SMITH BARNEY SERIES FUND
ANNUAL REPORT FOR
SYMPHONY
A Tax-Deferred Variable Annuity
[Paste up Art]
December 31, 1995
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SMITH BARNEY SERIES FUND
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Dear Investor:
We are pleased to provide the annual report for the year ended December 31, 1995
for Smith Barney Series Fund. In this annual report, we briefly discuss general
economic and market conditions. In addition, more detailed performance
comparisons showing the growth of a hypothetical $10,000 invested in each
Portfolio since its inception can also be found in this report (with the
exception of the Money Market Portfolio). A more detailed summary of performance
and current holdings for each individual Portfolio can be found in the
appropriate sections that follow in the annual report.
A LOOK BACK AT 1995
The year 1995 was memorable for investors and certainly one for the record
books. When the year began, the Federal Reserve had raised interest rates six
times in the preceding 12 months, and it would tighten monetary policy again in
February to slow down what it believed was an overheated economy. However, late
in the first quarter, the economy did weaken considerably and, in response, the
Federal Reserve cut interest rates twice, once in July and then again in
December.
As many of you no doubt know, the U.S. stock market continued its spectacular
climb as the fourth quarter of 1995 ended. The favorable trends of strong
corporate earnings, lower interest rates and low inflation converged and made
the stock market the investment vehicle of choice for many investors.
The Standard & Poor's 500 Stock Price Index (the "S&P 500"), an unmanaged
weighted measure of 500 widely held stocks, was up 36.94% for the 12 months
ended December 31, 1995, its strongest showing since 1958. The Dow Jones
Industrial Average (the "Dow"), a price-weighted average of 30 actively traded
blue chip stocks, had its best year since 1975, closing the year at 5117. Key
sectors included technology stocks (which benefited from the ongoing revolution
in personal computers and communications) and financial sector stocks (which
performed well in the low interest rate environment).
Nor were stocks the only winners in 1995. With the 30-year U.S. Treasury Bond up
more than 30%, the U.S. bond market also performed well for the year,
benefitting from an environment of low inflation and the expectation of lower
short-term interest rates.
Our long-term outlook remains positive. We expect an extension of the economy's
"soft landing," continued low inflation, and healthy corporate earnings in the
near term. Yet, whatever transpires in 1996 and beyond, we encourage investors
to keep a long-term perspective and maintain a disciplined and systematic
investment plan.
MONEY MARKET PORTFOLIO
Money Market Portfolio seeks to provide maximum current income consistent with
the preservation of capital. Please note that an investment in the Money Market
Portfolio is neither insured nor guaranteed by the U.S. government and there can
be no assurance that the Portfolio will be able to maintain a stable net asset
value (NAV) of $1.00 per share.
The year 1995 began with signs that the U.S. economy, as measured by gross
domestic product (GDP), would continue its recovery. Various economic indicators
such as economic growth and rising employment rates, were seen by the Federal
Reserve as a sign of a possible rise in the rate of inflation. In an effort to
head off any such increase, the Federal Reserve raised the federal funds rate
from 5.50% to 6.00% in early 1995, effectively slowing economic growth. (The
federal funds rate represents the rate banks charge each other for overnight
loans and affects all other interest rates.)
As early as March, automobile manufacturers began reporting sluggish demand and
responded with production cuts. This contributed to meager economic growth in
the second quarter and, as many expected, the Federal Reserve eased its monetary
policy on July 6, 1995 by lowering the federal funds rate from 6.00% to 5.75%.
Following its July meeting, the Federal Reserve held firm and did not lower
short-term interest rates until its final meeting of the year. Citing a
decreasing inflation rate, the Federal Reserve lowered the federal funds rate
another 25 basis points to 5.50% in December. This action caused investors to
expect more easing of monetary policy by the Federal Reserve.
We continue to be bullish in Money Market Portfolio and are maintaining an
average maturity of 40 days.
1
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INTERMEDIATE HIGH GRADE PORTFOLIO
The objective of Intermediate High Grade Portfolio is to provide investors with
a high level of current income consistent with protection of capital. Under
normal market conditions, the Intermediate High Grade Portfolio invests at least
65% of its assets in U.S. government securities and in high-grade U.S. corporate
bonds. For the fiscal year ended December 31, 1995, Intermediate High Grade
Portfolio had an annual total return of 17.76%.
As of December 31, 1995, a majority of Intermediate High Grade Portfolio's bonds
were rated "A" or better by Standard & Poor's Corporation or Moody's Investors
Service, two major bond credit rating organizations. What follows is a breakdown
of the Portfolio's composition at the end of November 1995:
<TABLE>
<S> <C>
Cash Equivalents....................................................................... 3.2%
U.S. Treasuries & Agencies............................................................. 29.0
Financial Companies.................................................................... 19.8
Banks/Savings & Loans.................................................................. 17.4
Transportation......................................................................... 1.6
Telecommunications..................................................................... 4.6
Retail................................................................................. 3.0
Paper/Forest Products.................................................................. 4.4
Oil Services........................................................................... 3.0
Metals/Manufacturing................................................................... 4.6
Insurance.............................................................................. 4.5
Financial Services..................................................................... 4.9
</TABLE>
In 1995, the Portfolio lengthened its maturity slightly. (Maturity is the number
of years until a bond pays back its principal. For most bonds, the longer the
maturity, the greater the movement in its value of the bonds as interest rates
change. The shorter the maturity, the less the movement of the value of the
bonds in the fund as interest rates change.)
At this point in time, we believe the bond market has factored in discussions
about the federal budget deficit and is now focusing its attention on the state
of the economy. Most economic signs point to moderate economic growth with
little or no inflationary pressures. We expect the job market will continue to
be weak in the first half of 1996. When combined with the high levels of
consumer debt, this weakness in employment levels should dampen growth in retail
sales.
To meet these conditions, we have extended the Portfolio's maturity as we
continue to look for additional progress on the budget deficit in Washington,
D.C. In the corporate sector, we are watching the market closely, looking for
opportunities to purchase sound issues with strong credit fundamentals.
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
The Diversified Strategic Income Portfolio seeks to provide investors with high
current income by investing in a combination of U.S. government bond and agency
securities, high-yielding corporate bonds and foreign government bonds. The
Portfolio's management team allocates assets based on its analysis of current
economic and market conditions, taking into account the relative risks and
income opportunities within each of the fixed income sectors of the Portfolio.
For the year ending December 31, 1995, Diversified Strategic Income Portfolio
had an annual total return of 16.18%.
At the beginning of 1995, the Portfolio had 33% of its assets in mortgage-backed
securities, 27% in high-yield bonds and 34% in foreign bonds. During the year,
we became slightly more bullish in high-yield bonds and foreign bonds because of
our expectations for slow economic growth and low inflation. At the end of
November 1995, the Diversified Strategic Income Portfolio had 28.3% of its
assets in Treasuries and mortgage-backed securities, 44.6% in high yield bonds
and 27.1% in foreign bonds. In our view, increased global competition, combined
with technological advances, has helped to keep inflation in check. We believe
the more investors insist that interest rates cannot go lower, the more counter
thinking may prove to be right.
We remain committed to generating income in the mortgage-backed securities
portion of the Portfolio. Our strategy for our high-yield holdings continues to
be to focus on upgrading credit quality in the Portfolio as market conditions
permit. We continue to believe the U.S. dollar will strengthen in the short-term
against most foreign currencies. Therefore, when we select foreign securities
for the Portfolio, we place a strong emphasis on a country's monetary and
political stability and a particular foreign currency's relationship to the U.S.
dollar.
2
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EQUITY INCOME PORTFOLIO
The Equity Income Portfolio seeks to provide income and long-term growth
opportunities. In seeking to achieve its goals, the Portfolio invests
principally in dividend-paying common stocks of companies with favorable
dividend and capital growth prospects. The Portfolio generally concentrates its
investments in the utility industry. In the middle of December 1995,
approximately 77% of Equity Income Portfolio's assets were invested in common
stocks (55% in electric utilities, 11% in telecommunications companies, 11% in
natural gas companies), 18% was invested in long-term investment-grade bonds and
5% was invested in cash. For the fiscal year ending December 31, 1995, Equity
Income Portfolio had an annual total return of 32.47%.
Declining interest rates continued to drive the strong performance of electric
utilities in 1995. Investor uncertainty regarding the general stock market, a
possible rate cut by the Federal Reserve and the potential for more mergers and
acquisitions have also helped to boost the performance of the utility sector
during the year. In December, the Portfolio's top-ten holdings were:
<TABLE>
<C> <S> <C> <C>
1 Houston Industries 6 Nipsco
2 FPL Group 7 Williams Co.
3 AT&T 8 Texas Utilities
4 Duquesne 9 Detroit Edison Co.
5 Illinova Corp. 10 Pinnacle West
</TABLE>
In the fourth quarter of 1995, the Portfolio invested in Texas Utilities, GTE
Corporation, Nipsco Industries, Public Service of New Mexico and Washington
Energy. In our view, these companies have excellent total return potential and
should be well-positioned to succeed in a deregulated environment. During the
same period, Equity Income Portfolio sold its holdings and took profits in
Pennsylvania Power and Light, Pacific Corporation, SCE Corporation, Pacific
Telesis and El Paso Natural Gas.
As of December 12, 1995 the yield on 30-year Treasuries had declined by 38 basis
points to 6.04% from 6.42% as of October 1, 1995. Yields from the Dow Jones
Utility Index (a weighted index of 15 leading utility stocks) both remained at
roughly 6%. This historically low yield spread has rewarded investors in the
past with solid returns relative to bonds and has also provided them with
current income.
Because of today's low-inflation rate and slow-growth economy, our early outlook
for utility stocks in 1996 is positive, and, in our view, investment returns
should be more in line with their historical range of 8% to 10%. Recent utility
industry restructuring and regulatory rulings make the case for owning utilities
as part of a balanced portfolio more compelling. However, for long-term
investors, careful stock selection remains essential. We will therefore continue
to emphasize diversification into companies that can compete with relatively low
interest rates as well as provide investors with above-average earnings and
dividend growth.
EQUITY INDEX PORTFOLIO
The Equity Index Portfolio's objective is to provide investors with results
that, before the deduction of operating expenses, match the price and yield
performance of U.S. publicly traded common stocks, as measured by the S&P 500
(which is defined in the market review section at the beginning of this letter).
For the period covered by this report, the Equity Index Fund had an annual total
return of 35.81%.
Strong corporate earnings continued to drive stock prices higher during the late
summer and fall, making 1995 one of the best years for U.S. stock investors in
over two decades. Peak corporate profit margins and stock buy-backs helped to
convert modest sales growth into 20% year-over-year earnings per share gains,
with more than 50% of all companies in the S&P 500 reporting positive earnings.
Declining interest rates also gave investors confidence that the economy and
corporate profits would continue to grow, albeit slowly, through 1996.
Despite surprisingly robust corporate earnings in the second half of 1995,
investors began to discount an earnings slowdown in 1996, rotating out of
cyclical sectors and into "defensive" (i.e., less economically sensitive)
industry groups on the expectation of better relative earnings. Health care
stocks, particularly those in the drug and HMO groups, advanced sharply, as did
many food and beverage stocks in the consumer staples sector. In the energy
sector, which led the market higher earlier in the year, a dramatic sell-off
occurred amidst early signs of slowing demand for personal computers and softer
prices for memory chips and other PC components. Many groups in the basic
materials sector also weakened significantly in response to declining commodity
prices and production.
3
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GROWTH AND INCOME PORTFOLIO
The Growth and Income Portfolio seeks long-term capital growth and income. The
Portfolio invests in quality companies with rising dividends. For the period
covered by this report, the Growth and Income Portfolio had an annual total
return of 30.49%.
In 1995, the financial markets continued to rally and stock and bond prices
rose. One of the several positive fundamentals supporting the stock and bond
market rallies has been the low level of inflation as indicated by the Consumer
Price Index (CPI). CPI measures of inflation are now below 3%, and some experts
have suggested this number overstates the actual rate of inflation. If in fact
overestimated, this inflation figure has a significant implication that for
public policy and the financial markets would suggest that real growth and wages
have been much stronger than assumed. We believe that the financial markets'
recognition of the over-estimation of inflation would benefit the Growth and
Income Portfolio as both stock and bond prices could rise as investors
re-evaluate interest payments and earnings in a world of lower inflation.
At the beginning of December 1995, the Growth and Income Portfolio's top-ten
holdings were:
<TABLE>
<C> <S> <C> <C>
1 Hewlett Packard 6 Motorola
2 GMAC 7% due 9/15/02 (General Motors bond) 7 Nationsbank Corp.
3 General Electric 8 Monsanto
4 Coca-Cola 9 Merck & Co.
5 Johnson & Johnson 10 Eli Lilly
</TABLE>
At the end of 1995, Growth and Income Portfolio acquired Conrail Inc., Exxon
Corp. and Worthington Industries Inc. At the same time, the Portfolio liquidated
its holdings in CSX Corp., Murphys Oil, Witco Corp., Hillenbrand, Tribune Corp.
and Southwest Airlines.
APPRECIATION PORTFOLIO
The Appreciation Portfolio seeks to provide long-term investors with
opportunities for capital appreciation by investing in growth-oriented stocks.
For the year ending December 31, 1995, the Appreciation Portfolio had an annual
total return of 28.84%.
The superlatives have been exhausted when it comes to discussing the performance
of the U.S. stock and bond markets in 1995. The major driving factors behind the
recent stock market rally were falling interest rates, better-than-expected
profits (fueled in part by corporate restructurings) and unprecedented inflows
of money into domestic equity mutual funds. Set against a backdrop of pessimism,
these and other converging factors ignited and fed the stock market rally.
After our strong optimism about the financial markets at the end of 1994, and
even after the first quarter's powerful surge, by the middle of the summer we
saw signs of overspeculation and stretched values, especially in technology
stocks. In addition, dividend yields on stocks declined to unprecedented levels,
while the value of all stocks in relation to Gross Domestic Product (GDP)
reached the highest level in this century. Yet, despite these warnings that the
stock market may have reached its peak, investors remained undaunted and have
continued to invest, notwithstanding sharp declines in the technology sector. By
the second half of the year, the overall market had reached new highs. We raised
cash reserve levels in the Portfolio around mid-year and that defensive move
acted as a drag on the Portfolio's performance during the second half of the
year.
Our outlook a year ago was fairly simple. We believed the market had shaken out
earlier excesses, and interest rates had gone up much more than any inflation
scenario would dictate. Values, while not inexpensive, were decent. Hints of
corporate restructurings were being dropped, giving the earnings outlook a big
boost. We were very bullish, but of course we didn't know then that 1995 would
be so tremendous.
The major corporate restructuring stories that we had anticipated earlier have
generally been recognized by the marketplace and Appreciation Portfolio has had
excellent success with stocks such as:
<TABLE>
<S> <C>
- Eastman Kodak
- Xerox Corporation
- Minnesota Mining & Manufacturing (3M)
</TABLE>
The year 1996 will be trickier by far because interest rates are low enough to
keep the stock market afloat and there are not enough signs of deterioration to
predict a large market decline. For these reasons, we believe 1996 will be a
year when the focus is on relative values rather than absolute values when
selecting stocks.
4
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EMERGING GROWTH PORTFOLIO
Emerging Growth Portfolio seeks capital appreciation by investing at least 65%
of its total assets in the common stocks of small- and medium-sized foreign and
domestic companies. The Portfolio focuses on companies it believes to have the
potential to become major enterprises. For the year ended December 31, 1995, the
Emerging Growth Portfolio had an annual total return of 42.89%.
Emerging Growth Portfolio employs an investment style that is "bottom-up". (A
bottom-up investing style involves searching for stocks with outstanding
performance potential before considering the impact of economic trends.)
Historically, the Portfolio's investment style has been to focus on stock
selection rather than "market timing" or "sector rotation," while controlling
risk by maintaining a broadly diversified portfolio and not making any major
bets on any one sector or individual stock. We do not focus on short-term price
fluctuations as long as the Portfolio believes a company's fundamentals remain
viable and growth can be sustained over a full market cycle. Emerging Growth
Portfolio usually remains fully invested.
In the early part of the year when investor concerns about economic growth,
inflation and the direction of interest rates prevailed, the stock market was
essentially calm. Then, as the economy slowed down, interest rates declined and
inflation concerns subsided, the equity markets began to hit new highs with such
frequency it soon became the norm. All of the major stock market indices
participated. New market highs appeared almost on a weekly basis on the Dow
Jones Industrial Average, the S&P 500, the NASDAQ average and the Russell 2000.
Because the Emerging Growth Portfolio invests in small emerging growth
companies, its holdings are generally not affected by broad economic and market
conditions.
The Portfolio selects stocks based on a company's potential to deliver upside
earnings surprises. To identify these companies, we look for rising earnings
estimates and improving values. Investments are made in the highest growth
companies in a particular sector that meet this screening criteria. In general,
these will be smaller companies with revenues of less than $1 billion. Because
the Portfolio invests in small emerging growth companies, its holdings are
generally not affected by broad economic and market conditions.
In 1995, Emerging Growth Portfolio's top-performing stocks were:
<TABLE>
<S> <C>
- Corrections Corp. of America (a company that builds and runs private prisons)
- Ascend Communications (a telecommunications equipment company)
- Macromedia (a software company)
- U.S. Robotics (a telecommunications equipment company)
- Chesapeake Energy (an oil and gas production company)
</TABLE>
We continue to be optimistic about the prospect for small-capitalization growth
stocks. We believe small-capitalization stocks are reasonable values when
compared to larger-capitalization stocks. And these smaller company stocks would
particularly benefit from any proposed cut in the capital gains tax rate.
TOTAL RETURN PORTFOLIO
The Total Return Portfolio seeks to provide investors with total return, which
consists of long-term capital appreciation and income. Total Return Portfolio
primarily invests in a diversified portfolio of dividend-paying common stocks.
For the year ended December 31, 1995, the Total Return Portfolio had an annual
total return of 25.04%.
At the end of the period covered by this report, approximately 20% of Total
Return Portfolios were invested in real estate investment trusts ("REITs"). It
is our belief that these securities represent compelling values and provide
substantial upside potential with limited risk. During 1995, REIT yields were at
the highest levels in the last ten years and outperformed 10-year Treasury
yields.
In 1995, we were underweighted in technology and during the latter part of the
year, we decreased our holdings in interest-sensitive stocks. The huge demand
for technology issues in 1995 suggested to us that many investors were looking
only at increasing retail sales of technology products, while ignoring the rapid
increase in manufacturing capacity and the ability to bring on new supply in the
next 12 to 18 months. We believe that this could result in a surplus and have a
negative impact on the value of technology securities. In fact, since mid-year
1995, many technology issues have fallen dramatically. We believe this could
provide an excellent opportunity to invest, as it appears relative values and
investor sentiment have returned to more realistic levels. The Portfolio has
also increased its holdings in interest-sensitive stocks, including those of
financial services companies. In our view, the consolidation of financial
services companies will continue in the years ahead, but we are less certain
that interest-rate trends will be as positive for financial services companies
in 1996 as they were in 1995.
5
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SMITH BARNEY SERIES FUND
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INTERNATIONAL EQUITY PORTFOLIO
The International Equity Portfolio seeks growth of capital and income. The
Portfolio seeks to achieve these objectives by investing at least 65% of its
assets in a diversified portfolio of equity securities of established non-U.S.
issuers that have the potential for growth of capital. For the period covered by
this report, the International Equity Portfolio had an annual total return of
8.80%.
As you no doubt know, the U.S. capital markets provided most investors with
spectacular returns in 1995. The U.S. markets were buoyed by firm bond prices,
vibrant corporate earnings growth and strong merger and acquisition activity.
While the current stalemate in Washington, D.C. over the federal budget is
raising concerns for some investors, especially in the fixed income markets, we
expect modest economic growth, low inflation and better corporate productivity
and profits throughout most of the global economy in 1996.
We have maintained a "bottom-up" stock-selection style. (A "bottom-up"
investment approach means the Portfolio's management team looks for individual
stocks they believe have outstanding performance potential before they consider
the impact of broad economic trends.) During 1995, the Portfolio reduced its
exposure in Latin America and increased its holdings in Israel and South Africa,
two promising emerging market countries with, in our view, favorable long-term
growth prospects.
In light of our expectations for 1996, top-quality stocks should perform well,
although the stellar gains investors received in 1995 will probably not be
repeated. In addition, stock values in the U.S. are relatively high compared to
many foreign stocks. Future success in the U.S. will therefore require even
greater stock selectivity.
In our view, European markets hold great promise in the coming year. Though
economic growth in Europe slowed markedly during the second half of 1995, we
believe an annual economic growth rate of 2% to 2.5% is feasible in 1996. Many
European governments are becoming more fiscally responsible in order to lower
their budget deficits and to meet specific targets required for entry in the
European monetary union.
We believe recent interest rate reductions by European central banks will help
stimulate their economies and we expect more interest rate reductions in the
near term. Therefore, we believe Europe's 1997 economic prospects should be
bright. Other positive trends for the European markets include greater
consistency in European accounting methods, more corporate restructuring,
massive privatizations of state-owned enterprises and greater local investor
participation.
An integral part of our diversified global investment approach is our strong
commitment to some of the world's smaller, rapidly industrializing economies.
Following the unexpected devaluation of the Mexican peso in late 1994, many
investors abandoned these markets seeking safety and liquidity, especially in
Latin America. Notwithstanding their poor performance in 1995, we believe these
emerging markets continue to offer investors outstanding long-term investment
opportunities.
Another key element aspect of the International Equity Portfolio's investment
philosophy is a strong belief that one of the best ways to preserve and enhance
a currency's buying power is to own a globally diversified portfolio made up of
quality stocks. In spite of an apparent near-term slowing of inflation, every
currency will still lose a portion of its buying power to the effects of
inflation over time. Historically, stocks have outperformed both bonds and money
markets and therefore deserve a place in most diversified portfolios.
In closing, we would like to thank you for your investment in the Smith Barney
Series Fund. We look forward to serving your financial needs in the years ahead.
Sincerely,
/s/ HEATH B. MCLENDON
- ---------------------
Heath B. McLendon
Chairman and Chief Executive Officer
January 16, 1996
6
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SMITH BARNEY SERIES FUND
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PERFORMANCE COMPARISON -- INTERMEDIATE HIGH GRADE PORTFOLIO AS OF 12/31/95
[GRAPH]
<TABLE>
<CAPTION>
LEHMAN
INTERMEDIATE BROTHERS
MEASUREMENT PERIOD HIGH GRADE AGGREGATE
(FISCAL YEAR COVERED) PORTFOLIO BOND INDEX
<S> <C> <C>
10/16/91 10000.00 10000.00
12/91 10240.00 10507.08
6/92 10407.30 10792.19
12/92 10780.60 11285.12
6/93 11351.70 12064.36
12/93 11642.50 12385.51
6/94 11185.30 11905.96
12/94 11287.40 12024.03
6/95 12449.30 13400.11
12/95 13292.30 14245.65
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------
<S> <C>
Year Ended 12/31/95 17.76%
10/16/91* through 12/31/95 6.99%
* Commencement of operations
- -----------------------------------------------
</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 (commencement of operations) through
December 31, 1995 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.
- --------------------------------------------------------------------------------
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.
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 12/31/95
[GRAPH]
<TABLE>
<CAPTION>
DIVERSIFIED LEHMAN
STRATEGIC BROTHERS
MEASUREMENT PERIOD INCOME AGGREGATE
(FISCAL YEAR COVERED) PORTFOLIO BOND INDEX
<S> <C> <C>
10/16/91 10000.00 10000.00
12/91 10140.00 10507.08
6/92 10270.40 10792.19
12/92 10283.90 11285.12
6/93 11026.70 12064.36
12/93 11575.60 12385.51
6/94 11208.10 11905.96
12/94 11250.70 12024.03
6/95 12189.80 13400.11
12/95 13071.10 14245.65
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------
<S> <C>
Year Ended 12/31/95 16.18%
10/16/91* through 12/31/95 6.57%
* Commencement of operations
- -----------------------------------------------
</TABLE>
The chart to the right compares the growth in
value of a hypothetical $10,000 investment in
Diversified Strategic Income Portfolio on
October 16, 1991 (commencement of operations)
through December 31, 1995 with that of a
similar investment in the Lehman Brothers
Aggregate Bond Index. Index information is
available at month-end only; therefore, the
closest month-end to inception date of the
Portfolio has been used. Figures for the Lehman
Brothers Aggregate Bond Index, an unmanaged
index, are composed of the Lehman Intermediate
Government/Corporate Bond Index and the
Mortgage-Backed Securities Index and includes
treasury issues, agency issues, corporate bond
issues and mortgage-backed securities.
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
<pg$pcn>
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PERFORMANCE COMPARISON -- EQUITY INCOME PORTFOLIO AS OF 12/31/95
[GRAPH]
<TABLE>
<CAPTION>
VARIABLE
ANNUITY
LIPPER
EQUITY STANDARD
INCOME &
MEASUREMENT FUNDS POOR'S
PERIOD PEER 500
(FISCAL YEAR EQUITY INCOME GROUP STOCK
COVERED) PORTFOLIO AVERAGE INDEX
<S> <C> <C> <C>
10/16/91 10000.00 10000.00 10000.00
12/91 10200.00 10559.44 10838.21
6/92 10522.40 10880.93 10766.94
12/92 11397.30 11782.19 11667.81
6/93 12545.40 13060.11 12236.62
12/93 12583.30 13758.44 12843.85
6/94 11151.60 13622.75 12407.80
12/94 11307.50 14094.16 13011.56
6/95 12887.60 16311.18 15640.64
12/95 14978.80 16510.18 17709.89
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------
<S> <C>
Year Ended 12/31/95 32.47%
10/16/91* through 12/31/95 10.07%
* Commencement of operations
- ------------------------------------------------
</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
(commencement of operations) through December
31, 1995 with that of a similar investment in
the Variable Annuity Lipper Equity Income Funds
Peer Group Average and Standard & Poor's 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 Standard & Poor's 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 funds which underlie variable annuities.
- --------------------------------------------------------------------------------
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.
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 AND INCOME PORTFOLIO AS OF 12/31/95
[GRAPH]
<TABLE>
<CAPTION>
VARIABLE
ANNUITY
LIPPER
GROWTH &
GROWTH AND INCOME FUNDS STANDARD &
MEASUREMENT PERIOD INCOME PEER GROUP POOR'S 500
(FISCAL YEAR COVERED) PORTFOLIO AVERAGE STOCK INDEX
<S> <C> <C> <C>
10/16/91 10000.00 10000.00 10000.00
12/91 10140.00 10745.98 10838.21
6/92 10261.20 10653.63 10766.94
12/92 10995.50 11551.21 11667.81
6/93 11315.50 12109.21 12236.62
12/93 11995.30 12801.89 12843.85
6/94 11451.90 12321.72 12407.80
12/94 11611.20 12646.18 13011.56
6/95 13343.40 14661.96 15640.64
12/95 15221.80 15016.78 17897.58
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------
<S> <C>
Year Ended 12/31/95 30.49%
10/16/91* through 12/31/95 10.37%
* Commencement of operations
- -----------------------------------------------
</TABLE>
The chart to the right compares the growth in
value of a hypothetical $10,000 investment in
Growth and Income Portfolio on October 16, 1991
(commencement of operations) through December
31, 1995 with that of a similar investment in
the Variable Annuity Lipper Growth & Income
Funds Peer Group Average and Standard & Poor's
500 Stock Index. Index information is available
at month-end only; therefore, the closest
month-end to inception date of the Portfolio
has been used. The Standard & Poor's 500 Stock
Index is an unmanaged index composed of 500
widely held common stocks listed on the New
York Stock Exchange, American Stock Exchange
and over-the-counter market.
The Variable Annuity Lipper Growth & Income
Funds Peer Group Average is composed of 40
growth and income funds which underlie variable
annuities.
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- APPRECIATION PORTFOLIO AS OF 12/31/95
[GRAPH]
<TABLE>
<CAPTION>
STANDARD
MEASUREMENT &
PERIOD POOR'S
(FISCAL 500
YEAR APPRECIATION STOCK
COVERED) PORTFOLIO INDEX
<S> <C> <C>
10/16/91 10000.00 10000.00
12/91 10490.00 10838.21
6/92 10260.00 10766.94
12/92 11133.40 11667.81
6/93 11330.10 12236.62
12/93 11925.80 12843.85
6/94 11618.30 12407.80
12/94 11792.00 13011.56
6/95 13820.10 15640.64
12/95 15192.60 17897.58
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------
<S> <C>
Year Ended 12/31/95 28.84%
10/16/91* through 12/31/95 10.44%
* Commencement of operations
- -----------------------------------------------
</TABLE>
The chart to the right compares the growth in
value of a hypothetical $10,000 investment in
Appreciation Portfolio on October 16, 1991
(commencement of operations) through December
31, 1995 with that of a similar investment in
the Standard & Poor's 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
Standard & Poor's 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 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.
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 -- EMERGING GROWTH PORTFOLIO AS OF 12/31/95
[GRAPH]
<TABLE>
<CAPTION>
EMERGING NASDAQ
MEASUREMENT PERIOD GROWTH COMPOSITE
(FISCAL YEAR COVERED) PORTFOLIO INDEX
<S> <C> <C>
12/3/93 10000.00 10000.00
12/93 10410.00 10297.00
6/94 9191.00 9357.22
12/94 9631.00 9967.92
6/95 11651.30 12374.52
12/95 13761.50 13947.32
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------
<S> <C>
Year Ended 12/31/95 42.89%
12/3/93* through 12/31/95 16.62%
* Commencement of operations
- -----------------------------------------------
</TABLE>
The chart to the right compares the growth in
value of a hypothetical $10,000 investment in
Emerging Growth Portfolio on December 3, 1993
(commencement of operations) through December
31, 1995 with that of a similar investment in
the NASDAQ Composite Index. Index information
is available at month-end only; therefore, the
closest month-end to inception date of the
Portfolio has been used. The NASDAQ Composite
Index is a market capitalization price-only
index that tracks the performance of domestic
common stocks traded on the regular NASDAQ
market as well as foreign common stocks and
ADRs traded on the National Market System.
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- TOTAL RETURN PORTFOLIO AS OF 12/31/95
[GRAPH]
<TABLE>
<CAPTION>
STANDARD
MEASUREMENT &
PERIOD POOR'S
(FISCAL 500
YEAR TOTAL RETURN STOCK
COVERED) PORTFOLIO INDEX
<S> <C> <C>
12/3/93 10000.00 10000.00
12/93 10300.00 10121.00
6/94 11197.50 9777.38
12/94 11062.30 10253.15
6/95 13040.20 12324.87
12/95 13941.70 14103.35
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------
<S> <C>
Year Ended 12/31/95 25.04%
12/3/93* through 12/31/95 16.91%
* Commencement of operations
- -----------------------------------------------
</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
(commencement of operations) through December
31, 1995 with that of a similar investment in
the Standard & Poor's 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
Standard & Poor's 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 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.
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 12/31/95
[GRAPH]
<TABLE>
<CAPTION>
INTERNATIONAL MORGAN
MEASUREMENT PERIOD EQUITY STANLEY EAFE
(FISCAL YEAR COVERED) PORTFOLIO INDEX
<S> <C> <C>
12/3/93 10000.00 10000.00
12/93 10050.00 10709.00
6/94 9280.00 11160.45
12/94 9210.00 10975.60
6/95 9749.20 11278.53
12/95 10010.30 12242.84
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------
<S> <C>
Year Ended 12/31/95 8.80%
12/3/93* through 12/31/95 0.10%
* Commencement of operations
- ------------------------------------------------
</TABLE>
The chart to the right compares the growth in
value of a hypothetical $10,000 investment in
International Equity Portfolio on December 3,
1993 (commencement of operations) through
December 31, 1995 with that of a similar
investment in the Morgan Stanley EAFE Index.
Index information is available at month-end
only; therefore, the closest month-end to
inception date of the Portfolio has been used.
The Morgan Stanley EAFE Index is a composite
index consisting of equity total returns for the
countries of Europe, Australia, New Zealand and
countries in the Far East, weighted based on
each country's gross domestic product.
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS DECEMBER 31, 1995
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
ANNUALIZED
YIELD ON
FACE DATE OF
AMOUNT SECURITY PURCHASE VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. AGENCIES AND INSTRUMENTALITIES -- 5.2%
$200,000 Federal Farm Credit Bank matures 01/05/96.......................... 5.51% $ 199,878
100,000 Federal Home Loan Bank matures 06/20/96............................ 5.29 97,549
- ------------------------------------------------------------------------------------------------------------
TOTAL U.S. AGENCIES AND INSTRUMENTALITIES
(Cost -- $297,427)................................................. 297,427
- ------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 91.2%
225,000 AT&T Corporation matures 02/08/96.................................. 5.64 223,670
200,000 Bank of New York matures 01/26/96.................................. 5.78 199,205
200,000 Bankers Trust matures 03/05/96..................................... 5.69 198,009
200,000 Banque Paribas matures 01/12/96.................................... 5.79 199,649
250,000 Bear Stearns, Inc. matures 01/12/96................................ 5.80 249,559
200,000 Canadian Imperial Holdings, Inc. matures 01/04/96.................. 6.00 199,900
100,000 Cheltenham & Gloucester Building Society matures 02/12/96.......... 5.75 99,340
200,000 Ciesco, L.P. matures 01/26/96...................................... 5.78 199,208
200,000 Compagnie Bancaire USA Finance Corporation matures 01/03/96........ 5.81 199,936
200,000 Corporate Asset Funding Company, Inc. matures 01/19/96............. 5.78 199,430
200,000 Daimler-Benz North America Corporation matures 01/30/96............ 5.76 199,085
200,000 Dean Witter/Discover & Company matures 01/26/96.................... 5.79 199,205
200,000 Dresdner U.S. Finance, Inc. matures 01/22/96....................... 5.80 199,333
250,000 Ford Motor Credit Corporation matures 01/19/96..................... 5.78 249,283
200,000 General Electric Capital Corporation matures 02/15/96.............. 5.75 198,590
200,000 Goldman Sachs & Company matures 02/09/96........................... 5.79 198,761
150,000 Hanson Finance PLC matures 02/16/96................................ 5.75 148,915
225,000 J.P. Morgan & Company mature 01/31/96 to 02/16/96.................. 5.73 to 5.77 223,629
200,000 Kredit Bank NA Finance matures 01/31/96............................ 5.78 199,048
200,000 National & Provincial Building Society matures 03/18/96............ 5.75 197,600
200,000 Preferred Receivable Funding matures 01/30/96...................... 5.76 199,082
100,000 Province of British Columbia matures 06/01/96...................... 5.44 97,630
150,000 San Paolo US Finance, Inc. matures 03/01/96........................ 5.73 148,583
200,000 Sheffield Receivable Corporation matures 02/16/96.................. 5.74 198,553
200,000 Swedish Export Credit Corporation matures 02/09/96................. 5.71 198,774
100,000 Toronto Dominion Holdings USA, Inc. matures 01/08/96............... 5.81 99,889
250,000 Transamerica Finance Corporation matures 02/01/96.................. 5.74 248,775
- ------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost -- $5,172,641)........................ 5,172,641
- ------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.6%
204,000 Citibank, 5.80% due 01/03/96; Proceeds at maturity -- $204,131;
(Fully collateralized by U.S. Treasury Notes, 5.50% due 11/15/98;
Market value -- $208,090) (Cost -- $204,000)....................... 204,000
- ------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $5,674,068*).................... $5,674,068
- ------------------------------------------------------------------------------------------------------------
</TABLE>
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
11
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
INTERMEDIATE HIGH GRADE PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 33.7%
$1,000,000 Federal Home Loan Banks, 7.360% due 7/1/04................................... $ 1,098,710
870,000 U.S. Treasury Notes, 8.500% due 4/15/97...................................... 905,479
175,000 U.S. Treasury Notes, 6.375% due 1/15/99...................................... 180,402
870,000 U.S. Treasury Notes, 7.750% due 12/31/99..................................... 944,567
500,000 U.S. Treasury Notes, 8.750% due 8/15/00...................................... 568,275
205,000 U.S. Treasury Notes, 7.250% due 8/15/04...................................... 228,155
1,130,000 U.S. Treasury Notes, 8.125% due 8/15/19...................................... 1,420,207
- ---------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost -- $5,010,041)......................................................... 5,345,795
- ---------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 66.1%
BANKING/SAVINGS & LOANS -- 17.9%
700,000 ABN Amro Bank, Sub. Debenture, 7.250% due 5/31/05............................ 751,625
700,000 First Union Banc, Sub. Debenture, 7.500% due 4/15/35......................... 768,250
500,000 Malayan Banking, N.Y., Sub. Debenture, 7.125% due 9/15/05.................... 525,000
700,000 Republic New York Corporation, Debenture, 9.500% due 7/1/00.................. 798,000
- ---------------------------------------------------------------------------------------------------------
2,842,875
- ---------------------------------------------------------------------------------------------------------
FINANCE -- 14.0%
700,000 Associates Corporation N.A., 8.180% due 2/15/05.............................. 794,500
650,000 Ford Motor Credit Company, 8.000% due 10/1/96................................ 661,603
700,000 International Lease Finance Corporation, 8.250% due 1/15/00.................. 756,000
- ---------------------------------------------------------------------------------------------------------
2,212,103
- ---------------------------------------------------------------------------------------------------------
INSURANCE -- 9.0%
700,000 Massachusetts Mutual Life Insurance Company, 7.625% due 11/15/23............. 733,250
700,000 Metropolitan Life Insurance, 6.300% due 11/1/03.............................. 691,250
- ---------------------------------------------------------------------------------------------------------
1,424,500
- ---------------------------------------------------------------------------------------------------------
METALS & MINING -- 5.0%
700,000 Asarco, Inc., 8.500% due 5/1/25.............................................. 799,750
- ---------------------------------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 4.5%
700,000 International Paper Company, 8.640% due 3/15/96.............................. 704,375
- ---------------------------------------------------------------------------------------------------------
OIL SERVICES -- 6.4%
485,000 Mobil Corporation, 6.500% due 12/17/96....................................... 490,455
500,000 Shell Oil Company, 6.950% due 12/15/98....................................... 519,375
- ---------------------------------------------------------------------------------------------------------
1,009,830
- ---------------------------------------------------------------------------------------------------------
RETAIL -- 3.0%
470,000 Wal Mart Stores, Inc., Debenture, 8.000% due 5/1/96.......................... 474,113
- ---------------------------------------------------------------------------------------------------------
TELEPHONE & COMMUNICATION -- 4.7%
700,000 TCI Communications, Inc., 8.000% due 8/1/05.................................. 748,125
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
INTERMEDIATE HIGH GRADE PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
TRANSPORTATION -- 1.6%
$ 250,000 Boeing Company, 8.375% due 3/1/96............................................ $ 250,938
- ---------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $10,165,434)........................ 10,466,609
- ---------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.2%
36,000 Citibank, 5.800% due 1/2/96; Proceeds at maturity -- $36,023;
(Fully collateralized by U.S. Treasury Notes, 5.500% due 11/15/98;
Market value -- $36,722) (Cost -- $36,000)................................... 36,000
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $15,211,475*)............................. $15,848,404
- ---------------------------------------------------------------------------------------------------------
</TABLE>
* Aggregate cost for federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
13
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
U.S. GOVERNMENT SECTOR -- 27.7%
- ---------------------------------------------------------------------------------------------------------
$ 840,472 FHLMC, 9.000% due 9/1/21................................................... $ 880,654
11,433,731 GNMA, 9.000% due 9/15/21................................................... 12,123,299
1,295,458 GNMA, 8.000% due 12/15/21.................................................. 1,350,515
970,000 U.S. Treasury Notes, 6.125% due 12/31/96................................... 979,535
1,000,000 U.S. Treasury Notes, 4.750% due 9/30/98.................................... 988,030
- ---------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT SECTOR (Cost -- $16,181,005)......................... 16,322,033
- ---------------------------------------------------------------------------------------------------------
HIGH YIELD SECTOR -- 44.7%
- ---------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 42.0%
AEROSPACE AND DEFENSE -- 1.0%
350,000 Hownet, Inc., 10.000% due 12/1/03 (a)...................................... 367,500
225,000 Tracor, Inc., 10.875% due 8/15/01.......................................... 234,000
- ---------------------------------------------------------------------------------------------------------
601,500
- ---------------------------------------------------------------------------------------------------------
AUTOMOBILE/AUTO PARTS/TRUCK MANUFACTURING -- 0.7%
250,000 Harvard Industries Inc., 12.000% due 7/15/04............................... 264,375
150,000 Harvard Industries Inc., 11.125% due 8/1/05................................ 152,250
- ---------------------------------------------------------------------------------------------------------
416,625
- ---------------------------------------------------------------------------------------------------------
BROADCASTING - TV, CABLE, AND RADIO -- 8.0%
275,000 Alliance Entertainment, 11.250% due 7/15/05................................ 277,750
350,000 Australis Media Ltd. Units, step bond to yield 14.000% due 5/15/03......... 254,188
975,000 Bell Cable PLC, step bond to yield 11.875% due 9/15/05..................... 616,688
500,000 Bell Cablemedia PLC, step bond to yield 11.950% due 7/15/04................ 356,250
250,000 Cablevision Systems Corporation, 9.875% due 2/15/13........................ 266,250
600,000 Comcast UK Cable, step bond to yield 11.000% due 11/15/07.................. 352,500
200,000 Continental Cablevision, Inc., 11.000% due 6/1/07.......................... 224,000
200,000 EZ Communication, 9.750% due 12/1/05....................................... 201,000
250,000 Marcus Cable Company, 11.875% due 10/1/05.................................. 269,688
450,000 NWCG Holding, zero coupon due 6/15/99...................................... 311,625
325,000 Rogers Cablesystems Limited, 10.000% due 12/1/07........................... 349,781
400,000 Rogers Cablesystems Limited, 11.000% due 12/1/15........................... 431,500
250,000 Rogers Communications, Inc., 10.875% due 4/15/04........................... 261,875
400,000 Videotron Holdings, step bond to yield 11.000% due 8/15/05................. 249,000
250,000 Wireless One, 13.000% due 10/15/03......................................... 266,250
- ---------------------------------------------------------------------------------------------------------
4,688,345
- ---------------------------------------------------------------------------------------------------------
BUILDING/CONSTRUCTION -- 1.1%
350,000 American Standard, Inc., 11.375% due 5/15/04............................... 387,625
250,000 Greystone Homes, Inc., 10.750% due 3/1/04.................................. 233,750
50,000 Miles Home Services, Inc., 12.000% due 4/1/01.............................. 35,500
- ---------------------------------------------------------------------------------------------------------
656,875
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
CHEMICALS -- 1.9%
$ 375,000 Buckeye Cellulose, 8.500% due 12/15/05..................................... $ 387,656
400,000 NL Industries, Inc., 11.750% due 10/15/03.................................. 428,500
250,000 Terra Industries, Inc., 10.500% due 6/15/05................................ 276,250
- ---------------------------------------------------------------------------------------------------------
1,092,406
- ---------------------------------------------------------------------------------------------------------
CONSUMER DURABLE GOODS/HOME FURNISHINGS -- 1.5%
International Semi Tech Microelectronics, Inc., step bond to yield 11.500%
775,000 due 8/15/03................................................................ 422,375
250,000 Samsonite Corporation, 11.125% due 7/15/05................................. 245,625
200,000 TAG-Heuer International, 12.000% due 12/15/05 (a).......................... 201,500
- ---------------------------------------------------------------------------------------------------------
869,500
- ---------------------------------------------------------------------------------------------------------
DIVERSIFIED/CONGLOMERATE MANUFACTURING -- 0.7%
450,000 Interlake Corporation, 12.125% due 3/1/02.................................. 428,625
- ---------------------------------------------------------------------------------------------------------
DIVERSIFIED/CONGLOMERATE SERVICES -- 1.1%
250,000 Russel Metals, Inc., 10.250% due 6/15/00................................... 243,438
400,000 Williamhouse-Regency, 13.000% due 11/15/05 (a)............................. 421,000
- ---------------------------------------------------------------------------------------------------------
664,438
- ---------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 0.3%
173,166 Midland Funding Corporation I, 10.330% due 7/23/02......................... 180,526
- ---------------------------------------------------------------------------------------------------------
ELECTRONICS/COMPUTERS -- 1.2%
Bell & Howell Holdings Corporation, step bond to yield 11.500% due
375,000 3/1/05..................................................................... 247,500
175,000 Dictaphone Corporation, 11.750% due 8/1/05................................. 169,750
250,000 Graphic Controls Corporation, 12.000% due 9/15/05 (a)...................... 260,000
- ---------------------------------------------------------------------------------------------------------
677,250
- ---------------------------------------------------------------------------------------------------------
FOOD -- 0.7%
400,000 Van De Kamp, Inc., 12.000% due 9/15/05..................................... 416,000
- ---------------------------------------------------------------------------------------------------------
GROCERY/CONVENIENCE STORES -- 2.8%
200,000 Farm Fresh, Inc., 12.250% due 10/1/00...................................... 166,000
320,300 Kash N' Karry, 11.500% due 2/1/03.......................................... 333,112
180,000 P & C Food Markets, Inc., 11.500% due 10/15/01............................. 176,850
500,000 Pathmark Stores, Inc., 12.625% due 6/15/02................................. 517,500
450,000 Ralph's Grocery Company, 11.000% due 6/15/05............................... 446,625
- ---------------------------------------------------------------------------------------------------------
1,640,087
- ---------------------------------------------------------------------------------------------------------
HEALTHCARE/DRUGS/HOSPITAL SUPPLIES -- 1.0%
200,000 Magellan Health Services, Inc., 11.250% due 4/15/04........................ 220,060
330,000 Ornda Healthcorp, 12.250% due 5/15/02...................................... 363,413
- ---------------------------------------------------------------------------------------------------------
583,473
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
HOTEL/GAMING -- 4.8%
$ 350,000 Aztar Corporation, 13.750% due 10/1/04..................................... $ 390,250
370,000 Bally's Grand, Inc., 10.375% due 12/15/03.................................. 378,325
350,000 Boyd Gaming Corporation, 10.750% due 9/1/03................................ 371,000
400,000 Grand Casinos, 10.125% due 12/1/03......................................... 418,000
250,000 HMC Acquisition Properties, 9.000% due 12/15/07 (a)........................ 253,125
400,000 Mohegan Tribal Gaming, 13.500% due 11/15/02................................ 435,000
400,000 Station Casinos, Inc., 9.625% due 6/1/03................................... 394,000
160,632 Trump Taj Mahal Funding, Inc., 11.350% due 11/15/99........................ 154,608
- ---------------------------------------------------------------------------------------------------------
2,794,308
- ---------------------------------------------------------------------------------------------------------
INSURANCE COMPANIES -- 0.5%
250,000 Life Partners Group, Inc., 12.750% due 7/15/02............................. 271,250
- ---------------------------------------------------------------------------------------------------------
LEISURE/AMUSEMENT/MOTION PICTURES -- 1.0%
250,000 Coleman Holdings, Inc., zero coupon due 5/27/98............................ 202,500
185,897 Gillett Holdings, Inc., 12.250% due 6/30/02................................ 196,586
200,000 Remington Arms, Inc., 9.500% step bond to yield 10.000% due 12/1/03 (a).... 174,000
- ---------------------------------------------------------------------------------------------------------
573,086
- ---------------------------------------------------------------------------------------------------------
MACHINERY -- 0.3%
200,000 Day International Group, Inc., 11.125% due 6/1/05.......................... 206,000
- ---------------------------------------------------------------------------------------------------------
METALS/MINING -- 0.7%
250,000 Kaiser Aluminum & Chemical Corporation, 12.750% due 2/1/03................. 275,625
135,000 UCAR Global Enterprises, Inc., 12.000% due 1/15/05......................... 155,588
- ---------------------------------------------------------------------------------------------------------
431,213
- ---------------------------------------------------------------------------------------------------------
OIL/NATURAL GAS -- 1.8%
200,000 Clark USA, 10.875% due 12/1/05............................................. 210,000
375,000 Global Marine, 12.750% due 12/15/99........................................ 420,000
200,000 Santa Fe Energy Resources, Inc., 11.000% due 5/15/04....................... 221,250
225,000 United Meridian Corporation, 10.375% due 10/15/05.......................... 237,375
- ---------------------------------------------------------------------------------------------------------
1,088,625
- ---------------------------------------------------------------------------------------------------------
OTHER UTILITIES -- 0.8%
300,000 California Energy, 9.875% due 6/30/03...................................... 315,000
175,000 California Energy, step bond to yield 10.250% due 1/15/04.................. 164,063
- ---------------------------------------------------------------------------------------------------------
479,063
- ---------------------------------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS/PRINTING -- 2.3%
300,000 Domtar, Inc., 12.000% due 4/15/01.......................................... 354,000
250,000 Indah Kiat International Finance Company, 11.375% due 6/15/99.............. 261,250
200,000 Rapp International Finance, 13.250% due 12/15/05........................... 198,000
250,000 Repap New Brunswick, Inc., 10.625% due 4/15/05............................. 245,938
250,000 Tjiwi Kimia International Finance Company, 13.250% due 8/1/01.............. 272,188
- ---------------------------------------------------------------------------------------------------------
1,331,376
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
PERSONAL CARE PRODUCTS/COSMETICS -- 1.4%
$ 30,000 MacAndrews & Forbes Group, Inc., 12.250% due 7/1/96........................ $ 30,225
400,000 Revlon Consumer Products Corporation, 10.500% due 2/15/03.................. 410,000
550,000 Revlon Worldwide Corporation, zero coupon due 3/15/98...................... 409,063
- ---------------------------------------------------------------------------------------------------------
849,288
- ---------------------------------------------------------------------------------------------------------
PUBLISHING -- 0.6%
475,000 Marvel Holdings, Inc., Variable Rate B, zero coupon due 4/15/98............ 342,000
- ---------------------------------------------------------------------------------------------------------
REAL ESTATE DEVELOPMENT/REITS -- 0.5%
300,000 Trizec Finance, 10.875% due 10/15/05....................................... 312,000
- ---------------------------------------------------------------------------------------------------------
TELEPHONE/COMMUNICATIONS -- 4.2%
250,000 Clearnet Communications units, step bond to yield 14.750% due 12/15/05..... 130,000
600,000 Dial Call Communications, Inc., step bond to yield 12.250% due 4/15/04..... 343,500
100,000 Fonorola, Inc., 12.500% due 8/15/02........................................ 105,500
150,000 Metrocall, Inc., 10.375% due 10/1/07....................................... 159,750
200,000 Mobilemedia Corporation, 9.375% due 11/1/07................................ 207,000
650,000 Nextel Communications, Inc., step bond to yield 9.750% due 8/15/04......... 355,875
350,000 Paging Network, 10.125% due 8/1/07......................................... 381,063
650,000 Telewest Communications, Inc., step bond to yield 11.000% due 10/1/07...... 393,250
325,000 USA Mobile Communications, Inc., 14.000% due 11/1/04....................... 381,063
- ---------------------------------------------------------------------------------------------------------
2,457,001
- ---------------------------------------------------------------------------------------------------------
TEXTILES/APPAREL -- 0.3%
200,000 CMI Industries, Inc., 9.500% due 10/1/03................................... 161,000
- ---------------------------------------------------------------------------------------------------------
TOBACCO -- 0.3%
150,000 Consolidated Cigar Corporation, 10.500% due 3/1/03......................... 153,750
- ---------------------------------------------------------------------------------------------------------
TRANSPORTATION -- 0.5%
270,000 Sea Containers Ltd., Series A, 12.500% due 12/1/04......................... 291,600
- ---------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $24,020,620)...................... 24,657,210
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
PREFERRED CONVERTIBLE STOCK -- 2.7%
AUTOMOBILE/AUTO PARTS/TRUCK MANUFACTURING -- 0.4%
3,750 Navistar International Corporation, Series G, $6.00........................ 203,906
- ---------------------------------------------------------------------------------------------------------
HEALTHCARE/DRUGS/HOSPITAL SUPPLIES -- 1.1%
17,699 Foxmeyer Health Corporation, Series A, $4.20............................... 661,495
- ---------------------------------------------------------------------------------------------------------
METALS/MINING -- 0.3%
8,072 BCP/Essex Holdings, Inc., Series A, 15.000% (a)............................ 203,818
- ---------------------------------------------------------------------------------------------------------
PUBLISHING -- 0.4%
7,800 K-III Communications Corporation $2.875.................................... 212,550
- ---------------------------------------------------------------------------------------------------------
TELEPHONE/COMMUNICATIONS -- 0.5%
265 Panamsat Corporation Exchangeable 12.750%.................................. 294,813
- ---------------------------------------------------------------------------------------------------------
TOTAL PREFERRED CONVERTIBLE STOCK (Cost -- $1,503,300)..................... 1,576,582
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
WARRANTS -- 0.0%
BUILDING/CONSTRUCTION -- 0.0%
600 Miles Homes, Inc. Warrants, expire 4/1/97 (c).............................. $ 150
- ---------------------------------------------------------------------------------------------------------
TELEPHONE/COMMUNICATIONS -- 0.0%
600 Dial Page Inc., Warrants, expire 4/25/99 (c)............................... 6
- ---------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $8,250)............................................ 156
- ---------------------------------------------------------------------------------------------------------
TOTAL HIGH YIELD SECTOR (Cost -- $25,532,170).............................. 26,233,948
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
INTERNATIONAL SECTOR -- 27.6%
- ---------------------------------------------------------------------------------------------------------
BONDS -- 27.6%
ARGENTINA -- 0.4%
300,000 Argentina Discount Series L, 6.875% due 3/31/23++.......................... 196,500
500,000 Republic of Argentina Foreign, 6.563% due 5/31/96 (b)++.................... 49,875
- ---------------------------------------------------------------------------------------------------------
246,375
- ---------------------------------------------------------------------------------------------------------
AUSTRALIA -- 3.4%
400,000 New South Wales Treasury Corporation, 12.000% due 12/1/01.................. 352,729
350,000 News America, 8.625% due 2/1/14............................................ 229,772
1,200,000 Queensland Treasury Corporation, 8.000% due 5/14/97........................ 902,167
700,000 Queensland Treasury Corporation, 8.000% due 5/14/03........................ 513,897
- ---------------------------------------------------------------------------------------------------------
1,998,565
- ---------------------------------------------------------------------------------------------------------
CANADA -- 3.3%
1,000,000 Eksportfinans, 10.250% due 5/29/96......................................... 744,885
150,000 Government of Canada, 7.500% due 7/1/97.................................... 112,596
650,000 Government of Canada, 11.750% due 2/1/03................................... 604,335
100,000 International Finance Corporation, 7.750% due 8/18/98...................... 75,840
300,000 KFW International Finance, 9.500% due 5/13/02.............................. 244,840
250,000 Rogers Cablesystem, 9.650% due 1/15/14..................................... 160,615
- ---------------------------------------------------------------------------------------------------------
1,943,111
- ---------------------------------------------------------------------------------------------------------
DENMARK -- 1.1%
3,250,000 Kingdom of Denmark, 8.000% due 5/15/03..................................... 623,435
- ---------------------------------------------------------------------------------------------------------
FINLAND -- 2.1%
2,000,000 Finnish Export Credit, 6.000% due 1/15/99.................................. 461,171
3,000,000 Government of Finland, 9.500% due 3/15/04.................................. 782,797
- ---------------------------------------------------------------------------------------------------------
1,243,968
- ---------------------------------------------------------------------------------------------------------
FRANCE -- 2.7%
2,500,000 French Treasury Bill, 7.000% due 11/12/99.................................. 534,454
5,000,000 Government of France, 6.750% due 10/25/04.................................. 1,032,614
- ---------------------------------------------------------------------------------------------------------
1,567,068
- ---------------------------------------------------------------------------------------------------------
GERMANY -- 0.6%
500,000 Bundesrepublic, 6.500% due 7/15/03......................................... 363,865
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
IRELAND -- 2.8%
500,000 Republic of Ireland, 8.000% due 10/18/00................................... $ 842,268
500,000 Republic of Ireland, 8.750% due 7/27/97.................................... 834,656
- ---------------------------------------------------------------------------------------------------------
1,676,924
- ---------------------------------------------------------------------------------------------------------
ITALY -- 2.0%
500,000,000 Italy BTP, 12.000% due 1/1/98.............................................. 303,508
300,000,000 Italy BTP, 9.000% due 10/1/98.............................................. 184,771
500,000,000 Italy BTP, 8.500% due 1/1/99............................................... 325,664
600,000,000 Republic of Italy Foreign CCT, 11.600% due 8/1/99.......................... 382,401
- ---------------------------------------------------------------------------------------------------------
1,196,344
- ---------------------------------------------------------------------------------------------------------
MEXICO -- 1.1%
40,000,000 Banco Nacional, 13.000% due 1/29/97........................................ 327,662
500,000 Mexican Value Recovery Rights, expire 6/30/03 (c).......................... 0
500,000 United Mexican States, Series B, 6.250% due 12/31/19++..................... 327,500
- ---------------------------------------------------------------------------------------------------------
655,162
- ---------------------------------------------------------------------------------------------------------
NEW ZEALAND -- 1.5%
800,000 New Zealand Government, 9.000% due 11/15/96................................ 525,760
500,000 New Zealand Government, 10.000% due 3/15/02................................ 369,233
- ---------------------------------------------------------------------------------------------------------
894,993
- ---------------------------------------------------------------------------------------------------------
SPAIN -- 2.8%
180,000,000 Government of Spain, 12.250% due 3/25/00................................... 1,621,973
- ---------------------------------------------------------------------------------------------------------
SWEDEN -- 2.6%
4,500,000 Kingdom of Sweden, 10.750% due 1/23/97..................................... 695,770
5,000,000 Kingdom of Sweden, 11.000% due 1/21/99..................................... 811,819
- ---------------------------------------------------------------------------------------------------------
1,507,589
- ---------------------------------------------------------------------------------------------------------
UNITED KINGDOM -- 1.2%
400,000 United Kingdom Treasury Bill, 10.000% due 2/26/01.......................... 702,164
- ---------------------------------------------------------------------------------------------------------
TOTAL INTERNATIONAL SECTOR (Cost -- $15,319,142)........................... 16,241,536
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS AT VALUE -- 100% (Cost -- $57,032,317*).................. $58,797,517
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(b) Floating rate note.
(c) Non-income producing security.
+ Represents local currency.
++ U.S. Dollar denominated security.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
19
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS -- 74.7%
GAS -- 9.1%
20,000 El Paso Natural Gas Company.................................................. $ 567,500
20,000 Enron Corporation............................................................ 762,500
25,000 MCN Corporation.............................................................. 581,250
20,000 Panhandle Eastern Corporation................................................ 557,500
25,000 Washington Energy Company.................................................... 465,625
35,000 Westcoast Energy, Inc. ...................................................... 511,875
30,000 Williams Companies, Inc. .................................................... 1,316,250
- ---------------------------------------------------------------------------------------------------------
4,762,500
- ---------------------------------------------------------------------------------------------------------
TELECOMMUNICATION -- 10.8%
25,000 AT&T Corporation............................................................. 1,618,750
10,000 Ameritech Corporation........................................................ 590,000
20,000 Bellsouth Corporation........................................................ 870,000
20,000 GTE Corporation.............................................................. 880,000
15,000 NYNEX Corporation............................................................ 810,000
10,000 Sprint Corporation........................................................... 398,750
25,000 US West, Inc. (a) ........................................................... 475,000
- ---------------------------------------------------------------------------------------------------------
5,642,500
- ---------------------------------------------------------------------------------------------------------
UTILITIES -- 54.8%
15,000 Allegheny Power System, Inc. ................................................ 429,375
25,000 American Electric Power, Inc. ............................................... 1,012,500
30,000 Baltimore Gas & Electric Company............................................. 855,000
25,000 Boston Edison Company........................................................ 737,500
15,000 Carolina Power & Light Company............................................... 517,500
25,000 Central & South West Corporation............................................. 696,875
25,000 CINergy Corporation.......................................................... 765,625
20,000 CIPSCO, Inc. ................................................................ 780,000
10,000 Citizens Utilities Company, Class B Shares (a)............................... 126,250
25,000 Consolidated Edison Company of New York, Inc. ............................... 800,000
35,000 Detroit Edison Company....................................................... 1,207,500
30,000 DPL, Inc. ................................................................... 742,500
52,500 DQE, Inc. ................................................................... 1,614,375
40,000 FPL Group, Inc. ............................................................. 1,855,000
30,000 General Public Utilities Corporation......................................... 1,020,000
80,000 Houston Industries........................................................... 1,940,000
50,000 Illinova Corporation......................................................... 1,500,000
25,000 New England Electric System.................................................. 990,625
35,000 NIPSCO Industries, Inc. ..................................................... 1,338,750
25,000 Ohio Edison Company.......................................................... 587,500
30,000 PECO Energy Company.......................................................... 903,750
25,000 Portland General Corporation................................................. 728,125
25,000 Public Service Company of Colorado........................................... 884,375
25,000 Public Service Company of New Mexico (a)..................................... 440,625
35,000 Public Service Enterprise Group, Inc. ....................................... 1,071,875
25,000 San Diego Gas & Electric Company............................................. 593,750
25,000 SCANA Corporation............................................................ 715,625
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
UTILITIES -- 54.8% (CONTINUED)
30,000 Southern Company............................................................. $ 738,750
20,000 Tenneco, Inc. ............................................................... 992,500
30,000 Texas Utilities Company...................................................... 1,233,750
25,000 Unicom Corporation........................................................... 818,750
- ---------------------------------------------------------------------------------------------------------
28,638,750
- ---------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $33,067,069).................................... 39,043,750
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
CORPORATE BONDS AND NOTES -- 18.5%
Arizona Public Service Company, First Mortgage:
$ 250,000 7.250% due 8/01/23......................................................... 255,313
250,000 8.750% due 1/15/24......................................................... 294,375
200,000 8.000% due 2/01/25......................................................... 220,750
255,000 Central Illinois Public Service Company, 8.500% due 5/15/22.................. 276,038
200,000 Cincinnati Gas & Electric Company, 8.500% due 9/01/22........................ 217,500
250,000 Commonwealth Edison Company, 8.375% due 9/15/22.............................. 272,500
250,000 Dayton Power & Light Company, First Mortgage, 8.150% due 1/15/26............. 288,438
Duquesne Light Company, 1st Collateral Trust:
200,000 8.375% due 5/15/24......................................................... 222,000
250,000 7.550% due 6/15/25......................................................... 259,375
200,000 Idaho Power Company, First Mortgage, 8.750% due 3/15/27...................... 233,250
500,000 Illinois Power Company, 8.000% due 2/15/23................................... 529,375
300,000 Kentucky Utilities Company, First Mortgage, 8.550% due 5/15/27............... 356,625
Madison Gas & Electric Company, First Mortgage:
200,000 8.500% due 4/15/22......................................................... 234,000
500,000 7.700% due 2/15/28......................................................... 548,125
250,000 Midwest Power Systems, Inc., 8.125% due 2/01/23.............................. 265,000
200,000 New England Power Company, General & Reference, 8.000% due 8/01/22........... 226,750
New York State Electric & Gas Corporation, First Mortgage:
250,000 8.300% due 12/15/22........................................................ 273,125
250,000 7.450% due 7/15/23......................................................... 259,063
250,000 Niagara Mohawk Power, 8.500% due 7/01/23..................................... 224,063
250,000 Pacific Gas & Electric Company, 6.750% due 10/01/23.......................... 239,375
500,000 Pennsylvania Power & Light Company, 8.500% due 5/01/22....................... 581,250
300,000 Public Service Company, Oklahoma, First Mortgage, 7.375% due 4/01/23......... 322,125
198,000 Public Service Electric & Gas Company, 1st & Refunding, 8.750% due 2/01/22... 219,780
200,000 San Diego Gas & Electric Company, 8.500% due 4/01/22......................... 237,750
550,000 Tampa Electric, 7.750% due 11/01/22.......................................... 613,250
500,000 Texas Utilities, 7.625% due 7/01/25.......................................... 515,000
250,000 Virginia Electric & Power Company, First Mortgage, 7.500% due 6/01/23........ 267,813
400,000 Wisconsin Electric Power Company, First Mortgage, 7.050% due 8/01/24......... 409,500
300,000 Wisconsin Power & Light Company, Note, 8.600% due 3/15/27.................... 354,750
425,000 Wisconsin Public Service Corporation, First Mortgage, 7.125% due 7/01/23..... 438,810
- ---------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $8,859,492)......................... 9,655,068
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENT -- 6.8%
$3,526,000 Citibank, 5.796% due 1/02/96; Proceeds at maturity -- $3,528,271;
(Fully collateralized by U.S. Treasury Notes, 5.500% due 11/15/98;
Market value -- $3,596,696) (Cost -- $3,526,000)............................. $ 3,526,000
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $45,452,561*)............................. $52,224,818
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
22
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS -- 92.0%
BASIC INDUSTRIES -- 6.8%
360 Air Products & Chemicals, Inc. ................................................ $ 18,990
700 Alcan Aluminum Ltd. ........................................................... 21,788
340 Alco Standard Corporation...................................................... 15,513
880 Allied Signal, Inc. ........................................................... 41,800
560 Aluminum Company of America.................................................... 29,610
550 Applied Materials, Inc. (a).................................................... 21,656
330 Armco, Inc. (a)................................................................ 1,939
130 ASARCO, Inc. .................................................................. 4,160
160 Avery Dennison Corporation..................................................... 8,020
1,100 Barrick Gold Corporation....................................................... 29,013
160 Bemis, Inc. ................................................................... 4,100
340 Bethlehem Steel Corporation (a)................................................ 4,760
80 B.F. Goodrich Company.......................................................... 5,450
140 Boise Cascade Corporation...................................................... 4,848
300 Champion International Corporation............................................. 12,600
280 Cyprus Amax Minerals Company................................................... 7,315
820 Dow Chemical Company........................................................... 57,708
1,730 E.I. du Pont De Nemours & Company ............................................. 120,884
400 Echo Bay Mines Ltd. ........................................................... 4,150
445 Engelhard Corporation.......................................................... 9,679
150 Federal Paper Board Company, Inc. ............................................. 7,781
110 FMC Corporation (a)............................................................ 7,439
630 Freeport-McMoRan Copper & Gold Corporation, Class B Shares..................... 17,719
140 General Signal Corporation..................................................... 4,533
290 Georgia Pacific Corporation.................................................... 19,901
200 Great Lakes Chemical Corporation............................................... 14,400
150 Harnischfeger Industries, Inc. ................................................ 4,988
360 Hercules, Inc. ................................................................ 20,295
420 Homestake Mining Company....................................................... 6,563
360 Inco Ltd. ..................................................................... 11,970
150 Inland Steel Industries, Inc. ................................................. 3,769
820 International Paper Company.................................................... 31,058
370 ITT Industries, Inc. .......................................................... 8,880
260 James River Corporation of Virginia............................................ 6,273
856 Kimberly Clark Corporation..................................................... 70,834
330 Louisiana Pacific Corporation.................................................. 8,003
170 Mead Corporation............................................................... 8,883
370 Monsanto Company............................................................... 45,325
460 Morton International Industries, Inc. ......................................... 16,503
30 Nacco Industries, Inc. ........................................................ 1,665
200 Nalco Chemical Company......................................................... 6,025
289 Newmont Mining Corporation..................................................... 13,077
270 Nucor Corporation.............................................................. 15,424
210 Phelps Dodge Corporation....................................................... 13,073
750 Placer Dome, Inc. ............................................................. 18,094
90 Potlatch Corporation........................................................... 3,600
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
BASIC INDUSTRIES -- 6.8% (CONTINUED)
610 PPG Industries, Inc. .......................................................... $ 27,908
430 Praxair, Inc. ................................................................. 14,459
190 Reynolds Metals Company........................................................ 10,759
200 Rohm & Haas Company............................................................ 12,875
150 Sigma-Aldrich Corporation...................................................... 7,425
312 Stone Container Corporation.................................................... 4,485
170 Temple Inland, Inc. ........................................................... 7,501
90 Trinova Corporation............................................................ 2,576
210 Union Camp Corporation......................................................... 10,001
420 Union Carbide Corporation...................................................... 15,750
250 USX-U.S. Steel Group........................................................... 7,688
310 Westvaco Corporation........................................................... 8,603
630 Weyerhaeuser Company........................................................... 27,248
170 Willamette Industries.......................................................... 9,563
1,520 WMX Technologies, Inc. ........................................................ 45,410
280 Worthington Industries, Inc. .................................................. 5,817
300 W.R. Grace & Company........................................................... 17,738
- ---------------------------------------------------------------------------------------------------------
1,045,864
- ---------------------------------------------------------------------------------------------------------
CAPITAL GOODS -- 7.1%
110 Armstrong World Industries, Inc. .............................................. 6,820
1,065 Boeing Company................................................................. 83,469
90 Briggs & Stratton Corporation.................................................. 3,904
650 Browning Ferris Industries, Inc. .............................................. 19,175
620 Caterpillar, Inc. ............................................................. 36,425
80 Centex Corporation............................................................. 2,780
100 Cincinnati Milacron, Inc. ..................................................... 2,625
330 Cooper Industries, Inc. ....................................................... 12,128
90 Crane Company.................................................................. 3,319
120 Cummins Engine, Inc. .......................................................... 4,440
310 Dana Corporation............................................................... 9,068
820 Deere & Company................................................................ 28,905
350 Dover Corporation.............................................................. 12,906
240 Eaton Corporation.............................................................. 12,870
180 Echlin, Inc. .................................................................. 6,570
705 Emerson Electric Company....................................................... 57,634
250 Fluor Corporation.............................................................. 16,500
120 Foster Wheeler Corporation..................................................... 5,100
190 General Dynamics Corporation................................................... 11,234
5,190 General Electric Company....................................................... 373,680
100 Giddings & Lewis, Inc. ........................................................ 1,650
370 Illinois Tool Works, Inc. ..................................................... 21,830
340 Ingersoll Rand Company......................................................... 11,943
120 Johnson Controls, Inc. ........................................................ 8,250
100 Kaufman & Broad Home Corporation............................................... 1,488
626 Lockheed Martin Corporation.................................................... 49,454
340 McDonnell Douglas Corporation.................................................. 31,280
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
CAPITAL GOODS -- 7.1% (CONTINUED)
300 Moore Corporation Ltd. ........................................................ $ 5,588
250 Navistar International Corporation (a)......................................... 2,625
150 Northrop Grumman Corporation................................................... 9,600
150 Ogden Corporation.............................................................. 3,206
150 Owens-Corning Fiberglass Corporation (a)....................................... 6,731
115 Paccar, Inc. .................................................................. 4,844
220 Parker Hannifin Corporation.................................................... 7,535
130 Raychem Corporation............................................................ 7,394
760 Raytheon Corporation........................................................... 35,910
680 Rockwell International Corporation............................................. 35,955
410 Santa Fe Pacific Gold Corporation.............................................. 4,971
130 Stanley Works.................................................................. 6,695
170 Teledyne, Inc. ................................................................ 4,356
260 Textron, Inc. ................................................................. 17,550
100 Timken Company................................................................. 3,825
60 Thomas & Betts Corporation..................................................... 4,425
200 TRW, Inc. ..................................................................... 15,500
470 Tyco International Ltd. ....................................................... 16,744
390 United Technologies Corporation................................................ 37,001
120 Varity Corporation (a)......................................................... 4,455
1,300 Westinghouse Electric Corporation.............................................. 21,448
150 W.W. Grainger, Inc. ........................................................... 9,938
- ---------------------------------------------------------------------------------------------------------
1,101,743
- ---------------------------------------------------------------------------------------------------------
CONSUMER DURABLES -- 2.7%
260 Black & Decker Corporation..................................................... 9,165
1,200 Chrysler Corporation........................................................... 66,450
250 Cooper Tire & Rubber Company................................................... 6,156
710 Corning, Inc. ................................................................. 22,720
140 Fleetwood Enterprises, Inc. ................................................... 3,605
3,340 Ford Motor Company............................................................. 96,860
2,330 General Motors Corporation..................................................... 123,199
380 Genuine Parts Company.......................................................... 15,580
470 Goodyear Tire & Rubber Company................................................. 21,326
490 Masco Corporation.............................................................. 15,374
330 Maytag Corporation............................................................. 6,683
490 Newell Company................................................................. 12,679
60 Outboard Marine Corporation.................................................... 1,223
80 Pulte Corporation.............................................................. 2,690
120 Snap-On Tools, Inc. ........................................................... 5,430
220 Whirlpool Corporation.......................................................... 11,714
- ---------------------------------------------------------------------------------------------------------
420,854
- ---------------------------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 12.5%
560 American Brands, Inc. ......................................................... 24,990
800 Anheuser Busch Companies, Inc. ................................................ 53,500
1,647 Archer Daniels Midland Company................................................. 29,646
210 Avon Products, Inc. ........................................................... 15,829
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
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SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
CONSUMER NON-DURABLES -- 12.5% (CONTINUED)
90 Ball Corporation............................................................... $ 2,475
210 Brown Forman Corporation, Class B Shares....................................... 7,665
770 Campell Soup Company........................................................... 46,200
160 Clorox Company................................................................. 11,460
3,900 Coca Cola Company.............................................................. 289,575
460 Colgate Palmolive Company...................................................... 32,315
730 Conagra, Inc. ................................................................. 30,113
110 Coors, Adolph Company, Class B Shares.......................................... 2,434
450 CPC International, Inc. ....................................................... 30,881
280 Crown Cork & Seal, Inc. (a).................................................... 11,690
290 Dial Corporation............................................................... 8,591
245 Eastman Chemical Company....................................................... 15,343
1,070 Eastman Kodak Company.......................................................... 71,690
230 Fruit of the Loom, Inc. (a).................................................... 5,606
490 General Mills, Inc. ........................................................... 28,298
1,390 Gillette Company............................................................... 72,454
270 Hasbro, Inc. .................................................................. 8,370
240 Hershey Foods Corporation...................................................... 15,600
1,145 H.J. Heinz Company............................................................. 37,928
340 International Flavors & Fragrances, Inc. ...................................... 16,320
670 Kellogg Company................................................................ 51,758
230 Liz Claiborne, Inc. ........................................................... 6,383
686 Mattel, Inc. .................................................................. 21,095
2,170 McDonalds Corporation.......................................................... 97,921
450 Nike Inc., Class B Shares...................................................... 31,331
2,450 PepsiCo, Inc. ................................................................. 136,894
2,600 Philip Morris Company, Inc. ................................................... 235,300
250 Pioneer Hi Bred International, Inc. ........................................... 13,906
140 Polaroid Corporation........................................................... 6,633
180 Premark International, Inc. ................................................... 9,113
2,140 Procter & Gamble Company....................................................... 177,620
410 Quaker Oats Company............................................................ 14,145
320 Ralston Purina Group........................................................... 19,960
240 Reebok International Ltd. ..................................................... 6,780
480 Rubbermaid, Inc. .............................................................. 12,240
120 Russell Corporation............................................................ 3,330
1,490 Sara Lee Corporation........................................................... 47,494
1,150 Seagram Ltd. .................................................................. 39,819
260 Sherwin Williams Company....................................................... 10,595
150 Stride Rite Corporation........................................................ 1,125
500 Unilever N.V. ................................................................. 70,375
600 UST, Inc. ..................................................................... 20,025
190 VF Corporation................................................................. 10,023
320 Whitman Corporation............................................................ 7,440
360 Wrigley Jr. Company............................................................ 18,896
- ---------------------------------------------------------------------------------------------------------
1,939,174
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
CONSUMER SERVICES -- 8.4%
790 Albertsons, Inc. .............................................................. $ 25,971
230 American Greetings Corporation, Class A Shares................................. 6,354
450 American Stores Company........................................................ 12,038
140 Bally Entertainment Corporation (a)............................................ 1,960
6 Brunos, Inc. .................................................................. 63
50 Brown Group, Inc. ............................................................. 713
290 Brunswick Corporation.......................................................... 6,960
480 Capital Cities ABC, Inc. ...................................................... 59,220
320 Charming Shoppes, Inc. ........................................................ 920
300 Circuit City Stores, Inc. ..................................................... 8,288
740 Comcast Corporation, Class A Shares, (Special)................................. 13,459
20 Cox Communications, Class A Shares (a)......................................... 390
570 CUC International, Inc. (a).................................................... 19,451
490 Darden Restaurants, Inc. ...................................................... 5,819
220 Dayton Hudson Corporation...................................................... 16,500
250 Deluxe Corporation............................................................. 7,250
350 Dillard Department Stores, Inc., Class A Shares................................ 9,975
300 Dow Jones & Company, Inc. ..................................................... 11,963
530 Dun & Bradstreet Corporation................................................... 34,318
200 Ecolab, Inc. .................................................................. 6,000
620 Federated Department Stores, Inc. (a).......................................... 17,050
110 Fleming Companies, Inc. ....................................................... 2,269
440 Gannett, Inc. ................................................................. 27,005
440 Gap, Inc. ..................................................................... 18,480
180 Giant Food Inc., Class A Shares................................................ 5,670
110 Great Atlantic & Pacific Tea Company, Inc. .................................... 2,530
100 Handleman Company.............................................................. 575
220 Harcourt General, Inc. ........................................................ 9,213
310 Harrah's Entertainment, Inc. (a)............................................... 7,518
140 Hilton Hotels Corporation...................................................... 8,610
1,483 Home Depot, Inc. .............................................................. 70,999
240 Interpublic Group Companies, Inc. ............................................. 10,410
700 J.C. Penney Company, Inc. ..................................................... 33,338
100 John H. Harland Company........................................................ 2,088
120 Jostens, Inc. ................................................................. 2,910
1,420 K Mart Corporation............................................................. 10,295
110 King World Productions, Inc. (a)............................................... 4,276
150 Knight Ridder, Inc. ........................................................... 9,375
380 Kroger Company (a)............................................................. 14,250
910 Laidlaw, Inc., Class B Shares.................................................. 9,328
1,110 Limited, Inc. ................................................................. 19,286
60 Longs Drug Stores Corporation.................................................. 2,873
490 Lowe's Companies, Inc. ........................................................ 16,415
70 Lubys Cafeterias, Inc. ........................................................ 1,558
390 Marriott International, Inc. .................................................. 14,918
780 May Department Stores Company.................................................. 32,955
150 McGraw Hill Companies, Inc. ................................................... 13,069
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
CONSUMER SERVICES -- 8.4% (CONTINUED)
320 Melville Corporation........................................................... $ 9,840
110 Mercantile Stores, Inc. ....................................................... 5,088
80 Meredith Corporation........................................................... 3,350
140 National Service Industries, Inc. ............................................. 4,533
300 New York Times Company, Class A Shares......................................... 8,888
250 Nordstrom, Inc. ............................................................... 10,125
190 Pep Boys....................................................................... 4,869
610 Price Costco, Inc. (a)......................................................... 9,303
250 Rite Aid Corporation........................................................... 8,563
470 R.R. Donnelley & Sons Company.................................................. 18,506
160 Ryan's Family Steak Houses, Inc. (a)........................................... 1,120
170 Safety-Kleen Corporation....................................................... 2,656
1,220 Sears Roebuck & Company........................................................ 47,580
380 Service Corporation International.............................................. 16,720
120 Shoney's, Inc. (a)............................................................. 1,230
60 Springs Industries, Inc. ...................................................... 2,483
210 SuperValu, Inc. ............................................................... 6,615
580 Sysco Corporation.............................................................. 18,850
200 Tandy Corporation.............................................................. 8,300
2,030 Tele-Communications, Inc., Class A Shares (a).................................. 40,346
1,210 Time Warner, Inc. ............................................................. 45,829
340 Times Mirror Company, Series A................................................. 11,518
220 TJX Companies, Inc. ........................................................... 4,153
840 Toys 'R' Us, Inc. (a).......................................................... 18,270
200 Tribune Company................................................................ 12,225
1,150 Viacom, Inc., Class B Shares (a)............................................... 54,481
760 Walgreen Company............................................................... 22,705
7,120 Wal-Mart Stores, Inc. ......................................................... 159,310
1,630 Walt Disney Company............................................................ 96,170
320 Wendy's International, Inc. ................................................... 6,800
460 Winn Dixie Stores, Inc. ....................................................... 16,963
410 Woolworth Corporation.......................................................... 5,319
- ---------------------------------------------------------------------------------------------------------
1,297,583
- ---------------------------------------------------------------------------------------------------------
ENERGY -- 9.2%
280 Amerada Hess Corporation....................................................... 14,840
1,540 Amoco Corporation.............................................................. 110,688
190 Ashland, Inc. ................................................................. 6,674
490 Atlantic Richfield Company..................................................... 54,268
430 Baker Hughes, Inc. ............................................................ 10,481
400 Burlington Resources, Inc. .................................................... 15,700
2,020 Chevron Corporation............................................................ 106,050
480 CINergy Corporation............................................................ 14,700
320 Coastal Corporation............................................................ 11,920
570 Dresser Industries, Inc. ...................................................... 13,894
60 Eastern Enterprises............................................................ 2,115
770 Enron Corporation.............................................................. 29,356
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
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SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
ENERGY -- 9.2% (CONTINUED)
210 Enserch Corporation............................................................ $ 3,413
3,860 Exxon Corporation.............................................................. 309,283
360 Halliburton Company............................................................ 18,225
70 Helmerich & Payne, Inc. ....................................................... 2,083
150 Kerr McGee Corporation......................................................... 9,525
400 LSI Logic (a).................................................................. 13,100
100 Louisiana Land & Exploration Company........................................... 4,288
160 McDermott International, Inc. ................................................. 3,520
1,230 Mobil Corporation.............................................................. 137,760
380 Noram Energy Corporation....................................................... 3,373
980 Occidental Petroleum Corporation............................................... 20,948
320 Oryx Energy Company (a)........................................................ 4,280
460 Panhandle Eastern Corporation.................................................. 12,823
140 Pennzoil Company............................................................... 5,915
810 Phillips Petroleum Company..................................................... 27,641
120 Pittston Co. Services Group.................................................... 3,765
260 Rowan Companies, Inc. (a)...................................................... 2,568
1,670 Royal Dutch Petroleum Company.................................................. 235,679
280 Santa Fe Energy Resources, Inc. (a)............................................ 2,695
750 Schlumberger Ltd. ............................................................. 51,938
260 Sonat, Inc. ................................................................... 9,263
231 Sun, Inc. ..................................................................... 6,324
540 Tenneco, Inc. ................................................................. 26,798
820 Texaco, Inc. .................................................................. 64,370
760 Unocal Corporation............................................................. 22,135
890 USX-Marathon Group............................................................. 17,355
160 Western Atlas, Inc. (a)........................................................ 8,080
308 Williams Company, Inc. ........................................................ 13,507
- ---------------------------------------------------------------------------------------------------------
1,431,340
- ---------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 12.4%
370 Aetna Life & Casualty Company.................................................. 25,623
150 Alexander & Alexander Services, Inc. .......................................... 2,850
1,395 Allstate Corporation........................................................... 57,369
1,560 American Express Company....................................................... 64,545
650 American General Corporation................................................... 22,669
1,490 American International Group, Inc. ............................................ 137,825
1,230 Banc One Corporation........................................................... 46,433
360 Bank of Boston Corporation..................................................... 16,650
630 Bank of New York............................................................... 30,713
1,148 BankAmerica Corporation........................................................ 74,333
260 Bankers Trust of New York Corporation.......................................... 17,290
320 Barnett Banks, Inc. ........................................................... 18,880
180 Beneficial Corporation......................................................... 8,393
410 Boatmens Bancshares, Inc. ..................................................... 16,759
560 Chase Manhattan Corporation.................................................... 33,950
790 Chemical Banking Corporation................................................... 46,413
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<pg$pcn>
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- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
FINANCIAL SERVICES -- 12.4% (CONTINUED)
290 Chubb Corporation.............................................................. $ 28,058
240 CIGNA Corporation.............................................................. 24,780
1,330 CitiCorp....................................................................... 89,443
350 Comerica, Inc. ................................................................ 14,044
450 CoreStates Financial Corporation............................................... 17,044
534 Dean Witter Discover & Company................................................. 25,098
570 Federal Home Loan Mortgage Corporation......................................... 47,595
850 Federal National Mortgage Association.......................................... 105,506
410 First Bank System, Inc. ....................................................... 20,346
995 First Chicago NBD Corporation.................................................. 39,303
690 First Data Corporation......................................................... 46,144
270 First Fidelity BanCorp......................................................... 20,351
240 First Interstate BanCorp....................................................... 32,760
540 First Union Corporation........................................................ 30,038
770 Fleet Financial Group, Inc. ................................................... 31,378
270 General Re Corporation......................................................... 41,850
200 Golden Western Financial Corporation of Delaware............................... 11,050
440 Great Western Financial Corporation............................................ 11,220
380 H.F. Ahmanson & Company........................................................ 10,070
320 Household International, Inc. ................................................. 18,920
340 H & R Block, Inc. ............................................................. 13,770
380 ITT Hartford Group (a)......................................................... 18,383
230 Jefferson Pilot Corporation.................................................... 10,695
590 J.P. Morgan & Company, Inc. ................................................... 47,348
750 KeyCorp........................................................................ 27,188
340 Lincoln National Corporation................................................... 18,275
380 Loews Corporation.............................................................. 29,783
240 Marsh & McLennan Companies, Inc. .............................................. 21,300
470 MBNA Corporation............................................................... 17,331
450 Mellon Bank Corporation........................................................ 24,188
560 Merrill Lynch & Company, Inc. ................................................. 28,560
260 Morgan Stanley Group, Inc. .................................................... 20,963
470 National City Corporation...................................................... 15,569
844 NationsBank Corporation........................................................ 58,764
1,100 Norwest Corporation............................................................ 36,300
720 PNC Bank Corporation........................................................... 23,220
310 Providian Corporation.......................................................... 12,633
185 Republic New York Corporation.................................................. 11,493
410 SAFECO Corporation............................................................. 14,145
340 Salomon, Inc. ................................................................. 12,070
280 St. Paul Companies, Inc. ...................................................... 15,575
370 Suntrust Bank, Inc. ........................................................... 25,345
240 Torchmark Corporation.......................................................... 10,860
230 Transamerica Corporation....................................................... 16,761
240 UNUM Corporation............................................................... 13,200
360 USF & G Corporation............................................................ 6,075
120 USLIFE Corporation............................................................. 3,585
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
FINANCIAL SERVICES -- 12.4% (CONTINUED)
500 U.S. BanCorp of Oregon......................................................... $ 16,813
540 Wachovia Corporation........................................................... 24,705
150 Wells Fargo & Company.......................................................... 32,391
- ---------------------------------------------------------------------------------------------------------
1,912,981
- ---------------------------------------------------------------------------------------------------------
HEALTH CARE -- 9.9%
2,450 Abbott Laboratories............................................................ 102,288
250 ALZA Corporation (a)........................................................... 6,188
200 Allergan, Inc. ................................................................ 6,500
970 American Home Products Corporation............................................. 94,090
820 Amgen, Inc. (a)................................................................ 48,688
170 Bausch & Lomb, Inc. ........................................................... 6,736
850 Baxter International, Inc. .................................................... 35,594
200 Becton, Dickinson & Company.................................................... 15,000
300 Beverly Enterprises, Inc. (a).................................................. 3,188
360 Biomet, Inc. (a)............................................................... 6,435
470 Boston Scientific Corporation (a).............................................. 23,030
1,560 Bristol-Myers-Squibb Company................................................... 133,965
1,382 Columbia/HCA Healthcare Corporation............................................ 70,137
130 Community Psychiatric Centers.................................................. 1,593
170 C.R. Bard, Inc. ............................................................... 5,483
1,710 Eli Lilly & Company............................................................ 96,188
500 Humana, Inc. (a)............................................................... 13,688
2,020 Johnson & Johnson.............................................................. 172,963
230 Mallinckrodt Group, Inc. ...................................................... 8,366
190 Manor Care, Inc. .............................................................. 6,650
720 Medtronic, Inc. ............................................................... 40,230
3,830 Merck & Company, Inc. ......................................................... 251,823
140 Millipore Corporation.......................................................... 5,758
353 Pall Corporation............................................................... 9,487
1,980 Pfizer, Inc. .................................................................. 124,740
1,560 Pharmacia & Upjohn (a)......................................................... 60,450
1,140 Schering-Plough Corporation.................................................... 62,415
210 St. Jude Medical, Inc. (a)..................................................... 9,030
610 Tenet Healthcare Corporation (a)............................................... 12,658
540 United Healthcare Corporation.................................................. 35,370
170 United States Surgical Corporation............................................. 3,634
470 US Healthcare, Inc. ........................................................... 21,855
420 Warner Lambert Company......................................................... 40,786
- ---------------------------------------------------------------------------------------------------------
1,535,006
- ---------------------------------------------------------------------------------------------------------
TECHNOLOGY -- 10.1%
320 Advanced Micro Devices, Inc. .................................................. 5,280
580 ALLTEL Corporation............................................................. 17,110
370 Amdahl Corporation (a)......................................................... 3,145
666 Amp, Inc. ..................................................................... 25,558
120 Andrew Corporation (a)......................................................... 4,590
380 Apple Computer, Inc. .......................................................... 12,113
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
<S> <C>
TECHNOLOGY -- 10.1% (CONTINUED)
140 Autodesk, Inc. ................................................................ $ 4,795
440 Automatic Data Processing, Inc. ............................................... 32,670
220 Cabletron Systems, Inc. (a).................................................... 17,820
140 Ceridian Corporation (a)....................................................... 5,775
860 Cisco Systems, Inc. (a)........................................................ 64,178
820 Compaq Computer Corporation (a)................................................ 39,360
752 Computer Associates International, Inc. ....................................... 42,770
165 Computer Sciences Corporation (a).............................................. 11,591
70 Cray Research, Inc. (a)........................................................ 1,733
110 Data General Corporation (a)................................................... 1,513
460 Digital Equipment Corporation (a).............................................. 29,498
350 DSC Communications Corporation (a)............................................. 12,906
150 EG & G, Inc. .................................................................. 3,638
120 Harris Corporation............................................................. 6,555
1,600 Hewlett Packard Company........................................................ 134,000
390 Honeywell, Inc. ............................................................... 18,964
2,560 Intel Corporation.............................................................. 145,280
140 Intergraph Corporation (a)..................................................... 2,205
1,770 International Business Machines Corporation.................................... 162,398
370 ITT Corporation (a)............................................................ 19,610
530 Loral Corporation.............................................................. 18,749
630 Micron Technology, Inc. ....................................................... 24,964
1,850 Microsoft Corporation (a)...................................................... 162,338
1,310 Minnesota Mining & Manufacturing Company....................................... 86,788
1,830 Motorola, Inc. ................................................................ 104,310
420 National Semiconductor Corporation (a)......................................... 9,345
780 Northern Telecom Ltd. ......................................................... 33,540
1,150 Novell, Inc. (a)............................................................... 16,388
1,350 Oracle Corporation (a)......................................................... 57,206
130 Perkin-Elmer Corporation....................................................... 4,908
470 Pitney Bowes, Inc. ............................................................ 22,090
230 Scientific Atlanta, Inc. ...................................................... 3,450
70 Shared Medical Systems Corporation............................................. 3,806
500 Silicon Graphics, Inc. (a)..................................................... 13,750
580 Sun Microsystems, Inc. (a)..................................................... 26,463
360 Tandem Computers, Inc. (a)..................................................... 3,825
100 Tektronix, Inc. ............................................................... 4,913
270 Tellabs, Inc. (a).............................................................. 9,990
500 Threecom Corporation (a)....................................................... 23,313
580 Texas Instruments, Inc. ....................................................... 30,015
660 Unicom Corporation............................................................. 21,615
530 Unisys Corporation (a)......................................................... 2,981
340 Xerox Corporation.............................................................. 46,573
- ---------------------------------------------------------------------------------------------------------
1,556,375
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
TRANSPORTATION -- 1.5%
230 AMR Corporation (a)............................................................ $ 17,078
450 Burlington Northern Santa Fe Corporation....................................... 35,100
250 Conrail, Inc. ................................................................. 17,500
130 Consolidated Freightways, Inc. ................................................ 3,445
660 CSX Corporation................................................................ 30,113
155 Delta Air Lines, Inc. ......................................................... 11,451
170 Federal Express Corporation (a)................................................ 12,559
410 Norfolk Southern Corporation................................................... 32,544
120 Roadway Services, Inc. ........................................................ 5,865
240 Ryder Systems, Inc. ........................................................... 5,940
440 Southwest Airlines Company..................................................... 10,230
640 Union Pacific Corporation...................................................... 42,240
190 USAir Group, Inc. (a).......................................................... 2,518
80 Yellow Corporation............................................................. 988
- ---------------------------------------------------------------------------------------------------------
227,571
- ---------------------------------------------------------------------------------------------------------
UTILITIES -- 11.4%
1,540 Airtouch Communications (a).................................................... 43,505
570 American Electric Power, Inc. ................................................. 23,085
4,940 AT&T Corporation............................................................... 319,865
1,730 Ameritech Corporation.......................................................... 102,070
450 Baltimore Gas & Electric Company............................................... 12,825
1,370 Bell Atlantic Corporation...................................................... 91,619
3,090 BellSouth Corporation.......................................................... 134,415
470 Carolina Power & Light Company................................................. 16,215
600 Central & South West Corporation............................................... 16,725
150 Columbia Gas Systems, Inc. (a)................................................. 6,581
720 Consolidated Edison Company New York, Inc. .................................... 23,040
280 Consolidated Natural Gas Company............................................... 12,705
450 Detroit Edison Company......................................................... 15,525
530 Dominion Resources, Inc. ...................................................... 21,863
640 Duke Power Company............................................................. 30,320
700 Entergy Corporation............................................................ 20,475
570 FPL Group, Inc. ............................................................... 26,434
370 General Public Utilities Corporation........................................... 12,580
3,010 GTE Corporation................................................................ 132,440
810 Houston Industries, Inc. ...................................................... 19,643
2,120 MCI Communications Corporation................................................. 55,385
450 Niagara Mohawk Power Corporation............................................... 4,331
150 Nicor, Inc. ................................................................... 4,125
210 Northern States Power Company of Minnesota..................................... 10,316
1,340 NYNEX Corporation.............................................................. 72,360
470 Ohio Edison Company............................................................ 11,045
80 Oneok, Inc. ................................................................... 1,830
880 PacifiCorp..................................................................... 18,700
260 Pacific Enterprises............................................................ 7,345
1,300 Pacific Gas & Electric Company................................................. 36,888
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
UTILITIES -- 11.4% (CONTINUED)
1,340 Pacific Telesis Group.......................................................... $ 45,058
680 PECO Energy Company............................................................ 20,485
490 Pennsylvania Power & Lighting Resource Company................................. 12,250
100 Peoples Energy Corporation..................................................... 3,175
750 Public Service Enterprise Group................................................ 22,969
1,900 SBC Communications, Inc. ...................................................... 109,250
1,390 SCE Corporation................................................................ 24,673
2,070 Southern Company............................................................... 50,974
1,090 Sprint Corporation............................................................. 43,464
700 Texas Utilities Company........................................................ 28,788
1,460 U.S. West Inc. Media Group..................................................... 27,740
1,470 U.S. West, Inc. Communications Group (a)....................................... 52,553
310 Union Electric Company......................................................... 12,937
- ---------------------------------------------------------------------------------------------------------
1,758,571
- ---------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $10,703,469)...................................... 14,227,062
- ---------------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.0%
80 Alberto Culver Company, Class B Shares, Convertible............................ 2,750
- ---------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $2,072)......................................... 2,750
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
SHORT-TERM INVESTMENTS -- 8.00%
$1,138,000 Repurchase Agreement -- Citibank, 5.796% due 01/02/96; Proceeds at
maturity -- $1,138,733;
(Fully Collateralized by U.S. Treasury Notes, 5.50% due 11/15/98; Market
value -- $1,160,762)........................................................... 1,138,000
100,000 U.S. Treasury Bills, 5.20% due 03/14/96+....................................... 98,946
- ---------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (Cost -- $1,236,946).............................. 1,236,946
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $11,942,487*)............................... $15,466,758
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
+ Security segregated by custodian for future contract commitments.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
34
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS -- 83.1%
BASIC INDUSTRIES -- 2.4%
10,000 Kimberly Clark Corporation.................................................. $ 827,500
- ---------------------------------------------------------------------------------------------------------
CAPITAL GOODS -- 5.3%
15,000 Belden, Inc. ............................................................... 386,250
15,000 General Electric Company.................................................... 1,080,000
6,000 Hubbell, Inc., Class B Shares............................................... 394,500
- ---------------------------------------------------------------------------------------------------------
1,860,750
- ---------------------------------------------------------------------------------------------------------
CHEMICALS -- 4.1%
11,250 A. Schulman, Inc. .......................................................... 253,125
12,000 M.A. Hanna Company.......................................................... 336,000
7,000 Monsanto Company............................................................ 857,500
- ---------------------------------------------------------------------------------------------------------
1,446,625
- ---------------------------------------------------------------------------------------------------------
CONSUMER DURABLES -- 11.6%
17,000 Bemis, Inc. ................................................................ 435,625
14,000 Genuine Parts Company....................................................... 574,000
13,000 Jostens, Inc. .............................................................. 315,250
16,000 Leggett & Platt, Inc. ...................................................... 388,000
10,000 Minnesota Mining & Manufacturing Company.................................... 662,500
8,000 Procter & Gamble Company.................................................... 664,000
12,000 Temple-Inland, Inc. ........................................................ 529,500
25,000 Worthington Industries...................................................... 520,313
- ---------------------------------------------------------------------------------------------------------
4,089,188
- ---------------------------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 4.2%
12,000 Coca-Cola Corporation....................................................... 891,000
12,000 International Flavors & Fragrances, Inc. ................................... 576,000
- ---------------------------------------------------------------------------------------------------------
1,467,000
- ---------------------------------------------------------------------------------------------------------
CONSUMER SERVICES -- 3.7%
15,000 McDonald's Corporation...................................................... 676,875
11,000 Reuters Holdings PLC ADR.................................................... 606,375
- ---------------------------------------------------------------------------------------------------------
1,283,250
- ---------------------------------------------------------------------------------------------------------
ENERGY -- 6.9%
5,000 Exxon Corporation........................................................... 400,625
11,000 Fluor Corporation........................................................... 726,000
7,000 Mobil Corporation........................................................... 784,000
15,000 Phillips Petroleum Company.................................................. 511,875
- ---------------------------------------------------------------------------------------------------------
2,422,500
- ---------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 7.9%
8,000 Firstar Corporation......................................................... 317,000
13,000 G.P. Financial Corporation.................................................. 347,750
8,000 J.P. Morgan & Company, Inc.................................................. 642,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
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SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
FINANCIAL SERVICES -- 7.9% (CONTINUED)
17,000 KeyCorp..................................................................... $ 616,250
12,000 NationsBank Corporation..................................................... 835,500
- ---------------------------------------------------------------------------------------------------------
2,758,500
- ---------------------------------------------------------------------------------------------------------
HEALTH CARE -- 7.4%
16,000 Eli Lilly & Company......................................................... 900,000
10,000 Johnson & Johnson Corporation............................................... 856,250
13,000 Merck & Company, Inc. ...................................................... 854,750
- ---------------------------------------------------------------------------------------------------------
2,611,000
- ---------------------------------------------------------------------------------------------------------
RETAIL -- 2.6%
20,000 Circuit City Stores......................................................... 552,500
9,000 May Department Stores Company............................................... 380,250
- ---------------------------------------------------------------------------------------------------------
932,750
- ---------------------------------------------------------------------------------------------------------
TECHNOLOGY -- 13.5%
14,000 Amp, Inc.................................................................... 537,250
9,000 Automatic Data Processing, Inc. ............................................ 668,250
17,000 Hewlett Packard Company..................................................... 1,423,750
14,000 Motorola, Inc. ............................................................. 798,000
14,000 Raytheon Company............................................................ 661,500
10,000 W.W. Grainger, Inc.......................................................... 662,500
- ---------------------------------------------------------------------------------------------------------
4,751,250
- ---------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 1.4%
18,000 TCA Cable TV, Inc. ......................................................... 497,250
- ---------------------------------------------------------------------------------------------------------
TOBACCO -- 0.1%
1,000 Schweitzer Mauduit International............................................ 23,125
- ---------------------------------------------------------------------------------------------------------
TRANSPORTATION -- 5.3%
8,000 Conrail, Inc. .............................................................. 560,000
14,000 CSX Corporation............................................................. 638,750
10,000 Southwest Airlines Company.................................................. 660,000
- ---------------------------------------------------------------------------------------------------------
1,858,750
- ---------------------------------------------------------------------------------------------------------
UTILITIES -- 6.7%
12,000 Ameritech Corporation....................................................... 708,000
9,000 Bell Atlantic Corporation................................................... 601,875
18,000 GTE Corporation............................................................. 792,000
5,000 Northern States Power Company............................................... 245,625
- ---------------------------------------------------------------------------------------------------------
2,347,500
- ---------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $21,860,395)................................... 29,176,938
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
PREFERRED STOCKS -- 3.1%
INDUSTRIAL -- 3.1%
8,000 General Motors Corporation, Depository Shares, Series C..................... $ 586,000
9,000 Unocal Corporation, Convertible 7.000% (a).................................. 492,750
- ---------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost -- $939,205)................................... 1,078,750
- ---------------------------------------------------------------------------------------------------------
FOREIGN COMMON STOCK -- 2.2%
AUSTRALIA -- 2.2%
55,715 Broken Hill Properties (Cost -- $696,013)................................... 787,479
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
CORPORATE BONDS -- 6.0%
FINANCIAL SERVICES -- 4.5%
$ 500,000 Dean Witter Discover & Company, 6.875% due 03/01/03......................... 518,125
1,000,000 General Motors Acceptance, 7.000% due 09/15/02.............................. 1,048,750
- ---------------------------------------------------------------------------------------------------------
1,566,875
- ---------------------------------------------------------------------------------------------------------
RETAIL -- 1.5%
500,000 Limited Inc., 7.800% due 05/15/02........................................... 538,125
- ---------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS (Cost -- $2,056,025).................................. 2,105,000
- ---------------------------------------------------------------------------------------------------------
CONVERTIBLE NOTE -- 2.3%
MANUFACTURING -- 2.3%
350,000 Thermo Electron Corporation, 4.625% due 01/08/97 (Cost -- $483,824)......... 809,375
- ---------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.3%
Citibank, 5.665% due 01/02/96; Proceeds at maturity -- $1,165,733;
(Fully collateralized by U. S. Treasury Notes, 5.500% due 11/15/98;
1,165,000 Market value -- $1,188,300) (Cost -- $1,165,000)............................ 1,165,000
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $27,200,462*)............................ $35,122,542
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Security exempt from registration under Rule 144A of the Securities Act of
1933, as amended. These securities may be resold in transaction exempt from
registration to qualified institutional buyers.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
37
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS -- 91.0%
BASIC INDUSTRIES -- 5.0%
10,000 Aluminum Company of America.................................................... $ 528,750
27,000 E.I. du Pont De Nemours & Company.............................................. 1,886,625
18,000 Hercules, Inc. ................................................................ 1,014,750
13,500 Mead Corporation............................................................... 705,375
8,000 Scotts Company, Class A Shares (a)............................................. 159,000
9,100 St. Joe Paper Company.......................................................... 500,500
- ---------------------------------------------------------------------------------------------------------
4,795,000
- ---------------------------------------------------------------------------------------------------------
CAPITAL GOODS -- 7.0%
21,000 Allied Signal, Inc............................................................. 997,500
40,000 Amp, Inc....................................................................... 1,535,000
10,000 Boeing Company................................................................. 783,750
6,000 Caterpillar, Inc. ............................................................. 352,500
9,500 Emerson Electric Company....................................................... 776,625
17,000 General Electric Company....................................................... 1,224,000
16,000 Ingersoll-Rand Company......................................................... 562,000
7,000 Wrigley, Jr. Company........................................................... 367,500
- ---------------------------------------------------------------------------------------------------------
6,598,875
- ---------------------------------------------------------------------------------------------------------
CONSUMER DURABLES -- 5.6%
20,000 Chrysler Corporation........................................................... 1,107,500
43,500 Ford Motor Company............................................................. 1,261,500
16,000 General Motors Corporation..................................................... 846,000
21,000 Goodyear Tire & Rubber Company................................................. 952,875
7,500 International Paper Company.................................................... 284,063
8,000 Louisanna-Pacific Corporation.................................................. 194,000
25,500 Newell Company................................................................. 659,812
- ---------------------------------------------------------------------------------------------------------
5,305,750
- ---------------------------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 5.1%
10,000 Coca-Cola Company.............................................................. 742,500
9,000 Corning, Inc. ................................................................. 288,000
12,500 CPC International, Inc. ....................................................... 857,813
15,000 Gillette Company............................................................... 781,875
11,000 International Flavors & Fragrances, Inc. ...................................... 528,000
20,000 Proctor & Gamble Company....................................................... 1,660,000
- ---------------------------------------------------------------------------------------------------------
4,858,188
- ---------------------------------------------------------------------------------------------------------
CONSUMER SERVICES -- 11.1%
10,500 Gannett Company................................................................ 644,438
16,000 Home Depot, Inc. .............................................................. 766,000
17,000 J.C. Penney, Inc. ............................................................. 809,625
11,000 Meredith Corporation........................................................... 460,625
24,000 McDonald's Corporation......................................................... 1,083,000
20,000 New York Times Company, Class A Shares......................................... 592,500
44,500 R.R. Donnelley & Sons Company.................................................. 1,752,188
30,000 Savoy Pictures Entertainment, Inc. (a)......................................... 189,374
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
CONSUMER SERVICES -- 11.1% (CONTINUED)
34,400 Time Warner, Inc. ............................................................. $ 1,302,900
17,000 Tribune Company................................................................ 1,039,125
40,000 Wal-Mart Stores, Inc. ......................................................... 895,000
16,000 Walt Disney Production Company................................................. 944,000
- ---------------------------------------------------------------------------------------------------------
10,478,775
- ---------------------------------------------------------------------------------------------------------
DIVERSIFIED CONGLOMERATE -- 7.4%
58,000 Eastman Kodak Company.......................................................... 3,886,000
47,000 Minnesota Mining & Manufacturing Company....................................... 3,113,750
- ---------------------------------------------------------------------------------------------------------
6,999,750
- ---------------------------------------------------------------------------------------------------------
ENERGY -- 11.7%
27,800 Amoco Corporation.............................................................. 1,998,125
7,200 Atlantic Richfield Company..................................................... 797,400
10,000 Baker Hughes, Inc. ............................................................ 243,750
20,000 Burlington Resources, Inc. .................................................... 785,000
14,000 Chevron Corporation............................................................ 735,000
10,000 Cyprus Amax Minerals Company................................................... 261,250
26,000 Global Marine, Inc. ........................................................... 227,500
15,000 Honeywell, Inc. ............................................................... 729,375
14,000 Horsham Corporation............................................................ 189,000
23,500 Mobil Corporation.............................................................. 2,632,000
10,000 Olin Corporation............................................................... 742,500
9,000 Royal Dutch Petroleum ADR...................................................... 1,270,125
8,000 Santa Fe Pacific Gold Company.................................................. 97,000
15,000 Union Pacific Resources........................................................ 380,625
- ---------------------------------------------------------------------------------------------------------
11,088,650
- ---------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 11.0%
25,000 Allstate Corporation........................................................... 1,028,125
40,000 American Express Company....................................................... 1,655,000
10,000 American International Group, Inc. ............................................ 925,000
17,000 Charles Schwab Corporation..................................................... 342,125
10,000 Chase Manhattan Corporation.................................................... 606,250
12,000 Chemical Banking Corporation................................................... 705,000
7,000 Federal National Mortgage Association.......................................... 868,875
10,000 First Virginia Banks, Inc. .................................................... 417,500
20,000 Household International, Inc. ................................................. 1,182,500
24,000 Leucadia National Corporation.................................................. 600,000
10,000 Republic New York Corporation.................................................. 621,250
11,000 Union Planters Corporation..................................................... 350,625
5,000 Wells Fargo & Company.......................................................... 1,080,000
- ---------------------------------------------------------------------------------------------------------
10,382,250
- ---------------------------------------------------------------------------------------------------------
HEALTH CARE -- 9.2%
23,000 Abbott Laboratories............................................................ 960,250
20,000 American Home Products......................................................... 1,940,000
19,000 Bristol-Myers-Squibb Company................................................... 1,631,625
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
HEALTH CARE -- 9.2% (CONTINUED)
8,500 Forest Laboratories, Inc., Class A Shares (a).................................. $ 384,625
18,000 Johnson & Johnson.............................................................. 1,541,250
18,000 Merck & Company, Inc. ......................................................... 1,183,500
7,000 Perrigo Company (a)............................................................ 83,125
10,000 Warner Lambert Company......................................................... 971,250
- ---------------------------------------------------------------------------------------------------------
8,695,625
- ---------------------------------------------------------------------------------------------------------
TECHNOLOGY -- 9.0%
12,000 ACX Technologies, Inc. (a)..................................................... 181,500
4,000 Compaq Computer Corporation (a)................................................ 192,000
12,000 Fiserv, Inc. (a)............................................................... 360,000
4,500 Hewlett-Packard Company........................................................ 376,875
20,000 Intel Corporation.............................................................. 1,135,000
11,000 International Business Machines Corporation.................................... 1,009,250
12,000 Lockheed Martin Corporation.................................................... 948,000
3,000 Microsoft Corporation (a)...................................................... 263,250
5,000 Texas Instruments, Inc. ....................................................... 258,750
18,000 Tyco International Ltd. ....................................................... 641,250
23,000 Xerox Corporation.............................................................. 3,151,000
- ---------------------------------------------------------------------------------------------------------
8,516,875
- ---------------------------------------------------------------------------------------------------------
TELECOMMUNICATION -- 7.3%
46,000 AT&T Corporation............................................................... 2,978,500
10,000 California Microwave, Inc. (a)................................................. 166,250
25,500 Comcast Corporation, Class A Shares............................................ 463,781
2,500 Conrail, Inc. ................................................................. 175,000
13,000 Mobile Telecommunications Technology Corporation (a)........................... 277,875
10,000 Motorola, Inc. ................................................................ 570,000
15,000 NYNEX Corporation.............................................................. 810,000
12,000 Scandanavian Broadcasting System (a)........................................... 262,500
38,000 Tele Communications, Inc., Class A Shares (a).................................. 755,250
9,500 Viacom, Inc., Class B Shares (a)............................................... 450,062
- ---------------------------------------------------------------------------------------------------------
6,909,218
- ---------------------------------------------------------------------------------------------------------
TRANSPORTATION -- 1.6%
6,500 AMR Corporation (a)............................................................ 482,625
16,000 Union Pacific Corporation...................................................... 1,056,000
- ---------------------------------------------------------------------------------------------------------
1,538,625
- ---------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $69,135,095)...................................... 86,167,581
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
FACE
VALUE SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENT -- 9.0%
$8,530,000 Chemical Securities, 5.80% due 1/2/96; Proceeds at maturity -- $8,535,496;
(Fully collateralized by U.S. Treasury Notes, 6.125% due 5/31/97;
Market value -- $8,700,824) (Cost $8,530,000).................................. $ 8,530,000
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $77,665,095*)............................... $94,697,581
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
41
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS -- 95.2%
BASIC INDUSTRIES/RAW MATERIALS -- 3.8%
1,000 Agrium, Inc. ................................................................... $ 45,000
1,500 B.F. Goodrich, Inc. ............................................................ 102,187
4,000 IMC Global, Inc. ............................................................... 163,500
1,000 Millipore Corporation........................................................... 41,125
1,000 Minerals Technologies, Inc. .................................................... 36,500
2,000 Mueller Industries, Inc. (a).................................................... 58,500
1,500 Potash Saskatchewan Corporation, Inc. .......................................... 106,313
1,000 Raychem Corporation............................................................. 56,875
1,500 Sonoco Product Company.......................................................... 39,375
1,250 US Filter Corporation (a)....................................................... 33,281
- --------------------------------------------------------------------------------------------------------
682,656
- --------------------------------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCTION -- 3.6%
3,000 Danaher Corporation............................................................. 95,250
2,000 Dover Corporation............................................................... 73,750
1,500 Duriron Company................................................................. 35,063
2,500 Greenfield Industries........................................................... 78,125
1,000 Measurex Corporation............................................................ 28,250
1,500 Precision Castparts Company..................................................... 59,625
3,000 Sanifill, Inc. (a).............................................................. 100,125
2,000 Sealed Air Corporation (a)...................................................... 56,250
1,500 Thermedics, Inc. (a)............................................................ 41,625
2,000 United Waste Systems, Inc. (a).................................................. 74,500
- --------------------------------------------------------------------------------------------------------
642,563
- --------------------------------------------------------------------------------------------------------
CHEMICALS -- 1.2%
3,000 Albermarle Corporation.......................................................... 58,125
1,000 FMC Corporation (a)............................................................. 67,625
1,500 Hercules, Inc. ................................................................. 84,563
- --------------------------------------------------------------------------------------------------------
210,313
- --------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 3.3%
1,000 Accustaff, Inc. (a)............................................................. 44,000
3,000 Alternative Resources Corporation (a)........................................... 90,750
4,000 Corrections Corporation, of America (a)......................................... 148,500
1,000 Gartner Group, Inc. (a)......................................................... 47,875
1,000 Ha-Lo Industries, Inc. (a)...................................................... 30,750
2,000 National Data Corporation....................................................... 49,500
2,000 Nu-Kote Holding, Inc. (a)....................................................... 34,000
2,000 Reynolds & Reynolds Company, Class A Shares..................................... 77,750
1,500 Scientific Games Holdings Corporation (a)....................................... 56,625
- --------------------------------------------------------------------------------------------------------
579,750
- --------------------------------------------------------------------------------------------------------
CONSTRUCTION -- 0.9%
1,500 Beazer Homes USA, Inc. (a)...................................................... 30,938
1,000 Centex Corporation.............................................................. 34,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C>
CONSTRUCTION -- 0.9% (CONTINUED)
1,200 Granite Construction, Inc. ..................................................... $ 37,800
2,500 Toll Brothers, Inc. (a)......................................................... 57,500
- --------------------------------------------------------------------------------------------------------
160,988
- --------------------------------------------------------------------------------------------------------
CONSUMER DISTRIBUTION -- 8.2%
4,000 Alco Standard Corporation....................................................... 182,500
500 Baby Superstore, Inc. (a)....................................................... 28,500
1,000 Bed Bath & Beyond, Inc. (a)..................................................... 38,813
1,500 Boise Cascade Office Products, Inc. (a)......................................... 64,125
3,500 Caseys General Stores, Inc. .................................................... 76,563
1,500 CompUSA, Inc. (a)............................................................... 46,688
2,000 Consolidated Stores Corporation (a)............................................. 43,500
4,800 Corporate Express, Inc. (a)..................................................... 144,600
1,000 Eckerd Drugs Corporation (a).................................................... 44,625
2,500 Fastenal Corporation............................................................ 105,625
1,000 Garden Ridge Corporation (a).................................................... 38,750
4,500 General Nutrition Company (a)................................................... 103,500
2,000 Just for Feet, Inc. (a)......................................................... 71,500
2,500 Kroger Company (a).............................................................. 93,750
1,500 Micro Warehouse Corporation (a)................................................. 64,875
500 Petco Animal Supplies, Inc. (a)................................................. 14,625
2,000 Richfood Holdings, Inc. ........................................................ 53,500
2,000 Safeway, Inc. (New) (a)......................................................... 103,000
1,000 Staples, Inc. (a)............................................................... 24,375
2,000 Sunglass Hut International, Inc. (a)............................................ 47,500
1,250 Vons Company (a)................................................................ 35,313
2,000 Zale Corporation (a)............................................................ 32,250
- --------------------------------------------------------------------------------------------------------
1,458,477
- --------------------------------------------------------------------------------------------------------
CONSUMER DURABLES -- 1.3%
1,500 Black & Decker Corporation...................................................... 52,875
3,125 Clayton Homes, Inc. ............................................................ 66,797
1,500 Nautica Enterprises, Inc. (a)................................................... 65,625
1,000 Snap-On, Inc. .................................................................. 45,250
- --------------------------------------------------------------------------------------------------------
230,547
- --------------------------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 3.8%
2,000 Coca-Cola Enterprises, Inc. .................................................... 53,500
2,000 FILA Holding SPA-ADR............................................................ 91,000
1,500 First Brands Corporation........................................................ 71,438
1,350 Liz Claiborne, Inc. ............................................................ 37,463
1,900 Quiksilver, Inc. (a)............................................................ 64,956
2,000 St. John Knits, Inc. ........................................................... 106,250
3,500 Tommy Hilfiger Corporation (a).................................................. 148,312
3,000 Wolverine World Wide, Inc. ..................................................... 94,500
- --------------------------------------------------------------------------------------------------------
667,419
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C>
CONSUMER SERVICES -- 3.3%
5,000 Equifax, Inc. .................................................................. $ 106,875
1,500 Hospitality Franchise Systems, Inc. (a)......................................... 122,625
2,000 La Quinta Inns, Inc. ........................................................... 54,750
3,700 Meredith Corporation............................................................ 154,938
3,000 Mirage Resorts, Inc. (a)........................................................ 103,500
1,500 Regal Cinemas, Inc. (a)......................................................... 44,625
- --------------------------------------------------------------------------------------------------------
587,313
- --------------------------------------------------------------------------------------------------------
ELECTRONICS -- 2.2%
1,000 Allen Group, Inc. .............................................................. 22,375
1,000 Harman International Industries, Inc. .......................................... 40,125
4,000 International Rectifier Corporation (a)......................................... 100,000
1,500 Jabil Circuit, Inc. (a)......................................................... 16,875
1,500 Kent Electronics Corporation (a)................................................ 87,563
3,500 SCI Systems, Inc. (a)........................................................... 108,500
500 Tektronix, Inc. ................................................................ 24,563
- --------------------------------------------------------------------------------------------------------
400,001
- --------------------------------------------------------------------------------------------------------
ENERGY -- 5.6%
2,531 BJ Services Company (a)......................................................... 73,399
900 BJ Services Company (When Issued) (a)........................................... 6,862
1,500 Camco International Corporation................................................. 42,000
3,000 Chesapeake Energy Corporation (a)............................................... 99,750
5,000 Global Marine, Inc. (a)......................................................... 43,750
3,000 Input/Output, Inc. (a).......................................................... 173,250
1,500 Kerr-McGee Corporation.......................................................... 95,250
1,000 Newfield Exploration Company (a)................................................ 27,000
1,000 Phoenix Resource Company........................................................ 17,250
3,000 Pogo Producing Company.......................................................... 84,750
5,000 Pride Petroleum Services, Inc. (a).............................................. 53,125
3,000 Smith International, Inc. (a)................................................... 70,500
3,000 Sonat Offshore Drilling, Inc. .................................................. 134,250
2,000 Tidewater, Inc. ................................................................ 63,000
1,000 Varco International, Inc. (a)................................................... 12,000
- --------------------------------------------------------------------------------------------------------
996,136
- --------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 10.1%
1,500 AT&T Capital Corporation........................................................ 57,375
1,000 Aames Financial Corporation..................................................... 27,875
4,000 Bank of Boston Corporation...................................................... 185,000
2,000 Bank of New York Company, Inc. ................................................. 97,500
1,500 BayBanks, Inc. ................................................................. 147,375
1,500 City National Corporation....................................................... 21,000
1,700 Coast Savings Financial, Inc. (a)............................................... 58,862
1,500 Cullen Frost Bankers, Inc. ..................................................... 75,000
1,000 Finova Group, Inc. ............................................................. 48,250
1,500 First American Corporation-(Tennessee).......................................... 71,062
1,000 First Bank System, Inc. ........................................................ 49,625
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C>
FINANCIAL SERVICES -- 10.1% (CONTINUED)
4,000 Green Tree Financial Corporation................................................ $ 105,500
1,500 MBNA Corporation................................................................ 55,312
1,500 Mercantile Bancorporation....................................................... 69,000
2,250 Mercury Finance Corporation..................................................... 29,813
1,500 Mercury General Corporation..................................................... 71,625
1,250 Money Store, Inc. (The)......................................................... 19,531
1,500 North Fork Bankcorporation...................................................... 37,875
1,000 Oxford Resources Corporation, Class A Shares (a)................................ 22,500
2,300 Penncorp Financial Group, Inc. ................................................. 67,562
1,250 People's Heritage Financial Group, Inc. ........................................ 28,438
1,500 Star Banc Corporation........................................................... 89,250
1,375 Student Loan Marketing Association, Inc. ....................................... 90,578
2,250 SunAmerica, Inc. ............................................................... 106,875
3,000 TCF Financial Corporation....................................................... 99,375
2,500 United Companies Financial Corporation.......................................... 65,938
- --------------------------------------------------------------------------------------------------------
1,798,096
- --------------------------------------------------------------------------------------------------------
HEALTH CARE -- 15.0%
3,000 Boston Scientific Corporation (a)............................................... 147,000
750 Cardinal Health, Inc. .......................................................... 41,063
3,100 Circon Corporation (a).......................................................... 62,775
500 Coherent, Inc. (a).............................................................. 20,250
1,500 Compdent Corporation (a)........................................................ 62,250
2,100 Cycare Systems, Inc. (a)........................................................ 53,812
3,000 Dura Pharmaceuticals, Inc. (a).................................................. 104,250
3,000 Guidant Corporation............................................................. 126,750
1,000 Gulf South Medical Supply, Inc. (a)............................................. 30,250
4,000 HBO & Company................................................................... 306,500
3,000 Health Management Association, Inc., Class A Shares (a)......................... 78,375
1,500 Health Management Systems, Inc. (a)............................................. 58,500
1,000 Healthsouth Rehabilitation Corporation (a)...................................... 29,125
3,000 Invacare Corporation............................................................ 75,750
2,000 Maxicare Health Plans, Inc. (a)................................................. 53,750
1,500 Medaphis Corporation (a)........................................................ 55,500
1,250 Medisense, Inc. (a)............................................................. 39,531
1,500 Medpartners/Mullikin, Inc. (a).................................................. 49,500
2,500 Medtronic, Inc. ................................................................ 139,688
2,000 Mentor Corporation.............................................................. 46,000
1,300 Minimed, Inc. (a)............................................................... 16,250
1,500 Nellcor, Inc. (a)............................................................... 87,000
3,000 Omnicare, Inc. ................................................................. 134,250
4,500 PhyCor, Inc. (a)................................................................ 227,531
1,500 Physician Reliance Network, Inc. (a)............................................ 59,625
2,400 Physician Sales & Service, Inc. (a)............................................. 68,400
750 Quintiles Transnational Corporation (a)......................................... 30,750
1,000 Renal Treatment Centers, Inc. (a)............................................... 44,000
2,500 Research Medical, Inc. (a)...................................................... 67,500
1,500 Respironics, Inc. (a)........................................................... 31,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C>
HEALTH CARE -- 15.0% (CONTINUED)
750 Spine Tech, Inc. (a)............................................................ $ 17,438
2,000 Sybron International Corporation (a)............................................ 47,500
500 United Dental Care, Inc. (a).................................................... 20,625
1,000 United Healthcare Corporation................................................... 65,500
1,000 Universal Health Service Corporation, Class B Shares (a)........................ 44,375
2,500 Watson Pharmaceuticals, Inc. (a)................................................ 122,500
- --------------------------------------------------------------------------------------------------------
2,665,363
- --------------------------------------------------------------------------------------------------------
INSURANCE -- 2.9%
2,500 American Bankers Insurance Group................................................ 97,500
1,000 American Travelers Corporation (a).............................................. 28,125
1,000 CMAC Investment Corporation..................................................... 44,000
2,000 Exel Limited.................................................................... 122,000
1,000 Fremont General Corporation..................................................... 36,750
1,500 Old Republic International Corporation.......................................... 53,250
1,000 Relistar Financial Corporation.................................................. 44,375
1,500 TIG Holdings, Inc. ............................................................. 42,750
1,000 Vesta Insurance Group, Inc. .................................................... 54,500
- --------------------------------------------------------------------------------------------------------
523,250
- --------------------------------------------------------------------------------------------------------
MEDIA -- 2.1%
2,850 Clear Channel Communications, Inc. (a).......................................... 125,756
2,000 Evergreen Media Corporation (a)................................................. 64,000
2,750 Infinity Broadcasting Company, Class A Shares (a)............................... 102,431
1,500 Interpublic Group of Company, Inc. ............................................. 65,062
1,000 National Media Corporation (a).................................................. 21,000
- --------------------------------------------------------------------------------------------------------
378,249
- --------------------------------------------------------------------------------------------------------
RESTAURANTS -- 1.6%
2,500 Applebees International, Inc. .................................................. 56,875
2,500 Boston Market, Inc. (a)......................................................... 80,312
2,000 Lonestar Steakhouse & Saloon Corporation (a).................................... 76,750
700 Outback Steakhouse, Inc. (a).................................................... 25,112
2,000 Starbuck's Corporation (a)...................................................... 42,000
- --------------------------------------------------------------------------------------------------------
281,049
- --------------------------------------------------------------------------------------------------------
TECHNOLOGY -- 22.7%
2,000 3Com Corporation (a)............................................................ 93,250
1,500 Altera Corporation (a).......................................................... 74,625
2,000 America Online, Inc. (a)........................................................ 75,000
1,500 Analog Devices, Inc. (a)........................................................ 53,063
4,000 Ascend Communications, Inc. (a)................................................. 324,500
1,750 Aspect Telecommunications, Inc. (a)............................................. 58,625
1,000 Aspen Technology, Inc. (a)...................................................... 33,750
1,500 Atmel Corporation (a)........................................................... 33,563
3,000 Bay Networks, Inc. (a).......................................................... 123,375
1,000 BMC Software, Inc. ............................................................. 23,250
1,000 Cabletron Systems Corporation (a)............................................... 81,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C>
TECHNOLOGY -- 22.7% (CONTINUED)
4,500 Cadence Design Systems, Inc. (a)................................................ $ 189,000
1,000 Cambridge Technology Corporation (a)............................................ 57,500
750 Cascade Communications Corporation (a).......................................... 63,938
3,000 C-Cube Microsystems, Inc. (a)................................................... 187,500
750 Ceridian Corporation (a)........................................................ 30,938
2,000 Cognex Corporation (a).......................................................... 69,500
2,000 Cyberoptics Corporation (a)..................................................... 79,500
3,000 Dell Computer Corporation (a)................................................... 103,875
1,500 DSP Communications Corporation (a).............................................. 65,438
1,000 ECI Telecomm Ltd................................................................ 22,811
1,500 Glenayre Technologies, Inc. (a)................................................. 93,375
1,000 Global Village Communications, Inc. (a)......................................... 19,375
3,000 Informix Corporation (a)........................................................ 90,000
600 Inso Corporation (a)............................................................ 25,500
4,000 Kemet Corporation (a)........................................................... 95,500
1,000 KLA Instruments Corporation (a)................................................. 26,063
1,000 Kronos, Inc. (a)................................................................ 47,500
3,250 Linear Technology Corporation................................................... 127,563
1,500 Macromedia, Inc. (a)............................................................ 78,375
2,250 McAfee Associates, Inc. (a)..................................................... 98,719
2,500 Medic Computer Systems, Inc. (a)................................................ 151,250
1,000 Micros Systems, Inc. (a)........................................................ 49,250
2,500 Mylex Corporation (a)........................................................... 47,813
250 Netscape Communications, Inc. (a)............................................... 34,750
1,500 Network General Corporation (a)................................................. 50,063
750 Oak Technologies, Inc. (a)...................................................... 31,688
2,500 Occusystems, Inc. (a)........................................................... 50,000
750 Oracle Systems Corporation (a).................................................. 31,781
1,000 Pairgain Technologies, Inc. (a)................................................. 54,750
1,000 Parametric Technology Corporation (a)........................................... 66,500
1,000 Peoplesoft, Inc. (a)............................................................ 43,000
1,000 Picturetel Corporation (a)...................................................... 43,125
1,500 PRI Automation, Inc. (a)........................................................ 52,688
500 Project Software & Development Corporation (a).................................. 17,437
1,500 Quarterdeck Corporation (a)..................................................... 41,250
1,500 Robotic Vision Systems I Corporation (a)........................................ 36,188
650 Security Dynamics Tech I Corporation (a)........................................ 35,425
1,000 Structural Dynamics Research, Inc. (a).......................................... 29,375
1,000 Sundstrand Corporation.......................................................... 70,375
2,000 Sunguard Data Systems, Inc. (a)................................................. 57,000
2,000 Sun Micro Systems, Inc. (a)..................................................... 91,250
1,500 Ultratech Stepper, Inc. (a)..................................................... 38,625
3,000 U.S. Robotics Corporation (a)................................................... 263,250
500 Uunet Technologies, Inc. (a).................................................... 31,500
1,500 Watkins-Johnson Company......................................................... 65,625
- --------------------------------------------------------------------------------------------------------
4,029,929
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C>
TRANSPORTATION -- 2.0%
1,000 Airborne Freight Corporation.................................................... $ 26,625
2,250 Comair Holdings, Inc. .......................................................... 60,469
500 Conrail, Inc. .................................................................. 35,000
2,500 Continental Airlines Corporation, Class B Shares (a)............................ 108,750
1,000 Fritz Company (a)............................................................... 41,500
1,500 Northwest Airlines Corporation, Class A Shares (a).............................. 76,500
- --------------------------------------------------------------------------------------------------------
348,844
- --------------------------------------------------------------------------------------------------------
UTILITIES -- 1.6%
500 Cellular Communications, Inc., Class A Shares (a)............................... 24,875
2,500 Cincinnati Bell, Inc. .......................................................... 86,875
3,000 Frontier Corporation............................................................ 90,000
4,000 LCI International, Inc. (a)..................................................... 82,000
- --------------------------------------------------------------------------------------------------------
283,750
- --------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $12,909,241)....................................... 16,924,693
- --------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C>
U.S. TREASURY OBLIGATIONS -- 4.8%
$150,000 U.S. Treasury Bills 4.740% due 02/01/96 (b)..................................... 149,388
65,000 U.S. Treasury Bills 5.310% due 02/01/96 (b)..................................... 64,703
265,000 U.S. Treasury Bills 5.300% due 02/22/96 (b)..................................... 263,162
270,000 U.S. Treasury Bills 5.170% due 03/07/96 (b)..................................... 267,478
115,000 U.S. Treasury Bills 5.190% due 03/14/96 (b)..................................... 113,803
- --------------------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS (Cost -- $858,682).................................... 858,534
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $13,767,923*).............................. $17,783,227
- --------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
(b) Rate represents annualized yield to maturity.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
48
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS -- 59.3%
CHEMICALS -- 0.9%
10,000 E.I. Du Pont DeNemours & Company............................................ $ 698,750
- ---------------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS -- 2.6%
30,000 Eastman Kodak Company....................................................... 2,010,000
- ---------------------------------------------------------------------------------------------------------
ENERGY -- 12.6%
15,000 Amoco Corporation........................................................... 1,078,125
15,000 Atlantic Richfield Company.................................................. 1,661,250
50,000 Coastal Corporation......................................................... 1,862,500
90,900 Crown Central Petroleum (a)................................................. 1,329,413
30,000 Dresser Industries, Inc. ................................................... 731,250
23,800 FINA Inc., Class A Shares................................................... 1,201,900
75,000 Oryx Energy Company (a)..................................................... 1,003,124
30,000 Phillips Petroleum Company.................................................. 1,023,750
- ---------------------------------------------------------------------------------------------------------
9,891,312
- ---------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 5.1%
27,000 American Express Company.................................................... 1,117,125
17,000 BankAmerica Corporation..................................................... 1,100,750
40,000 Great Western Financial Corporation......................................... 1,020,000
30,000 H.F. Ahmanson & Company..................................................... 795,000
- ---------------------------------------------------------------------------------------------------------
4,032,875
- ---------------------------------------------------------------------------------------------------------
HEALTHCARE -- 3.8%
10,000 ALZA Corporation (a)........................................................ 247,500
7,000 Bristol-Myers-Squibb Company................................................ 601,125
13,277 Eli Lilly & Company......................................................... 746,822
50,000 Value Health, Inc. (a)...................................................... 1,375,000
- ---------------------------------------------------------------------------------------------------------
2,970,447
- ---------------------------------------------------------------------------------------------------------
MINING -- 2.5%
125,000 Homestake Mining Company.................................................... 1,953,125
- ---------------------------------------------------------------------------------------------------------
REAL ESTATE -- 16.1%
40,100 BRE Properties, Inc., Class A Shares........................................ 1,428,562
125,000 DeBartolo Realty Corporation................................................ 1,625,000
150,000 Irvine Apartment Communities, Inc. ......................................... 2,887,500
60,000 Public Storage, Inc. ....................................................... 1,140,000
100,000 Spieker Properties, Inc. ................................................... 2,512,500
110,000 TriNet Corporate Realty Trust, Inc. ........................................ 2,997,500
- ---------------------------------------------------------------------------------------------------------
12,591,062
- ---------------------------------------------------------------------------------------------------------
RETAIL -- 4.5%
50,000 Fred Meyer, Inc. (a)........................................................ 1,125,000
20,000 Sears Roebuck & Company..................................................... 780,000
75,000 Toys-R-Us, Inc. (a)......................................................... 1,631,250
- ---------------------------------------------------------------------------------------------------------
3,536,250
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
TECHNOLOGY -- 5.7%
20,000 Apple Computer, Inc. ....................................................... $ 637,500
50,000 Cray Research, Inc. (a)..................................................... 1,237,500
25,000 Motorola, Inc. ............................................................. 1,425,000
30,000 Nokia Corporation........................................................... 1,166,250
- ---------------------------------------------------------------------------------------------------------
4,466,250
- ---------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 5.5%
125,000 Comsat Corporation.......................................................... 2,328,125
100,000 Tele Communications, Inc. (a)............................................... 1,987,500
- ---------------------------------------------------------------------------------------------------------
4,315,625
- ---------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $42,725,046)................................... 46,465,696
- ---------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS -- 6.2%
30,000 Catellus Development Corporation, Series B, 7.500%.......................... 1,440,000
20,000 Delta Air Lines, Inc., Depository Shares, Series C.......................... 1,187,500
43,700 Rouse Company, Series A, 6.500%............................................. 2,256,013
- ---------------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost -- $4,601,389)..................... 4,883,513
- ---------------------------------------------------------------------------------------------------------
WARRANT -- 1.0%
100,000 Morgan Stanley Nikkei Warrant (Cost -- $567,450)............................ 762,500
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENTS -- 33.5%
$17,821,000 Goldman Sachs, 5.65% due 1/03/96; Proceeds at maturity -- $17,832,185;
(Fully collateralized by U.S. Treasury Notes, 5.375% due 11/30/97,
Market value -- $18,185,736)................................................ 17,821,000
8,453,000 Morgan Stanley, 5.85% due 1/03/96; Proceeds at maturity -- $8,458,489;
(Fully collateralized by U.S. Treasury Notes, 5.125% due 4/30/98,
Market value -- $8,624,496)................................................. 8,453,000
- ---------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost -- $26,274,000)........................... 26,274,000
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $74,167,885)............................. $78,385,709
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
50
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
STOCKS -- 100.0%
ARGENTINA -- 1.4%
25,000 Quilmes Industrial S.A........................................................ $ 390,000
- ---------------------------------------------------------------------------------------------------------
AUSTRALIA -- 2.3%
56,264 Burns Philip & Company Ltd. .................................................. 125,983
65,640 Coca Cola Amatil Ltd. ........................................................ 523,940
- ---------------------------------------------------------------------------------------------------------
649,923
- ---------------------------------------------------------------------------------------------------------
AUSTRIA -- 3.9%
5,500 Baumax AG Preferred........................................................... 225,558
2,000 VA Technologie AG............................................................. 254,205
2,200 VAE Eisenbahn AG.............................................................. 185,689
2,250 Wienerberger Baustoffind AG................................................... 446,845
- ---------------------------------------------------------------------------------------------------------
1,112,297
- ---------------------------------------------------------------------------------------------------------
BELGIUM -- 0.8%
2,000 Barco N.V. ................................................................... 230,717
- ---------------------------------------------------------------------------------------------------------
CANADA -- 2.1%
15,000 Loewen Group, Inc. ........................................................... 378,052
29,000 Videotron Group Ltd. ......................................................... 212,626
- ---------------------------------------------------------------------------------------------------------
590,678
- ---------------------------------------------------------------------------------------------------------
CHILE -- 1.9%
15,000 Embotelladora Andina S.A. ADR................................................. 541,875
- ---------------------------------------------------------------------------------------------------------
DENMARK -- 1.3%
15,000 Scandinavian Mobility International (a)....................................... 359,978
- ---------------------------------------------------------------------------------------------------------
FINLAND -- 1.9%
14,000 Nokia OY AB, Class A Shares................................................... 544,250
- ---------------------------------------------------------------------------------------------------------
FRANCE -- 2.4%
2,248 Castorama Dubois.............................................................. 368,718
2,000 Ecco S.A. .................................................................... 303,037
72 Guilbert S.A. ................................................................ 8,465
- ---------------------------------------------------------------------------------------------------------
680,220
- ---------------------------------------------------------------------------------------------------------
GERMANY -- 6.4%
3,000 Hornbach Holding AG........................................................... 257,808
1,200 Mannesmann AG................................................................. 382,729
15,000 SGL Carbon AG (a)............................................................. 1,173,758
- ---------------------------------------------------------------------------------------------------------
1,814,295
- ---------------------------------------------------------------------------------------------------------
HONG KONG -- 6.5%
50,000 Guoco Group Ltd. ............................................................. 241,199
200,000 Hong Kong & China Gas Company Ltd. ........................................... 322,030
30,000 HSBC Holdings PLC............................................................. 453,946
100,000 Hutchison Whampoa Ltd. ....................................................... 609,141
25,000 Sun Hung Kai Properties....................................................... 204,502
- ---------------------------------------------------------------------------------------------------------
1,830,818
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
IRELAND -- 7.3%
61,545 Bank of Ireland............................................................... $ 444,884
40,255 CRH PLC....................................................................... 303,246
56,019 Greencore..................................................................... 489,339
100,000 Independent Newspapers PLC.................................................... 633,104
25,281 Irish Continental Group PLC................................................... 190,445
- ---------------------------------------------------------------------------------------------------------
2,061,018
- ---------------------------------------------------------------------------------------------------------
ISRAEL -- 3.6%
40,000 Gilsat Satellite Networks Ltd. (a)............................................ 1,010,000
- ---------------------------------------------------------------------------------------------------------
ITALY -- 6.3%
30,000 Alleanza Assicurazioni di Risp NC............................................. 210,848
15,000 De Rigo ADR (a)............................................................... 341,250
15,000 Industrie Natuzzi S.p.A. ADR.................................................. 680,625
300,000 Telecom Italia Mobile S.p.A. (a).............................................. 528,539
- ---------------------------------------------------------------------------------------------------------
1,761,262
- ---------------------------------------------------------------------------------------------------------
JAPAN -- 9.2%
15,000 Canon, Inc. .................................................................. 271,921
600 Doutor Koffee................................................................. 23,848
40,000 Hitachi Ltd. ................................................................. 403,277
28,000 Kajima Corporation............................................................ 276,865
16,000 Matsushita Electric Industries Company Ltd. .................................. 260,579
42,000 Mitsubishi Heavy Industries Ltd. ............................................. 335,088
60 Mr. Max Corporation........................................................... 1,157
16,000 Nippon Denso Company Ltd. .................................................... 299,355
3,000 Rohm Company.................................................................. 169,551
3,000 Shohkoh Fund & Company Ltd. .................................................. 564,200
- ---------------------------------------------------------------------------------------------------------
2,605,841
- ---------------------------------------------------------------------------------------------------------
MALAYSIA -- 3.7%
83,333 Leader Universal Holdings Berhad.............................................. 190,363
125,000 Renong Berhad................................................................. 185,112
112,000 Sungei Way Holdings........................................................... 403,624
12,500 Sungei Way Holdings Berhad Warrants, expire 6/29/99 (a)....................... 17,034
30,000 Telekom Malaysia Berhad....................................................... 233,950
- ---------------------------------------------------------------------------------------------------------
1,030,083
- ---------------------------------------------------------------------------------------------------------
MEXICO -- 3.4%
5,000 Coca Cola Femsa S.A., Series L ADR............................................ 92,500
51,000 Gruma S.A. de C.V., Series B ................................................. 143,634
20,000 Grupo Carso S.A., Series A1 (a)............................................... 107,982
31,432 Grupo Industrial Bimbo S.A., Series A......................................... 130,134
1,350 Grupo Iusacell S.A., Series D ADR (a)......................................... 10,800
7,500 Grupo Iusacell S.A., Series L ADR (a)......................................... 75,938
15,000 Kimberly Clark S.A., Series A................................................. 226,606
5,000 Telefonos De Mexico S.A., Series L ADR........................................ 159,375
- ---------------------------------------------------------------------------------------------------------
946,969
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
NETHERLANDS -- 5.7%
15,000 Getronics N.V. ............................................................... $ 701,765
3,125 Heineken N.V. ................................................................ 554,979
10,000 IHC Caland N.V. .............................................................. 336,847
- ---------------------------------------------------------------------------------------------------------
1,593,591
- ---------------------------------------------------------------------------------------------------------
NORWAY -- 0.7%
8,000 Petroleum Geo Services AS (a)................................................. 198,794
- ---------------------------------------------------------------------------------------------------------
PANAMA -- 1.1%
10,000 Panamerican Beverages, Inc. ADR............................................... 320,000
- ---------------------------------------------------------------------------------------------------------
PHILIPPINES -- 1.1%
37,500 International Container Services, Inc. ....................................... 19,658
1,000,000 SM Prime Holdings Inc......................................................... 285,932
- ---------------------------------------------------------------------------------------------------------
305,590
- ---------------------------------------------------------------------------------------------------------
SINGAPORE -- 9.5%
70,000 Cerebos Pacific............................................................... 484,977
70,000 DBS Land Ltd. ................................................................ 236,550
15,000 Fraser & Neave................................................................ 190,880
85,000 Hong Leong Finance Ltd. Foreign............................................... 289,643
25,757 Jardine Matheson Holding...................................................... 176,435
500,000 QAF Ltd. ..................................................................... 682,220
35,000 Sembawang Maritime Ltd. ...................................................... 111,347
100,000 Van Der Horst Ltd. ........................................................... 505,479
- ---------------------------------------------------------------------------------------------------------
2,677,531
- ---------------------------------------------------------------------------------------------------------
SWEDEN -- 9.4%
8,000 Astra AB, Series A............................................................ 319,884
2,000 Astra AB, Series B............................................................ 79,368
15,000 Autoliv AB Free............................................................... 878,172
30,800 Ericsson Tel AB LM, Series B Free............................................. 604,159
8,932 Hennes Mauritz, Series B Free................................................. 498,663
12,500 Volvo AB, Series B Free....................................................... 256,511
- ---------------------------------------------------------------------------------------------------------
2,636,757
- ---------------------------------------------------------------------------------------------------------
TAIWAN -- 0.2%
5,000 Formosa Growth Fund Ltd., Series 1 (a)........................................ 67,500
- ---------------------------------------------------------------------------------------------------------
THAILAND -- 2.2%
90,000 Krung Thai Bank Public Company Ltd. .......................................... 371,576
15,000 Land & House Public Company Ltd. Foreign...................................... 246,526
- ---------------------------------------------------------------------------------------------------------
618,102
- ---------------------------------------------------------------------------------------------------------
UNITED KINGDOM -- 5.7%
20,589 BAA PLC....................................................................... 155,038
20,000 British Biotech PLC (a)....................................................... 560,489
15,000 Flextech (a).................................................................. 109,924
411 GKN PLC....................................................................... 4,971
30,000 MISYS PLC..................................................................... 265,495
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1995
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C>
UNITED KINGDOM -- 5.7% (CONTINUED)
6,000 Reuters Holdings PLC ADR B.................................................... $ 330,750
5,000 Vodafone Group PLC Sponsored ADR.............................................. 176,250
- ---------------------------------------------------------------------------------------------------------
1,602,917
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS AT VALUE -- 100% (Cost -- $25,118,895*)..................... $28,181,006
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
54
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1995
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY INTERMEDIATE STRATEGIC EQUITY EQUITY GROWTH
MARKET HIGH GRADE INCOME INCOME INDEX AND INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments -- Cost................ $5,674,068 $15,211,475 $57,032,317 $45,452,561 $11,942,487 $27,200,462
Repurchase Agreements -- Cost...... -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Foreign currency -- Cost........... -- -- $ 282,629 -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Investments, at value.............. $5,674,068 $15,848,404 $58,797,517 $52,224,818 $15,466,758 $35,122,542
Repurchase Agreements, at value.... -- -- -- -- -- --
Foreign currency, at value......... -- -- 277,358 -- -- --
Cash............................... 993 662 -- 18 792 781
Receivable for securities sold..... -- -- 302,133 -- 4,125 --
Receivable for Fund shares sold.... -- -- -- -- 6,136 --
Dividends and interest
receivable....................... 99 347,932 1,328,596 368,603 27,015 126,775
Receivable from manager............ 23,746 2,682 -- -- 4,361 --
Receivable for open forward foreign
currency contracts............... -- -- 5,039 -- -- --
Receivable from broker............. -- -- -- -- 1,050 --
Deferred organization costs (Note
10).............................. 2,937 2,890 3,090 3,090 2,954 2,964
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS....................... 5,701,843 16,202,570 60,713,733 52,596,529 15,513,191 35,253,062
- -------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Investment advisory fees payable... -- -- 21,831 19,660 -- 13,390
Administration fees payable........ -- -- 9,703 8,833 -- 5,951
Payable for securities purchased... -- -- -- -- 225,102 8,594
Dividends payable.................. 16,480 -- -- -- -- --
Payable for open forward foreign
currency contracts............... -- -- 13,479 -- -- --
Payable for Fund shares redeemed... -- 12,779 33,718 19,058 -- --
Payable to bank.................... -- -- 1,248,632 -- -- --
Accrued expenses and other
liabilities...................... 32,093 37,370 70,833 104,710 57,870 66,941
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES.................. 48,573 50,149 1,398,196 152,261 282,972 94,876
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS....................... $5,653,270 $16,152,421 $59,315,537 $52,444,268 $15,230,219 $35,158,186
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of beneficial interest... $ 5,653 $ 1,524 $ 5,927 $ 4,247 $ 978 $ 2,560
Capital paid in excess of par
value............................ 5,647,617 15,695,911 58,362,809 47,480,817 11,090,639 27,182,235
Undistributed net investment income
(loss)........................... -- 105,681 791,941 274,291 231,185 52,721
Accumulated net realized gain
(loss) on
investments...................... -- (287,624) (1,608,501) (2,087,344) 376,704 (1,565)
Net unrealized appreciation of
investments and foreign
currencies....................... -- 636,929 1,763,361 6,772,257 3,530,713 7,922,235
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS....................... $5,653,270 $16,152,421 $59,315,537 $52,444,268 $15,230,219 $35,158,186
- -------------------------------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING..................... 5,653,270 1,524,360 5,927,337 4,246,956 977,601 2,560,629
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE........................ $1.00 $10.60 $10.01 $12.35 $15.58 $13.73
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
EMERGING TOTAL INTERNATIONAL
APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
ASSETS:
Investments -- Cost................ $77,665,095 $13,767,923 $47,893,885 $ 25,118,895
Repurchase Agreements -- Cost...... -- -- 26,274,000 --
- -------------------------------------------------------------------------------------------------------------------------------
Foreign currency -- Cost........... -- -- -- $ 771,733
- -------------------------------------------------------------------------------------------------------------------------------
Investments, at value.............. $94,697,581 $17,783,227 $52,111,709 $ 28,181,006
Repurchase Agreements, at value.... -- -- 26,274,000 --
Foreign currency, at value......... -- -- -- 773,913
Cash............................... 875 9,263 1,376 29,448
Receivable for securities sold..... -- 37,358 -- 59,892
Receivable for Fund shares sold.... -- 5,401 216,491 --
Dividends and interest
receivable....................... 126,784 6,135 218,681 43,117
Receivable from manager............ -- 6,572 69,495 --
Receivable for open forward foreign
currency contracts............... -- -- -- --
Receivable from broker............. -- -- -- --
Deferred organization costs (Note
10).............................. 3,533 9,315 9,379 9,385
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS....................... 94,828,773 17,857,271 78,901,131 29,096,761
- -------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Investment advisory fees payable... 44,346 -- -- 20,610
Administration fees payable........ 16,126 -- 2,105 4,849
Payable for securities purchased... -- 335,538 669,797 6,105
Dividends payable.................. -- -- -- --
Payable for open forward foreign
currency contracts............... -- -- -- 3,098
Payable for Fund shares redeemed... 134,683 -- 8,937 15,884
Payable to bank.................... -- -- -- --
Accrued expenses and other
liabilities...................... 141,790 58,798 177,320 67,628
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES.................. 336,945 394,336 858,159 118,174
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS....................... $94,491,828 $17,462,935 $78,042,972 $ 28,978,587
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of beneficial interest... $ 6,568 $ 1,269 $ 6,123 $ 2,905
Capital paid in excess of par
value............................ 69,247,035 13,000,549 71,248,020 28,442,350
Undistributed net investment income
(loss)........................... 1,457,158 -- 1,592,959 (11,017)
Accumulated net realized gain
(loss) on
investments...................... 6,748,581 445,813 978,046 (2,515,619)
Net unrealized appreciation of
investments and foreign
currencies....................... 17,032,486 4,015,304 4,217,824 3,059,968
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS....................... $94,491,828 $17,462,935 $78,042,972 $ 28,978,587
- -------------------------------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING..................... 6,568,278 1,269,217 6,123,389 2,905,098
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE........................ $14.39 $13.76 $12.75 $9.98
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY INTERMEDIATE STRATEGIC EQUITY EQUITY GROWTH
MARKET HIGH GRADE INCOME INCOME INDEX AND INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest.................................. $365,063 $1,142,554 $ 5,010,761 $ 862,643 $ 69,518 $ 256,091
Dividends................................. -- -- 104,941 1,992,785 288,951 743,965
Less: Foreign withholding tax............. -- -- (18,916) (3,487) (1,830) (4,206)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................... 365,063 1,142,554 5,096,786 2,851,941 356,639 995,850
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory fees (Note 3)......... 18,434 61,355 252,838 216,900 50,171 146,172
Administrative fees (Note 3).............. 12,289 30,678 112,373 96,400 25,085 64,965
Shareholder and system servicing fees..... 7,557 6,000 12,500 10,000 6,000 10,000
Audit and legal........................... 14,800 18,000 16,100 35,000 18,000 35,000
Shareholder communications................ 8,000 14,000 30,000 14,000 14,000 14,000
Custody................................... 5,000 5,280 66,749 18,000 24,250 12,000
Trustees' fees............................ 1,500 2,514 6,700 8,201 2,381 5,498
Amortization of deferred organization
costs................................... 6,000 6,043 6,243 6,241 6,102 6,117
Registration fees......................... -- 500 5,000 -- 550 --
Other..................................... 700 500 8,250 55,917 500 22,431
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES............................ 74,280 144,870 516,753 460,659 147,039 316,183
Less: Management fee waiver and expense
reimbursement (Note 3).................. (28,195) (14,361) -- -- (21,657) --
Less: Custody earnings credit (Note 1).... -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
NET EXPENSES.............................. 46,085 130,509 516,753 460,659 125,382 316,183
- ---------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS).................. 318,978 1,012,045 4,580,033 2,391,282 231,257 679,667
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT AND FOREIGN CURRENCIES (NOTE 4):
Realized Gain (Loss) From:
Security transactions (excluding
short-term securities)................ -- 137,970 (702,732) (457,862) 119,052 421,958
Options written......................... -- -- -- -- -- --
Options Purchased....................... -- -- -- -- -- --
Futures................................. -- -- -- -- 313,039 --
Foreign currency transactions........... -- -- (160,388) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS).................. -- 137,970 (863,120) (457,862) 432,091 421,958
- ---------------------------------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation of
Investments and Foreign Currencies:
Beginning of year....................... -- (708,510) (3,055,414) (4,917,432) 437,115 411,952
End of year............................. -- 636,929 1,763,361 6,772,257 3,530,713 7,922,235
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET UNREALIZED APPRECIATION... -- 1,345,439 4,818,775 11,689,689 3,093,598 7,510,283
- ---------------------------------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES.................................. -- 1,483,409 3,955,655 11,231,827 3,525,689 7,932,241
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS........ $318,978 $2,495,454 $ 8,535,688 $13,623,109 $3,756,946 $8,611,908
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
EMERGING TOTAL INTERNATIONAL
APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest.................................. $ 521,326 $ 60,166 $ 668,585 $ 17,428
Dividends................................. 1,804,839 78,022 1,489,735 487,318
Less: Foreign withholding tax............. (11,069) -- -- (50,691)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................... 2,315,096 138,188 2,158,320 454,055
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory fees (Note 3)......... 488,187 108,035 247,410 235,739
Administrative fees (Note 3).............. 177,523 28,809 89,967 55,468
Shareholder and system servicing fees..... 10,000 6,000 6,000 8,500
Audit and legal........................... 35,000 18,000 35,000 16,000
Shareholder communications................ 14,000 14,000 14,000 18,000
Custody................................... 24,000 19,000 12,500 45,156
Trustees' fees............................ 14,777 2,731 12,206 6,500
Amortization of deferred organization
costs................................... 6,686 3,235 3,235 3,235
Registration fees......................... -- 350 17,000 8,000
Other..................................... 87,145 200 12,157 10,818
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES............................ 857,318 200,360 449,475 407,416
Less: Management fee waiver and expense
reimbursement (Note 3).................. -- (27,302) -- --
Less: Custody earnings credit (Note 1).... -- -- -- (15,648)
- ---------------------------------------------------------------------------------------------------------------------------------
NET EXPENSES.............................. 857,318 173,058 449,475 391,768
- ---------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS).................. 1,457,778 (34,870) 1,708,845 62,287
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT AND FOREIGN CURRENCIES (NOTE 4):
Realized Gain (Loss) From:
Security transactions (excluding
short-term securities)................ 6,749,135 1,846,715 2,640,533 (2,204,981)
Options written......................... -- -- (172,339) --
Options Purchased....................... -- -- (232,838) --
Futures................................. -- -- -- --
Foreign currency transactions........... -- -- -- 37,343
- ---------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS).................. 6,749,135 1,846,715 2,235,356 (2,167,638)
- ---------------------------------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation of
Investments and Foreign Currencies:
Beginning of year....................... 3,030,277 782,793 (760,878) (1,409,788)
End of year............................. 17,032,486 4,015,304 4,217,824 3,059,968
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET UNREALIZED APPRECIATION... 14,002,209 3,232,511 4,978,702 4,469,756
- ---------------------------------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES.................................. 20,751,344 5,079,226 7,214,058 2,302,118
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS........ $22,209,122 $5,044,356 $8,922,903 $ 2,364,405
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY INTERMEDIATE STRATEGIC EQUITY EQUITY GROWTH
MARKET HIGH GRADE INCOME INCOME INDEX AND INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)...... $ 318,978 $ 1,012,045 $ 4,580,033 $ 2,391,282 $ 231,257 $ 679,667
Net realized gain (loss).......... -- 137,970 (863,120) (457,862) 432,091 421,958
Increase in net unrealized
appreciation.................... -- 1,345,439 4,818,775 11,689,689 3,093,598 7,510,283
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM
OPERATIONS...................... 318,978 2,495,454 8,535,688 13,623,109 3,756,946 8,611,908
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............. (318,978) (1,080,907) (3,628,366) (2,744,365) (200,991) (701,745)
Net realized gain................. -- -- -- -- (12,638) --
- -------------------------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS... (318,978) (1,080,907) (3,628,366) (2,744,365) (213,629) (701,745)
- -------------------------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 9):
Net proceeds from sale of
shares.......................... 4,160,876 2,606,497 2,483,761 1,968,215 3,063,195 1,543,081
Net asset value of shares issued
for reinvestment of dividends... 302,497 1,080,907 3,327,194 2,744,365 213,629 701,745
Cost of shares reacquired......... (5,951,049) (2,229,692) (6,662,995) (7,564,452) (1,815,334) (4,621,473)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM FUND SHARE TRANSACTIONS.... (1,487,676) 1,457,712 (852,040) (2,851,872) 1,461,490 (2,376,647)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS..... (1,487,676) 2,872,259 4,055,282 8,026,872 5,004,807 5,533,516
NET ASSETS:
Beginning of year................. 7,140,946 13,280,162 55,260,255 44,417,396 10,225,412 29,624,670
- -------------------------------------------------------------------------------------------------------------------------------
END OF YEAR*...................... $ 5,653,270 $16,152,421 $59,315,537 $52,444,268 $15,230,219 $35,158,186
- -------------------------------------------------------------------------------------------------------------------------------
* Includes undistributed net
investment income (loss) of: ....... -- $105,681 $791,941 $274,291 $231,185 $52,721
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
EMERGING TOTAL INTERNATIONAL
APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)...... $ 1,457,778 $ (34,870) $ 1,708,845 $ 62,287
Net realized gain (loss).......... 6,749,135 1,846,715 2,235,356 (2,167,638)
Increase in net unrealized
appreciation.................... 14,002,209 3,232,511 4,978,702 4,469,756
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM
OPERATIONS...................... 22,209,122 5,044,356 8,922,903 2,364,405
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............. (1,410,859) -- (1,506,614) (110,647)
Net realized gain................. (1,392,571) -- (686,521) --
- -------------------------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS... (2,803,430) -- (2,193,135) (110,647)
- -------------------------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 9):
Net proceeds from sale of
shares.......................... 2,790,750 2,521,682 48,877,204 2,702,681
Net asset value of shares issued
for reinvestment of dividends... 2,803,430 -- 2,193,135 110,647
Cost of shares reacquired......... (11,330,660) (1,642,161) (2,953,026) (4,501,305)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM FUND SHARE TRANSACTIONS.... (5,736,480) 879,521 48,117,313 (1,687,977)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS..... 13,669,212 5,923,877 54,847,081 565,781
NET ASSETS:
Beginning of year................. 80,822,616 11,539,058 23,195,891 28,412,806
- -------------------------------------------------------------------------------------------------------------------------------
END OF YEAR*...................... $94,491,828 $17,462,935 $78,042,972 $ 28,978,587
- -------------------------------------------------------------------------------------------------------------------------------
* Includes undistributed net
investment income (loss) of: ....... $1,457,158 -- $978,046 $(11,017)
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 1994
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY INTERMEDIATE STRATEGIC EQUITY EQUITY GROWTH
MARKET HIGH GRADE INCOME INCOME INDEX AND INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)...... $ 238,927 $ 809,619 $ 3,871,170 $ 2,731,674 $ 200,939 $ 712,850
Net realized gain (loss).......... -- (425,633) (1,560,526) (1,629,482) (39,099) (343,937)
Increase (decrease) in net
unrealized appreciation......... -- (706,692) (3,687,044) (6,956,371) (57,595) (1,273,005)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS................. 238,927 (322,706) (1,376,400) (5,854,179) 104,245 (904,092)
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............. (238,927) (754,838) (3,209,940) (2,331,772) (111,775) (667,174)
Net realized gains................ -- (96,524) -- (117,669) (111,690) --
Capital........................... -- -- (200,460) -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS... (238,927) (851,362) (3,410,400) (2,449,441) (223,465) (667,174)
- -------------------------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 9):
Net proceeds from sale of
shares.......................... 9,671,065 5,706,733 18,827,572 3,601,508 2,438,324 7,429,055
Net asset value of shares issued
for reinvestment of dividends... 242,610 851,363 3,410,400 2,449,442 223,465 667,175
Cost of shares reacquired......... (6,475,417) (1,963,006) (5,435,332) (13,489,892) (1,159,262) (2,448,822)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM FUND SHARE TRANSACTIONS.... 3,438,258 4,595,090 16,802,640 (7,438,942) 1,502,527 5,647,408
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS..... 3,438,258 3,421,022 12,015,840 (15,742,562) 1,383,307 4,076,142
NET ASSETS:
Beginning of year................. 3,702,688 9,859,140 43,244,415 60,159,958 8,842,105 25,548,528
- -------------------------------------------------------------------------------------------------------------------------------
END OF YEAR*...................... $ 7,140,946 $13,280,162 $55,260,255 $44,417,396 $10,225,412 $29,624,670
- -------------------------------------------------------------------------------------------------------------------------------
* Includes undistributed net
investment income of: .............. -- $174,543 $662 $627,374 $200,919 $74,799
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
EMERGING TOTAL INTERNATIONAL
APPRECIATION GROWTH RETURN EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)...... $ 1,411,840 $ (15,361) $ 545,842 $ 69,485
Net realized gain (loss).......... 2,426,383 (1,399,759) 686,358 (457,968)
Increase (decrease) in net
unrealized appreciation......... (4,664,335) 715,785 (800,268) (1,437,165)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS................. (826,112) (699,335) 431,932 (1,825,648)
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............. (893,799) (897) (413,990) --
Net realized gains................ -- -- -- --
Capital........................... -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS... (893,799) (897) (413,990) --
- -------------------------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 9):
Net proceeds from sale of
shares.......................... 10,824,472 11,029,729 20,827,157 25,681,169
Net asset value of shares issued
for reinvestment of dividends... 893,799 897 413,991 --
Cost of shares reacquired......... (7,016,905) (1,048,804) (840,368) (1,309,624)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM FUND SHARE TRANSACTIONS.... 4,701,366 9,981,822 20,400,780 24,371,545
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS..... 2,981,455 9,281,590 20,418,722 22,545,897
NET ASSETS:
Beginning of year................. 77,841,161 2,257,468 2,777,169 5,866,909
- -------------------------------------------------------------------------------------------------------------------------------
END OF YEAR*...................... $80,822,616 $11,539,058 $23,195,891 $ 28,412,806
- -------------------------------------------------------------------------------------------------------------------------------
* Includes undistributed net
investment income of: .............. $1,410,239 -- $133,581 --
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Smith Barney Series Fund (the "Fund"), a Massachusetts business trust, is
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end investment company. 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 acquired through investing in an individual
flexible premium deferred combination fixed and variable annuity contract or a
certificate evidencing interest in a master group flexible premium deferred
annuity offered by certain insurance companies.
The significant accounting policies consistently followed by the Fund are: (a)
securities transactions are accounted for on trade date; (b) securities traded
on national securities markets are valued at the closing prices on such markets
or, if there were no sales during the day, at current quoted bid price;
securities 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 are valued on the basis of the bid price at the
close of business on each day; U.S. Government and Government Agency obligations
are valued at the average between the bid and the asked prices; short-term
investments that have a maturity of more than 60 days are valued at prices based
on market quotations for securities of similar type, yield and maturity; (c)
short-term investments that have a maturity of 60 days or less are valued at
cost plus accreted discount, or minus amortized premium, which approximates
market value; (d) dividend income is recorded on the ex-dividend date except
that certain dividends from foreign securities are recorded as soon as the fund
is informed of the ex-dividend date and interest income is recorded on the
accrual basis; (e) gains or losses on the sale of securities are calculated by
using the specific identification method; (f) dividends and distributions to
shareholders are recorded by the Fund on the ex-dividend date; (g) foreign
currencies (and receivables and payables for unsettled foreign securities
transactions) are translated into U.S. dollars based on the rate of exchange of
such currencies against U.S. dollars on the date of valuation. Translation gains
or losses resulting from changes in the exchange rate and realized gains and
losses on the settlement of foreign currency transactions are reported in the
statements of operations; (h) the accounting records of the Fund are maintained
in US dollars. All assets and liabilities denominated in foreign currencies are
translated into US dollars based on the rate of exchange of such currencies
against US dollars on the date of valuation. Purchases and sales of securities,
and income and expenses are translated at the rate of exchange quoted on the
respective date that such transactions are recorded. Differences between income
and expense amounts recorded and collected or paid are adjusted when reported by
the custodian bank; (i) each Portfolio intends to comply with the requirements
of the Internal Revenue Code of 1986, as amended, pertaining to regulated
investment companies and to make distributions of taxable income sufficient to
relieve it from substantially all federal income and excise tax; (j) the
character of income and gains to be distributed are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. At December 31, 1995, reclassifications are made to the Total Return
Portfolio's capital accounts to reflect permanent book/tax differences and
income and gains available for distributions under income tax regulations. In
addition, an undistributed net investment loss amounting to $34,870 has been
reclassified to paid-in capital for the Emerging Growth Portfolio. Net
investment income, net realized gains and net assets were not affected by this
change; and (k) estimates and assumptions are required to be made regarding
assets, liabilities and changes in net assets resulting from operations when
financial statements are prepared. Changes in the economic environment,
financial markets and any other parameters used in determining these estimates
could cause actual results to differ from these amounts.
In addition, the Fund may from time to time enter into options and/or futures
contracts in order to hedge market risk.
The International Equity Portfolio has an arrangement with its custodian, Morgan
Guaranty Trust Company of New York, where it earns a custody credit on the
available cash balance. This credit offsets custody fees which may be charged to
the Portfolio during the current year. For the year ended December 31, 1995, the
custody credit totalled $15,648 for the International Equity Portfolio.
In addition, certain Portfolios may enter into forward exchange contracts in
order to hedge against foreign currency risk. These contracts are marked to
market daily, by recognizing the difference between the contract exchange rate
and the current market rate as an unrealized gain or loss. Realized gains or
losses are recognized when contracts are settled.
59
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
2. DIVIDENDS
During the year ended 1995, dividends from net investment income, if any, are
distributed; monthly for the Money Market, Intermediate High Grade, Diversified
Strategic Income, Equity Income and Total Return Portfolios; quarterly for the
Growth & Income Portfolio; and, annually for the Equity Index, Appreciation,
Emerging Growth and International Equity Portfolios. Any net realized capital
gains are declared and distributed annually. On January 17, 1996, the Funds'
Board of Trustees changed the dividend policy for all portfolios, except the
Money Market Portfolio, to declare and distribute dividends from net investment
income annually. On January 17, 1996, the Fund's Board of Trustees changed the
dividend policy in all portfolios, except the Money Market Portfolio, to declare
and distribute dividends from net investment income annually.
3. INVESTMENT ADVISORY AGREEMENT, ADMINISTRATION AGREEMENT AND OTHER
TRANSACTIONS
The Fund on behalf of the Money Market, Intermediate High Grade, Diversified
Strategic Income, Equity Income, Growth & Income, Appreciation, Total Return and
International Equity Portfolios has entered into an investment advisory
agreement (the "Advisory Agreement") with Smith Barney Mutual Funds Management
Inc. ("SBMFM"). SBMFM is a wholly-owned subsidiary of Smith Barney Holdings Inc.
("SBH"), which in turn is a wholly-owned subsidiary of Travelers Group Inc.
("Travelers"). Under the Advisory Agreement, the Money Market, Intermediate High
Grade, Diversified Strategic Income, Equity Income, Growth & Income,
Appreciation, Total Return and International Equity Portfolios each pay an
investment advisory fee at the annual rates of 0.30%, 0.40%, 0.45%, 0.45%,
0.45%, 0.55%, 0.55% and 0.85%, respectively, of the value of their average daily
net assets. This fee is calculated daily and paid monthly.
The Fund on behalf of the Equity Index Portfolio has entered into an investment
advisory agreement with Travelers Investment Management Company ("TIMCO"), a
wholly-owned subsidiary of Travelers. Under the investment advisory agreement,
the Equity Index Portfolio pays an investment advisory fee at the annual rate of
0.40% of the value of its average daily net assets. This fee is calculated daily
and paid monthly.
The fund on behalf of the Emerging Growth Portfolio has entered into an
investment advisory agreement with Van Kampen American Capital Asset Management,
Inc. Under the investment advisory agreement, the Emerging Growth Portfolio pays
an investment advisory fee at the annual rate of 0.75% of the value of its
average daily net assets. This fee is calculated daily and paid monthly.
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.
The Fund, on behalf of all the Portfolios, has entered into an administration
agreement with SBMFM. Under the agreement, each Portfolio pays an administrative
fee at the annual rate of 0.20% of the value of the average daily net assets.
These fees are calculated daily and paid monthly.
In addition, The Boston Company Advisors, Inc. ("Boston Advisors"), an indirect
wholly owned subsidiary of Mellon Bank Corporation, acted as sub-administrator
to the Fund. SBMFM paid Boston Advisors a portion of its administration fee at a
rate agreed upon from time to time between SBMFM and Boston Advisors. As of May
15, 1995, this relationship was terminated.
By mutual agreement of the parties involved, in the event the aggregate expenses
of a Portfolio (exclusive of interest, taxes, brokerage expenses and
extraordinary expenses) exceed an agreed upon limitation, the relevant
investment adviser, SBGCM, SBMFM and transfer agent 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. IDS
Life Insurance Company ("IDS Life"), one of the insurance companies offering
variable annuity and variable life insurance through which investments can be
made in the Fund, will bear the remaining half of such excess expenses. Prior to
May 15, 1995, Boston Safe Deposit and Trust ("Boston Safe") also participated in
this agreement.
60
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
For the year ended December 31, 1995, the investment advisers, administrator,
transfer agent, First Data Investor Services Group, Inc. ("First Data") and
custodian, Boston Safe reimbursed and/or waived fees as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
TOTAL
FEE WAIVERS INVESTMENT BOSTON*
AND REIMBURSEMENTS ADVISER ADMINISTRATOR FIRST DATA SAFE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Money Market Portfolio..... $ 28,195 $ 15,764 $10,510 $519 $1,402
Intermediate High Grade
Portfolio................ 14,361 7,291 3,592 145 327
Equity Index Portfolio..... 21,657 8,065 3,972 310 2,468
Emerging Growth
Portfolio................ 27,302 16,260 4,066 221 1,490
</TABLE>
- --------------------------------------------------------------------------------
* Boston Safe served as custodian to the Portfolios prior to May 15, 1995.
For the year ended December 31, 1995, IDS Life reimbursed expenses pursuant to
the above agreements as follows:
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Intermediate High Grade Portfolio......... $3,006
Equity Index Portfolio.................... 6,842
Emerging Growth Portfolio................. 5,265
</TABLE>
- --------------------------------------------------------------------------------
For the year ended December 31, 1995, Smith Barney received brokerage
commissions of $181,393.
No officer, director or employee of Smith Barney or its affiliates receives any
compensation from the Fund for serving as a Trustee or officer of the Fund.
4. INVESTMENTS
Costs of purchases and proceeds from sales of securities, excluding short-term
obligations, during the year ended December 31, 1995 were as follows:
<TABLE>
<CAPTION>
DIVERSIFIED
INTERMEDIATE STRATEGIC EQUITY EQUITY GROWTH EMERGING
HIGH GRADE INCOME INCOME INDEX AND INCOME APPRECIATION GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
Purchases $19,521,103 $30,450,448 $14,868,208 $2,624,217 $5,287,141 $ 34,027,263 $17,404,899
- ------------------------------------------------------------------------------------------------------------------------------
Sales 17,639,105 24,516,881 20,211,306 523,883 6,603,112 40,517,726 16,159,989
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
TOTAL INTERNATIONAL
RETURN EQUITY
PORTFOLIO PORTFOLIO
<S> <C> <C>
- -----------------------------------------------
Purchases $55,455,148 $ 9,572,192
- -----------------------------------------------
Sales 27,529,509 11,700,670
- -----------------------------------------------
</TABLE>
At December 31, 1995, the net unrealized appreciation of investments for Federal
income tax purposes approximated the following:
<TABLE>
<CAPTION>
DIVERSIFIED
INTERMEDIATE STRATEGIC EQUITY EQUITY GROWTH EMERGING
HIGH GRADE INCOME INCOME INDEX AND INCOME APPRECIATION GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
Appreciation $ 763,311 $ 2,266,113 $7,019,213 $3,714,821 $8,003,431 $ 17,807,151 $4,228,033
Depreciation (126,382 ) (500,913) (246,956) (190,550) (81,351) (774,665) (212,729)
- ---------------------------------------------------------------------------------------------------------------------------
Net Appreciation
(Depreciation) $ 636,929 $ 1,765,200 $6,772,257 $3,524,271 $7,922,080 $ 17,032,486 $4,015,304
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
TOTAL INTERNATIONAL
RETURN EQUITY
PORTFOLIO PORTFOLIO
<S> <C> <C>
- -------------------------------------------------
Appreciation $ 5,772,706 $ 5,254,487
Depreciation (1,554,882) (2,192,376)
- -------------------------------------------------
Net Appreciation
(Depreciation) $ 4,217,824 $ 3,062,111
- -------------------------------------------------
</TABLE>
61
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. FUTURES CONTRACTS
Initial margin deposits made upon entering into futures contracts are recognized
as assets. The initial margin is segregated by the custodian as is noted in the
schedule of investments. During the period the futures contract is open, changes
in the value of the contract are recognized as unrealized gains or losses by
"marking to market" on a daily basis to reflect the market value of the contract
at the end of each day's trading. Variation margin payments are made or received
and recognized as assets due from or liabilities due to broker, depending upon
whether unrealized gains or losses are incurred. When the contract is closed,
the Fund records a realized gain or loss equal to the difference between the
proceeds from (or cost of) the closing transaction and the Fund's basis in the
contract.
At December 31, 1995, the Equity Index Portfolio purchased three financial
futures contracts on the Standard & Poor's 500 Stock Index expiring in March
1996. The basic value of such contracts was $921,233. The market value of such
contracts on December 31, 1995 was $927,675, thereby resulting in an unrealized
gain of $6,442.
6. OPTION CONTRACTS
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 sales
transaction, the Portfolio will realize a gain or loss depending on whether the
sales proceeds from the closing sales 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 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.
Option activity for Total Return Portfolio for the year ended December 31, 1995
was as follows:
<TABLE>
<CAPTION>
NUMBER OF
PREMIUMS CONTRACTS
- -----------------------------------------------------------------------------------
<S> <C> <C>
Written options outstanding at December 31, 1994 $ 44,274 50
Written options opened during the year 293,903 500
Options cancelled in closing purchase transactions (319,465) (400)
Options expired (18,712) (150)
- -----------------------------------------------------------------------------------
Written options outstanding at December 31, 1995 $ 0 0
- -----------------------------------------------------------------------------------
</TABLE>
62
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
7. FORWARD FOREIGN CURRENCY CONTRACTS
At December 31, 1995, Diversified Strategic Income Portfolio and International
Equity Portfolio had open forward foreign currency contracts as described below.
The Portfolios bear the market risk that arises from changes in foreign currency
exchange rates. The unrealized gain (loss) on the contracts reflected in the
accompanying financial statements are as follows:
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
TO SELL:
Canadian Dollar............................... 750,000 $ 549,845 2/15/96 $ (3,347)
Finnish Markka................................ 4,750,000 1,096,210 2/15/96 4,091
Spanish Peseta................................ 100,000,000 820,176 2/15/96 (10,132)
Swedish Krona................................. 2,000,000 300,598 2/15/96 948
- -----------------------------------------------------------------------------------------------------------
TOTAL MARKET VALUE AND UNREALIZED LOSS ON
FORWARD FOREIGN CURRENCY CONTRACTS............ $2,766,829 $ (8,440)
- -----------------------------------------------------------------------------------------------------------
</TABLE>
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE (LOSS)
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
TO SELL:
Italian Lira................................... $452,184,000 $285,278 1/2/96 $ (2,850)
Swedish Krona.................................. 262,253 39,428 1/4/96 (248)
- ----------------------------------------------------------------------------------------------------------
TOTAL MARKET VALUE AND UNREALIZED LOSS ON FORWARD
FOREIGN CURRENCY CONTRACTS..................... $324,706 $ (3,098)
- ----------------------------------------------------------------------------------------------------------
</TABLE>
8. REPURCHASE AGREEMENTS
The Fund purchases (and its custodian takes possession of) U.S. Government
Securities from banks and securities dealers subject to agreements to resell the
securities to the sellers at a future date (generally, the next business day) at
an agreed upon higher repurchase price. The Fund requires continual maintenance
of the market value of the collateral in amounts at least equal to the
repurchase price.
9. SHARES OF BENEFICIAL INTEREST
As of December 31, 1995, the Fund had an unlimited number of shares of
beneficial interest authorized with a par value of $0.001 per share. The Fund
has the ability to issue multiple classes of shares. Each share of a class
represents an identical interest and has the same rights, except that each class
bears certain direct expenses, including those specifically related to the
distribution of its shares. Transactions in shares for each portfolio were as
follows:
63
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
DECEMBER 31, 1995 DECEMBER 31, 1994
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
MONEY MARKET PORTFOLIO:
Shares sold.................................................... 4,160,876 9,671,065
Shares issued on reinvestment.................................. 302,497 242,610
Shares redeemed................................................ (5,951,049) (6,475,417)
- --------------------------------------------------------------------------------------------------------
Net Increase (Decrease)........................................ (1,487,676) 3,428,258
- --------------------------------------------------------------------------------------------------------
INTERMEDIATE HIGH GRADE PORTFOLIO:
Shares sold.................................................... 261,586 564,424
Shares issued on reinvestment.................................. 107,108 85,472
Shares redeemed................................................ (218,646) (197,590)
- --------------------------------------------------------------------------------------------------------
Net Increase................................................... 150,048 452,306
- --------------------------------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO:
Shares sold.................................................... 257,850 1,945,230
Shares issued on reinvestment.................................. 376,906 359,109
Shares redeemed................................................ (725,789) (580,248)
- --------------------------------------------------------------------------------------------------------
Net Increase (Decrease)........................................ (91,033) 1,724,091
- --------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO:
Shares sold.................................................... 183,214 347,468
Shares issued on reinvestment.................................. 253,960 237,447
Shares redeemed................................................ (692,366) (1,293,068)
- --------------------------------------------------------------------------------------------------------
Net Decrease................................................... (255,192) (708,153)
- --------------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO:
Shares sold.................................................... 221,160 210,404
Shares issued on reinvestment.................................. 16,599 19,828
Shares redeemed................................................ (135,102) (98,160)
- --------------------------------------------------------------------------------------------------------
Net Increase................................................... 102,657 132,072
- --------------------------------------------------------------------------------------------------------
GROWTH AND INCOME PORTFOLIO:
Shares sold.................................................... 115,413 671,652
Shares issued on reinvestment.................................. 63,571 61,176
Shares redeemed................................................ (375,361) (222,279)
- --------------------------------------------------------------------------------------------------------
Net Increase (Decrease)........................................ (196,377) 510,549
- --------------------------------------------------------------------------------------------------------
APPRECIATION PORTFOLIO:
Shares sold.................................................... 211,124 932,854
Shares issued on reinvestment.................................. 224,994 78,610
Shares redeemed................................................ (872,074) (601,153)
- --------------------------------------------------------------------------------------------------------
Net Increase (Decrease)........................................ (435,956) 410,311
- --------------------------------------------------------------------------------------------------------
EMERGING GROWTH PORTFOLIO:
Shares sold.................................................... 210,992 1,090,077
Shares issued on reinvestment.................................. -- 88
Shares redeemed................................................ (139,884) (108,957)
- --------------------------------------------------------------------------------------------------------
Net Increase................................................... 71,108 981,208
- --------------------------------------------------------------------------------------------------------
TOTAL RETURN PORTFOLIO:
Shares sold.................................................... 4,028,225 1,921,345
Shares issued on reinvestment.................................. 186,081 37,914
Shares redeemed................................................ (242,324) (77,439)
- --------------------------------------------------------------------------------------------------------
Net Increase................................................... 3,971,982 1,881,820
- --------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO:
Shares sold.................................................... 282,677 2,639,835
Shares issued on reinvestment.................................. 12,132 --
Shares redeemed................................................ (475,871) (137,645)
- --------------------------------------------------------------------------------------------------------
Net Increase (Decrease)........................................ (181,062) 2,502,190
- --------------------------------------------------------------------------------------------------------
</TABLE>
64
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
10. 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.
11. CONCENTRATION OF RISK
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.
12. FOREIGN SECURITIES
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 U.S. Government.
13. CAPITAL LOSS CARRYFORWARD
As of December 31, 1995, the following Portfolios had available for Federal tax
purposes the approximate unused capital losses:
<TABLE>
<CAPTION>
EXPIRING IN THE EXPIRING IN THE
YEAR 2003 YEAR 2002 TOTAL
--------------- --------------- ----------
<S> <C> <C> <C>
Intermediate High Grade Portfolio.... -- $ 288,000 $ 288,000
Diversified Strategic Income
Portfolio.......................... $ 808,000 801,000 1,609,000
Equity Income Portfolio.............. 538,000 1,549,000 2,087,000
Growth & Income Portfolio............ -- 1,600 1,600
International Equity Portfolio....... 2,460,000 56,000 2,516,000
</TABLE>
To the extent that these carryforward losses are used to offset capital gains,
it is probable that the gains so offset will not be distributed. The amount and
expiration of the carryforwards are indicated below. Expiration occurs on
December 31 of the year indicated.
65
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each period:
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO 1995 1994 1993 1992 1991(1)
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR....................... $ 1.000 $ 1.000 $1.000 $1.000 $1.000
- ------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income (2)........................... 0.052 0.035 0.023 0.027 0.005
Net realized and unrealized gain on investments..... -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------
Total Income From Operations............................. 0.052 0.035 0.023 0.027 0.005
- ------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Net investment income............................... (0.052) (0.035) (0.023) (0.027) (0.005)
Net realized gains on security transactions......... -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------
Total Distributions...................................... (0.052) (0.035) (0.023) (0.027) (0.005)
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR............................. $ 1.000 $ 1.000 $1.000 $1.000 $1.000
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN............................................. 5.31% 3.56% 2.37% 2.75% 0.53%++
- ------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S).......................... $ 5,653 $ 7,141 $3,703 $2,108 $ 830
- ------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (2)........................................ 0.75% 0.75% 0.75% 0.75% 0.65%+
Net investment income............................... 5.19 3.65 2.34 2.79 3.35+
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE HIGH GRADE PORTFOLIO 1995 1994 1993 1992 1991(1)
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR....................... $ 9.66 $ 10.69 $10.29 $10.24 $10.00
- ------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (2)........................... 0.66 0.61 0.55 0.45 0.03
Net realized and unrealized gain (loss) on
investments....................................... 1.00 (0.94) 0.26 0.08 0.21
- ------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations...................... 1.66 (0.33) 0.81 0.53 0.24
- ------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Net investment income............................... (0.72) (0.61) (0.36) (0.48) --
Net realized gains on security transactions......... -- (0.09) (0.05) -- --
- ------------------------------------------------------------------------------------------------------------
Total Distributions...................................... (0.72) (0.70) (0.41) (0.48) --
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR............................. $ 10.60 $ 9.66 $10.69 $10.29 $10.24
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN............................................. 17.76% (3.05)% 8.00% 5.28% 2.40%++
- ------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S).......................... $16,152 $13,280 $9,859 $3,621 $ 697
- ------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (2)........................................ 0.86% 0.85% 0.85% 0.85% 0.80%+
Net investment income............................... 6.63 6.57 5.25 4.75 4.49+
- ------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate.................................. 121% 90% 139% 124% --
- ------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period from October 16, 1991 (commencement of operations) to
December 31, 1991.
(2) Expense ratios and the per share decrease in net investment income before
fees waivers and expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS AND
PER SHARE DECREASE REIMBURSEMENTS
---------------------------------------------- -------------------------------------
PORTFOLIO 1995 1994 1993 1992 1991 1995 1994 1993 1992 1991
- --------------------------------------- ------ ------ ------ ------ ------ ---- ---- ---- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Money Market........................... $0.005 $0.005 $0.014 $0.014 $0.034 1.21% 1.26% 2.15% 2.18% 21.47%+
Intermediate High Grade................ 0.009 0.020 0.050 0.130 0.170 0.94 1.05 1.36 2.28 26.28+
</TABLE>
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
66
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each period:
<TABLE>
<CAPTION>
DIVERSIFIED STRATEGIC INCOME PORTFOLIO 1995 1994 1993 1992 1991(1)
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR..................... $ 9.18 $ 10.07 $ 9.61 $ 10.14 $10.00
- ------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (2)*........................ 0.74 0.58 0.70 0.67 0.02
Net realized and unrealized gain (loss) on
investments..................................... 0.70 (0.86) 0.47 (0.53) 0.12
- ------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations.................... 1.44 (0.28) 1.17 0.14 0.14
- ------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Net investment income............................. (0.61) (0.58) (0.61) (0.67) --
Net realized gains on security transactions....... -- -- (0.04) -- --
In excess of net realized gain on security
transactions.................................... -- -- (0.05) -- --
Capital........................................... -- (0.03) (0.01) -- --
- ------------------------------------------------------------------------------------------------------------
Total Distributions.................................... (0.61) (0.61) (0.71) (0.67) --
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR........................... $ 10.01 $ 9.18 $ 10.07 $ 9.61 $10.14
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN........................................... 16.18% (2.81)% 12.56% 1.42% 1.40%++
- ------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)........................ $59,316 $55,260 $43,244 $19,991 $3,914
- ------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (2)...................................... 0.90% 0.95% 1.00% 1.00% 0.94%+
Net investment income............................. 7.73 7.31 7.14 7.70 4.57+
- ------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate................................ 46% 54% 94% 65% --
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
EQUITY INCOME PORTFOLIO 1995 1994 1993 1992 1991(1)
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR..................... $ 9.87 $ 11.55 $ 10.90 $ 10.20 $10.00
- ------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (2)......................... 0.54 0.58 0.53 0.45 0.02
Net realized and unrealized gain (loss) on
investments..................................... 2.56 (1.75) 0.60 0.72 0.18
- ------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations.................... 3.10 (1.17) 1.13 1.17 0.20
- ------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Net investment income............................. (0.62) (0.49) (0.47) (0.47) --
Net realized gains on security transactions....... -- (0.02) (0.01) -- --
- ------------------------------------------------------------------------------------------------------------
Total Distributions.................................... (0.62) (0.51) (0.48) (0.47) --
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR........................... $ 12.35 $ 9.87 $ 11.55 $ 10.90 $10.20
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN........................................... 32.47% (10.20)% 10.41% 11.74% 2.00%++
- ------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)........................ $52,444 $44,417 $60,160 $25,985 $3,900
- ------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (2)...................................... 0.95% 0.84% 0.87% 1.00% 0.93%+
Net investment income............................. 4.95 5.51 4.54 4.93 4.14+
- ------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate................................ 33% 21% 4% 4% --
- ------------------------------------------------------------------------------------------------------------
Average commissions paid on equity security
transactions (3)..................................... $ 0.06 -- -- -- --
- ------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period from October 16, 1991 (commencement of operations) to
December 31, 1991.
(2) Expense ratios and the per share decrease in net investment income before
fees waivers and expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS AND
PER SHARE DECREASE REIMBURSEMENTS
--------------------------------------- ------------------------------------
PORTFOLIO 1995 1994 1993 1992 1991 1995 1994 1993 1992 1991
- ----------------------------------------------- ---- ---- ----- ----- ----- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Diversified Strategic Income................... N/A N/A -- $0.03 $0.03 N/A N/A 1.02% 1.41% 7.76%+
Equity Income.................................. N/A N/A N/A 0.02 0.03 N/A N/A N/A 1.27 8.34+
</TABLE>
(3) New SEC disclosure guidelines require that average commissions per share be
calculated and presented for the current year only.
* Includes realized gains and losses from foreign currency transactions.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
67
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each period:
<TABLE>
<CAPTION>
EQUITY INDEX PORTFOLIO 1995 1994 1993 1992 1991(1)
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR..................... $ 11.69 $ 11.90 $ 11.27 $ 10.62 $10.00
- ------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income (2)......................... 0.25 0.23 0.20 0.17 0.04
Net realized and unrealized gain (loss) on
investments..................................... 3.88 (0.14) 0.71 0.55 0.58
- ------------------------------------------------------------------------------------------------------------
Total Income From Operations........................... 4.13 0.09 0.91 0.72 0.62
- ------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............................. (0.23) (0.15) (0.16) (0.02) --
Net realized gains................................ (0.01) (0.15) (0.12) (0.05) --
- ------------------------------------------------------------------------------------------------------------
Total Distributions.................................... (0.24) (0.30) (0.28) (0.07) --
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR........................... $ 15.58 $ 11.69 $ 11.90 $ 11.27 $10.62
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN........................................... 35.81% 0.85% 8.66% 6.74% 6.20%++
- ------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)........................ $15,230 $10,225 $ 8,842 $ 4,178 $1,733
- ------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (2)...................................... 1.00% 1.00% 1.00% 1.00% 0.98%+
Net investment income............................. 1.84 2.10 1.77 2.10 2.91+
- ------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate................................ 5% 1% 1% 8% --
- ------------------------------------------------------------------------------------------------------------
Average commissions paid on equity security
transactions (3)..................................... $ 0.05 -- -- -- --
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GROWTH & INCOME PORTFOLIO 1995 1994 1993 1992 1991(1)
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR..................... $ 10.75 $ 11.37 $ 10.68 $ 10.15 $10.00
- ------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (2)......................... 0.26 0.27 0.30 0.27 0.02
Net realized and unrealized gain (loss) on
investments..................................... 2.99 (0.63) 0.67 0.55 0.13
- ------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations.................... 3.25 (0.36) 0.97 0.82 0.15
- ------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............................. (0.27) (0.26) (0.26) (0.29) --
Overdistribution of net realized gains on security
transactions.................................... -- -- (0.02) -- --
Capital........................................... -- -- -- (0.00)* --
- ------------------------------------------------------------------------------------------------------------
Total Distributions.................................... (0.27) (0.26) (0.28) (0.29) --
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR........................... $ 13.73 $ 10.75 $ 11.37 $ 10.68 $10.15
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN........................................... 30.49% (3.20)% 9.09% 8.44% 1.40%++
- ------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)........................ $35,158 $29,625 $25,549 $10,951 $1,904
- ------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (2)...................................... 0.98% 0.93% 1.00% 1.00% 0.90%+
Net investment income............................. 2.09 2.52 2.68 3.06 4.14+
- ------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate................................ 17% 77% 78% 78% 3%
- ------------------------------------------------------------------------------------------------------------
Average commissions paid on equity security
transactions (3)..................................... $ 0.06 -- -- -- --
- ------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period from October 16, 1991 (commencement of operations) to
December 31, 1991.
(2) Expense ratios and the per share decrease in net investment income before
fees waivers and expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS AND
PER SHARE DECREASE REIMBURSEMENTS
----------------------------------------- -------------------------------------
PORTFOLIO 1995 1994 1993 1992 1991 1995 1994 1993 1992 1991
- -------------------------------------------- ----- ----- ----- ----- ----- ---- ---- ---- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Equity Index................................ $0.02 $0.06 $0.10 $0.15 $0.09 1.17% 1.53% 1.88% 2.89% 7.60%+
Growth & Income............................. N/A N/A 0.01 0.06 0.07 N/A N/A 1.01 1.65 20.02+
</TABLE>
(3) New SEC disclosure guidelines require that average commissions per share be
calculated and presented for the current year only.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
* Amount represents less than $0.01.
68
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each period:
<TABLE>
<CAPTION>
APPRECIATION PORTFOLIO 1995 1994 1993 1992 1991(1)
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR.................... $ 11.54 $ 11.80 $ 11.13 $ 10.49 $ 10.00
- ------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (3)........................ 0.23 0.20 0.15 0.11 0.01
Net realized and unrealized gain (loss) on
investments.................................... 3.04 (0.32) 0.63 0.53 0.48
- ------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations................... 3.27 (0.12) 0.78 0.64 0.49
- ------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Net investment income............................ (0.21) (0.14) (0.11) 0.00* --
Net realized gains on security transactions...... (0.21) -- -- -- --
- ------------------------------------------------------------------------------------------------------------
Total Distributions................................... (0.42) (0.14) (0.11) -- --
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR.......................... $ 14.39 $ 11.54 $ 11.80 $ 11.13 $ 10.49
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN.......................................... 28.84% (1.12)% 7.03% 6.13% 4.90%++
- ------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)....................... $94,492 $80,823 $77,843 $53,450 $11,436
- ------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)..................................... 0.97% 0.88% 1.01% 1.00% 0.94%+
Net investment income............................ 1.65 1.75 1.35 1.61 3.00+
- ------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate............................... 43% 61% 33% 14% --
- ------------------------------------------------------------------------------------------------------------
Average commissions paid on equity security
transactions (4).................................... $ 0.06 -- -- -- --
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
EMERGING GROWTH PORTFOLIO 1995 1994 1993(2)
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR.................... $ 9.63 $ 10.41 $ 10.00
- ------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss) (3)................. (0.03) 0.00* 0.01
Net realized and unrealized gain (loss) on
investments.................................... 4.16 (0.78) 0.40
- ------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations................... 4.13 (0.78) 0.41
- ------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Net investment income............................ -- 0.00* --
Net realized gains on security transactions...... -- -- --
- ------------------------------------------------------------------------------------------------------------
Total Distributions................................... -- -- --
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR.......................... $ 13.76 $ 9.63 $ 10.41
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN.......................................... 42.89% (7.48)% 4.10%++
- ------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)....................... $17,463 $11,539 $ 2,257
- ------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)..................................... 1.20% 1.20% 1.05%+
Net investment income (loss)..................... (0.24) (0.17) 1.37+
- ------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate............................... 121% 66% --
- ------------------------------------------------------------------------------------------------------------
Average commissions paid on equity security
transactions (4).................................... $ 0.06 -- --
- ------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period from October 16, 1991 (commencement of operations) to
December 31, 1991.
(2) For the period from December 3, 1993 (commencement of operations) to
December 31, 1993.
(3) Expense ratios and the per share decreases in net investment income before
fees waivers and expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS AND
PER SHARE DECREASE REIMBURSEMENTS
----------------------------------------- ------------------------------------
PORTFOLIO 1995 1994 1993 1992 1991 1995 1994 1993 1992 1991
- --------------------------------------------- ----- ----- ----- ----- ----- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Appreciation................................. N/A N/A N/A $0.01 $0.01 N/A N/A N/A 1.16% 3.64%+
Emerging Growth.............................. $0.02 $0.01 $0.06 N/A N/A 1.39% 1.59% 9.99% N/A N/A
</TABLE>
(4) New SEC disclosure guidelines require that average commissions per share be
calculated and presented for the current year only.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
* Amount represents less than $0.01.
69
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each period:
<TABLE>
<CAPTION>
TOTAL RETURN PORTFOLIO 1995 1994 1993(1)
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR........................................ $ 10.78 $ 10.30 $10.00
- ---------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income (2)............................................ 0.43 0.34 0.01
Net realized and unrealized gain on investments...................... 2.19 0.42* 0.29
- ---------------------------------------------------------------------------------------------------------
Total Income From Operations.............................................. 2.62 0.76 0.30
- ---------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Net investment income................................................ (0.41) (0.28) --
Net realized gains on security transactions.......................... (0.24) -- --
- ---------------------------------------------------------------------------------------------------------
Total Distributions....................................................... (0.65) (0.28) --
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR.............................................. $ 12.75 $ 10.78 $10.30
- ---------------------------------------------------------------------------------------------------------
TOTAL RETURN.............................................................. 25.04% 7.40% 3.00%++
- ---------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)........................................... $78,042 $23,196 $2,777
- ---------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (2)......................................................... 1.00% 1.00% 0.85%+
Net investment income................................................ 3.80 3.84 1.93+
- ---------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate................................................... 81% 118% --
- ---------------------------------------------------------------------------------------------------------
Average commissions paid on equity security transactions (3).............. $ 0.06 -- --
- ---------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO 1995 1994 1993(1)
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR........................................ $ 9.21 $ 10.05 $10.00
- ---------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (2)***......................................... 0.03 0.00** 0.00**
Net realized and unrealized gain (loss) on investments............... 0.78 (0.84) 0.05
- ---------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations....................................... 0.81 (0.84) 0.05
- ---------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Dividends from net investment income................................. (0.04) -- --
Distributions from net realized gains on security transactions....... -- -- --
- ---------------------------------------------------------------------------------------------------------
Total Distributions....................................................... (0.04) -- --
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR.............................................. $ 9.98 $ 9.21 $10.05
- ---------------------------------------------------------------------------------------------------------
TOTAL RETURN.............................................................. 8.80% (8.36)% 0.50%++
- ---------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)........................................... $28,979 $28,413 $5,867
- ---------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (2)(4)...................................................... 1.43% 1.30% 1.08%+
Net investment income (loss)......................................... 0.35 0.31 (0.51)+
- ---------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate................................................... 34% 12% --
- ---------------------------------------------------------------------------------------------------------
Average commissions paid on equity security transactions (3).............. $ 0.01 -- --
- ---------------------------------------------------------------------------------------------------------
(1) For the period from December 3, 1993 (commencement of operations) to December 31, 1993.
(2) Expense ratios and the per share decrease in net investment income before fees waivers and expense reimbursements were as
follows:
</TABLE>
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT
PER SHARE DECREASE WAIVERS AND REIMBURSEMENTS
--------------------------- -----------------------------
PORTFOLIO 1995 1994 1993 1995 1994 1993
- ------------------------------------------------------ ---- ----- ----- --- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Total Return.......................................... N/A $0.01 $0.02 N/A 1.11% 4.14%+
International Equity.................................. N/A --** 0.02 N/A 1.51 2.96+
(3) New SEC disclosure guidelines require that average commissions per share be calculated and presented for the current year
only.
(4) During the period ended December 31, 1995, the portfolio has earned credits from the custodian which reduce service fees
incurred. If the credits are taken into consideration, the ratios of expenses to average net assets would be 1.37%.
++ Total return is not annualized, as it may not be representative of the total return for the year.
+ Annualized.
* 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.
** Amount represents less than $0.01.
*** Includes realized gains and losses from foreign currency transactions.
</TABLE>
70
<pg$pcn>
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
SMITH BARNEY SERIES FUND:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of the Smith Barney Series Fund (consisting of the
Money Market, Intermediate High Grade, Diversified Strategic Income, Equity
Income, Equity Index, Growth and Income, Appreciation, Emerging Growth, Total
Return and International Equity Portfolios) as of December 31, 1995, and the
related statements of operations, changes in net assets, and financial
highlights for the year then ended. 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. The statements of changes in net assets for the year ended
December 31, 1994 and the financial highlights for each of the years in the
three-year period then ended and for the period from October 16, 1991
(commencement of operations) to December 31, 1991 were audited by other auditors
whose report thereon, dated February 10, 1995, expressed an unqualified opinion
on those statements of changes in net assets and those financial highlights.
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, 1995, by correspondence with the custodian. As to securities
purchased and sold but not received or delivered, we performed other appropriate
auditing procedures. 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 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, 1995, and the results of their
operations, changes in their net assets and financial highlights for the year
then ended, in conformity with generally accepted accounting principles.
/s/ KPMG Peat Marwick LLP
KPMG Peat Marwick LLP
New York, New York
February 27, 1996
71
<pg$pcn>
- --------------------------------------------------------------------------------
ADDITIONAL INFORMATION (UNAUDITED)
Change in Independent Auditors: On February 8, 1995, based upon the
recommendation of the Audit Committee of the Fund, the Board of Trustees
determined not to retain Coopers & Lybrand, L.L.P. ("Coopers & Lybrand") as the
Fund's independent auditor and voted to appoint KPMG Peat Marwick LLP. During
the Fund's two most recent fiscal years, Coopers & Lybrand's audit reports
contained no adverse opinion or disclaimer of opinion; nor were the reports
qualified or modified as to uncertainty, audit scope, or accounting principles.
Further, during this same period there were no disagreements with Coopers &
Lybrand on any matter of accounting principles or practices, financial statement
disclosure, or auditing scope or procedure, which disagreements, if not resolved
to the satisfaction of Coopers & Lybrand, would have caused it to make
references to the subject matter of such disagreements in connection with its
audit reports. The Fund has requested Coopers & Lybrand to provide a letter to
the Securities & Exchange Commission stating whether Coopers & Lybrand agrees
with the foregoing statements, and to provide the Fund with a copy of such
letter. A copy of this letter is available upon request by calling the Fund at
(212) 723-9218.
- --------------------------------------------------------------------------------
TAX INFORMATION (UNAUDITED) DECEMBER 31, 1995
The amount of long-term capital gains paid by Appreciation Portfolio, Equity
Index and Total Return Portfolio to its shareholders for the fiscal year ended
December 31, 1995, was $1,392,571, $4,603 and $686,521, respectively.
72
<pg$pcn>
SMITH BARNEY SERIES FUND
- --------------------------------------------------------------------------------
ADDITIONAL SHAREHOLDER INFORMATION (UNAUDITED)
On April 27, 1995 the Fund, on behalf of Equity Index Portfolio (the
"Portfolio"), held a Special Meeting of Shareholders for the purpose of voting
on the following matter:
1. To approve or disapprove a new investment advisory agreement between the
Fund, on behalf of the Portfolio, and Travelers Investment Management
Company, a wholly owned subsidiary of Smith Barney Holdings, Inc., the
parent company of the Portfolio's distributor and its administrator,
containing substantially the same terms and conditions, including the same
level of fees, as the Portfolio's current investment advisory agreement
(the "Proposal").
The results of the vote on the Proposal were as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
% OF % OF % OF
OUTSTANDING OUTSTANDING OUTSTANDING
VOTES FOR SHARES VOTED VOTES AGAINST SHARES VOTED VOTES ABSTAINING SHARES VOTED
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 10,905.041 94.062% 18,052.297 2.094% 33,138.983 3.844%
- -----------------------------------------------------------------------------------------------------
</TABLE>
On October 17, 1995 the annual meeting of shareholders of the Fund was held for
the purpose of voting on the following matter:
1. To elect ten Trustees of the Fund ("Proposal 1").
The results of the vote on Proposal 1 were as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
% OF % OF
OUTSTANDING OUTSTANDING
TRUSTEES VOTES FOR SHARES VOTED VOTES AGAINST SHARES VOTED
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Herbert Barg................................. 34,965,430.670 96.564% 1,244,273.619 3.436%
Alfred Bianchetti............................ 34,987,669.230 96.625 1,222,035.059 3.375
Martin Brody................................. 34,981,756.860 96.609 1,227,947.429 3.391
Dwight B. Cranc.............................. 35,080,202.700 96.881 1,129,501.589 3.119
Burt N. Dorsett.............................. 35,075,055.110 96.866 1,134,649.179 3.134
Elliot S. Jaffe.............................. 35,051,143.550 96.800 1,158,560.739 3.200
Stephen E. Kaufman........................... 35,061,440.810 96.829 1,148,263.479 3.171
Joseph M. McCann............................. 35,081,298.610 96.883 1,128,405.679 3.117
Heath B. McLendon............................ 35,069,911.600 96.852 1,139,792.689 3.148
Cornelius C. Rose............................ 35,066,097.650 96.842 1,143,606.639 3.158
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
73
<pg$pcn>
This report is submitted for the general
information of the owners of the Smith
Barney Series Fund. It is not authorized
for distribution to prospective
investors unless accompanied or preceded
by an effective Prospectus for the Fund,
which contains information concerning
the Fund's investment policies, fees and
expenses, as well as other pertinent
information.
SYMPHONY
investments are sponsored and managed
by:
Smith Barney Inc.
and subsidiaries
SYMPHONY
is underwritten, issued and serviced by:
IDS Life Insurance Company and
IDS Life Insurance Company of New York
S-6223 E (2/96)
<pg$pcn>
-------------------
<TABLE>
<C> <S>
1995 SMITH BARNEY
ANNUAL SERIES
REPORT FUND
-----------------------------------------------------------
DECEMBER 31, 1995
Note: Not all investors may be eligible to invest
in each portfolio of the Fund.
</TABLE>
<pg$pcn>
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-6223 E (2/96)
