inc.
.....................................................................
30,000 566,250
FINA Inc., Class A
..........................................................................
8,000 547,000
Pennzoil
Company....................................................................
......... 12,000 529,500
Phillips Petroleum Company
..................................................................
13,000 425,750
- --------------
2,541,500
- ---------------------------------------------------------------------------
- --------------------------------------------------
HEALTH CARE- 5.4%
ALZA
Corporation................................................................
............. 10,000 180,000
Bristol-Myers-Squibb Company
................................................................
7,000 405,125
Lilly (Eli) & Company
.......................................................................
10,000 656,250
- --------------
1,241,375
- ---------------------------------------------------------------------------
- --------------------------------------------------
TECHNOLOGY- 3.0%
IMP Inc.
(b)........................................................................
......... 200,000 343,760
Texas Instruments Inc.
......................................................................
5,000 374,375
- --------------
718,135
- ---------------------------------------------------------------------------
- --------------------------------------------------
BASIC INDUSTRIES - 2.4%
duPont (E.I.) DeNemours & Company
........................................................... 10,000
562,500
- ---------------------------------------------------------------------------
- --------------------------------------------------
CONSUMER DURABLES - 2.4%
General Motors Corporation
..................................................................
13,000 549,250
- ---------------------------------------------------------------------------
- --------------------------------------------------
TELECOMMUNICATIONS - 1.9%
Tele Communications Inc. (b)
................................................................
20,000 435,000
- ---------------------------------------------------------------------------
- --------------------------------------------------
TOTAL COMMON STOCKS (COST $13,875,811)
......................................................
13,267,510
- ---------------------------------------------------------------------------
- --------------------------------------------------
PREFERRED CONVERTIBLE STOCKS - 14.2%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Amax Gold Inc., Preferred Convertible, Series B,
7.500%...................................... 10,000 482,500
Catellus Development Corporation, Preferred Convertible, Series A
........................... 13,000 602,875
Delta Air Lines Inc., Depositary Shares representing 1/1000 Preferred
Convertible, Series C.. 20,000 875,000
Republic New York Corporation, Cumulative Preferred Convertible,
$3.375...................... 12,000 606,000
Rouse Company, Preferred Convertible, Series A, 6.500%
..................................... 15,000 727,500
- ---------------------------------------------------------------------------
- --------------------------------------------------
TOTAL PREFERRED CONVERTIBLE STOCKS (COST $3,476,351)
........................................ 3,293,875
- ---------------------------------------------------------------------------
- --------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
72
<PAGE>
SMITH BARNEY SERIES FUND
TOTAL RETURN PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)
- ---------------------------------------------------------------------------
- ----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PRINCIPAL
ISSUER
AMOUNT VALUE(a)
<S>
<C> <C>
- ---------------------------------------------------------------------------
- --------------------------------------------------
COMMERCIAL PAPER - 5.0% (COST $1,165,000)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Prudential Funding Corporation, 5.800% due
01/03/1995........................................ $1,165,000
$1,165,000
- ---------------------------------------------------------------------------
- --------------------------------------------------
REPURCHASE AGREEMENTS - 24.3%
- ---------------------------------------------------------------------------
- --------------------------------------------------
Agreement with Salomon Brothers, 5.750% dated 12/30/1994
to be repurchased at $3,498,234 on 01/03/1995, collateralized by
$3,725,000 U.S. Treasury Notes, 7.250% due
11/15/2016.................................... 3,496,000
3,496,000
Agreement with Union Bank of Switzerland Securities, 5.625% dated
12/30/1994
to be repurchased at $2,147,341 on 01/03/1995, collateralized by
$2,180,000 U.S. Treasury Notes, 6.125% due 07/31/1996
................................... 2,146,000 2,146,000
- ---------------------------------------------------------------------------
- --------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost $5,642,000)
...............................................
5,642,000
- ---------------------------------------------------------------------------
- --------------------------------------------------
TOTAL INVESTMENTS (Cost $24,159,162) (c)
.................................................... 100.7 %
23,368,385
- ---------------------------------------------------------------------------
- --------------------------------------------------
<CAPTION>
CONTRACTS
- ---------------------------------------------------------------------------
- --------------------------------------------------
<S> <C>
<C> <C>
CALL OPTIONS WRITTEN - (0.1%) (PREMIUM $44,274)
- ---------------------------------------------------------------------------
- --------------------------------------------------
Texas Instruments Inc., January 1995, $100.00 ......... 50
(0.1) (14,375)
- ---------------------------------------------------------------------------
- --------------------------------------------------
OTHER ASSETS AND LIABILITIES (Net)
.......................................................... (0.6)
(158,119)
- ---------------------------------------------------------------------------
- --------------------------------------------------
NET ASSETS
...........................................................................
....... 100.0 % $23,195,891
- ---------------------------------------------------------------------------
- --------------------------------------------------
<FN>
(a) Values are determined by procedures described in Note 1 to the
Financial
Statements.
(b) Non-income producing security.
(c) At December 31, 1994, the cost of securities for Federal income tax
purposes was $24,159,162 and the aggregate unrealized appreciation and
depreciation based on that cost was:
Unrealized appreciation ....... $292,075
Unrealized depreciation ....... 1,082,852
-----------------------------------------------
- --
Net unrealized depreciation.... ($790,777)
-----------------------------------------------
- --
</TABLE>
See accompanying Notes to Financial Statements.
73
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31, 1994
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE (a)
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
INTERNATIONAL COMMON STOCKS - 95.9%
- ---------------------------------------------------------------------------
- ---------
JAPAN - 10.5%
Doutor Coffee Company.................................. 6,600
$258,304
Hitachi Limited........................................ 19,000
188,570
Japan Telecom.......................................... 5
170,095
Mr. Max, Inc. ......................................... 7,600
196,006
Matsushita Electric Industries Company................. 16,000
263,322
Meiwa Trading Company (b).............................. 34,000
149,784
Mitsubishi Heavy Industries............................ 42,000
320,321
Nippon Denso........................................... 16,000
337,180
Rohm Company........................................... 6,000
254,089
Shohkoh Fund & Company................................. 3,000
620,171
Sony Music Entertainment............................... 3,900
219,167
--
- ---------
2,977,009
- ---------------------------------------------------------------------------
- ---------
SWEDEN - 8.1%
Allgon AB, Series B.................................... 30,000
565,348
Astra AB 'A', Free..................................... 4,000
103,378
Astra AB, Series B, Free............................... 2,000
51,016
Autoliv AB (b)......................................... 15,000
577,463
Ericsson (L.M.) Tele, Series B......................... 7,000
387,264
Hennes and Mauritz, Series B .......................... 7,500
384,639
Volvo AB, Series B, Free............................... 12,500
235,562
--
- ---------
2,304,670
- ---------------------------------------------------------------------------
- ---------
SINGAPORE - 7.5%
Cerebos Pacific........................................ 70,000
384,220
D.B.S. Land............................................ 70,000
208,439
Fraser & Neave......................................... 15,000
155,403
Hong Leong Finance..................................... 85,000
291,595
Jardine Matheson Holdings (b).......................... 25,234
180,185
Jurong Engineering..................................... 18,750
128,645
Jurong Shipyard........................................ 15,000
115,266
Overseas Union Bank (b)................................ 26,000
151,630
Sembawang Maritime..................................... 35,000
169,297
Tuan Sing Holdings..................................... 300,000
107,032
Van Der Horst (b)...................................... 75,000
230,532
--
- ---------
2,122,244
- ---------------------------------------------------------------------------
- ---------
ITALY - 7.1%
Alleanza Assicuraz di Risp............................. 30,000
253,654
Cofide (b)............................................. 250,000
163,429
Industrie Natuzzi Spa (b) ............................. 15,000
510,000
Lloyd Adriatico........................................ 30,000
360,407
Olivetti C Spa (b)..................................... 250,000
318,378
Parmalat Finanziara.................................... 150,000
157,262
Telecom Italia......................................... 100,000
260,253
--
- ---------
2,023,383
- ---------------------------------------------------------------------------
- ---------
MALAYSIA - 6.5%
Hong Leong Credit Berhad............................... 22,500
109,262
Leader Universal Holdings.............................. 83,333
267,605
Malaysian Helicopter................................... 12,000
22,557
Renong Berhad.......................................... 125,000
154,690
</TABLE>
See accompanying Notes to Financial Statements.
74
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE (a)
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
INTERNATIONAL COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ---------
MALAYSIA (continued)
Resorts World Berhad................................... 50,000
$293,715
Sungei Way Holdings (b)................................ 112,000
447,386
Technology Resource Industries (b)..................... 110,000
351,087
Telekom Malaysia ...................................... 30,000
203,250
--
- ---------
1,849,552
- ---------------------------------------------------------------------------
- ---------
GERMANY - 6.1%
Bayer.................................................. 1,200
281,168
Bayer Motoren Werke.................................... 546
271,370
Friedrich Grohe........................................ 1,000
296,918
Linde.................................................. 400
233,661
Mannesmann............................................. 1,200
326,868
Spar Handels........................................... 1,500
314,668
--
- ---------
1,724,653
- ---------------------------------------------------------------------------
- ---------
MEXICO - 4.2%
Coca Cola Femsa (b).................................... 5,000
123,125
Gruma (b).............................................. 50,000
205,025
Grupo Carso (b)........................................ 20,000
146,734
Grupo Industrial Bimbo................................. 31,432
169,006
Grupo Iusacell......................................... 8,850
161,288
Grupo Televisa......................................... 2,000
55,514
Grupo Tribasa (b)...................................... 3,099
51,521
Kimberly Clark de Mexico............................... 15,000
175,779
Telefonos de Mexico.................................... 2,500
102,500
--
- ---------
1,190,492
- ---------------------------------------------------------------------------
- ---------
AUSTRIA - 4.0%
Bau Holdings........................................... 3,000
217,511
Baumax Holdings........................................ 5,500
217,052
Burgenland Holdings.................................... 5,000
181,259
Interunfall Ver........................................ 1,200
193,833
Macula Holdings........................................ 1,000
82,599
Vae Eisenhahnsystem.................................... 2,200
250,367
--
- ---------
1,142,621
- ---------------------------------------------------------------------------
- ---------
AUSTRALIA - 3.9%
Burns Philp and Company................................ 52,697
124,603
Coca Cola Amatil....................................... 51,479
327,255
Mayne Nickless Limited................................. 65,000
332,582
M.I.M. Holdings........................................ 201,984
336,664
--
- ---------
1,121,104
- ---------------------------------------------------------------------------
- ---------
IRELAND - 3.9%
Bank of Ireland........................................ 60,000
268,943
CRH.................................................... 30,000
165,539
Greencore.............................................. 30,276
189,524
Independent Newspapers................................. 75,000
318,790
Irish Continental Group................................ 25,064
160,772
--
- ---------
1,103,568
- ---------------------------------------------------------------------------
- ---------
HONG KONG - 3.8%
Guang Zhou Investments Company......................... 400,000
81,163
Guoco Group............................................ 30,000
128,336
</TABLE>
See accompanying Notes to Financial Statements.
75
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE (a)
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
INTERNATIONAL COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ---------
HONG KONG (CONTINUED)
Hong Kong & China Gas (b).............................. 100,000
$161,551
Pricerite Group........................................ 1,000,000
147,981
Shaw Brothers.......................................... 50,000
76,898
Shun Tak Holdings...................................... 200,000
142,165
Sun Hung Kai Properties................................ 25,000
149,273
Wharf Holdings......................................... 60,000
202,391
--
- ---------
1,089,758
- ---------------------------------------------------------------------------
- ---------
CHILE - 3.3%
Cristalerias de Chile.................................. 15,000
236,250
Embotelladora Andina................................... 15,000
391,875
Laboratorio Chile...................................... 13,500
295,313
--
- ---------
923,438
- ---------------------------------------------------------------------------
- ---------
GREAT BRITIAN - 3.1%
British Airport Authority.............................. 20,000
148,651
Flextech (b)........................................... 15,000
92,711
GKN ................................................... 35,443
327,211
Reuters Holdings....................................... 3,000
131,625
Vodafone Group......................................... 5,000
168,125
--
- ---------
868,323
- ---------------------------------------------------------------------------
- ---------
NORWAY - 2.9%
Gresvig (b)............................................ 25,000
295,814
Petroleum Geo Services (b)............................. 8,000
145,541
Sensonor (b)........................................... 35,000
217,423
Unitor................................................. 10,000
168,614
--
- ---------
827,392
- ---------------------------------------------------------------------------
- ---------
CANADA - 2.7%
Grad & Walker Energy Company........................... 25,000
109,161
Loewen Group........................................... 15,000
392,978
Videotron.............................................. 29,000
273,926
--
- ---------
776,065
- ---------------------------------------------------------------------------
- ---------
FRANCE - 2.7%
Castorama Dubois Invest................................ 2,014
251,514
Filipacchi Medias...................................... 1,200
224,452
Guilbert............................................... 3,394
289,770
--
- ---------
765,736
- ---------------------------------------------------------------------------
- ---------
NETHERLANDS - 2.7%
Heineken............................................... 2,500
377,038
IHC Caland............................................. 10,000
252,895
NBM Amstelland (b)..................................... 12,300
129,668
--
- ---------
759,601
- ---------------------------------------------------------------------------
- ---------
PHILIPPINES - 2.4%
International Container (b)............................ 150,000
119,242
Liberty Telecoms Holdings (b).......................... 3,000,000
207,909
Universal Robina Corporation (b)....................... 500,000
356,706
--
- ---------
683,857
- ---------------------------------------------------------------------------
- ---------
</TABLE>
See accompanying Notes to Financial Statements.
76
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
ISSUER SHARES
VALUE(a)
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
INTERNATIONAL COMMON STOCKS (CONTINUED)
- ---------------------------------------------------------------------------
- ---------
ARGENTINA - 2.3%
Quilmes Industries..................................... 25,000
$575,000
Sociedad Commercial Del Plata.......................... 30,000
76,496
--
- ---------
651,496
- ---------------------------------------------------------------------------
- ---------
ISRAEL - 1.7%
Gilat Satellite Networks............................... 40,000
480,000
- ---------------------------------------------------------------------------
- ---------
DENMARK - 1.6%
Tele Danmark (b)....................................... 15,000
445,754
- ---------------------------------------------------------------------------
- ---------
THAILAND - 1.5%
Bangkok Bank Public Company............................ 30,000
320,255
Land & House........................................... 6,000
107,070
--
- ---------
427,325
- ---------------------------------------------------------------------------
- ---------
PANAMA - 1.1%
Panamerican Beverage, Inc. (b)......................... 10,000
316,250
- ---------------------------------------------------------------------------
- ---------
GREECE - 1.0%
Sarantopoulos (b)...................................... 18,000
296,127
- ---------------------------------------------------------------------------
- ---------
INDONESIA - 0.4%
Japfa Comfeed.......................................... 100,000
117,152
- ---------------------------------------------------------------------------
- ---------
SWITZERLAND - 0.3%
Vetropack Holdings..................................... 25
95,493
- ---------------------------------------------------------------------------
- ---------
TAIWAN - 0.3%
Formosa Growth Fund (b)................................ 5,000
81,250
- ---------------------------------------------------------------------------
- ---------
FINLAND - 0.3%
Nokia Corporation...................................... 500
73,886
Tampella (b)........................................... 1,990
5,881
--
- ---------
79,767
- ---------------------------------------------------------------------------
- ---------
TOTAL INTERNATIONAL COMMON STOCKS (Cost $28,995,572) .................
27,244,080
- ---------------------------------------------------------------------------
- ---------
INTERNATIONAL PREFERRED STOCK - 1.6% (Cost $183,899)
- ---------------------------------------------------------------------------
- ---------
AUSTRIA - 1.6%
Nokia AB, Preferred.................................... 3,000
442,052
- ---------------------------------------------------------------------------
- ---------
RIGHTS - 0.1% (Cost $2,768)
- ---------------------------------------------------------------------------
- ---------
Sungei Way Holdings, Expire 06/29/1999 (b)............. 12,500
21,931
- ---------------------------------------------------------------------------
- ---------
WARRANTS - 0.0%
- ---------------------------------------------------------------------------
- ---------
Hong Kong & China Gas, Expire 12/31/1995 (b)........... 5,000
950
Singapore Finance, Expire 06/22/1999 (b)............... 8,500
6,590
- ---------------------------------------------------------------------------
- ---------
TOTAL WARRANTS (Cost $3,792)...........................
7,540
- ---------------------------------------------------------------------------
- ---------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
COMMERCIAL PAPER - 1.3% (Cost $382,000)
- ---------------------------------------------------------------------------
- ---------
Prudential Funding Corporation, 5.800% (c) due 01/03/19 $382,000
382,000
- ---------------------------------------------------------------------------
- ---------
CONVERTIBLE BOND - 1.1% (Cost $243,476)
- ---------------------------------------------------------------------------
- ---------
DENMARK - 1.1%
Danske Traelastkompagni, 5.250% due 01/01/2002......... 1,400,000
303,822
- ---------------------------------------------------------------------------
- ---------
</TABLE>
See accompanying Notes to Financial Statements.
77
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES,
DECEMBER 31, 1994 (CONTINUED
- ---------------------------------------------------------------------------
- -----
(Percentages represent value of investments compared to total net assets.)
- ---------------------------------------------------------------------------
- -----
<TABLE>
<CAPTION>
VALUE(a)
- ---------------------------------------------------------------------------
- ---------
<S> <C>
<C>
TOTAL INVESTMENTS (Cost $29,811,507) (d) .............. 100.0 %
$28,401,425
OTHER ASSETS AND LIABILITIES (Net) .................... 0.0
11,381
- ---------------------------------------------------------------------------
- ---------
NET ASSETS............................................. 100.0 %
$28,412,806
- ---------------------------------------------------------------------------
- ---------
<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).
(d) At December 31, 1994, the cost of securities for Federal income tax
purposes was
$29,811,507 the aggregate unrealized appreciation and depreciation
based
on that cost was:
Unrealized appreciation...... $2,163,388
Unrealized depreciation...... 3,573,470
--------------------------------------------
Net unrealized depreciation..$(1,410,082)
--------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
78
<PAGE>
SMITH BARNEY SERIES FUND
INTERNATIONAL EQUITY PORTFOLIO INVESTMENT IN SECURITIES, DECEMBER 31, 1994
(CONTINUED)(UNAUDITED)
- ---------------------------------------------------------------------------
- ----
<TABLE>
<CAPTION>
PERCENTAGE OF
SECTOR DIVERSIFICATION NET ASSETS VALUE (a)
- ---------------------------------------------------------------------------
- ----
<S> <C> <C>
Financial Services 13.3 % $
3,779,381
Food & Beverages 7.8
2,215,611
Capital Goods 7.6
2,159,557
Basic Industries 6.0
1,714,835
Consumer Non-Durables 5.8
1,649,849
Technology 5.7
1,620,534
Consumer Durables 5.7
1,610,145
Transportation 5.5
1,549,825
Consumer Services 5.3
1,521,575
Retail 5.3
1,519,503
Utilities 5.3
1,510,064
Telecommunications 4.3
1,217,246
Construction 3.1
871,238
Healthcare 3.0
842,684
Conglomerate 2.7
767,579
Cable & Entertainment 2.7
760,699
Energy 0.4
109,161
Other 6.4
1,824,594
- ---------------------------------------------------------------------------
- ----
TOTAL COMMON STOCKS 95.9
27,244,080
- ---------------------------------------------------------------------------
- ----
Preferred Stock 1.6
442,052
Rights & Warrants 0.1
29,471
Commercial Paper 1.3
382,000
Convertible Bond 1.1
303,822
- ---------------------------------------------------------------------------
- ----
TOTAL INVESTMENTS 100.0
28,401,425
Other Assets and Liabilities(Net) 0.0
11,381
- ---------------------------------------------------------------------------
- ----
NET ASSETS 100.0 % $
28,412,806
- ---------------------------------------------------------------------------
- ----
</TABLE>
See accompanying Notes to Financial Statements.
79
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
___________________________________________________________________________
_____
To the Policyholders and Trustees of
Smith Barney Series Fund:
We have audited the accompanying statements of assets and liabilities of
Smith
Barney Series Fund (formerly "Smith Barney Shearson Series Fund") (the
"Fund")
(consisting of 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 schedule of forward foreign
exchange
contracts (Diversified Strategic Income Portfolio), as of December 31, 1994
and
the related statements of operations, the statements of changes in net
assets
and financial highlights for each of the respective periods presented.
These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights 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 financial
highlights 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, 1994 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 financial highlights referred
to
above present fairly, in all material respects, the financial position of
the
aforementioned portfolios of Smith Barney Series Fund as of December 31,
1994,
and the results of their operations, the changes in their net assets and
the
financial highlights for each of the respective periods presented, in
conformity
with generally accepted accounting principles.
COOPERS & LYBRAND
L.L.P.
Boston, Massachusetts
February 10, 1995
80
<PAGE>
TAX INFOMATION (UNAUDITED) YEAR ENDED DECEMBER 31, 1994
The capital gains dividend distribution paid to shareholders for the fiscal
year
ended December 31, 1994, whether taken in shares or in cash, is as follows:
<TABLE>
<S> <C>
Portfolio: . . . . . . . . . . . . . . . . . . . .
Equity Index Portfolio . . . . . . . . . . . . . . $67,230
Intermediate High Grade Portfolio. . . . . . . . . $16,151
Equity Income Portfolio. . . . . . . . . . . . . . $29,483
</TABLE>
Of the distributions from ordinary income made during the fiscal year ended
December 31, 1994, the amount of each distributions which will qualify for
the
dividend received deduction available to corporate shareholders is as
follows:
<TABLE>
<S> <C>
Portfolio:
Total Return Portfolio . . . . . . . . . . . . . . 35.11%
Growth & Income Portfolio. . . . . . . . . . . . . 69.00%
</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.
81
Smith Barney Series Fund
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies
Smith Barney Series Fund (formerly "Smith Barney Shearson Series Fund")
(the "Fund") was organized under the laws of the Commonwealth of
Massachusetts on May 13, 1991 and commenced operations on October 16, 1991.
The Fund is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company
established as a Massachusetts business trust. As of the date of this
report, the Fund offers ten managed investment portfolios (the
"Portfolios"): Money Market Portfolio, Intermediate High Grade Portfolio,
Diversified Strategic Income Portfolio, Equity Income Portfolio, Equity
Index Portfolio, Growth & Income Portfolio, Appreciation Portfolio,
Emerging Growth Portfolio, Total Return Portfolio and International Equity
Portfolio. Shares of the Fund can be bought through investing in a
Symphony Annuity (the "Annuity"), an individual flexible premium deferred
combination fixed and variable annuity contract from IDS Life Insurance
Company ("IDS Life") or a certificate evidencing your interest in a master
group flexible premium deferred annuity from IDS Life Insurance Company of
New York ("IDS Life of New York"). Net purchase payments for the Annuity
are allocated to one or more of the ten subaccounts of the IDS Life Account
or the IDS Life of New York Account (the "Variable Accounts"). The
following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements.
Portfolio valuation:
Generally, a Portfolio's investments are valued at market value or, in the
absence of a market value with respect to any portfolio securities, at fair
value as determined by or under the direction of the Fund's Board of
Trustees. A security that is primarily traded on a U.S. or foreign
exchange (including securities traded through the National Market System)
is valued at the last sale price on that exchange or, if there were no
sales during the day, at current quoted bid price. Portfolio securities
that are primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
except that when a significant occurrence subsequent to the time a value
was so established is likely to have significantly changed the value, then
the fair value of those securities will be determined by consideration of
other factors by or under the direction of the Board of Trustees or its
delegates. Over-the-counter securities that are not traded through the
National Market System and securities listed or traded on certain foreign
exchanges whose operations are similar to the U.S. over-the-counter market
are valued on the basis of the bid price at the close of business on each
day. Investments in U.S. Government securities (other than short-term
securities) are valued at the average of the quoted bid and asked prices in
the over-the-counter market. The value of a futures contract equals the
unrealized gain or loss on the contract, which is determined by marking the
contract to the current settlement price for a like contract acquired on
the day on which the futures contract is being valued.
Short-term investments that mature in 60 days or less and securities of the
Money Market Portfolio are valued at amortized cost when the Board of
Trustees determines that this constitutes fair value. Amortized cost
valuation involves valuing a portfolio instrument at its cost initially
and, thereafter, assuming a constant amortization to maturity of any
discount or premium, regardless of the impact of fluctuating interest rates
on the market value of the instrument. The Money Market Portfolio attempts
to maintain a constant net asset value of $1.00 per share.
Futures contracts (Intermediate High Grade, Diversified Strategic Income,
Equity Income, Equity Index, Growth & Income, Emerging Growth, Total Return
and International Equity Portfolios):
Upon entering into a futures contract, the Portfolio is required to deposit
with the broker an amount of cash or cash equivalents equal to a certain
percentage of the contract amount. This is known as the "initial margin."
Subsequent payments ("variation margin") are made or received by the
Portfolio each day, depending on the daily fluctuation of the value of the
contract.
For financial statement purposes, an amount equal to the settlement amount
of the contract is included in the Portfolio's Statement of Assets and
Liabilities as an asset and as an equivalent liability. For long futures
positions, the asset is marked-to-market daily; for short futures
positions, the liability is marked-to-market daily. The daily changes in
the contract are recorded as unrealized gains or losses. The Portfolio
recognizes a realized gain or loss when the contract is closed.
There are several risks in connection with the use of futures contracts as
a hedging device. The change in value of futures contracts primarily
corresponds with the value of their underlying instruments, which may not
correlate with the change in value of the hedged investments. In addition,
there is the risk the Portfolio may not be able to enter into a closing
transaction because of an illiquid secondary market.
Foreign currency (Diversified Strategic Income, Growth & Income, Emerging
Growth and International Equity Portfolios):
The books and records of the Portfolio are maintained in United States
(U.S.) dollars. Foreign currencies, investments and other assets and
liabilities are translated into U.S. dollars at the exchange rates
prevailing at the end of the period, and purchases and sales of investment
securities, income and expenses are translated on the respective dates of
such transactions. Unrealized gains and losses which result from changes
in foreign currency exchange rates have been included in the unrealized
appreciation/(depreciation) of investments and net other assets. Net
realized foreign currency gains and losses resulting from changes in
exchange rates include foreign currency gains and losses between trade date
and settlement date on investment securities transactions, foreign currency
transactions and the difference between the amounts of interest and
dividends recorded on the books of the Portfolio and the amount actually
received. The portion of foreign currency gains and losses related to
fluctuation in exchange rates between the initial purchase trade date and
subsequent sale trade date is included in realized gains and losses on
investment securities sold.
Forward foreign currency contracts (Diversified Strategic Income, Growth
and Income, Emerging Growth and International Equity Portfolios):
Forward foreign currency contracts are valued at the forward rate and are
marked-to-market daily. The change in market value is recorded by the
Portfolio as an unrealized gain or loss. When the contract is closed, the
Portfolio records a realized gain or loss equal to the difference between
the value of the contract at cost and the value at the time that it was
closed.
The use of forward foreign currency contracts does not eliminate
fluctuations in the underlying prices of the Portfolio's investment
securities, but it does establish a rate of exchange that can be achieved
in the future. Although forward foreign currency contracts limit the risk
of loss due to a decline in the value of the hedged currency, they also
limit any potential gain that might result should the value of the currency
increase. In addition, the Portfolio could be exposed to risks if the
counterparties to the contracts are unable to meet the terms of their
contracts.
Option contracts (All Portfolios with the exception of Money Market
Portfolio):
Upon the purchase of a put option or a call option by the Portfolio, the
premium paid is recorded as an investment, the value of which is marked-to-
market daily. When a purchased option expires, the Portfolio will realize
a loss in the amount of the cost of the option. When the Portfolio enters
into a closing sale transaction, the Portfolio will realize a gain or loss
depending on whether the sales proceeds from the closing sale transaction
are greater or less than the cost of the option. When the Portfolio
exercises a put option, it will realize a gain or loss from the sale of the
underlying security and the proceeds from such sale will be decreased by
the premium originally paid. When the Portfolio exercises a call option,
the cost of the security which the Portfolio purchases upon exercise will
be increased by the premium originally paid.
When a Portfolio writes a call option or a put option, an amount equal to
the premium received by the Portfolio is recorded as a liability, the value
of which is marked-to-market daily. When a written option expires, the
Portfolio realizes a gain equal to the amount of the premium received.
When the Portfolio enters into a closing purchase transaction, the
Portfolio realizes a gain (or loss if the cost of the closing purchase
transaction exceeds the premium received when the option was sold) without
regard to any unrealized gain or loss on the underlying security, and the
liability related to such option is eliminated. When a call option is
exercised, the Portfolio realizes a gain or loss from the sale of the
underlying security and the proceeds from such sale are increased by the
premium originally received. When a put option is exercised, the amount of
the premium originally received will reduce the cost of the security which
the Portfolio purchased upon exercise.
The risk associated with purchasing options is limited to the premium
originally paid. The risk in writing a call option is the Portfolio may
forego the opportunity of profit if the market price of the underlying
security increases and the option is exercised. The risk in writing a put
option is that the Portfolio may incur a loss if the market price of the
underlying security decreases and the option is exercised. In addition,
there is the risk the Portfolio may not be able to enter into a closing
transaction because of an illiquid secondary market.
Repurchase agreements (All Portfolios):
The Portfolios may engage in repurchase agreement transactions. Under the
terms of a typical repurchase agreement, the Portfolio takes possession of
an underlying debt obligation, subject to an obligation of the seller to
repurchase, and the Portfolio to resell, the obligation at an agreed upon
price and time, thereby determining the yield during the Portfolio's
holding period. This arrangement results in a fixed rate of return that is
not subject to market fluctuations during the Portfolio's holding period.
The value of the collateral is at least equal at all times to the total
amount of the repurchase obligations, including interest. In the event of
counterparty default, the Portfolio has the right to use the collateral to
offset losses incurred. There is potential loss to the Portfolio in the
event the Portfolio is delayed or was prevented from exercising its rights
to dispose of the collateral securities including the risk of a possible
decline in the value of the underlying securities during the period while
the Portfolio seeks to assert its rights. The Portfolio's investment
adviser, acting under the supervision of the Board of Trustees, reviews the
value of the collateral and the creditworthiness of those banks and dealers
with which the Portfolio enters into repurchase agreements to evaluate
potential risks.
Securities transactions and investment income:
Securities transactions are recorded as of the trade date. Realized gains
and losses from securities sold are recorded on the identified cost basis.
Dividend income and distributions to shareholders are recorded on the ex-
dividend date. Interest income is recorded on the accrual basis.
Dividends and distributions to shareholders:
Dividends from net investment income, if any, of the Money Market,
Intermediate High Grade, Diversified Strategic Income, Equity Income and
Total Return Portfolios are distributed monthly. Dividends from net
investment income, if any, of the Growth & Income Portfolio are distributed
quarterly. Dividends from net investment income, if any, of the Equity
Index, Appreciation, Emerging Growth and International Equity Portfolios
are distributed annually. Any net realized capital gains will be declared
and distributed annually, shortly after the close of the fiscal year in
which they are earned. Such distributions are reinvested in additional
full and fractional shares of the relevant Portfolio.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. The differences are primarily due to
differing treatments of income and gains on various investment securities
held by each Portfolio, timing differences and differing characterization
of distributions made by the Portfolio as a whole. Any permanent book and
tax basis differences at fiscal year-end have been reclassified to reflect
the tax characterization.
Federal income taxes:
The Fund intends that each Portfolio separately qualify as a regulated
investment company by complying with the requirements of the Internal
Revenue Code of 1986, as amended, applicable to regulated investment
companies and by distributing all of its taxable income to its
shareholders. Therefore, no Federal income tax provision is required.
2. Investment Advisory Fee, Administration Fee and Other Transactions
The Money Market Portfolio, Intermediate High Grade Portfolio, Diversified
Strategic Income Portfolio, Equity Income Portfolio and Growth & Income
Portfolio have each entered into an investment advisory agreement (the
"Advisory Agreement") with a division of Mutual Management Corp., which has
been transferred, effective November 7, 1994, to Smith Barney Mutual Funds
Management Inc. ("SBMFM") (formerly known as "Smith, Barney Advisers,
Inc."). Mutual Management Corp. and SBMFM are both wholly-owned
subsidiaries of Smith Barney Holdings Inc. ("Holdings"). Holdings is a
wholly owned subsidiary of The Travelers Inc. ("Travelers"). Under the
Advisory Agreement, the Money Market Portfolio, Intermediate High Grade
Portfolio, Diversified Strategic Income Portfolio, Equity Income Portfolio
and Growth & Income Portfolio each pays a monthly fee at the annual rates
of 0.30%, 0.40%, 0.45%, 0.45% and 0.45%, respectively, of the value of
their average daily net assets.
The Equity Index Portfolio has entered into an investment advisory
agreement with PanAgora Asset Management Inc. ("PanAgora"). PanAgora is
50% owned by Nippon Life Insurance Company and 50% is owned by Lehman
Brothers Inc. Under the investment advisory agreement, the Equity Index
Portfolio pays a monthly fee at the annual rate of 0.40% of the value of
its average daily net assets.
The Appreciation Portfolio, Total Return Portfolio and International Equity
Portfolio have entered into investment advisory agreements with SBMFM.
Under the investment advisory agreements, the Portfolios pay a monthly fee
at the annual rates of 0.55%, 0.55% and 0.85%, respectively, of the value
of their average daily net assets.
The Emerging Growth Portfolio has entered into an investment advisory
agreement with American Capital Asset Management, Inc. Under the
investment advisory agreement, the Emerging Growth Portfolio pays a monthly
fee at the annual rate of 0.75% of the value of its average daily net
assets.
Smith Barney Global Capital Management, Inc. ("SBGCM") serves as sub-
investment adviser to the Diversified Strategic Income Portfolio and is
paid a monthly fee by SBMFM 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 SBGCM.
Prior to April 20, 1994, each Portfolio was party to an administration
agreement with The Boston Company Advisors, Inc. ("Boston Advisors"), an
indirect wholly owned subsidiary of Mellon Bank Corporation ("Mellon").
Under the agreements, each Portfolio paid a monthly fee at the annual rate
of 0.20% of the value of its average daily net assets.
As of the close of business on April 20, 1994, SBMFM succeeded Boston
Advisors as each Portfolio's administrator. The new administration
agreements contains substantially the same terms and conditions, including
the same level of fees, as the predecessor agreements.
As of the close of business on April 20, 1994, each Portfolio also entered
into a sub-administration agreement (the "Sub-Administration Agreement")
with Boston Advisors. Under the Sub-Administration Agreement, Boston
Advisors is paid a portion of the fee paid by the Portfolios to SBMFM at a
rate agreed upon from time to time between SBMFM and Boston Advisors.
Boston Safe Deposit and Trust Company ("Boston Safe"), an indirect wholly
owned subsidiary of Mellon, serves as the Fund's custodian. The
Shareholder Services Group, Inc. ("TSSG"), a subsidiary of First Data
Corporation, serves as the Fund's transfer and dividend paying agent.
The agreements provide that if the aggregate expenses of a Portfolio
exclusive of interest, taxes, brokerage expenses and extraordinary
expenses, exceed the agreed upon limitation, the relevant investment
adviser, SBGCM, SBMFM, 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.
For the year ended December 31, 1994, the investment advisers,
administrator, transfer agent and custodian reimbursed and/or waived fees
pursuant to the above agreements as follows:
Total
Investment
Boston
Fee Waivers
Advisers
Administrator
TSSG
Safe
Money Market Portfolio
$16,616
$ 6,198
$4,132
$1,582
$ 4,704
Intermediate High Grade Portfolio
12,616
6,939
3,470
704
1,503
Equity Index Portfolio
25,496
9,185
4,592
1,201
10,518
Emerging Growth Portfolio
18,068
10,509
2,802
767
3,990
Total Return Portfolio
7,873
4,652
1,692
297
1,232
International Equity Portfolio
23,712
14,886
3,503
385
4,938
For the year ended December 31, 1994, IDS Life reimbursed expenses pursuant
to the above agreements as follows:
Money Market Portfolio
$16,616
Intermediate High Grade Portfolio
12,616
Equity Index Portfolio
25,496
Emerging Growth Portfolio
18,068
Total Return Portfolio
7,873
International Equity Portfolio
23,712
For the year ended December 31, 1994, the Fund incurred total brokerage
commissions of $455,841 of which $18,774 was paid to Smith Barney, Inc.
("Smith Barney").
At December 31, 1994, the Variable Accounts owned all of the outstanding
shares of the ten Portfolios as investment accounts for the Annuities
offered by IDS Life and IDS Life of New York.
No officer, director or employee of Smith Barney, PanAgora or any of their
affiliates receives any compensation from the Fund for serving as a Trustee
or officer of the Fund. The Fund pays each Trustee who is not a director,
officer or employee of Smith Barney or PanAgora or any of their affiliates
$5,000 per annum plus $500 per meeting attended and reimburses each Trustee
for travel and out-of-pocket expenses.
3. Purchases and Sales of Securities
Costs of purchases and proceeds from sales of securities, excluding short-
term obligations, during the year ended December 31, 1994 were as follows:
Diversified
Intermediate
Strategic
Equity
Equity
Growth
Emerging
Total
International
High Grade
Income
Income
Index
& Income
Appreciation
Growth
Return
Equity
Portfolio
Portfolio
Portfolio
Portfolio
Portfolio
Portfolio
Portfolio
Portfolio
Portfolio
Purchases:
Gov't. Securities
$10,983,738
$13,168,995
- -
- -
- -
- -
- -
$989,100
- -
Other Securities
3,657,161
14,904,482
$10,144,089
$1,712,168
$26,090,798
$47,946,662
$14,639,837
27,158,934
$30,138,515
Sales:
Gov't Securities
9,354,078
3,846,470
- -
- -
- -
- -
- -
1,067,150
- -
Other Securities
1,123,592
9,044,116
14,437,135
121,154
20,277,066
42,317,167
5,253,423
11,021,318
2,460,597
Option activity for Total Return Portfolio for the year ended December 31,
1994 was as follows:
Premiums
Number of
Contracts
Written options outstanding at
December 31, 1993
0
0
Written options opened during the period
$115,067
280
Options cancelled in closing purchase transactions
(70,793)
(230)
Written options outstanding at December 31, 1994
$44,274
50
4. Shares of Beneficial Interest Transactions
Transactions in shares of each Portfolio were as follows:
Year Ended
Year Ended
12/31/94
12/31/93
Money Market Portfolio:
Sold
9,671,065
4,216,138
Issued as reinvestment of
distributions
242,610
55,327
Redeemed
(6,475,417)
(2,676,898)
Net increase
3,438,258
1,594,567
Year Ended
Year Ended
12/31/94
12/31/93*
Intermediate High Grade Portfolio:
Sold
564,424
594,646
Issued as reinvestment of
distributions
85,472
23,455
Redeemed
(197,590)
(48,017)
Net increase
452,306
570,084
Diversified Strategic Income Portfolio:
Sold
1,945,230
2,183,374
Issued as reinvestment of
distributions
359,109
214,341
Redeemed
(580,248)
(183,226)
Net increase
1,724,,091
2,214,489
Equity Income Portfolio:
Sold
347,468
2,836,381
Issued as reinvestment of
distributions
237,447
162,501
Redeemed
(1,293,068)
(172,201)
Net increase/(decrease)
(708,153)
2,826,681
Equity Index Portfolio:
Sold
210,404
420,506
Issued as reinvestment of
distributions
19,828
11,433
Redeemed
(98,160)
(59,811)
Net increase
132,072
372,128
Growth & Income Portfolio:
Sold
671,652
1,214,676
Issued as reinvestment of
distributions
61,176
43,827
Redeemed
(222,279)
(37,111)
Net increase
510,549
1,221,392
Year Ended
Year Ended
12/31/94
12/31/93*
Appreciation Portfolio:
Sold
932,854
1,952,237
Issued as reinvestment of
distributions
78,610
52,441
Redeemed
(601,153)
(213,912)
Net increase
410,311
1,790,766
Emerging Growth Portfolio:
Sold
1,090,077
216,901
Issued as reinvestment of
distributions
88
- -
Redeemed
(108,957)
-
Net increase
981,208
216,901
Total Return Portfolio:
Sold
1,921,345
269,587
Issued as reinvestment of
distributions
37,914
- -
Redeemed
(77,439)
-
Net increase
1,881,820
269,587
International Equity Portfolio:
Sold
2,639,835
583,970
Redeemed
(137,645)
-
Net increase
2,502,190
583,970
*The Emerging Growth, Total Return and International Equity Portfolios
commenced operations on December 3, 1993.
5. Financial Highlights Information
6. Organization Costs
The Fund bears all costs in connection with its organization including the
fees and expenses of registering and qualifying its shares for distribution
under Federal and state securities regulations. All such costs are being
amortized on the straight-line method over a period of five years from
commencement of operations. If any of the initial shares of the Fund are
redeemed during such amortization period, the Fund will be reimbursed for
any unamortized organization costs in the same proportion as the number of
shares redeemed bears to the number of initial shares outstanding at the
time of the redemption.
7. Concentration of Risk (Money Market and Equity Income Portfolios):
Under normal market conditions, Money Market Portfolio invests at least 25%
of its assets in short-term bank instruments and Equity Income Portfolio
invests at least 25% of its assets in the utility industry. Because of
their concentration policy, these Portfolios may be subject to greater risk
and market fluctuation than a portfolio that had securities representing a
broader range of investment alternatives. Various factors could adversely
affect the ability and inclination of companies in these industries to
declare and pay dividends or interest and the ability of holders of
securities of such companies to realize any value from the assets of the
issuer upon liquidation or bankruptcy.
8. Foreign Securities (Diversified Strategic Income and International
Equity Portfolios):
Investing in securities of foreign companies and foreign governments
involves special risks and considerations not typically associated with
investing in U.S. companies and the U.S. Government. These risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign companies and foreign
governments and their markets may be less liquid and their prices more
volatile than those of securities of comparable U.S. companies and the
United States Government.
9. Line of Credit
The Fund and several affiliated entities participate in a $50 million line
of credit provided by Bank of America (formerly "Continental Bank N.A.")
under an Amended and Restated Line of Credit Agreement (the "Agreement")
dated April 30, 1992 and renewed effective May 31, 1994, primarily for
temporary or emergency purposes, including the meeting of redemption
requests that otherwise might require the untimely disposition of
securities. Under the Agreement, each Portfolio may generally borrow up to
the lesser of $25 million or 25% of its net assets adjusted for purposes of
the Agreement. However pursuant to the Fund's prospectus, each Portfolio
may only borrow up to 20% of its net assets. Interest is payable either at
the bank's Money Market Rate or the London Interbank Offered Rate (LIBOR)
plus 0.375% on an annualized basis. Under the terms of the agreement, as
amended as of May 31, 1994, the Fund and the other affiliated entities are
charged an aggregate commitment fee of $100,000, which is allocated equally
among each of the participants. The Agreement requires, among other
provisions, each participating Portfolio to maintain a ratio of net assets
(not including funds borrowed pursuant to the Agreement) to aggregate
amount of indebtness pursuant to the Agreement of no less than 5 to 1.
During the year ended December 31, 1994, the Equity Income Portfolio had an
average outstanding daily balance of $9,315 with interest rates ranging
from 3.625% to 3.689%. Interest expense totalled $346 for the year ended
December 31, 1994 and has been offset against interest income on the
Statement of Operations.
10. Capital Loss Carryforwards
As of December 31, 1994, the following Portfolios had available for Federal
tax purposes unused capital losses:
Expiring in the
Year 2002
Expiring in the
Year 2001
Intermediate High Grade Portfolio
$392,650
- -
Diversified Strategic Inocme Fund
$800,897
- -
Equity Income Portfolio
$1,549,024
- -
Growth & Income Portfolio
$342,765
$80,758
Emerging Growth Portfolio
$1,212,225
$1,143
International Equity Portfolio
$55,801
- -
11. Subsequent Event
On January 25, 1995, the Board of Trustees of Smith Barney Series Fund
approved for its sub-trust, Equity Index Portfolio (the "Portfolio"),
termination of the investment advisory agreement with PanAgora Asset
Management Inc., effective March 31, 1995. Furthermore, the Board has
proposed, and will submit to the Portfolio's shareholders for approval,
that the Portfolio enter into a new investment advisory agreement with
Travelers Investment Management Company, a wholly-owned subsidiary of Smith
Barney Holdings Inc., the parent of the Portfolio's distributor and
administrator. The new investment advisory agreement would mirror the
existing agreement, including the same level of fees.
Tax Infomation (Unaudited) Year Ended December 31, 1994
The capital gains dividend distribution paid to shareholders for the fiscal
year ended December 31, 1994, whether taken in shares or in cash, is as
follows:
Portfolio:
Equity Index Portfolio
$67,230
Intermediate High Grade Portfolio
$16,151
Equity Income Portfolio
$29,483
Of the distributions from ordinary income made during the fiscal year ended
December 31, 1994, the amount of each distributions which will qualify for
the dividend received deduction available to corporate shareholders is as
follows:
Portfolio:
Total Return Portfolio
35.11%
Growth & Income Portfolio
69.00%
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.
Report of Independent Accountants
___________________________________________________________________________
__________________________
To the Policyholders and Trustees of
Smith Barney Series Fund:
We have audited the accompanying statements of assets and liabilities of
Smith Barney Series Fund (formerly "Smith Barney Shearson Series Fund")
(the "Fund") (consisting of 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
schedule of forward foreign exchange contracts (Diversified Strategic
Income Portfolio), as of December 31, 1994 and the related statements of
operations, the statements of changes in net assets and financial
highlights for each of the respective periods presented. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights 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
financial highlights 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, 1994 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 financial highlights referred
to above present fairly, in all material respects, the financial position
of the aforementioned portfolios of Smith Barney Series Fund as of December
31, 1994, and the results of their operations, the changes in their net
assets and the financial highlights for each of the respective periods
presented, in conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
February 10, 1995
SMITH BARNEY SERIES FUND
- ---------------------------------------------------------------------------
- -----
ADDITIONAL INFORMATION (UNAUDITED)
On April 29, 1994, a special meeting of the shareholders of the
Fund's
Diversified Strategic Income Portfolio (the "Portfolio") was held for
the
purpose of voting on the following matter:
(1) To approve a new sub-investment advisory agreement between the
Fund, on
behalf of the Portfolio, and Smith Barney Global Capital Management,
Inc.,
containing substantially the same terms and conditions as the Fund's
then
existing sub-investment advisory agreement.
The results of the vote on the Proposal were as follows:
<TABLE>
<CAPTION>
% OF
OUTSTANDING % OF SHARES
VOTE NO. OF SHARES SHARES VOTED
----------- ------------- ----------- -----------
<S> <C> <C> <C>
Affirmative 4,275,532.498 88.903% 88.903%
Against 170,534.607 3.546% 3.546%
Abstain 363,143.492 7.551% 7.551%
------------- ----------- -----------
Total 4,809,210.597 100.000% 100.000%
------------- ----------- -----------
------------- ----------- -----------
</TABLE>
82
<PAGE>
This report is submitted for the
general
information of the owners of the
Smith Barney Series Fund. It is not
authorized for distribution to
prospective investors unless
accompanied
or preceded by an effective
Prospectus
for the Fund, which contains
information
concerning the Fund's investment
policies, fees and expenses, as
well as
other pertinent information.
S-6225 F(2/95)
