SMITH BARNEY SERIES FUND
SEMI-ANNUAL REPORT FOR
SYMPHONY
A Tax-Deferred Variable Annuity
[Paste up Art]
June 30, 1996
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SMITH BARNEY SERIES FUND
SEMI-ANNUAL REPORT FOR SYMPHONY -- A TAX-DEFERRED VARIABLE
ANNUITY
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Dear Investor:
We are pleased to provide you with the semi-annual report
for the period ended
June 30, 1996 for the Smith Barney Series Fund. In this semi-
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 inception (10/16/91) can
also be found in
this report (with the exception of the Money Market
Portfolio). All total
return
figures given in this report are cumulative, which means
they exclude the
effects of sales charges. A detailed summary of performance
and current
holdings for each individual Portfolio can be found in the
appropriate
sections that
follow in the semi-annual report.
MARKET AND ECONOMIC OVERVIEW
The first six months of 1996 were mixed for financial
assets. The U.S. stock
market continued its advance primarily during the first
quarter of the year,
fueled by very positive fundamentals, such as moderate
interest rates,
improving corporate earnings and a favorably priced U.S.
dollar. The
combination of
these factors, as well as the explosive growth in 401(k)
plans and other
defined
contribution plans, which to a certain degree, feature
equity funds as their
prime investment vehicle, attracted a significant flow of
money into the U.S.
equity market. During the first half of 1996, the Standard
and Poor's 500
Index (S&P 500), a capitalization weighted-index of 500
widely held common
stocks,
gained 10.09%.
The sustained strength in the stock market and the
excitement surrounding new
technological advances, particularly in the communications
industries, caused
speculation to rise in the marketplace, which caused the
stock market, in
certain areas, to become overvalued. At the same time, the
fear of higher
interest rates associated with concerns over a re-emergence
of inflation,
caused the stock market's advance to slow down. In recent
months we have seen
a
correction in the market, and a significant amount of
unrealistic speculation
has disappeared, as many investors began to realize that the
stock market's
upward momentum was not endless. In our view, this
correction has been healthy
for the stock market. We believe the stock market may now be
on firmer
footing.
In contrast to the U.S. stock market, the U.S. bond market
has performed
poorly over the past six months. Between the months of
February and June, a
host of
economic data released by the U.S. government seems to
indicate that the U.S.
economy is growing at a greater rate than previously
expected. The strongest
evidence of growth in the U.S. economy to date is reflected
in the significant
increase in the number of new jobs created, a decline in the
unemployment rate
to its lowest level since 1990, and a rise in consumer
spending, which posted
annualized growth rates of more than 3% in the first two
quarters of 1996.
The strength in the U.S. economy in turn has heightened
investor concerns over
the possible re-emergence of inflation, which subsequently
has had a negative
impact on the bond market. For example, the yield on the
benchmark 30-year
Treasury bond rose 1%, from 6% at year-end 1995, to
approximately 7% at the
end of June 1996.
With the stronger-than-expected growth in the U.S. economy,
the Federal
Reserve Board shifted its monetary policy from the
accommodative stance taken
in 1995
to a neutral policy in the first half of 1996. Indeed, at
the present time,
there
is a growing consensus that the Federal Reserve Board will
ultimately raise
short-term interest rates in an effort to moderate the rate
of U.S. economic
growth.
For the remainder of 1996, we expect corporate earnings to
begin to flatten,
the U.S. dollar's climb to retreat slightly, and interest
rates to remain in
recent narrow ranges. In this environment of slower
corporate earnings, we
anticipate
the U.S. stock market will also remain in a narrow trading
range for the
foreseeable future. Although we anticipate conflicting
trends with respect to
the bond market in the near-term, our longer-term outlook is
that interest
rates will gradually decline, and bonds will resume their
historical role as
more
conservative, income-providing investments.
MONEY MARKET PORTFOLIO
The Money Market Portfolio seeks to provide maximum current
income consistent
with the preservation of capital. You should be aware that
your investment in
the Money Market Portfolio is neither insured nor guaranteed
by the
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U.S. government. Moreover, no assurance can be given that
the Portfolio will
be able to maintain a stable net asset value (NAV) of $1.00
per share.
The year ended and 1996 began with signs of an economic
slowdown. In response
to these conditions, the Federal Reserve Board (the Fed)
lowered the target
for
the fed funds rate in December and January from 5.75% to
5.25%. In addition to
lowering the fed funds target rate, the Fed lowered the
discount rate to 5%
and cited reduced potential inflationary pressures as a
reason for its easing
of
monetary policy. (The "fed funds rate" is the rate banks
charge each other for
overnight loans. The "discount rate" is the rate the Federal
Reserve charges
banks for overnight loans.)
However, since then, a number of events have caused short-
term interest rates
to rise. Hedge fund selling, an oversupply of new issues
from U.S. Treasury
auctions, and concerns over the strength of U.S. economic
growth have
increased market uncertainty. For example, economic data
released between
February and
the end of May has indicated that the U.S. economy is
growing more rapidly
than
previously expected, and, as a result, expectations for
second quarter GDP
growth are currently between an annual rate of 3.5% and 4%.
Despite the apparent strength in the U.S. economy, the Fed
left short-term
interest rates unchanged at its most recent Open Market
Committee Meeting.
However, it is now widely anticipated that the Fed will
raise interest rates
in the near future, especially if the unemployment rate
continues to stabilize
or
decline, consumer spending remains strong, and payroll
growth in the economy
stays at a monthly level of approximately 200,000 new jobs.
Increasing investor concerns about the possible re-emergence
of inflation has
led to an increase in yields, especially from securities
with longer-term
maturities. For example, at the beginning of the year, the 3-
month U.S.
Treasury bill was yielding 5.06% and the 1-Year U.S.
Treasury bill was
yielding 5.13%.
As of June 30, 1996, the 3-Month and 1-Year U.S. Treasury
bills were yielding
5.29% and 5.95%, respectively. Given the risk of rising
short-term interest
rates,
we have shortened the Money Market Portfolio's average life
from 50 days to 30
days since the beginning of the first quarter of the year.
INTERMEDIATE HIGH GRADE PORTFOLIO
The investment objective of the Intermediate High Grade
Portfolio is to
provide investors with as high a level of current income as
is consistent with
protection of capital. Under normal market conditions, the
Intermediate High
Grade Portfolio will invest at least 65% of its assets in
U.S. government
securities and in high-grade U.S. corporate bonds. For the
six months ended
June 30, 1996, the Intermediate High Grade Portfolio had a
total return of -
2.74%.
As of June 30, 1996, approximately 94% of the Intermediate
High Grade
Portfolio was invested in securities rated investment grade
by Standard and
Poor's
Corporation or Moody's Investors Service Inc., with 65% of
the Portfolio's
investments rated double-A or better. (Standard and Poor's
Corporation and
Moody's Investors Service Inc. are major credit reporting
and bond rating
agencies.) The following is a breakdown of the Portfolio's
composition as of
June 30, 1996:
<TABLE>
<CAPTION>
SECURITY
PERCENTAGE OF PORTFOLIO
--------------------------------------------------------
- ---------------
- -----------------------
<S>
<C>
Cash
Equivalents.................................................
......
1.9%
Asset-Backed
Securities................................................
3.5%
Mortgage-Backed
Securities.............................................
6.5%
U.S. Treasuries &
Agencies.............................................
19.9%
Corporate
Bonds.......................................................
.
64.6%
Foreign Government
Bonds...............................................
3.6%
</TABLE>
During the first half of 1996, bond yields moved
significantly higher, rising
above 7%, and a large number of speculators left the bond
market. As the U.S.
economy showed signs of strength during the first quarter,
we shifted to a
more conservative posture. The Intermediate High Grade
Portfolio's maturity
structure has shortened slightly, from about 9 years to
approximately 8 years,
to
provide added price protection. In addition, we added to the
Portfolio's
positions in
mortgage-backed securities and AAA-rated asset-backed
securities to maintain a
competitive stream of income.
We believe that 7% yields from longer-term bonds will
ultimately prove to be
good value, and that the Federal Reserve will remain
vigilant in its fight
against inflation. At this time, we are waiting for a
possible move by the
Federal Reserve to raise
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short-term interest rates and for U.S. economic activity to
moderate. With
respect to our corporate bond holdings, we are currently
seeking opportunities
in high-quality issues that also offer higher yield
potentials.
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 and
mortgage
related securities, foreign government securities, and
corporate securities
rated below investment grade. The Portfolio's management
team allocates assets
based on a current analysis of economic and market
conditions. The team takes
into account the relative risks and income opportunities
within each of the
fixed income sectors that the Portfolio invests in. For the
six months ended
June 30, 1996, the Diversified Strategic Income Portfolio
had a total return
of 3.10%, outperforming the Lehman Brothers Aggregate Bond
Index, return of -
1.21% for the same period. (The Lehman Brothers Aggregate
Bond Index is an
unmanaged
index composed of intermediate government bonds, corporate
bonds and
mortgage-backed securities.)
The first six months of the year saw increased volatility in
the bond markets
worldwide. Stronger-than-expected U.S. economic growth
sparked concerns about
the possible re-emergence of inflation, and has led to a
decline in U.S. bond
prices (and a rise in yields). Treasury bonds were the most
negatively
impacted, while high-yield bonds, which are less sensitive
to interest rate
fluctuations
than government bonds, have managed to post positive total
returns so far this
year. Within the U.S. government and mortgage-backed
securities sectors, we
reduced the Portfolio's weighting in mortgage-backed
securities and increased
its positions in longer-maturity Treasury strips (i.e.,
Treasury bonds that do
not make coupon or interest payments), as interest rates
rose. Within the high
yield sector, we have maintained a strong emphasis on the
upper-and middle-
rated issues, which in our opinion, have excellent
appreciation potential.
The
foreign government bond markets followed the U.S. in posting
price declines.
However,
the rise in bond yields in Europe has not been as severe as
it has been in the
U.S. Moreover, the peripheral European markets, such as
Spain, Italy and
Sweden have outperformed their core European counterparts,
such as Germany and
Great
Britain, posting solid year-to-date gains.
Given the increased volatility in the bond markets recently,
we have
maintained a slightly more conservative posture by
increasing our cash
position,
upgrading he credit quality of our high-yield bonds, and
increasing our
weighting in
foreign government bonds. The main focus of the Portfolio
continues to be on
income generation and capital preservation. In our view, the
Portfolio's
modestly higher cash reserves will not only partially buffer
against any
additional market turbulence, but will also allow us to take
greater advantage
of new investment opportunities as they emerge. As of the
end of June 1996,
the Diversified Strategic Income Portfolio had 26.3% of its
assets in U.S.
Treasuries and mortgage-backed securities, 45.0% in high
yield bonds, 24.2% in
foreign government bonds and a cash position of 4.5%.
EQUITY INCOME PORTFOLIO
The Equity Income Portfolio seeks to provide current income
and as a secondary
goal, capital appreciation, by investing primarily in the
utility industry. As
of June 30, 1996, approximately 78% of the Equity Income
Portfolio's assets
were invested in common stocks (60% in electric utilities,
10% in
telecommunications
companies, 8% in natural gas companies, and 1% in oil and
gas drilling), 18%
was invested in long-term investment grade bonds and 3% was
invested in cash.
For
the six months ended June 30, 1996, the Equity Income
Portfolio had a total
return of 1.05%.
The first quarter of 1996 was difficult for many utility
stocks. The
combination of rising interest rates and concerns about
industry deregulation
led to an
underperformance of the electric utility sector relative to
the overall stock
market. The electric utility industry continues to evolve
into a more
competitive environment, where consumers will have a greater
choice of energy
suppliers. Many management teams of utility companies are
closely monitoring
these industry-wide changes and determining the best
strategy to deploy their
corporate assets. One strategy could include a corporate
realignment or the
breaking up a company into separate business units involved
in both generation
and transmission. In addition, merger activity in the
industry should help to
improve its competitiveness and lower costs. We believe the
lines separating
the electric utility and natural gas industries will fade as
companies begin
to
focus on how to best serve their customers. With these
changes occurring in
the utility industry, the investment risk profile is certain
to change, and
some
companies will emerge as clear winners, while others will
face increasing
competitive challenges.
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During most of the second quarter of 1996, electric
utilities traded in a
narrow range as investors avoided this area of the market
and focused on the
more
volatile technology and cyclical sectors. However, at the
end of the quarter,
electric utility stocks rallied, as the bond market
declined. In our view,
electric utility stocks at current levels represent
attractive values when
compared to the broader equity markets. For example, the
current yield on the
Standard and Poor's Utility Index, a market value-weighted
index of 40 public
utility stocks, was close to three times that of the
Standard and Poor's 500
Index. This has occurred only three prior times during the
last twenty years
and historically has generally proven to be an excellent
buying opportunity
for
long-term investors.
We continue to focus on a combination of long-term growth
and current income.
In the first half of the year, we increased our weighting in
growth-oriented
electric utilities that have lower than average current
yields, but clearly
defined growth prospects. We feel these companies will
continue to be priced
at premium valuation levels and should provide the best
total return
potential.
New holdings in the Portfolio include American Electric
Power, Cinergy
Corporation, Sierra Pacific Resources and Southern Company.
During the period
covered by
this report, weightings of the telecommunications and
natural gas sectors
remained
stable.
In our opinion, many investors should consider utilities as
part of a
well-balanced portfolio. We continue to expect competitive
total returns from
the electric utility sector, with less volatility than the
overall stock
market.
EQUITY INDEX PORTFOLIO
The Equity Index Portfolio's objective is to provide
investors with results
that, before the deduction of operating expenses, match the
total returns of
the S&P 500. The Portfolio employs a passive investment
strategy designed to
replicate the composition of the S&P 500. For the period
covered by this
report, the Equity Index Portfolio had a total return of
9.56%.
Better-than-expected corporate earnings gains and
unprecedented inflows into
equity mutual funds helped stock prices to advance during
the first six months
of 1996. For the six-month period ending June 30, 1996, the
S&P 500 recorded a
total return of 10.09%. While more than half of all
companies announced
positive earnings surprises for the first quarter, the 6%
average gain in
operating
earnings was the most sluggish year-over-year rate of
earnings growth in
recent years. Record purchases of mutual funds by individual
investors
provided fund
managers with the cash necessary to absorb an equally
impressive volume of
initial public offerings (IPOs), creating the impression
that speculative
forces were building in the equity market.
As signs of the U.S. economy's strength emerged early in the
year, investor
focus shifted away from stable growth stocks and towards
consumer cyclical
stocks, particularly those in the department store, airline
and auto groups.
In the energy sector, the drilling equipment and oil field
service stocks
rose on
strong earnings gains and expectations for increased capital
spending by major
global energy companies. Technology stocks rebounded
somewhat after their late
1995 decline, but weaker earnings momentum continued to
dampen stock prices in
most technology-related groups.
Early in the second quarter, however, equity investors
reversed course and
began to focus on more defensive, growth-oriented sectors on
the expectation
that
higher interest rates would translate into slower economic
growth by the end
of the year. In the consumer staples sector, beverage
stocks performed well
in
response to solid revenue gains. In the consumer sector,
improving sales
fueled a rally in the retail and apparel groups. Energy
exploration, pipeline
and
distribution stocks benefited from strong natural gas
pricing. However, basic
material stocks continued to weaken on declining prices for
many industrial
commodities and concern over the possibility of an economic
slowdown. Within
the technology sector, performance was mixed. While most of
the stocks in the
semiconductor group continued to trade lower, the networking
and software
groups posted strong performance, reflecting continued
demand from corporate
customers.
GROWTH AND INCOME PORTFOLIO
Although most obvious in the stock market gyrations in the
first part of July,
volatility has been increasing throughout the year. In our
view, there are two
main reasons for this increased stock market volatility.
The first is the simpler of the two: a reversion to the
mean. Stock market
volatility over the past few years has been low relative to
history. The last
six months, then, could simply be a return to "normal." The
second revolves
around a divided view of what is going on in the economy. On
the one hand, the
bond market has been weak due to concerns that the economy
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is too strong. Bonds prices fell following reports of low
unemployment and
significant wage gains. On the other hand, stock market
investors have been
fretting about the pre-announcement of disappointing
earnings numbers. So
stock investors are worrying that the economy is too weak.
The result of these
opposing views has significantly added to market volatility.
Within the stock market, technology and retail stocks
outperformed during the
first half of the year. The Growth and Income Portfolio has
a somewhat larger
position in technology stocks than the S&P 500 Index. This
heavy weighting in
technology boosted the Portfolio's performance. The
Portfolio was
underweighted in retail stocks, a disadvantage during this
period. The six-
month total
return for the period ended June 30, 1996, was 9.76%.
There has been no change in the strategy within the Growth
and Income
Portfolio. We are still buyers of quality or "blue chip"
companies with a
history of
rising dividends. We believe that our focus on increasing
dividends is one-way
to
identify successful companies. Besides dividend increases,
we also look for
companies with strong balance sheets, excellent management
teams and promising
product lines.
During the last six months, we sold some of our holdings,
and made some new
additions to the Portfolio. None of these transactions
significantly changed
our sector weightings. Instead, the transactions were in
response to
company-specific events, and the desire to diversify within
sectors.
Two of the purchases and one of the sales were of financial
stocks. The
purchases were Beneficial Corporation, a major consumer
finance company, and
Mercury General, an auto insurer primarily serving customers
in California.
Besides attractive valuations and growth prospects, both
companies further
diversify the Portfolio's financial holdings away from its
concentration in
banks. We sold Firstar, a bank holding company based in
Wisconsin. An
important reason was the previously stated desire for a more
diversified
financial
sector within the Portfolio.
The third purchase was Harris Corporation, a diversified
manufacturer of
electronics and office products. We believe Harris has good
prospects for
increasing revenues. Finally, the other two sales were Bell
Atlantic and
Jostens ncorporated. We sold Bell Atlantic due to concerns
about the company's
entrance into businesses that are competitive with
established cable companies
and sold
Jostens after a series of disappointing earnings reports.
APPRECIATION PORTFOLIO
We believe that the sentiments expressed in our year-end
letter are still
appropriate. We suggested that a variety of factors --
overspeculation,
valuation and dividend yield considerations and an
unsustainably giddy bond
market -- have left the U.S. stock market more vulnerable to
negative rather
than positive surprises.
The Appreciation Portfolio, which seeks to provide investors
with long-term
capital appreciation by investing in growth-oriented stocks,
had a total
return of 8.48% for the period covered by this report. On a
relative basis,
the
Portfolio trailed the S&P 500 as we were penalized by our
deliberate build-up
of cash reserves. This was an attempt, albeit premature, to
provide a cushion
and
buying reserve in a market which we believe had taken on
some very speculative
overtones. However, rather than declining as a whole, the
stock market
experienced a series of intensely rapid rotations from
sector to sector. In
our opinion, the proliferation of mutual funds engaged in a
short-term
performance
derby has led to a level of volatility more akin to
commodities than equity
investments. The Portfolio's investment strategy has
historically been to buy
and hold superior companies. In short, we prefer to think of
ourselves as
marathoners in a stock market which, during the first half
of 1996, was more
conducive to sprinters.
In this period where attractive values are hard to find, we
believe that it is
important to stick with a core of the best companies in the
world. The
Portfolio's investment strategy is to select companies with
dominant market
positions, global franchises, seasoned and respected
management teams and
excellent balance sheets. Because of their steadiness, these
types of
companies can be comforting during periods of market
excesses, and their long-
term,
consistent growth in earnings have, in the past, ultimately
translated into
higher dividend and stock prices. Around this core of
holdings, we continue to
look for special situations such as restructuring candidates
or undervalued
cyclicals.
Since the beginning of the year, the Appreciation
Portfolio's top holdings
have changed slightly. Because the Portfolio owned both
Chase Manhattan Bank
and
Chemical Bank prior to their merger, the new Chase Manhattan
Bank is now one
of the Portfolio's key positions. We anticipate that this
merger will create
considerable cost savings, synergies and leadership
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positions in their key businesses. Moreover, we expect the
return of excess
capital to investors through share repurchase plans and
dividend increases to
be positive. Another new addition to the Portfolio's top
holdings is
Allstate, a
leading provider of auto and home insurance. The company is
moving
aggressively to reduce exposure to "single event"
catastrophes and has
announced plans to
sell non-core assets and return excess capital to
shareholders. Lastly, during
the period covered by this report, pharmaceutical giants
Merck and Johnson &
Johnson have become two of the Portfolio's top holdings
either through
appreciation or minor additions to existing positions. Other
solid performers
for the Portfolio over the last six months include Eastman
Kodak and Xerox, as
well as American Home Products, which continues to benefit
from merger
savings. Energy stocks remain on our buy list as any
surprises in oil prices
are
likely, in our opinion, to be on the upside. On the
disappointing front, the
Portfolio's significant investment in AT&T has hurt the
Portfolio's
performance recently,
as competitive pressures in the long distance market have
worried many
investors.
However, we continue to believe AT&T's ongoing
restructuring, as well as its
solid brand identity and financial clout, make it as good a
value as can be
found in today's environment.
In our view, the risks in the stock market have increased
during the last six
months. In fact, stock market volatility has risen markedly
in the last
several weeks. The generous gains enjoyed by many investors
over the last
eighteen
months has caused speculation to rise. Based on almost all
traditional market
measurements, the valuation of stocks are at historical
highs. Interest rates,
which provided a floor under equities throughout 1995 as
they were falling,
now threaten to keep a ceiling on the appreciation
potential of many stocks.
Fortunately, the U.S. economy continues to exhibit solid
growth and should
stay strong enough fulfill most corporate profit
expectations.
We believe the Appreciation Portfolio is positioned
appropriately for current
market conditions. In our view, the best protection for
investors against
market volatility is to invest in great growth companies and
to own them for
the long
term.
EMERGING GROWTH PORTFOLIO
The 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. In line with its objective,
the Portfolio
seeks
companies it believes have the potential to become major
enterprises. For the
six months ended June 30, 1996, the Emerging Growth
Portfolio had a total
return of 17.81%, rising with a market that continued to
rally in response to
good
earnings despite rising interest rates. The Portfolio
outperformed all major
comparable indices including the NASDAQ Composite, an index
that represents
domestic over-the-counter stocks, the S&P Midcap Index, a
market-weighted
index of 400 widely held common stocks, and the Russell
2000, an index which
represents companies with small to mid-sized market
capitalization, which
gained 12.63%, 8.34% and 10.36%, respectively, during the
first half of 1996.
In many
cases, investors are looking for companies that can maintain
solid growth even
as the economy slows. We believe the Emerging Growth
Portfolio, with its
emphasis on small and mid-capitalization growth stocks, is
well-positioned
with holdings in these types of companies. Energy and
consumer-oriented
sectors
have been the best performers while the cyclical, interest-
sensitive and
health
care groups have been the laggards. However, the best
performing stocks have
come
from many different sectors, and it is now generally a stock
pickers' market
rather than a sector-betting market.
The investment style employed by the Emerging Growth
Portfolio is a "bottom-
up" approach that focuses on stock selection rather than
"market timing" or
"sector rotation." Risk is controlled by maintaining a
broadly diversified
portfolio
and not making any large bets on one sector or one
particular stock. The
Portfolio
usually remains fully invested and its objective is to
outperform the market
by selecting the best stocks in each sector. This investment
style is designed
to
deliver consistent results over the long term.
Stocks are usually selected on the company's potential to
deliver upside
earnings surprises. To find such companies, we look for
rising earnings
estimates and improving valuations. Investments are made in
the highest growth
companies in each sector that meet our strict buying
criteria. In general,
these will be smaller companies with revenues of less than
$2 billion.
Stocks that performed well over the past six months in the
Emerging Growth
Portfolio include: Chesapeake Energy, an oil and gas
exploration company;
Cascade Communications, DSP Communications and Pairgain
Technologies, all of
which specialize in telecommunications equipment; and
Minimed, a medical
specialties company.
We continue to remain optimistic about the long-term
prospects for
smaller-capitalization growth stocks. However, over the
short-term, we should
experience a minor correction due to the fact that these
stocks have done so
well over the last two years
6
<PAGE>
SMITH BARNEY SERIES FUND
SEMI-ANNUAL REPORT FOR SYMPHONY -- A TAX-DEFERRED VARIABLE
ANNUITY
- ------------------------------------------------------------
- ------------------
- --
without any meaningful pause. We have already seen some
evidence of this
correction in June and the beginning of July. In our view,
any pullback in the
market should be viewed as a buying opportunity. We believe
that many small
stocks generally are selling at reasonable valuation levels
when compared to
many larger company stocks.
TOTAL RETURN PORTFOLIO
The Total Return Portfolio seeks to provide investors with
total return,
consisting of long-term capital appreciation and income. The
Total Return
Portfolio invests primarily in a diversified portfolio of
dividend-paying
common stocks. As of June 30, 1996, the Total Return
Portfolio had a total
return of
12.00%. The Portfolio's performance compares favorably to
the total return of
10.09% from the S&P 500 over the same time period.
The Portfolio has about 17% of its assets in Real Estate
Investment Trusts
(REITs), which, in our view, offer good value and should
provide substantial
upside potential with limited risk. In addition to the
strong returns from its
REIT holdings, the Portfolio also benefited from its
holdings in the energy
industry which currently make up about 14% total assets, as
worldwide demand
and adverse winter weather conditions in many areas of the
world caused prices
for
oil and gas to rise, especially in the United States.
Moreover, strong cash
flows at many international oil companies and improved
technology have led to
increased spending on energy exploration worldwide. We took
advantage of this
year's sell-off in the bond market to invest 10% of the
Portfolio in
high-quality holdings in the interest-sensitive area such as
financial
services companies.
Our market outlook for the near-term is cautious, since we
expect volatility
will increase dramatically as investors continue to shift in
and out of
industry groups in a continuous quest for "value." Although
U.S. economic
growth in our
view should moderate over the next six months, upward
pressure on bond yields
should continue to linger and may keep the bond market in a
volatile trading
range over the near term. With nearly 55% of the Portfolio's
assets in energy,
REITs, gold and cash, we expect that our future returns
should be
substantially less volatile than those of market averages.
Our substantial cash position at this time as well as the
tax-advantaged
nature of our annuity structure has given us considerable
flexibility to take
advantage of buying opportunities as they emerge over the
near term. The
following is a
sector breakdown of the Portfolio's holdings as of June 30,
1996:
<TABLE>
<CAPTION>
SECTOR
PERCENTAGE OF PORTFOLIO
--------------------------------------------------------
- ---------------
- -----------------------
<S>
<C>
REITs.......................................................
...........
16.57%
Consumer
Cyclicals...................................................
..
15.85%
Energy......................................................
...........
13.90%
Interest
Sensitive...................................................
..
11.67%
Basic
Materials...................................................
.....
8.46%
Healthcare..................................................
...........
6.62%
Technology..................................................
...........
5.24%
Utilities...................................................
...........
2.78%
Transportation..............................................
...........
2.76%
Cash........................................................
...........
16.15%
</TABLE>
INTERNATIONAL EQUITY PORTFOLIO
The International Equity Portfolio seeks total return on its
assets from
growth of capital and income. For the six months ended June
30, 1996, the
International Equity Portfolio had a total return of 14.83%.
This performance
compares
favorably to the 4.67% total return posted by the Morgan
Stanley EAFE Index
for the same period. (The Morgan Stanley EAFE Index is a
composite index
consisting of equity total returns for the countries of
Europe, Australia and
the Far
East.)
The recent volatility in the U.S. capital markets did not go
unnoticed by
investors in the international markets. Many international
markets have had
their own internal issues with which to contend. For
instance, the
Presidential elections in the former Soviet Union and the
aftermath of the
Indian elections
in May, were important factors not only in those domestic
markets, but also
had potentially large implications for neighboring markets
and economies.
7
<PAGE>
SMITH BARNEY SERIES FUND
SEMI-ANNUAL REPORT FOR SYMPHONY -- A TAX-DEFERRED VARIABLE
ANNUITY
- ------------------------------------------------------------
- ------------------
- --
At the end of the second quarter, the Latin American markets
posted a gain of
nearly 11%, followed by the Pacific and European markets
where returns were
somewhat reduced by the recovery of the U.S. dollar versus
the major
currencies. The emerging markets (including Latin America)
experienced a major
upturn
gaining nearly 6% during the second quarter.
We continue to find good value in many international growth
stocks relative to
U.S. equity valuations. It is not unusual to find premium
growth companies in
foreign markets, selling at price-earnings multiples equal
to or below their
growth rates, a relatively difficult task in the U.S. (The
p/e multiple or
ratio is the price of a stock divided by its earnings per
share. This figure
generally gives investors an idea of how much they are
paying for a particular
company's
earning power.) Moreover, given the higher growth rates of
many countries, at
a time when sustainable U.S. economic growth is being
targeted in the 2% - 3%
range, the underlying conditions for outperformance, in our
opinion, remain in
place.
The International Equity Portfolio continues to focus on
premium growth
companies in a broadly diversified portfolio. Presently, we
are holding
approximately 50 stocks in 19 countries. Our geographic
allocation is made up
of Europe (60%), Far East (30%), Latin America (6%), and
Other (4%).
The Portfolio's heavy weighting in Europe is not driven by
any "top-down" view
on broad economic trends, though we believe the evidence
supports continued
monetary easing with potential for accelerated economic
growth heading into
1997. Instead, we believe that the necessary restructuring
that European
industries are now undertaking to become more competitive on
a global basis
has opened up attractive new opportunities for many
companies in a wide
variety of
industries. Companies such as Novartis, which specializes in
pharmaceuticals;
Wolters Kluwer and Independent News, two media companies;
and Serco, an
outsourcing company, are just a few examples. Moreover,
Europe's historically
low profit margins are on the rise, and we envision
increasing earnings
potential as a sustaining positive influence in the markets.
The Pacific Rim markets have taken a pause in recent weeks,
while the Japanese
market has staged a recent rally on economic data which
appears to indicate
unequivocally that the Japanese economy has pulled out of
its multi-year
recession. Government policy to cool perceived economic
excesses has led to
higher interest rates and other market-dampening events in
countries such as
Singapore, India, Thailand, China and Malaysia. We believe
that the high
indigenous growth rates of the Pacific economies will
continue to attract
growth capital and that the potential for declining interest
rates over the
balance
of 1996 may serve as a catalyst for upward momentum in
these markets. In
summary,
the international equity markets have delivered handsome
total returns during
the first half of 1996. In our opinion, with the increased
volatility in the
U.S. stock and bond markets, the International Equity
Portfolio offers
investors attractive return potential and broader portfolio
diversification.
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
July 22, 1996
8
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
PERFORMANCE COMPARISON -- INTERMEDIATE HIGH GRADE PORTFOLIO
AS OF 6/30/96
<TABLE>
<CAPTION>
- -------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------
<S> <C>
Six Months Ended 6/30/96+ (2.74)%
Year Ended 6/30/96 3.85%
10/16/91* through 6/30/96 5.61%
</TABLE>
+ Total return is not annualized, as it may
not be representative of the total return for
the year.
* Commencement of operations
- -------------------------------------------------
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 June 30, 1996 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.
<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 10507.00
12/92 10781.00 11285.00
12/93 11643.00 12386.00
12/94 11287.00 12024.00
12/95 13292.00 14246.00
6/30/96 12929.00 14073.00
</TABLE>
- ------------------------------------------------------------
- ------------------
- --
The performance shown represents past performance and is not
a guarantee of
future results. A mutual fund's share price and investment
return will vary
with market conditions, and the principal value of shares,
when redeemed, may
be
more or less than original cost.
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
6/30/96
<TABLE>
<CAPTION>
- -------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------
<S> <C>
Six Months Ended 6/30/96+ 3.10%
Year Ended 6/30/96 10.55%
10/16/91* through 6/30/96 6.54%
</TABLE>
+ Total return is not annualized, as it may
not be representative of the total return for
the year.
* Commencement of operations
- -------------------------------------------------
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 June 30, 1996 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.
<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 10507.00
12/92 10284.00 11285.00
12/93 11576.00 12386.00
12/94 11251.00 12024.00
12/95 13071.00 14246.00
6/30/96 13476.00 14073.00
</TABLE>
- ------------------------------------------------------------
- ------------------
- --
The performance shown represents past performance and is not
a guarantee of
future results. A mutual fund's share price and investment
return will vary
with market conditions, and the principal value of shares,
when redeemed, may
be
more or less than original cost.
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.
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
PERFORMANCE COMPARISON -- EQUITY INCOME PORTFOLIO AS OF
6/30/96
<TABLE>
<CAPTION>
- ----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------------------
<S> <C>
Six Months Ended 6/30/96+ 1.05%
Year Ended 6/30/96 17.45%
10/16/91* through 6/30/96 9.20%
</TABLE>
+ Total return is not annualized, as it
may not be representative of the total
return for the year.
* Commencement of operations
- ----------------------------------------------
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 June 30, 1996 with that of a similar
investment in the
Variable Annuity Lipper Equity Income Funds Peer Group
Average and Standard &
Poor's 500 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 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.
<TABLE>
<CAPTION>
VARIABLE
ANNUITY
LIPPER
EQUITY
EQUITY INCOME FUNDS
STANDARD &
MEASUREMENT PERIOD INCOME PEER GROUP
POOR'S 500
(FISCAL YEAR COVERED) PORTFOLIO AVERAGE
INDEX
<S> <C> <C>
<C>
10/16/91 10000.00 10000.00
10000.00
12/91 10200.00 10559.00
10838.00
12/92 11397.00 11782.00
11668.00
12/93 12583.00 13758.00
12844.00
12/94 11308.00 14094.00
13012.00
12/95 14979.00 16510.00
17898.00
6/30/96 15137.00 17542.00
19703.00
</TABLE>
- ---------------------------------
The performance shown represents past performance and is not
a guarantee of
future results. A mutual fund's share price and investment
return will vary
with market conditions, and the principal value of shares,
when redeemed, may
be
more or less than original cost.
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
6/30/96
<TABLE>
<CAPTION>
- ----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------------------
<S> <C>
Six Months Ended 6/30/96+ 9.76%
Year Ended 6/30/96 24.64%
10/16/91* through 6/30/96 11.41%
</TABLE>
+ Total return is not annualized, as it
may not be representative of the total
return for the year.
* Commencement of operations
- ----------------------------------------------
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 June 30, 1996 with that
of a similar
investment in the Variable Annuity Lipper Growth & Income
Funds Peer Group
Average and Standard & Poor's 500 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 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.
<TABLE>
<CAPTION>
VARIABLE
ANNUITY
LIPPER
GROWTH &
GROWTH AND INCOME FUNDS
STANDARD &
MEASUREMENT PERIOD INCOME PEER GROUP
POOR'S 500
(FISCAL YEAR COVERED) PORTFOLIO AVERAGE
INDEX
<S> <C> <C>
<C>
10/16/91 10000.00 10000.00
10000.00
12/91 10140.00 10746.00
10838.00
12/92 10996.00 11551.00
11668.00
12/93 11995.00 12802.00
12844.00
12/94 11611.00 12646.00
13012.00
12/95 15222.00 16514.00
17898.00
6/30/96 16631.00 17988.00
19703.00
</TABLE>
- ------------------------------------------------------------
- ------------------
- --
The performance shown represents past performance and is not
a guarantee of
future results. A mutual fund's share price and investment
return will vary
with market conditions, and the principal value of shares,
when redeemed, may
be
more or less than original cost.
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.
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
PERFORMANCE COMPARISON -- APPRECIATION PORTFOLIO AS OF
6/30/96
<TABLE>
<CAPTION>
- -------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------
<S> <C>
Six Months Ended 6/30/96+ 8.48%
Year Ended 6/30/96 19.25%
10/16/91* through 6/30/96 11.19%
</TABLE>
+ Total return is not annualized, as it may
not be representative of the total return for
the year.
* Commencement of operations
- -------------------------------------------------
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 June 30, 1996 with that of a similar
investment in the
Standard & Poor's 500 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 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.
<TABLE>
<CAPTION>
STANDARD &
MEASUREMENT PERIOD APPRECIATION POOR'S 500
(FISCAL YEAR COVERED) PORTFOLIO INDEX
<S> <C> <C>
10/16/91 10000.00 10000.00
12/91 10490.00 10838.00
12/92 11133.00 11668.00
12/93 11926.00 12844.00
12/94 11792.00 13012.00
12/95 15193.00 17898.00
6/30/96 15193.00 19703.00
</TABLE>
- ------------------------------------------------------------
- ------------------
- --
The performance shown represents past performance and is not
a guarantee of
future results. A mutual fund's share price and investment
return will vary
with market conditions, and the principal value of shares,
when redeemed, may
be
more or less than original cost.
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
6/30/96
<TABLE>
<CAPTION>
- -------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------
<S> <C>
Six Months Ended 6/30/96+ 17.81%
Year Ended 6/30/96 39.14%
12/3/93* through 6/30/96 20.64%
</TABLE>
+ Total return is not annualized, as it may
not be representative of the total return for
the year.
* Commencement of operations
- -------------------------------------------------
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 June 30, 1996 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.
<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
12/94 9631.00 9968.00
12/95 13762.00 13947.00
6/30/96 16212.00 15709.00
</TABLE>
- ------------------------------------------------------------
- ------------------
- --
The performance shown represents past performance and is not
a guarantee of
future results. A mutual fund's share price and investment
return will vary
with market conditions, and the principal value of shares,
when redeemed, may
be
moreor 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.
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
PERFORMANCE COMPARISON -- TOTAL RETURN PORTFOLIO AS OF
6/30/96
<TABLE>
<CAPTION>
- -------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------
<S> <C>
Six Months Ended 6/30/96+ 12.00%
Year Ended 6/30/96 19.74%
12/3/93* through 6/30/96 18.53%
</TABLE>
+ Total return is not annualized, as it may not
be representative of the total return for the year.
* Commencement of operations
- -------------------------------------------------
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 June 30, 1996 with that of a similar
investment in the
Standard & Poor's 500 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 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.
<TABLE>
<CAPTION>
STANDARD &
MEASUREMENT PERIOD TOTAL RETURN POOR'S 500
(FISCAL YEAR COVERED) PORTFOLIO INDEX
<S> <C> <C>
12/3/93 10000.00 10000.00
12/93 10300.00 10121.00
12/94 11062.00 10253.00
12/95 13832.00 14103.00
6/30/96 15492.00 15526.00
</TABLE>
- ------------------------------------------------------------
- ------------------
- --
The performance shown represents past performance and is not
a guarantee of
future results. A mutual fund's share price and investment
return will vary
with market conditions, and the principal value of shares,
when redeemed, may
be
more or less than original cost.
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 6/30/96
<TABLE>
<CAPTION>
- -------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------
<S> <C>
Six Months Ended 6/30/96+ 14.83%
Year Ended 6/30/96 18.02%
12/3/93* through 6/30/96 5.60%
</TABLE>
+ Total return is not annualized, as it may
not be representative of the total return for
the year.
* Commencement of operations
- -------------------------------------------------
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 June 30, 1996 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.
<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 10724.00
12/94 9210.00 10850.00
12/95 10020.00 12103.00
6/30/96 11506.00 12668.00
</TABLE>
- ------------------------------------------------------------
- ------------------
- --
The performance shown represents past performance and is not
a guarantee of
future results. A mutual fund's share price and investment
return will vary
with market conditions, and the principal value of shares,
when redeemed, may
be
more or less than original cost.
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.
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED)
JUNE 30,
1996
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
ANNUALIZED
YIELD ON
FACE
DATE OF
AMOUNT SECURITY
PURCHASE VALUE
- ------------------------------------------------------------
- ------------------
- ----------------------------
<S>
<C> <C>
U.S. AGENCIES AND INSTRUMENTALITIES -- 3.4%
$200,000 Student Loan Mortgage Association matures 7/1/96
(Cost --
$200,000).................................................
5.52% $
200,000
- ------------------------------------------------------------
- ------------------
- ----------------------------
COMMERCIAL PAPER -- 95.1%
250,000 A.I. Credit matures
7/30/96........................................ 5.32
248,939
250,000 Barclays U.S. Funding Corp. matures
7/22/96........................ 5.33 249,230
250,000 Bear Stearns matures
7/2/96........................................ 5.33
249,963
250,000 Canadian Imperial Holdings Inc. matures
7/2/96..................... 5.34 249,963
250,000 Canadian Wheat Board matures
8/9/96................................ 5.41
248,546
200,000 Chase Manhattan Bank Corp. matures
8/15/96......................... 5.35 198,680
250,000 Citicorp matures
7/22/96........................................... 5.33
249,230
260,000 Commerzbank U.S. Finance matures
7/9/96............................ 5.33
259,694
200,000 Credito Italiano matures
8/27/96................................... 5.42
198,322
225,000 Den Danske Corp. matures
8/20/96................................... 5.42
223,322
225,000 Daimler-Benz North America Corp. matures
8/20/96................... 5.46 222,108
250,000 Ford Motor Credit matures
7/31/96.................................. 5.34
248,898
200,000 General Electric Capital Corp. matures
7/29/96..................... 5.11 199,221
250,000 Goldman Sachs & Co. matures
8/23/96................................ 5.34
248,060
250,000 International Nederlanden Group matures
9/19/96.................... 5.49 246,989
100,000 J.P. Morgan & Co. matures
12/16/96................................. 5.61
97,452
250,000 Merrill Lynch matures
7/15/96...................................... 5.38
249,480
200,000 Morgan Stanley matures
7/24/96..................................... 5.38
199,315
250,000 Nestle Capital Corp. matures
7/1/96................................ 5.50
250,000
200,000 PHH Corp. matures
7/31/96.......................................... 5.39
199,107
100,000 Province of British Columbia matures
8/6/96........................ 5.05 99,508
225,000 Sheffield Receivable Corp. matures
7/18/96......................... 5.39 224,429
200,000 Siemans Corp. matures
8/21/96...................................... 5.40
198,481
250,000 Transamerica Finance Corp. matures
8/14/96......................... 5.37 248,378
250,000 Union Bank of Switzerland matures
7/1/96........................... 5.55 250,000
- ------------------------------------------------------------
- ------------------
- ----------------------------
TOTAL COMMERCIAL PAPER (Cost --
$5,557,315)........................
5,557,315
- ------------------------------------------------------------
- ------------------
- ----------------------------
REPURCHASE AGREEMENT -- 1.5%
89,000 CS First Boston, Inc., 5.294%, due 7/1/96;
Proceeds at
maturity -- $89,039;
(Fully collateralized by U.S. Treasury Note,
7.500% due 12/31/96;
Market value -- $90,823) (Cost --
$89,000)......................... 89,000
- ------------------------------------------------------------
- ------------------
- ----------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$5,846,315*).................... $5,846,315
- ------------------------------------------------------------
- ------------------
- ----------------------------
</TABLE>
* Aggregate cost for federal income tax purposes is
substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
INTERMEDIATE HIGH GRADE PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
ASSET-BACKED SECURITIES -- 3.5%
$ 500,000 Carco Auto Loan Master, 7.875% due 7/15/99
(Cost --
$512,578)................ $ 511,670
- ------------------------------------------------------------
- ------------------
- ---------------------------
MORTGAGE-BACKED SECURITIES -- 6.5%
1,016,873 Government National Mortgage Association,
6.500% due 2/15/26
(Cost --
$991,538)...................................................
........
946,638
- ------------------------------------------------------------
- ------------------
- ---------------------------
U.S. GOVERNMENT OBLIGATIONS -- 19.9%
175,000 U.S. Treasury Notes, 6.375% due
1/15/99...................................... 175,579
1,070,000 U.S. Treasury Notes, 7.750% due
12/31/99..................................... 1,115,999
1,450,000 U.S. Treasury Notes, 8.125% due
8/15/19...................................... 1,627,248
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost --
$2,982,710)....................... 2,918,826
- ------------------------------------------------------------
- ------------------
- ---------------------------
FOREIGN GOVERNMENT BONDS -- 3.6%
500,000 Hydro - Province of Quebec, 8.050% due 7/7/24
(Cost --
$535,200)............. 530,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
CORPORATE BONDS AND NOTES -- 64.6%
BANKING -- 16.7%
700,000 ABN AMRO Bank, Sub. Debenture, 7.250% due
5/31/05............................ 709,625
500,000 Malayan Banking, N.Y., Sub. Debenture, 7.125%
due
9/15/05.................... 488,125
500,000 Norwest Corp., 6.250% due
4/15/99............................................
496,250
700,000 Republic New York Corp., Debenture, 9.500% due
7/1/00........................ 763,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,457,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
FINANCIAL SERVICES -- 22.7%
700,000 Associates Corp. N.A., 8.180% due
2/15/05.................................... 741,125
700,000 Exxon Capital Corp., 7.875% due
8/15/97...................................... 714,650
650,000 Ford Motor Credit Co., 8.000% due
10/1/96.................................... 653,692
700,000 International Lease Finance Corp., 8.250% due
1/15/00........................ 731,500
500,000 Santander Financial Corp., 7.000% due
4/1/06................................. 484,375
- ------------------------------------------------------------
- ------------------
- ---------------------------
3,325,342
- ------------------------------------------------------------
- ------------------
- ---------------------------
HEALTHCARE -- 2.7%
386,000 Hospital Corp., 9.000% due
3/15/16...........................................
401,923
- ------------------------------------------------------------
- ------------------
- ---------------------------
INSURANCE -- 9.0%
700,000 Massachusetts Mutual Life Insurance Co.,
7.625% due
11/15/23................. 659,750
700,000 Metropolitan Life Insurance, 6.300% due
11/1/03.............................. 659,750
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,319,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
MACHINERY -- 3.3%
500,000 Case Corp., 7.250% due
8/1/05................................................
491,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
OIL SERVICES -- 6.8%
485,000 Mobil Corp., 6.500% due
12/17/96.............................................
486,213
500,000 Shell Oil Co., 6.950% due
12/15/98...........................................
506,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
993,088
- ------------------------------------------------------------
- ------------------
- ---------------------------
TECHNOLOGY -- 3.4%
500,000 Philips Electronics Corp., 7.200% due
6/1/26................................. 495,625
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost --
$9,605,335)......................... 9,483,728
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
INTERMEDIATE HIGH GRADE PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
REPURCHASE AGREEMENT -- 1.9%
$ 277,000 Chase Manhattan Bank, 5.330% due 7/1/96;
Proceeds at maturity --
$277,123;
(Fully collateralized by U.S. Treasury Notes,
5.750% due
9/30/97;
Market value -- $282,657) (Cost --
$277,000)................................. $ 277,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$14,904,361*)............................. $14,667,862
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
* Aggregate cost for Federal income tax purposes is
substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
<S>
<C>
- ------------------------------------------------------------
- ------------------
- ----------------------------
U.S. GOVERNMENT SECTOR -- 24.1%
- ------------------------------------------------------------
- ------------------
- ----------------------------
$ 756,858 FHLMC, 9.000% due 1/1/20 through
5/1/21................................... $ 789,259
1,255,823 GNMA, 8.000% due 7/15/17 through
12/15/21................................. 1,267,591
11,003,365 GNMA, 9.000% due 11/15/16 through
9/15/24................................. 10,210,550
970,000 U.S. Treasury Notes, 6.125% due
12/31/96.................................. 973,279
1,000,000 U.S. Treasury Notes, 6.625% due
6/30/01................................... 1,006,510
- ------------------------------------------------------------
- ------------------
- ----------------------------
TOTAL U.S. GOVERNMENT SECTOR (Cost --
$14,277,990)........................ 14,247,189
- ------------------------------------------------------------
- ------------------
- ----------------------------
HIGH YIELD SECTOR -- 45.5%
- ------------------------------------------------------------
- ------------------
- ----------------------------
CORPORATE BONDS AND NOTES -- 43.2%
AEROSPACE AND DEFENSE -- 1.7%
250,000 Airplanes Pass Through Trust, 10.875% due
3/15/19......................... 260,625
350,000 Howmet Corp., 10.000% due 12/1/03
(a)..................................... 369,250
225,000 Tracor Inc., 10.875% due
8/15/01..........................................
240,750
150,000 UNC, Inc., 11.000% due 6/1/06
(a)......................................... 152,625
- ------------------------------------------------------------
- ------------------
- ----------------------------
1,023,250
- ------------------------------------------------------------
- ------------------
- ----------------------------
AUTOMOBILE/AUTO PARTS/TRUCK MANUFACTURING -- 1.1%
225,000 Collins & Aikman Corp., 11.500% due
4/15/06............................... 226,688
400,000 Harvard Industries Inc., 12.000% due
7/15/04.............................. 396,500
- ------------------------------------------------------------
- ------------------
- ----------------------------
623,188
- ------------------------------------------------------------
- ------------------
- ----------------------------
BROADCASTING - TV, CABLE AND RADIO -- 8.4%
350,000 Australis Media Ltd., step bond to yield
14.000% due 5/15/03
(b).......... 208,250
275,000 Bell Cable PLC, step bond to yield 11.875%
due
9/15/05.................... 167,750
500,000 Bell Cablemedia PLC, step bond to yield
11.950% due
7/15/04............... 352,500
250,000 Cablevision Systems Corp., 9.875% due
2/15/13............................. 235,000
300,000 Comcast UK Cable, step bond to yield
11.250% due
11/15/07................. 174,750
300,000 Grupo Televisa S.A., 11.875% due 5/15/06
(a).............................. 307,500
300,000 Lenfest Communications, 10.500% due
6/15/06
(a)........................... 301,875
400,000 Marcus Cable Co., step bond to yield
13.500% due
8/1/04................... 285,500
450,000 NWCG Holding Corp., zero coupon due
6/15/99............................... 331,313
Rogers Cablesystems Ltd.:
325,000 10.000% due
12/1/07.....................................................
.. 319,719
400,000 11.000% due
12/1/15.....................................................
.. 417,500
250,000 Rogers Communications Inc., 10.875% due
4/15/04........................... 255,000
200,000 SFX Broadcasting, 10.750% due 5/15/06
(a)................................. 199,500
450,000 UIH Australia/Pacific, step bond to yield
14.000% due
5/15/06............. 240,750
600,000 UIH Inc., step bond to yield 14.000% due
11/15/99......................... 389,250
250,000 Videotron Groupe Limited, 10.625% due
2/15/05............................. 262,500
400,000 Videotron Holdings PLC, step bond to yield
11.000% due
8/15/05............ 262,500
250,000 Wireless One, 13.000% due
10/15/03........................................
265,625
- ------------------------------------------------------------
- ------------------
- ----------------------------
4,976,782
- ------------------------------------------------------------
- ------------------
- ----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
<S>
<C>
- ------------------------------------------------------------
- ------------------
- ----------------------------
BUILDING/CONSTRUCTION -- 0.5%
$ 250,000 Greystone Homes Inc., 10.750% due
3/1/04.................................. $ 250,000
50,000 Miles Home Services Inc., 12.000% due
4/1/01.............................. 37,063
- ------------------------------------------------------------
- ------------------
- ----------------------------
287,063
- ------------------------------------------------------------
- ------------------
- ----------------------------
CHEMICALS -- 1.5%
400,000 NL Industries Inc., 11.750% due
10/15/03.................................. 410,500
175,000 Pt. Polysindo Eka Perkasa, 13.000% due
6/15/01............................ 191,844
250,000 Terra Industries Inc., 10.500% due
6/15/05................................ 265,313
- ------------------------------------------------------------
- ------------------
- ----------------------------
867,657
- ------------------------------------------------------------
- ------------------
- ----------------------------
CONSUMER DURABLE GOODS/HOME FURNISHINGS -- 1.4%
775,000 International Semi Tech Microelectronics
Inc., step bond to
yield
11.500% due
8/15/03.....................................................
450,469
200,000 Remington Product Co., 11.000% due 5/15/06
(a)............................ 199,250
200,000 TAG-Heuer International, 12.000% due
12/15/05
(a)......................... 204,250
- ------------------------------------------------------------
- ------------------
- ----------------------------
853,969
- ------------------------------------------------------------
- ------------------
- ----------------------------
DIVERSIFIED/CONGLOMERATE SERVICES -- 1.5%
450,000 Interlake Corp., 12.125% due
3/1/02....................................... 452,813
400,000 Williamhouse-Regency, 13.000% due 11/15/05
(a)............................ 453,000
- ------------------------------------------------------------
- ------------------
- ----------------------------
905,813
- ------------------------------------------------------------
- ------------------
- ----------------------------
ELECTRIC UTILITIES -- 0.5%
200,000 Calpine Corp., 10.500% due 5/15/06
(a).................................... 202,000
62,306 Midland Funding Corp. I, 10.330% due
7/23/02.............................. 64,954
- ------------------------------------------------------------
- ------------------
- ----------------------------
266,954
- ------------------------------------------------------------
- ------------------
- ----------------------------
ELECTRONICS/COMPUTERS -- 1.5%
250,000 Graphic Controls Corp., 12.000% due
9/15/05............................... 266,250
600,000 Unisys Corp., 12.000% due
4/15/03.........................................
611,250
- ------------------------------------------------------------
- ------------------
- ----------------------------
877,500
- ------------------------------------------------------------
- ------------------
- ----------------------------
FOOD -- 1.6%
200,000 Smiths Food & Drug, 11.250% due
5/15/07................................... 203,000
300,000 TLC Beatrice International Holdings,
11.500% due
10/1/05.................. 304,875
400,000 Van De Kamp Inc., 12.000% due
9/15/05..................................... 429,000
- ------------------------------------------------------------
- ------------------
- ----------------------------
936,875
- ------------------------------------------------------------
- ------------------
- ----------------------------
GROCERY/CONVENIENCE STORES -- 1.1%
200,000 Farm Fresh Inc., 12.250% due
10/1/00...................................... 173,750
410 Kash N' Karry, 11.500% due
2/1/03.........................................
414
500,000 Pathmark Stores Inc., 12.625% due
6/15/02................................. 504,375
- ------------------------------------------------------------
- ------------------
- ----------------------------
678,539
- ------------------------------------------------------------
- ------------------
- ----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
<S>
<C>
- ------------------------------------------------------------
- ------------------
- ----------------------------
HEALTHCARE/DRUGS/HOSPITAL SUPPLIES -- 0.9%
$ 200,000 Magellan Health Services, Inc., 11.250%
due
4/15/04....................... $ 216,000
330,000 OrNda Healthcorp, 12.250% due
5/15/02..................................... 358,050
- ------------------------------------------------------------
- ------------------
- ----------------------------
574,050
- ------------------------------------------------------------
- ------------------
- ----------------------------
HOTEL/GAMING -- 3.3%
150,000 Aztar Corp., 13.750% due
10/1/04..........................................
172,125
600,000 Courtyard By Marriott II, 10.750% due
2/1/08
(a).......................... 589,500
400,000 Mohegan Tribal Gaming Authority, 13.500%
due 11/15/02
(a)................. 503,500
Station Casinos Inc.:
400,000 9.625% due
6/1/03......................................................
... 386,500
300,000 10.125% due
3/15/06.....................................................
.. 292,875
- ------------------------------------------------------------
- ------------------
- ----------------------------
1,944,500
- ------------------------------------------------------------
- ------------------
- ----------------------------
INSURANCE -- 0.5%
250,000 Life Partners Group Inc., 12.750% due
7/15/02............................. 273,125
- ------------------------------------------------------------
- ------------------
- ----------------------------
LEISURE/AMUSEMENT/MOTION PICTURES -- 0.5%
133,531 Gillett Holdings Inc., 12.250% due
6/30/02................................ 140,208
200,000 Remington Arms Inc., 10.000% due 12/1/03
(a).............................. 183,000
- ------------------------------------------------------------
- ------------------
- ----------------------------
323,208
- ------------------------------------------------------------
- ------------------
- ----------------------------
METALS/MINING -- 1.4%
400,000 Kaiser Aluminum & Chemical Corp., 12.750%
due
2/1/03...................... 423,000
250,000 Russel Metals Inc., 10.250% due
6/15/00................................... 245,313
135,000 UCAR Global Enterprises Inc., 12.000% due
1/15/05......................... 154,406
- ------------------------------------------------------------
- ------------------
- ----------------------------
822,719
- ------------------------------------------------------------
- ------------------
- ----------------------------
OIL/NATURAL GAS -- 2.6%
350,000 Clark USA, 10.875% due
12/1/05............................................
363,125
375,000 Global Marine Inc., 12.750% due
12/15/99.................................. 406,875
200,000 Mesa Operating Co., 10.625% due
7/1/06.................................... 204,000
300,000 Santa Fe Energy Resources Inc., 11.000%
due
5/15/04....................... 324,375
225,000 United Meridian Corp., 10.375% due
10/15/05............................... 232,031
- ------------------------------------------------------------
- ------------------
- ----------------------------
1,530,406
- ------------------------------------------------------------
- ------------------
- ----------------------------
OTHER UTILITIES -- 0.5%
300,000 California Energy, 9.875% due
6/30/03..................................... 304,125
- ------------------------------------------------------------
- ------------------
- ----------------------------
PAPER/FOREST PRODUCTS/PRINTING -- 3.0%
250,000 Crown Paper Co., 11.000% due
9/1/05....................................... 238,125
350,000 Indah Kiat International Finance Co.,
11.375% due
6/15/02................. 368,375
200,000 Polysindo International Finance, 11.375%
due
6/15/06...................... 203,250
250,000 Repap New Brunswick Inc., 10.625% due
4/15/05............................. 234,375
275,000 SD Warren Co., 12.000% due
12/15/04.......................................
291,500
400,000 Tjiwi Kimia International Finance Co.,
13.250% due
8/1/01................. 448,000
- ------------------------------------------------------------
- ------------------
- ----------------------------
1,783,625
- ------------------------------------------------------------
- ------------------
- ----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
<S>
<C>
- ------------------------------------------------------------
- ------------------
- ----------------------------
PERSONAL CARE PRODUCTS/COSMETICS -- 1.5%
$ 30,000 MacAndrews & Forbes Group, 12.250% due
7/1/96............................. $ 30,000
400,000 Revlon Consumer Products Corp., 10.500%
due
2/15/03....................... 403,500
550,000 Revlon Worldwide Corp., zero coupon due
3/15/98........................... 458,563
- ------------------------------------------------------------
- ------------------
- ----------------------------
892,063
- ------------------------------------------------------------
- ------------------
- ----------------------------
REAL ESTATE DEVELOPMENT/REITS -- 0.5%
300,000 Trizec Finance, 10.875% due
10/15/05...................................... 301,875
- ------------------------------------------------------------
- ------------------
- ----------------------------
RETAIL -- 0.5%
250,000 Barnes & Noble Inc., 11.875% due
1/15/03.................................. 268,750
- ------------------------------------------------------------
- ------------------
- ----------------------------
TELEPHONE/COMMUNICATIONS -- 6.5%
150,000 Alvey Systems Inc., 11.375%, due 1/31/03
(a).............................. 155,063
500,000 Clearnet Communications, step bond to
yield 14.750% due
12/15/05.......... 312,500
600,000 Dial Call Communications Inc., step bond
to yield 12.250%
due 4/15/04..... 388,500
100,000 Fonorola Inc., 12.500% due
8/15/02........................................
107,500
300,000 Intelcom Group Inc., step bond to yield
12.500% due
5/1/06................ 166,875
375,000 Intermedia Communications Inc., step bond
to yield 12.500%
due 5/15/06.... 210,000
150,000 Metrocall Inc., 10.375% due
10/1/07....................................... 141,375
375,000 Millicom Intl. Cellular, step bond to
yield 13.500%, due
6/1/06 (a)....... 199,688
400,000 Mobile Telecommunications Technology,
13.500% due
12/15/02................ 425,500
650,000 Nextel Communications Inc., step bond to
yield 9.750% due
8/15/04......... 385,125
400,000 Nextlink Communications, 12.500% due
4/15/06
(a).......................... 400,000
950,000 Telewest Communications Inc., step bond to
yield 11.000% due
10/1/07...... 562,875
325,000 USA Mobile Communications Inc., 14.000%
due
11/1/04....................... 368,875
- ------------------------------------------------------------
- ------------------
- ----------------------------
3,823,876
- ------------------------------------------------------------
- ------------------
- ----------------------------
TOBACCO -- 0.2%
150,000 Consolidated Cigar Corp., 10.500% due
3/1/03.............................. 156,375
- ------------------------------------------------------------
- ------------------
- ----------------------------
TRANSPORTATION -- 0.5%
270,000 Sea Containers Ltd., Series A, 12.500% due
12/1/04........................ 300,032
- ------------------------------------------------------------
- ------------------
- ----------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost --
$24,989,897)..................... 25,596,319
- ------------------------------------------------------------
- ------------------
- ----------------------------
<CAPTION>
SHARES SECURITY
VALUE
<S>
<C>
- ------------------------------------------------------------
- ------------------
- ----------------------------
COMMON STOCKS -- 0.3%
MINING, STEEL, IRON AND NON-PRECIOUS METALS -- 0.3%
10,000 Freeport-McMoRan Resource Partners (Cost -
- -
$216,160)..................... 198,750
- ------------------------------------------------------------
- ------------------
- ----------------------------
CONVERTIBLE PREFERRED STOCK -- 2.0%
AUTOMOBILE/AUTO PARTS/TRUCK MANUFACTURING -- 0.4%
3,750 Navistar International Corp., Series G,
Convertible
$6.00................. 208,594
- ------------------------------------------------------------
- ------------------
- ----------------------------
HEALTHCARE/DRUGS/HOSPITAL SUPPLIES -- 0.6%
14,639 Foxmeyer Health Corp., Series A,
Convertible
$4.20........................ 395,249
- ------------------------------------------------------------
- ------------------
- ----------------------------
METALS/MINING -- 0.4%
8,688 BCP/Essex Holdings Inc., Series B,
Exchangeable
15.000%................... 225,888
- ------------------------------------------------------------
- ------------------
- ----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
<S>
<C>
- ------------------------------------------------------------
- ------------------
- ----------------------------
TELEPHONE/COMMUNICATIONS -- 0.6%
281 Panamsat Corp. Exchangeable
12.750%....................................... $ 325,960
- ------------------------------------------------------------
- ------------------
- ----------------------------
TOTAL CONVERTIBLE PREFERRED STOCK (Cost --
$1,224,039).................... 1,155,691
- ------------------------------------------------------------
- ------------------
- ----------------------------
WARRANTS -- 0.0%
BROADCASTING - TV, CABLE, AND RADIO -- 0.0%
750 Wireless One, Expire 10/19/00
(c)......................................... 6,000
- ------------------------------------------------------------
- ------------------
- ----------------------------
BUILDING/CONSTRUCTION -- 0.0%
600 Miles Homes Inc., Expire 4/1/97
(c)....................................... 150
- ------------------------------------------------------------
- ------------------
- ----------------------------
TELEPHONE/COMMUNICATIONS -- 0.0%
600 Nextel Communications Inc., Expire 5/23/99
(c)............................ 12
- ------------------------------------------------------------
- ------------------
- ----------------------------
TOTAL WARRANTS (Cost --
$11,400)..........................................
6,162
- ------------------------------------------------------------
- ------------------
- ----------------------------
TOTAL HIGH YIELD SECTOR (Cost --
$26,441,496)............................. 26,956,922
- ------------------------------------------------------------
- ------------------
- ----------------------------
<CAPTION>
FACE
AMOUNT+ SECURITY
VALUE
<S>
<C>
- ------------------------------------------------------------
- ------------------
- ----------------------------
INTERNATIONAL SECTOR -- 25.9%
- ------------------------------------------------------------
- ------------------
- ----------------------------
BONDS -- 25.9%
ARGENTINA -- 0.4%
300,000 Argentina Discount Series L, 6.438% due
3/31/23
++........................ 209,814
- ------------------------------------------------------------
- ------------------
- ----------------------------
AUSTRALIA -- 3.1%
400,000 New South Wales Treasury Corp., 12.000%
due
12/1/01....................... 357,673
Queensland Treasury Corp.:
1,200,000 8.000% due
5/14/97.....................................................
... 947,473
700,000 8.000% due
5/14/03.....................................................
... 524,422
- ------------------------------------------------------------
- ------------------
- ----------------------------
1,829,568
- ------------------------------------------------------------
- ------------------
- ----------------------------
CANADA -- 2.0%
Government of Canada:
150,000 7.500% due
7/1/97......................................................
... 112,030
650,000 11.750% due
2/1/03......................................................
.. 585,340
100,000 International Finance Corp., 7.750% due
8/18/98........................... 75,281
300,000 KFW International Finance, 9.500% due
5/13/02............................. 239,849
250,000 Rogers Cablesystems, 9.650% due
1/15/14................................... 159,716
- ------------------------------------------------------------
- ------------------
- ----------------------------
1,172,216
- ------------------------------------------------------------
- ------------------
- ----------------------------
DENMARK -- 1.0%
3,250,000 Kingdom of Denmark, 8.000% due
5/15/03.................................... 588,551
- ------------------------------------------------------------
- ------------------
- ----------------------------
FINLAND -- 2.0%
2,000,000 Finnish Export Credit, 6.000% due
1/15/99................................. 439,616
3,000,000 Government of Finland, 9.500% due
3/15/04................................. 737,328
- ------------------------------------------------------------
- ------------------
- ----------------------------
1,176,944
- ------------------------------------------------------------
- ------------------
- ----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY
VALUE
<S>
<C>
- ------------------------------------------------------------
- ------------------
- ----------------------------
FRANCE -- 2.7%
3,000,000 French Treasury Bill, 5.750% due
3/12/01.................................. $ 586,970
5,000,000 Government of France, 6.750% due
10/25/04................................. 995,765
- ------------------------------------------------------------
- ------------------
- ----------------------------
1,582,735
- ------------------------------------------------------------
- ------------------
- ----------------------------
GERMANY -- 0.6%
500,000 Bundesrepublic, 6.500% due
7/15/03........................................
334,417
- ------------------------------------------------------------
- ------------------
- ----------------------------
IRELAND -- 1.7%
500,000 Irish Gilts, 8.000% due
10/18/00..........................................
1,001,150
- ------------------------------------------------------------
- ------------------
- ----------------------------
ITALY -- 4.3%
Buoni Poliennali Del Tesoro:
500,000,000 12.00% due
1/1/98......................................................
... 341,519
300,000,000 9.00% due
10/1/98.....................................................
.... 198,864
500,000,000 8.500% due
1/1/99......................................................
... 328,343
2,000,000,000 8.500% due
8/1/99......................................................
... 1,307,240
600,000,000 Italian Certificati di Credito Del Tesoro,
11.200% due
8/1/99............. 397,964
- ------------------------------------------------------------
- ------------------
- ----------------------------
2,573,930
- ------------------------------------------------------------
- ------------------
- ----------------------------
MEXICO -- 0.5%
500,000 Mexican States Value Recovery Rights,
Expire 6/30/03
(c).................. 0
500,000 United Mexican States Series B, 6.250% due
12/31/19
++.................... 324,375
- ------------------------------------------------------------
- ------------------
- ----------------------------
324,375
- ------------------------------------------------------------
- ------------------
- ----------------------------
NEW ZEALAND -- 1.5%
New Zealand Government:
800,000 9.000% due
11/15/96....................................................
... 545,942
500,000 10.000% due
3/15/02.....................................................
.. 357,348
- ------------------------------------------------------------
- ------------------
- ----------------------------
903,290
- ------------------------------------------------------------
- ------------------
- ----------------------------
SPAIN -- 3.4%
40,000,000 Bancomex, 13.000% due
1/29/97.............................................
318,605
200,000,000 Government of Spain, 10.100% due
2/28/01.................................. 1,678,743
- ------------------------------------------------------------
- ------------------
- ----------------------------
1,997,348
- ------------------------------------------------------------
- ------------------
- ----------------------------
SWEDEN -- 1.4%
5,000,000 Kingdom of Sweden, 10.250% due
5/5/03..................................... 844,420
- ------------------------------------------------------------
- ------------------
- ----------------------------
UNITED KINGDOM -- 1.0%
400,000 United Kingdom Treasury Bill, 7.750% due
9/8/06........................... 613,171
- ------------------------------------------------------------
- ------------------
- ----------------------------
UNITED STATES -- 0.3%
200,000 European Bank of Reconstruction and
Development, zero coupon
due
1/29/97.....................................................
..............
199,750
- ------------------------------------------------------------
- ------------------
- ----------------------------
TOTAL INTERNATIONAL SECTOR (Cost --
$14,837,671).......................... 15,351,679
- ------------------------------------------------------------
- ------------------
- ----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY
VALUE
<S>
<C>
- ------------------------------------------------------------
- ------------------
- ----------------------------
REPURCHASE AGREEMENT -- 4.5%
2,648,000 CS First Boston Corp., 5.300% due 7/1/96;
Proceeds at
maturity -- $2,649,170;
(Fully collateralized by U.S. Treasury
Notes, 7.500% due
12/31/96;
Market value -- $2,705,461) (Cost --
$2,648,000).......................... $ 2,648,000
- ------------------------------------------------------------
- ------------------
- ----------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$58,205,157*).......................... $59,203,790
- ------------------------------------------------------------
- ------------------
- ----------------------------
</TABLE>
(a) Security exempt from registration under Rule 144A of the
Securities Act of
1933. This security may be resold in transactions exempt
from
registration,
normally to qualified institutional buyers.
(b) Security issued with attached warrants.
(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.
22
<PAGE>
SMITH BARNEY SERIES FUNDS
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
COMMON STOCKS -- 78.4%
GAS -- 8.1%
15,000 Coastal Corp.
............................................................
... $ 626,250
15,000 El Paso Natural Gas Co.
.....................................................
577,500
20,000 Enron Corp.
............................................................
.....
817,500
12,000 MCN Corp.
............................................................
.......
292,500
20,000 PanEnergy Corp.
............................................................
. 657,500
20,000 Williams Companies Inc.
.....................................................
990,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
3,961,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
TELECOMMUNICATIONS -- 10.9%
25,000 AT&T Corp.
............................................................
......
1,550,000
10,000 Ameritech Corp.
............................................................
. 593,750
15,000 Bellsouth Corp.
............................................................
. 635,625
15,000 GTE Corp.
............................................................
.......
671,250
35,000 MCI Communications Corp.
....................................................
896,875
25,000 Teleport Communications Group, Inc.
......................................... 478,125
25,000 U.S. West Media
Group.......................................................
. 456,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
5,281,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
UTILITIES -- 59.4%
30,000 Allegheny Power System, Inc.
................................................
926,250
25,000 American Electric Power Inc.
................................................
1,065,625
30,000 Baltimore Gas & Electric Co.
................................................
851,250
20,000 Boston Edison Co.
...........................................................
510,000
31,500 Carolina Power & Light Co.
..................................................
1,197,000
25,000 Central & South West Corp.
..................................................
725,000
25,000 CINergy Corp.
............................................................
... 800,000
20,000 CIPSCO, Inc.
............................................................
.... 772,500
16,500 CMS Energy Corp.
............................................................
509,438
25,000 Consolidated Edison Co. of New York, Inc.
................................... 731,250
30,000 DPL Inc.
............................................................
........
731,250
40,000 DQE Inc.
............................................................
........
1,100,000
35,000 DTE Energy Co.
............................................................
.. 1,080,625
35,000 Edison
International...............................................
..........
616,875
25,000 Enova Corp.
............................................................
.....
578,125
28,000 Entergy Corp.
............................................................
... 794,500
40,000 FPL Group Inc.
............................................................
.. 1,840,000
25,000 General Public Utilities Corp.
.............................................. 881,250
50,000 Houston
Industries..................................................
.........
1,231,250
50,000 Illinova Corp.
............................................................
.. 1,437,500
10,000 New England Electric
System..................................................
363,750
35,000 NIPSCO Industries, Inc.
.....................................................
1,408,750
25,000 Ohio Edison Co.
............................................................
. 546,875
27,000
Pacificorp..................................................
.................
600,750
21,000 PECO Energy Co.
............................................................
. 546,000
30,000 Pinnacle West Capital Corp.
.................................................
911,250
25,000 Portland General Corp.
......................................................
771,875
25,000 Public Service Co. of
Colorado...............................................
918,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE>
SMITH BARNEY SERIES FUNDS
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
UTILITIES -- 59.4% (CONTINUED)
25,000 Public Service Co. of New Mexico
(a)......................................... $ 512,500
25,000 SCANA Corp.
............................................................
.....
703,125
35,000 Southern Co.
............................................................
.... 861,875
35,000 Texas Utilities Co.
.........................................................
1,496,250
25,000 Unicom Corp.
............................................................
.... 696,875
7,000 Wisconsin Energy Corp.
......................................................
202,125
- ------------------------------------------------------------
- ------------------
- ---------------------------
28,920,438
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL COMMON STOCKS (Cost --
$32,839,317)....................................
38,163,563
- ------------------------------------------------------------
- ------------------
- ---------------------------
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
CORPORATE BONDS AND NOTES -- 18.1%
Arizona Public Service Co., First Mortgage:
$ 250,000 7.250% due
8/1/23......................................................
.... 230,000
250,000 8.750% due
1/15/24.....................................................
.... 264,375
200,000 8.000% due
2/1/25......................................................
.... 197,250
255,000 Central Illinois Public Service Co., 8.500%
due
5/15/22...................... 272,213
200,000 Cincinnati Gas & Electric Co., 8.500% due
9/1/22............................. 210,750
250,000 Commonwealth Edison Co., 8.375% due
9/15/22.................................. 248,125
250,000 Dayton Power & Light Co., First Mortgage,
8.150% due
1/15/26................. 255,938
Duquesne Light Co., 1st Collateral Trust:
200,000 8.375% due
5/15/24.....................................................
.... 205,000
250,000 7.550% due
6/15/25.....................................................
.... 235,625
200,000 Idaho Power Co., First Mortgage, 8.750% due
3/15/27.......................... 209,750
500,000 Illinois Power Co., 8.000% due
2/15/23....................................... 490,625
300,000 Kentucky Utilities Co., 8.550% due
5/15/27................................... 318,750
Madison Gas & Electric Co., First Mortgage:
200,000 8.500% due
4/15/22.....................................................
.... 210,250
500,000 7.700% due
2/15/28.....................................................
.... 496,250
250,000 Midwest Power Systems Inc., 8.125% due
2/1/23................................ 259,375
200,000 New England Power Co., General & Reference,
8.000% due
8/1/22................ 203,750
New York State Electric & Gas Corp., First
Mortgage:
250,000 8.300% due
12/15/22....................................................
.... 249,063
250,000 7.450% due
7/15/23.....................................................
.... 235,938
250,000 Niagara Mohawk Power Co., 8.500% due
7/1/23.................................. 209,375
250,000 Pacific Gas & Electric Co., 6.750% due
10/1/23............................... 220,000
500,000 Pennsylvania Power & Light Co., 8.500% due
5/1/22............................ 525,625
300,000 Public Service Co., Oklahoma, First Mortgage,
7.375% due
4/1/23.............. 288,375
196,000 Public Service Electric & Gas Co., 1st &
Refunding, 8.750% due
2/1/22........ 209,965
200,000 San Diego Gas & Electric Co., 8.500% due
4/1/22.............................. 209,500
550,000 Tampa Electric Co., 7.750% due
11/1/22....................................... 545,188
500,000 Texas Utilities Co., 7.625% due
7/1/25....................................... 471,875
250,000 Virginia Electric & Power Co., First Mortgage,
7.500% due
6/1/23............. 240,938
400,000 Wisconsin Electric Power Co., First Mortgage,
7.050% due
8/1/24.............. 371,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE>
SMITH BARNEY SERIES FUNDS
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
CORPORATE BONDS AND NOTES -- 18.1% (CONTINUED)
$ 300,000 Wisconsin Power & Light Co., Note, 8.600% due
3/15/27........................ $ 315,000
425,000 Wisconsin Public Service Corp., First
Mortgage, 7.125% due
7/1/23............ 396,309
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost --
$8,857,927)......................... 8,796,677
- ------------------------------------------------------------
- ------------------
- ---------------------------
REPURCHASE AGREEMENT -- 3.5%
1,686,000 Citibank, 5.330% due 7/1/96; Proceeds at
maturity -- $1,686,748;
(Fully collateralized by U.S. Treasury Notes,
6.125% due
5/31/97;
Market value -- $1,720,408) (Cost --
$1,686,000)............................. 1,686,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$43,383,244*)............................. $48,646,240
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
(a) Non-income producing security.
* Aggregate cost for Federal income tax purposes is
substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
COMMON STOCKS -- 93.4%
BASIC INDUSTRIES -- 6.6%
360 Air Products & Chemicals Inc.
................................................. $
20,790
730 Alcan Aluminum Ltd.
...........................................................
22,265
400 Alco Standard Corp.
...........................................................
18,100
890 Allied Signal Inc.
............................................................
50,841
550 Aluminum Co. of
America.....................................................
... 31,556
560 Applied Materials
(a).........................................................
. 17,080
340 Armco Inc.
(a).........................................................
........
1,700
130 ASARCO Inc.
............................................................
.......
3,591
160 Avery Dennison Corp.
..........................................................
8,780
1,140 Barrick Gold Corp.
............................................................
30,922
160 Bemis Inc.
............................................................
........
5,600
350 Bethlehem Steel Corp.
(a)......................................................
4,156
160 B.F. Goodrich Co.
............................................................
. 5,980
150 Boise Cascade Corp.
...........................................................
5,494
300 Champion International Corp.
..................................................
12,525
290 Cyprus Amax Minerals Co.
......................................................
6,561
790 Dow Chemical Co.
............................................................
.. 60,040
400 Echo Bay Mines Ltd.
...........................................................
4,300
1,780 E.I. du Pont De Nemours & Co.
.................................................
140,842
455 Engelhard Corp.
............................................................
... 10,465
110 FMC Corp.
(a).........................................................
.........
7,177
630 Freeport-McMoRan Copper &
Gold.................................................
20,081
160 General Signal Corp.
..........................................................
6,060
300 Georgia Pacific Corp.
.........................................................
21,300
200 Great Lakes Chemical Corp.
....................................................
12,450
150 Harnischfeger Industries Inc.
.................................................
4,987
350 Hercules Inc.
............................................................
.....
19,337
470 Homestake Mining Co.
..........................................................
8,049
370 Inco Ltd.
............................................................
.........
11,932
150 Inland Steel Industries Inc.
..................................................
2,944
951 International Paper Co.
.......................................................
35,068
370 ITT Industries Inc.
...........................................................
9,296
260 James River Corp. of
Virginia..................................................
6,857
896 Kimberly Clark Corp.
..........................................................
69,216
340 Louisiana Pacific Corp.
.......................................................
7,522
170 Mead Corp.
............................................................
........
8,819
1,860 Monsanto Co.
............................................................
......
60,450
460 Morton International Industries Inc.
.......................................... 17,135
30 Nacco Industries Inc.
.........................................................
1,661
210 Nalco Chemical Co.
............................................................
6,615
289 Newmont Mining Corp.
..........................................................
14,269
270 Nucor Corp.
............................................................
.......
13,669
210 Phelps Dodge Corp.
............................................................
13,099
760 Placer Dome Inc.
............................................................
.. 18,145
90 Potlatch Corp.
............................................................
.... 3,521
600 PPG Industries Inc.
...........................................................
29,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
BASIC INDUSTRIES -- 6.6% (CONTINUED)
490 Praxair Inc.
............................................................
...... $
20,702
200 Reynolds Metals Co.
...........................................................
10,425
210 Rohm & Haas Co.
............................................................
... 13,177
150 Sigma-Aldrich Corp.
...........................................................
8,025
312 Stone Container Corp.
.........................................................
4,290
170 Temple Inland Inc.
............................................................
7,947
90 Trinova Corp.
............................................................
.....
3,004
220 Union Camp Corp.
............................................................
.. 10,725
430 Union Carbide Corp.
...........................................................
17,092
260 USX-U.S. Steel
Group.......................................................
.... 7,377
310 Westvaco Corp.
............................................................
.... 9,261
650 Weyerhauser Co.
............................................................
... 27,625
170 Willamette
Industries..................................................
........
10,115
1,560 WMX Technologies Inc.
.........................................................
51,090
280 Worthington Industries Inc.
...................................................
5,845
310 W.R. Grace & Co.
............................................................
.. 21,971
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,119,168
- ------------------------------------------------------------
- ------------------
- ---------------------------
CAPITAL GOODS -- 7.5%
110 Armstrong World Industries
Inc.................................................
6,339
1,105 Boeing Co.
............................................................
........
96,273
90 Briggs &
Stratton....................................................
..........
3,701
670 Browning Ferris Industries Inc.
...............................................
19,430
610 Caterpillar Inc.
............................................................
.. 41,328
80 Centex Corp.
............................................................
......
2,490
130 Cincinnati Milacron Inc.
......................................................
3,120
340 Cooper Industries Inc.
........................................................
14,110
90 Crane Co.
............................................................
.........
3,690
120 Cummins Engine Inc.
...........................................................
4,845
320 Dana Corp.
............................................................
........
9,920
820 Deere & Co.
............................................................
.......
32,800
350 Dover Corp.
............................................................
.......
16,144
240 Eaton Corp.
............................................................
.......
14,070
190 Echlin Inc.
............................................................
.......
7,196
705 Emerson Electric Co.
..........................................................
63,714
260 Fluor Corp.
............................................................
.......
16,997
120 Foster Wheeler Corp.
..........................................................
5,385
190 General Dynamics Corp.
........................................................
11,780
5,240 General Electric Co.
..........................................................
453,260
100 Giddings & Lewis Inc.
.........................................................
1,625
380 Illinois Tool Works Inc.
......................................................
25,697
340 Ingersoll Rand Co.
............................................................
14,875
120 Johnson Controls Inc.
.........................................................
8,340
120 Kaufman & Broad Home Corp.
....................................................
1,740
626 Lockheed Corp.
............................................................
.... 52,584
700 McDonnell Douglas Corp.
.......................................................
33,950
310 Moore Corporation Ltd.
........................................................
5,851
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
CAPITAL GOODS -- 7.5% (CONTINUED)
240 Navistar International Corp.
(a)............................................... $
2,370
200 Northrop Grumman Corp.
........................................................
13,625
150 Ogden Corp.
............................................................
.......
2,719
160 Owens-Corning Fiberglass Corp.
(a).............................................
6,880
115 Paccar Inc.
............................................................
.......
5,635
230 Parker Hannifin Corp.
.........................................................
9,746
140 Raychem Corp.
............................................................
.....
10,063
760 Raytheon Corp.
............................................................
.... 39,235
690 Rockwell International Corp.
..................................................
39,503
410 Santa Fe Pacific Gold Corp.
...................................................
5,791
280 Stanley
Works.......................................................
...........
8,330
170 Teledyne Inc.
............................................................
.....
6,141
260 Textron Inc.
............................................................
......
20,768
100 Timken Co.
............................................................
........
3,875
120 Thomas & Betts Corp.
..........................................................
4,500
200 TRW Inc.
............................................................
..........
17,975
480 Tyco International Ltd.
.......................................................
19,560
390 United Technologies Corp.
.....................................................
44,850
120 Varity Corp.
(a).........................................................
......
5,775
1,320 Westinghouse Electric Corp.
...................................................
24,750
160 W.W. Grainger Inc.
............................................................
12,400
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,275,745
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONSUMER DURABLES -- 2.8%
270 Black & Decker Corp.
..........................................................
10,429
220 Case Corp.
............................................................
........
10,560
1,180 Chrysler Corp.
............................................................
.... 73,160
260 Cooper Tire & Rubber Co.
......................................................
5,785
720 Corning Inc.
............................................................
......
27,630
140 Fleetwood Enterprises Inc.
....................................................
4,340
3,710 Ford Motor Co.
............................................................
.... 120,111
2,390 General Motors Corp.
..........................................................
125,176
390 Genuine Parts Co.
............................................................
. 17,843
490 Goodyear Tire & Rubber Co.
....................................................
23,643
510 Masco Corp.
............................................................
.......
15,428
340 Maytag Corp.
............................................................
......
7,098
500 Newell Co.
............................................................
........
15,312
60 Outboard Marine Corp.
.........................................................
1,088
80 Pulte Corp.
............................................................
.......
2,140
120 Snap-On Tools Corp.
...........................................................
5,685
230 Whirlpool Corp.
............................................................
... 11,414
- ------------------------------------------------------------
- ------------------
- ---------------------------
476,842
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONSUMER NON-DURABLES -- 13.1%
110 Adolph Coors Co., Class B
Shares...............................................
1,966
570 American Brands Inc.
..........................................................
25,864
810 Anheuser Busch Cos. Inc.
......................................................
60,750
1,647 Archer Daniels Midland Co.
....................................................
31,499
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
CONSUMER NON-DURABLES -- 13.1% (CONTINUED)
420 Avon Products Inc.
............................................................
$ 18,952
90 Ball Corp.
............................................................
........
2,588
210 Brown Forman Corp., Class B
Shares.............................................
8,400
780 Campell Soup Co.
............................................................
.. 54,990
160 Clorox Co.
............................................................
........
14,180
7,870 Coca Cola Co.
............................................................
.....
384,335
470 Colgate Palmolive Co.
.........................................................
39,833
780 Conagra Inc.
............................................................
......
35,393
460 CPC International Inc.
........................................................
33,120
400 Crown Cork & Seal Inc.
(a).....................................................
18,000
290 Dial Corp.
............................................................
........
8,301
245 Eastman Chemical Co.
..........................................................
14,914
1,100 Eastman Kodak Co.
............................................................
. 85,525
230 Fruit of the Loom Inc.
(a).....................................................
5,865
500 General Mills Inc.
............................................................
27,250
1,410 Gillette Co.
............................................................
......
87,949
270 Hasbro Inc.
............................................................
.......
9,653
240 Hershey Foods Corp.
...........................................................
17,610
1,165 H.J. Heinz Co.
............................................................
.... 35,387
350 International Flavors & Fragrances Inc.
....................................... 16,669
670 Kellogg Co.
............................................................
.......
49,078
230 Liz Claiborne Inc.
............................................................
7,964
870 Mattel Inc.
............................................................
.......
24,904
2,220 McDonald's Corp.
............................................................
.. 103,785
460 Nike Inc., Class B
Shares......................................................
47,265
4,940 PepsiCo Inc.
............................................................
......
174,752
2,620 Philip Morris Co. Inc.
........................................................
272,480
260 Pioneer Hi Bred
International...............................................
... 13,748
140 Polaroid Corp.
............................................................
.... 6,388
2,160 Procter & Gamble Co.
..........................................................
195,750
420 Quaker Oats Co.
............................................................
... 14,333
330 Ralston Purina
Group.......................................................
.... 21,161
240 Reebok International Ltd.
.....................................................
8,070
500 Rubbermaid Inc.
............................................................
... 13,625
120 Russell Corp.
............................................................
.....
3,315
1,530 Sara Lee Corp.
............................................................
.... 49,534
1,180 Seagram Ltd.
............................................................
......
39,678
260 Sherwin Williams Co.
..........................................................
12,090
150 Stride Rite Corp.
............................................................
. 1,238
190 Tupperware Corp.
............................................................
.. 8,027
520 Unilever N.V.
ADR.........................................................
.....
75,465
640 UST Inc.
............................................................
..........
21,920
200 VF Corp.
............................................................
..........
11,925
330 Whitman Corp.
............................................................
.....
7,961
360 W.M. Wrigley Jr. Co.
..........................................................
18,180
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,241,629
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
CONSUMER SERVICES -- 8.6%
800 Albertsons Inc.
............................................................
... $ 33,100
230 American Greetings Corp., Class A
Shares....................................... 6,296
470 American Stores Co.
...........................................................
19,388
140 Bally Entertainment Corp.
(a)..................................................
3,850
50 Brown Group Inc.
............................................................
.. 869
6 Brunos Inc.
............................................................
.......
83
300 Brunswick Corp.
............................................................
... 6,000
330 Charming Shoppes Inc.
.........................................................
2,331
300 Circuit City Stores Inc.
......................................................
10,838
760 Comcast Corp., Class A Shares
(Special)........................................
14,060
20 Cox Communications
(a).........................................................
433
600 CUC International Inc.
(a).....................................................
21,300
500 Darden Restaurants Inc.
(a)....................................................
5,375
220 Dayton Hudson Corp.
...........................................................
22,688
260 Deluxe Corp.
............................................................
......
9,230
350 Dillard Department Stores Inc., Class A
Shares................................. 12,775
300 Dow Jones & Co. Inc.
..........................................................
12,525
540 Dunn & Bradstreet Corp.
.......................................................
33,750
200 Ecolab Inc.
............................................................
.......
6,600
650 Federated Department
Stores....................................................
22,181
120 Fleming Cos. Inc.
............................................................
. 1,725
450 Gannett Inc.
............................................................
......
31,838
920 Gap Inc.
............................................................
..........
29,555
180 Giant Food Inc., Class A
Shares................................................
6,458
120 Great Atlantic & Pacific Tea Inc.
............................................. 3,945
230 Harcourt General Inc.
.........................................................
11,500
320 Harrah's Entertainment
(a).....................................................
9,040
150 Hilton Hotels Corp.
...........................................................
16,875
1,503 Home Depot Inc.
............................................................
... 81,162
240 Interpublic Group Cos. Inc.
...................................................
11,250
710 J.C. Penney Co.
............................................................
... 37,275
100 John H. Harland Co.
...........................................................
2,463
120 Jostens Inc.
............................................................
......
2,370
1,530 KMart Corp.
............................................................
.......
18,934
110 King World Productions Inc.
(a)................................................
4,001
150 Knight Ridder Inc.
............................................................
10,875
390 Kroger Co.
(a).........................................................
........
15,405
930 Laidlaw Inc., Class B
Shares...................................................
9,416
850 Limited Inc.
............................................................
......
18,275
60 Longs Drug Stores Corp.
.......................................................
2,678
380 Loews Companies Inc.
..........................................................
29,973
70 Lubys Cafeterias Inc.
.........................................................
1,645
400 Marriott International Inc.
...................................................
21,500
790 May Department Stores Co.
.....................................................
34,562
320 McGraw Hill Inc.
............................................................
.. 14,640
330 Melville Corp.
............................................................
.... 13,365
110 Mercantile Stores Inc.
........................................................
6,449
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
CONSUMER SERVICES -- 8.6% (CONTINUED)
80 Meredith Corp.
............................................................
.... $ 3,340
150 National Service Industries Inc.
.............................................. 5,869
300 New York Times Co., Class A
Shares.............................................
9,788
250 Nordstrom Inc.
............................................................
.... 11,125
190 Pep Boys - Manny, Moe and
Jack.................................................
6,460
610 Price Costco Inc.
(a).........................................................
. 13,191
260 Rite Aid Corp.
............................................................
.... 7,735
480 R.R. Donnelley & Sons Co.
.....................................................
16,740
160 Ryan's Family Steak Houses Inc.
(a)............................................
1,480
180 Safety-Kleen Corp.
............................................................
3,150
1,250 Sears Roebuck & Co.
...........................................................
60,781
380 Service Corporation
International..............................................
21,850
130 Shoney's Inc.
(a).........................................................
.....
1,414
60 Spring Industries Inc.
........................................................
3,030
210 Super Value Inc.
............................................................
.. 6,615
580 Sysco Corp.
............................................................
.......
19,865
200 Tandy Corp.
............................................................
.......
9,475
2,070 Tele-Communications Inc., Class A Shares
(a)................................... 37,519
1,250 Time Warner Inc.
............................................................
.. 49,063
340 Times Mirror Co., Series
A.....................................................
14,790
220 TJX Cos. Inc.
............................................................
.....
7,425
860 Toys 'R' Us Inc.
(a).........................................................
.. 24,510
200 Tribune Co.
............................................................
.......
14,525
1,160 Viacom, Inc., Class B
Shares...................................................
45,095
780 Walgreen Co.
............................................................
......
26,130
7,260 Wal-Mart Stores Inc.
..........................................................
184,222
2,134 Walt Disney Co.
............................................................
... 134,175
400 Wendy's International Inc.
....................................................
7,450
480 Winn Dixie Stores Inc.
........................................................
16,980
420 Woolworth Corp.
............................................................
... 9,450
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,464,088
- ------------------------------------------------------------
- ------------------
- ---------------------------
ENERGY -- 9.4%
290 Amerada Hess Corp.
............................................................
15,551
1,570 Amoco Corp.
............................................................
.......
113,629
200 Ashland Oil Inc.
............................................................
.. 7,925
510 Atlantic Richfield Co.
........................................................
60,435
450 Baker Hughes Inc.
............................................................
. 14,794
400 Burlington Resources Inc.
.....................................................
17,200
2,060 Chevron Corp.
............................................................
.....
121,540
490 CINergy Corp.
............................................................
.....
15,680
330 Coastal Corp.
............................................................
.....
13,778
590 Dresser Industries Inc.
.......................................................
17,405
60 Eastern
Enterprises.................................................
...........
1,995
1,410 Edison
International...............................................
............
24,851
790 Enron Corp.
............................................................
.......
32,591
210 Enserch Corp.
............................................................
.....
4,568
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
ENERGY -- 9.4% (CONTINUED)
3,910 Exxon Corp.
............................................................
....... $
339,681
360 Halliburton Co.
............................................................
... 19,980
70 Helmerich & Payne Inc.
........................................................
2,564
160 Kerr McGee Corp.
............................................................
.. 9,740
400 LSI Logic
(a).........................................................
.........
10,400
100 Louisiana Land & Exploration Co.
.............................................. 5,762
180 McDermott International Inc.
..................................................
3,757
1,250 Mobil Corp.
............................................................
.......
140,156
400 Noram Energy Corp.
............................................................
4,350
1,000 Occidental Petroleum Corp.
....................................................
24,750
330 Oryx Energy Co.
(a).........................................................
... 5,363
470 Panhandle Eastern Corp.
.......................................................
15,451
140 Pennzoil Co.
............................................................
......
6,475
820 Phillips Petroleum Co.
........................................................
34,338
280 Rowan Cos. Inc.
(a).........................................................
... 4,130
1,700 Royal Dutch Petroleum Co.
.....................................................
261,375
280 Santa Fe Energy Resources
(a)..................................................
3,325
770 Schlumberger Ltd.
............................................................
. 64,873
270 Sonat Inc.
............................................................
........
12,150
231 Sun Co.
............................................................
...........
7,017
550 Tenneco Inc.
............................................................
......
28,119
830 Texaco Inc.
............................................................
.......
69,616
780 Unocal Corp.
............................................................
......
26,325
900 USX-Marathon
Group.......................................................
......
18,112
160 Western Atlas Inc.
............................................................
9,320
328 Williams Co. Inc.
............................................................
. 16,236
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,605,307
- ------------------------------------------------------------
- ------------------
- ---------------------------
FINANCIAL SERVICES -- 12.9%
370 Aetna Life & Casualty
Co.......................................................
26,455
160 Alexander & Alexander Services Inc.
........................................... 3,160
1,425 Allstate Corp.
............................................................
.... 65,016
1,530 American Express Co.
..........................................................
68,276
660 American General Corp.
........................................................
24,008
1,520 American International Group Inc.
............................................. 149,910
1,434 Banc One Corp.
............................................................
.... 48,756
360 Bank of Boston Corp.
..........................................................
17,820
620 Bank of New
York........................................................
.......
31,775
1,158 BankAmerica Corp.
............................................................
. 87,719
260 Bankers Trust of New York Corp.
...............................................
19,208
310 Barnett Banks Inc.
............................................................
18,910
180 Beneficial Corp.
............................................................
.. 10,103
520 Boatmens Bancshares Inc.
......................................................
20,865
1,380 Chase Manhattan Bank
..........................................................
97,463
580 Chubb Corp.
............................................................
.......
28,928
260 CIGNA Corp.
............................................................
.......
30,648
1,550
CitiCorp....................................................
..................
. 128,069
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
FINANCIAL SERVICES -- 12.9% (CONTINUED)
390 Comerica Inc.
............................................................
..... $
17,404
700 CoreStates Financial Corp.
....................................................
26,950
534 Dean Witter Discover & Co.
....................................................
30,572
570 Federal Home Loan Mortgage Corp.
.............................................. 48,735
3,450 Federal National Mortgage
Association..........................................
115,575
330 Fifth Third BanCorp.
..........................................................
17,820
450 First Bank
Systems.....................................................
........
26,100
1,015 First Chicago Corp.
...........................................................
39,712
700 First Data Corp.
............................................................
.. 55,738
914 First Union Corp.
............................................................
. 55,640
850 Fleet Financial Group Inc.
....................................................
36,975
270 General Re Corp.
............................................................
.. 41,107
200 Golden Western Financial Corp. of
Delaware..................................... 11,200
440 Great Western Financial Corp.
.................................................
10,505
440 Green Tree
Financial...................................................
........
13,750
390 H.F. Ahmanson & Co.
...........................................................
10,530
340 H & R Block Inc.
............................................................
.. 11,092
330 Household International Inc.
..................................................
25,080
390 ITT Hartford Group
(a).........................................................
20,768
240 Jefferson Pilot Corp.
.........................................................
12,390
610 J.P. Morgan & Co. Inc.
........................................................
51,621
760
KeyCorp.....................................................
..................
. 29,450
340 Lincoln National Corp.
........................................................
15,725
510 Lowes Corp.
............................................................
.......
18,424
240 Marsh & McLennan Cos. Inc.
....................................................
23,160
710 MBNA Corp.
............................................................
........
20,235
440 Mellon Bank Corp.
............................................................
. 25,080
550 Merrill Lynch & Co. Inc.
......................................................
35,819
510 Morgan Stanley
Group.......................................................
.... 25,054
710 National City Corp.
...........................................................
24,939
950 NationsBank Corp.
............................................................
. 78,494
1,160 Norwest Corp.
............................................................
.....
40,455
1,090 PNC Bank Corp.
............................................................
.... 32,427
320 Providian Corp.
............................................................
... 13,720
185 Republic New York Corp.
.......................................................
11,516
410 SAFECO Corp.
............................................................
......
14,504
350 Salomon Inc.
............................................................
......
15,400
280 St. Paul Cos. Inc.
............................................................
14,980
740 Suntrust Bank Inc.
............................................................
27,380
240 Torchmark Corp.
............................................................
... 10,500
230 Transamerica Corp.
............................................................
18,630
250 UNUM Corp.
............................................................
........
15,563
380 USF&G Corp.
............................................................
.......
6,223
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
FINANCIAL SERVICES -- 12.9% (CONTINUED)
120 USLIFE Corp.
............................................................
...... $
3,945
490 U.S. BanCorp of
Oregon......................................................
... 17,701
550 Wachovia Corp.
............................................................
.... 24,063
317 Wells Fargo & Co.
............................................................
. 75,683
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,195,423
- ------------------------------------------------------------
- ------------------
- ---------------------------
HEALTHCARE -- 9.9%
2,490 Abbott
Laboratories................................................
............
108,315
200 Allergan Inc.
............................................................
.....
7,850
260 ALAZ Corp.
(a).........................................................
........
7,118
2,000 American Home Products Corp.
..................................................
120,250
840 Amgen Inc.
(a).........................................................
........
45,360
350 Aon Corp.
............................................................
.........
17,763
180 Bausch & Lomb Inc.
............................................................
7,650
850 Baxter International Inc.
.....................................................
40,163
200 Becton, Dickinson & Co.
.......................................................
16,050
310 Beverly Enterprises Inc.
(a)...................................................
3,720
370 Biomet Inc.
(a).........................................................
.......
5,319
570 Boston Scientific Corp.
(a)....................................................
25,650
1,580 Bristol Myers Squibb Co.
......................................................
142,200
1,412 Columbia Healthcare Corp.
.....................................................
75,365
130 Community Psychiatric Centers
(a)..............................................
1,235
170 C.R. Bard Inc.
............................................................
.... 5,780
1,750 Eli Lilly & Co.
............................................................
... 113,750
510 Humana Inc.
(a).........................................................
.......
9,116
4,200 Johnson &
Johnson.....................................................
.........
207,900
240 Mallinckrodt Group Inc.
.......................................................
9,330
190 Manor Care Inc.
............................................................
... 7,481
730 Medtronic Inc.
............................................................
.... 40,880
3,870 Merck & Co. Inc.
............................................................
.. 250,099
140 Millipore Corp.
............................................................
... 5,862
680 Tenet Healthcare Corp.
(a).....................................................
14,535
353 Pall Corp.
............................................................
........
8,516
2,020 Pfizer Inc.
............................................................
.......
144,177
1,610 Pharmacia & Upjohn
(a).........................................................
71,444
1,170 Schering-Plough Corp.
.........................................................
73,418
250 St. Jude Medical Inc.
(a)......................................................
8,375
480 U.S. Healthcare Inc.
..........................................................
26,400
580 United
Healthcare..................................................
............
29,290
180 United States Surgical Corp.
..................................................
5,580
840 Warner Lambert Co.
............................................................
46,200
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,702,141
- ------------------------------------------------------------
- ------------------
- ---------------------------
TECHNOLOGY -- 10.8%
410 Advanced Micro Devices Inc.
(a)................................................
5,586
590 ALLTEL Corp.
............................................................
......
18,142
370 Amdahl Corp.
(a).........................................................
......
3,978
686 AMP Inc.
............................................................
..........
27,526
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
TECHNOLOGY -- 10.8% (CONTINUED)
180 Andrew Corp.
(a).........................................................
...... $
9,675
390 Apple Computer Inc.
...........................................................
8,190
140 Autodesk Inc.
............................................................
.....
4,182
910 Automatic Data Processing Inc.
................................................
35,149
590 Bay Networks
Inc.........................................................
......
15,193
220 Cabletron Systems Inc.
........................................................
15,098
210 Ceridian Corp.
(a).........................................................
.... 10,605
1,800 Cisco Systems Inc.
(a).........................................................
101,925
840 Compaq Computer Corp.
(a)......................................................
41,370
762 Computer Association International Inc.
....................................... 54,293
175 Computer Sciences Corp.
(a)....................................................
13,081
120 Data General Corp.
(a).........................................................
1,560
470 Digital Equipment Corp.
(a)....................................................
21,150
360 DSC Communications Corp.
(a)...................................................
10,845
150 EG & G Inc.
............................................................
.......
3,206
730 EMC Corp.
............................................................
.........
13,596
400 General
Instrument..................................................
...........
11,550
120 Harris Corp.
............................................................
......
7,320
1,610 Hewlett Packard Co.
...........................................................
160,396
400 Honeywell Inc.
............................................................
.... 21,800
2,600 Intel Corp.
............................................................
.......
190,938
140 Intergraph Corp.
(a).........................................................
.. 1,698
1,710 International Business Machines Corp.
......................................... 169,290
380 ITT Corp.
(a).........................................................
.........
25,175
540 Loral Corp.
............................................................
.......
7,358
650 Micron Technology Inc.
........................................................
16,819
1,880 Microsoft Corp.
(a).........................................................
... 225,835
1,320 Minnesota Mining & Manufacturing Co.
.......................................... 91,080
1,860 Motorola Inc.
............................................................
.....
116,948
430 National Semiconductor Corp.
(a)...............................................
6,665
810 Northern Telecom Ltd.
.........................................................
44,044
1,160 Novell Inc.
(a).........................................................
.......
16,095
2,085 Oracle Systems Corp.
..........................................................
82,227
130 Perkin-Elmer Corp.
............................................................
6,273
470 Pitney Bowes Inc.
............................................................
. 22,443
240 Scientific Atlanta Inc.
.......................................................
3,720
70 Shared Medical Systems Corp.
..................................................
4,498
510 Silicon Graphics Inc.
(a)......................................................
12,240
590 Sun Microsystems Inc.
(a)......................................................
34,737
370 Tandem Computers Inc.
(a)......................................................
4,579
100 Tektronix Inc.
............................................................
.... 4,475
270 Tellabs Inc.
............................................................
......
18,056
530 Threecom Corp.
............................................................
.... 24,248
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
TECHNOLOGY -- 10.8% (CONTINUED)
590 Texas Instruments Inc.
........................................................ $
29,426
680 Unicom Corp.
............................................................
......
18,955
540 Unisys Corp.
(a).........................................................
......
3,848
1,020 Xerox Corp.
............................................................
.......
54,570
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,851,656
- ------------------------------------------------------------
- ------------------
- ---------------------------
TRANSPORTATION -- 1.5%
280 AMR Corp.
(a).........................................................
.........
25,480
490 Burlington Northern Inc.
......................................................
39,629
120 Caliber Systems Inc.
..........................................................
4,080
260 Conrail Inc.
............................................................
......
17,258
140 Consolidated Freightways Inc.
.................................................
2,957
680 CSX Corp.
............................................................
.........
32,810
200 Delta Air Lines Inc.
..........................................................
16,600
170 Federal Express Corp.
(a)......................................................
13,940
400 Norfolk Southern Corp.
........................................................
33,900
250 Ryder Systems Inc.
............................................................
7,031
450 Southwest Airlines Co.
........................................................
13,106
660 Union Pacific Corp.
...........................................................
46,117
200 U.S. Air Group Inc.
(a)........................................................
3,600
80 Yellow Corp.
(a).........................................................
......
1,060
- ------------------------------------------------------------
- ------------------
- ---------------------------
257,568
- ------------------------------------------------------------
- ------------------
- ---------------------------
UTILITIES -- 10.3%
1,570 Airtouch Communications
(a)....................................................
44,352
590 American Electric Power Inc.
..................................................
25,148
5,070 AT&T Corp.
............................................................
........
314,340
1,760 Ameritech Corp.
............................................................
... 104,500
470 Baltimore Gas & Electric Co.
..................................................
13,336
1,390 Bell Atlantic Corp.
...........................................................
88,613
3,150 BellSouth Corp.
............................................................
... 133,481
480 Carolina Power & Light Co.
....................................................
18,240
660 Central & South West Corp.
....................................................
19,140
170 Columbia Gas Systems Inc.
(a)..................................................
8,861
740 Consolidated Edison Co. New York Inc.
......................................... 21,645
290 Consolidated Natural Gas Co.
..................................................
15,152
450 DTE Energy Co.
............................................................
.... 13,894
550 Dominion Resources Inc. of
Virginia............................................
22,000
640 Duke Power Co.
............................................................
.... 32,800
720 Entergy Corp.
............................................................
.....
20,430
580 FPL Group Inc.
............................................................
.... 26,680
370 General Public Utilities Corp.
................................................
13,043
3,080 GTE Corp.
............................................................
.........
137,830
830 Houston Industries Inc.
.......................................................
20,439
2,190 MCI Communications Corp.
......................................................
56,119
450 Niagara Mohawk Power Corp.
....................................................
3,488
150 Nicor Inc.
............................................................
........
4,256
210 Northern States Power Co. of
Minnesota.........................................
10,369
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
UTILITIES -- 10.3% (CONTINUED)
1,380 NYNEX Corp.
............................................................
....... $
65,550
480 Ohio Edison Co.
............................................................
... 10,500
80 Oneok Inc.
............................................................
........
2,000
920 Pacific Corp.
............................................................
.....
20,470
260 Pacific
Enterprises.................................................
...........
7,702
1,330 Pacific Gas & Electric Co.
....................................................
30,922
1,360 Pacific Telesis
Group.......................................................
... 45,900
700 PECO Energy Co.
............................................................
... 18,200
500 Pennsylvania Power & Lighting Co.
............................................. 11,812
110 Peoples Energy Corp.
..........................................................
3,685
770 Public Service Enterprise
Group................................................
21,079
1,940 SBC Communications Inc.
.......................................................
95,545
2,120 Southern Co.
............................................................
......
52,205
1,400 Sprint Corp.
............................................................
......
58,800
710 Texas Utilities Co.
...........................................................
30,352
1,500 U.S. West Communications Inc.
.................................................
47,812
1,500 U.S. Media
Group.......................................................
........
27,375
320 Union Electric Co.
............................................................
12,880
600 Worldcom Inc.
............................................................
.....
33,225
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,764,170
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL COMMON STOCKS (Cost --
$11,220,312)......................................
15,953,737
- ------------------------------------------------------------
- ------------------
- ---------------------------
PREFERRED STOCK -- 0.0%
80 Alberto Culver Co., Class B Shares (Cost --
$2,072)............................ 3,710
- ------------------------------------------------------------
- ------------------
- ---------------------------
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
SHORT-TERM INVESTMENTS -- 6.6%
$1,023,000 Repurchase Agreement -- Chase Manhattan Bank,
5.325% due 7/1/96;
Proceeds at
maturity -- $1,023,454; (Fully collateralized by
U.S. Treasury
Notes, 6.125%,
due 5/31/97; Market value --
$1,043,878).......................................
1,023,000
100,000 U.S. Treasury Bill, 5.20% due 9/12/96
(b)...................................... 98,935
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL SHORT-TERM INVESTMENTS (Cost --
$1,121,998).............................. 1,121,935
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$12,344,382*)............................... $17,079,382
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
(a) Non-income producing security.
(b) Security segregated by Custodian for futures contract
commitments.
* Aggregate cost for Federal income tax purposes is
substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
COMMON STOCKS -- 86.9%
COMMERCIAL SERVICES -- 4.3%
11,000 Reuters Holdings PLC
ADR.................................................... $
797,500
10,000 W.W. Grainger, Inc.
........................................................
775,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,572,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONSUMER DURABLES -- 2.9%
14,000 Genuine Parts Co.
..........................................................
640,500
16,000 Leggett & Platt, Inc.
......................................................
444,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,084,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONSUMER NON-DURABLES -- 8.2%
23,000 Coca-Cola Corp.
............................................................
1,124,125
12,000 International Flavors & Fragrances, Inc.
................................... 571,500
8,000 Kimberly Clark Corp.
.......................................................
618,000
8,000 Procter & Gamble Co.
.......................................................
725,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
3,038,625
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONSUMER SERVICES -- 3.4%
15,000 McDonald's Corp.
...........................................................
701,250
18,000 TCA Cable TV, Inc.
.........................................................
544,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,245,750
- ------------------------------------------------------------
- ------------------
- ---------------------------
ELECTRONIC TECHNOLOGY -- 10.4%
14,000 AMP, Inc.
............................................................
......
561,750
5,000 Harris Corp.
............................................................
... 305,000
14,000 Hewlett Packard Co.
........................................................
1,394,750
14,000 Motorola, Inc.
............................................................
. 880,250
14,000 Raytheon Co.
............................................................
... 722,750
- ------------------------------------------------------------
- ------------------
- ---------------------------
3,864,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
ENERGY -- 5.0%
5,000 Exxon Corp.
............................................................
.... 434,375
7,000 Mobil Corp.
............................................................
.... 784,875
15,000 Phillips Petroleum Co.
.....................................................
628,125
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,847,375
- ------------------------------------------------------------
- ------------------
- ---------------------------
FINANCIAL SERVICES -- 10.0%
10,000 Beneficial Corp.
...........................................................
561,250
13,000 Greenpoint Financial Corp.
.................................................
367,250
8,000 J.P. Morgan & Co., Inc.
....................................................
677,000
17,000
KeyCorp.....................................................
................
658,750
10,000 Mercury General Corp.
......................................................
437,500
12,000 NationsBank Corp.
..........................................................
991,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
3,693,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
HEALTHCARE -- 7.4%
15,000 Eli Lilly & Co.
............................................................
$ 975,000
20,000 Johnson &
Johnson.....................................................
......
990,000
12,000 Merck & Co., Inc.
..........................................................
775,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,740,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
INDUSTRIAL SERVICES -- 1.8%
10,000 Fluor Corp.
............................................................
.... 653,750
- ------------------------------------------------------------
- ------------------
- ---------------------------
MINERALS -- 1.4%
25,000 Worthington Industries Inc.
................................................
521,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
PROCESS INDUSTRIES -- 8.0%
11,250 A. Schulman, Inc.
..........................................................
275,625
17,000 Bemis, Inc.
............................................................
.... 595,000
18,000 M.A. Hanna Co.
............................................................
. 375,750
35,000 Monsanto Co.
............................................................
... 1,137,500
12,000 Temple-Inland, Inc.
........................................................
561,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,944,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
PRODUCER MANUFACTURER -- 7.7%
15,000 Belden, Inc.
............................................................
... 450,000
15,000 General Electric Co.
.......................................................
1,297,500
6,000 Hubbell, Inc., Class B
Shares...............................................
397,500
10,000 Minnesota Mining & Manufacturing Co.
....................................... 690,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,835,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
RETAIL -- 3.1%
20,000 Circuit City Stores, Inc.
..................................................
722,500
9,000 May Department Stores Co.
..................................................
393,750
1,440 Payless Shoesource, Inc.
(a)................................................
45,720
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,161,970
- ------------------------------------------------------------
- ------------------
- ---------------------------
TECHNOLOGY -- 3.5%
18,000 Automatic Data Processing, Inc.
............................................ 695,250
11,262 Electronic Data Systems
(a).................................................
605,333
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,300,583
- ------------------------------------------------------------
- ------------------
- ---------------------------
TRANSPORTATION -- 5.2%
8,000 Conrail, Inc.
............................................................
.. 531,000
14,000 CSX Corp.
............................................................
......
675,500
10,000 Union Pacific Corp.
........................................................
698,750
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,905,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
UTILITIES -- 4.6%
12,000 Ameritech Corp.
............................................................
$ 712,500
17,000 GTE Corp.
............................................................
......
760,750
5,000 Northern States Power Co.
..................................................
246,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,720,125
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL COMMON STOCKS (Cost --
$22,217,651)...................................
32,130,428
- ------------------------------------------------------------
- ------------------
- ---------------------------
FOREIGN COMMON STOCK -- 2.1%
AUSTRALIA -- 2.1%
56,568 Broken Hill Properties (Cost --
$696,013)................................... 782,296
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONVERTIBLE PREFERRED STOCKS -- 1.4%
ENERGY -- 1.4%
9,000 Unocal Corp., Convertible 7.000% (b) (Cost --
$485,250)..................... 509,625
- ------------------------------------------------------------
- ------------------
- ---------------------------
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
CORPORATE DEBENTURES -- 5.4%
FINANCIAL SERVICES -- 4.0%
$ 500,000 Dean Witter, Discover & Co., 6.875% due
3/1/03.............................. 493,750
1,000,000 General Motors Acceptance Corp., 7.000% due
9/15/02......................... 995,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,488,750
- ------------------------------------------------------------
- ------------------
- ---------------------------
RETAIL -- 1.4%
500,000 Limited Inc., 7.800% due
5/15/02............................................
498,125
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL CORPORATE DEBENTURES (Cost --
$2,056,336)............................. 1,986,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONVERTIBLE NOTE -- 2.6%
MANUFACTURING -- 2.6%
350,000 Thermo Electron Corp., 4.625% due 8/1/97
(Cost --
$483,824)................. 972,125
- ------------------------------------------------------------
- ------------------
- ---------------------------
REPURCHASE AGREEMENT -- 1.6%
600,000 Chase Manhattan Bank, 5.330% due 7/1/96;
Proceeds at maturity -
- - $600,266;
(Fully collateralized by U.S. Treasury Notes,
6.125% due
5/31/97;
Market value -- $612,245) (Cost --
$600,000)................................ 600,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$26,539,074*)............................ $36,981,349
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
(a) Non-income producing security.
(b) Security exempt from registration under rule 144A of
Securities Act of
1933.
This security may be resold in transactions exempt from
registrations,
normally to qualified and institutional buyers.
* Aggregate cost for Federal income tax purposes is
substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
COMMON STOCKS -- 87.2%
BASIC INDUSTRIES -- 4.8%
7,000 Aluminum Co. of
America.....................................................
$ 401,625
19,500 E.I. du Pont De Nemours & Co.
.............................................. 1,542,938
15,000 Hercules, Inc.
............................................................
. 828,750
12,500 Olin Corp.
............................................................
.....
1,115,625
9,100 St. Joe Paper Co.
..........................................................
586,950
8,000 Santa Fe Pacific Gold Co.
..................................................
113,000
13,000 Wellman, Inc.
............................................................
.. 303,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
4,892,763
- ------------------------------------------------------------
- ------------------
- ---------------------------
CAPITAL GOODS -- 9.0%
21,000 Allied Signal, Inc.
........................................................
1,199,625
35,000 AMP, Inc.
............................................................
......
1,404,375
10,000 Boeing Co.
............................................................
.....
871,250
10,000 Browning-Ferris Industries, Inc.
........................................... 290,000
7,000 Emerson Electric Co.
.......................................................
632,625
17,000 General Electric Co.
.......................................................
1,470,500
20,000 Honeywell, Inc.
............................................................
1,090,000
8,000 Kennametal, Inc.
...........................................................
272,000
18,000 Tyco International Ltd.
....................................................
733,500
36,000 WMX Technologies, Inc.
.....................................................
1,179,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
9,142,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONSUMER DURABLES -- 4.3%
12,000 Chrysler Corp.
............................................................
. 744,000
19,000 Echlin, Inc.
............................................................
... 719,625
16,000 General Motors Corp.
.......................................................
838,000
11,000 Goodyear Tire & Rubber Co.
.................................................
530,750
25,500 Newell Co.
............................................................
.....
780,938
24,000 Stanley
Works.......................................................
........
714,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
4,327,313
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONSUMER NON-DURABLES -- 8.0%
2,600 Anheuser-Busch Cos., Inc.
..................................................
195,000
9,500 CPC International, Inc.
....................................................
684,000
20,000 Coca-Cola Co.
............................................................
.. 977,500
25,500 Comcast Corp., Class A
Shares...............................................
471,750
15,000 Gillette Co.
............................................................
... 935,625
6,000 International Flavors & Fragrances, Inc.
................................... 285,750
17,000 J.C. Penny Co.
............................................................
. 892,500
10,000 Mattel, Inc.
............................................................
... 286,250
12,000 Nabisco Holdings Corp.
.....................................................
424,500
17,000 Proctor & Gamble Co.
.......................................................
1,540,625
7,000 Unilever NV, New York
Shares................................................
1,015,875
7,000 W.M. Wrigley Jr. Co.
.......................................................
353,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
8,062,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
CONSUMER SERVICES -- 8.7%
16,000 Gannett Co.
............................................................
.... $ 1,132,000
27,000 McDonald's Corp.
...........................................................
1,262,250
11,000 Meredith Corp.
............................................................
. 459,250
30,000 New York Times Co., Class A
Shares..........................................
978,750
17,500 R.R. Donnelley & Sons Co.
..................................................
610,313
30,000 Savoy Pictures Entertainment, Inc.
(a)...................................... 161,250
12,000 Scandinavian Broadcasting System
(a)........................................ 294,000
6,000 Scholastic Corp.
...........................................................
372,000
15,000 Time Warner, Inc.
..........................................................
588,750
8,500 Tribune Co.
............................................................
.... 617,313
50,000 Wal-Mart Stores, Inc.
......................................................
1,268,750
16,000 Walt Disney Production Co.
.................................................
1,006,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
8,750,626
- ------------------------------------------------------------
- ------------------
- ---------------------------
DIVERSIFIED CONGLOMERATE -- 5.7%
48,000 Eastman Kodak Co.
..........................................................
3,732,000
30,200 Minnesota Mining & Manufacturing Co.
....................................... 2,083,800
- ------------------------------------------------------------
- ------------------
- ---------------------------
5,815,800
- ------------------------------------------------------------
- ------------------
- ---------------------------
ENERGY -- 9.4%
27,800 Amoco Corp.
............................................................
.... 2,012,025
5,000 Amerada Hess Corp.
.........................................................
268,125
5,000 Atlantic Richfield Co.
.....................................................
592,500
14,000 Chevron Corp.
............................................................
.. 826,000
10,000 Enron Corp.
............................................................
.... 408,750
14,000 Horsham Corp.
............................................................
.. 194,250
20,500 Mobil Corp.
............................................................
.... 2,298,563
7,000 Royal Dutch Petroleum
ADR...................................................
1,076,250
23,500 Tenneco, Inc.
............................................................
.. 1,201,438
20,000 Unocal Corp.
............................................................
... 675,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
9,552,901
- ------------------------------------------------------------
- ------------------
- ---------------------------
FINANCIAL SERVICES -- 12.5%
45,000 Allstate Corp.
............................................................
. 2,053,125
32,000 American Express Co.
.......................................................
1,428,000
10,000 American International Group, Inc.
......................................... 986,250
25,520 Chase Manhattan Bank
.......................................................
1,802,350
21,000 Chubb Corp.
............................................................
.... 1,047,375
24,000 Federal National Mortgage
Association.......................................
804,000
5,000 First of America Bank Corp.
................................................
223,750
10,000 First Virginia Banks, Inc.
.................................................
400,000
15,000 Great Western Financial Corp.
.............................................. 358,125
20,000 Household International, Inc.
.............................................. 1,520,000
24,000 Leucadia National Corp.
....................................................
588,000
6,000 Union Planters Corp.
.......................................................
182,250
5,000 Wells Fargo & Co.
..........................................................
1,194,375
- ------------------------------------------------------------
- ------------------
- ---------------------------
12,587,600
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
HEALTHCARE -- 8.6%
26,000 Abbott
Laboratories................................................
......... $
1,131,000
22,000 American Home
Products....................................................
.. 1,322,750
6,000 Amgen Inc.
(a).........................................................
.....
324,000
16,000 Bristol Myers Squibb Co.
...................................................
1,440,000
4,000 Eli Lilly & Co.
............................................................
260,000
32,000 Johnson &
Johnson.....................................................
......
1,584,000
29,000 Merck & Co., Inc.
..........................................................
1,874,125
14,000 Warner Lambert Co.
.........................................................
770,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
8,705,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
TECHNOLOGY -- 8.4%
10,000 Hewlett-Packard Co.
........................................................
996,250
15,000 Intel Corp.
............................................................
.... 1,101,563
13,500 International Business Machines Corp.
...................................... 1,336,500
12,000 Lockheed Martin Corp.
......................................................
1,008,000
3,000 Microsoft Corp.
(a).........................................................
360,375
8,000 Seagate Technology, Inc.
(a)................................................
360,000
9,000 Silicon Graphics, Inc.
(a)..................................................
216,000
24,000 Teradyne, Inc.
(a).........................................................
. 414,000
50,000 Xerox Corp.
............................................................
.... 2,675,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
8,467,688
- ------------------------------------------------------------
- ------------------
- ---------------------------
TELECOMMUNICATION -- 6.0%
41,000 AT&T Corp.
............................................................
.....
2,542,000
10,000 California Microwave, Inc.
(a)..............................................
152,500
21,000 Corning, Inc.
............................................................
.. 805,875
6,500 GTE Corp.
............................................................
......
290,875
20,000 NYNEX Corp.
............................................................
.... 950,000
38,000 Tele-Communications, Inc., Class A Shares
(a)............................... 688,750
15,000 Viacom, Inc., Class B Shares
(a)............................................
583,121
- ------------------------------------------------------------
- ------------------
- ---------------------------
6,013,121
- ------------------------------------------------------------
- ------------------
- ---------------------------
TRANSPORTATION -- 1.8%
13,300 AMR Corp.
(a).........................................................
......
1,210,300
22,000 Union Pacific Corp.
........................................................
588,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,798,800
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL COMMON STOCKS (Cost --
$69,150,450)...................................
88,118,237
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
REPURCHASE AGREEMENT -- 12.8%
$12,935,000 Citibank, 5.396% due 7/1/96; Proceeds at
maturity --
$12,940,816;
(Fully collateralized by U.S. Treasury Note,
6.375% due
5/15/99;
Market value -- $13,195,072) (Cost --
$12,935,000)......................... $ 12,935,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$82,085,450*)........................... $101,053,237
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
(a) Non-income producing security.
* Aggregate cost for Federal income tax purposes is
substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- --------------------------
<S>
<C>
COMMON STOCKS -- 95.4%
BASIC INDUSTRIES/RAW MATERIALS -- 2.6%
2,000 B.F. Goodrich, Inc.
............................................................
$ 74,750
1,000 LSI Industries, Inc.
...........................................................
17,250
2,000 Millipore Corp.
............................................................
.... 83,750
1,000 Mueller Industries, Inc.
(a)....................................................
41,500
1,500 Pentair, Inc.
............................................................
......
45,000
1,000 Potash Saskatchewan Corp., Inc.
................................................
66,250
1,000 Raychem Corp.
............................................................
......
71,875
1,000 UCAR International, Inc.
(a)....................................................
41,625
2,000 U.S. Filter Corp.
(a).........................................................
.. 69,500
- ------------------------------------------------------------
- ------------------
- --------------------------
511,500
- ------------------------------------------------------------
- ------------------
- --------------------------
CAPITAL GOODS/PRODUCTION -- 2.7%
2,000 Danaher Corp.
............................................................
......
87,000
1,500 Greenfield Industries, Inc.
....................................................
49,500
1,500 Precision Castparts Corp.
......................................................
64,500
2,000 Sanifill, Inc.
(a).........................................................
.....
98,500
1,000 Sealed Air Corp.
(a).........................................................
... 33,625
2,000 Thermedics, Inc.
(a).........................................................
... 50,000
500 Thermo Instrument Systems, Inc.
(a).............................................
16,125
4,000 United Waste Systems, Inc.
(a)..................................................
129,000
- ------------------------------------------------------------
- ------------------
- --------------------------
528,250
- ------------------------------------------------------------
- ------------------
- --------------------------
CHEMICALS -- 0.4%
2,000 Praxair, Inc.
............................................................
......
84,500
- ------------------------------------------------------------
- ------------------
- --------------------------
COMMERCIAL SERVICES -- 4.4%
5,500 Accustaff, Inc.
(a).........................................................
.... 149,875
1,500 Corestaff, Inc.
(a).........................................................
.... 67,125
4,000 Corrections Corp. of America
(a)................................................
280,000
4,000 Gartner Group, Inc.
(a).........................................................
146,500
1,500 Ha-Lo Industries, Inc.
(a)......................................................
39,000
1,500 National Data Corp.
............................................................
51,375
2,000 Nu-Kote Holding, Inc.
(a).......................................................
33,250
2,000 Reynolds & Reynolds Co., Class A
Shares.........................................
106,500
- ------------------------------------------------------------
- ------------------
- --------------------------
873,625
- ------------------------------------------------------------
- ------------------
- --------------------------
CONSTRUCTION -- 1.1%
1,500 Beazer Homes USA, Inc.
(a)......................................................
24,000
2,000 Foster Wheeler Corp.
...........................................................
89,750
3,000 Granite Construction, Inc.
.....................................................
69,000
1,000 Lennar Corp.
............................................................
.......
25,000
1,000 Oakwood Homes Corp.
............................................................
20,625
- ------------------------------------------------------------
- ------------------
- --------------------------
228,375
- ------------------------------------------------------------
- ------------------
- --------------------------
CONSUMER DISTRIBUTION -- 7.9%
4,000 Bed, Bath & Beyond, Inc.
(a)....................................................
107,000
3,000 Boise Cascade Office Products Corp.
(a)......................................... 103,875
1,250 Chronimed, Inc.
(a).........................................................
.... 22,969
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- --------------------------
<S>
<C>
CONSUMER DISTRIBUTION -- 7.9% (CONTINUED)
1,000 CompUSA, Inc.
(a).........................................................
...... $
34,125
2,500 Consolidated Stores Corp.
(a)...................................................
91,875
2,800 Corporate Express, Inc.
(a).....................................................
112,000
3,000 Eckerd Corp.
(a).........................................................
.......
67,875
1,000 Garden Ridge Corp.
(a).........................................................
. 50,500
1,500 Gap, Inc.
............................................................
..........
48,188
1,500 Just for Feet, Inc.
(a).........................................................
79,313
2,500 Kroger Co.
(a).........................................................
.........
98,750
2,000 Petco Animal Supplies, Inc.
(a).................................................
57,500
2,000 Richfood Holdings, Inc.
........................................................
65,000
2,000 Ross Stores, Inc.
............................................................
.. 69,500
4,000 Safeway, Inc. (New)
(a).........................................................
132,000
4,000 Staples, Inc.
(a).........................................................
......
78,000
2,000 Sunglass Hut International, Inc.
(a)............................................
48,750
1,000 Tiffany & Co., Inc.
............................................................
73,000
1,000 TJX Cos., Inc.
............................................................
.....
33,750
1,500 U.S. Office Products Co.
(a)....................................................
63,000
1,250 Vons Cos., Inc.
(a).........................................................
.... 46,718
2,000 Viking Office Products Inc.
(a).................................................
62,750
2,000 Zale Corp.
(a).........................................................
.........
33,750
- ------------------------------------------------------------
- ------------------
- --------------------------
1,580,188
- ------------------------------------------------------------
- ------------------
- --------------------------
CONSUMER DURABLES -- 0.8%
4,000 Nautica Enterprises, Inc.
(a)...................................................
115,000
1,000 Snap-On, Inc.
............................................................
......
47,375
- ------------------------------------------------------------
- ------------------
- --------------------------
162,375
- ------------------------------------------------------------
- ------------------
- --------------------------
CONSUMER NON-DURABLES -- 5.6%
1,500 Borders Group, Inc.
(a).........................................................
48,375
1,000 Coca-Cola Enterprises, Inc.
....................................................
34,625
1,500 FILA Holding S.p.A.
ADR.........................................................
129,375
3,000 First Brands Corp.
............................................................
. 81,000
1,500 Gadzooks, Inc.
(a).........................................................
.....
48,375
2,000 Liz Claiborne, Inc.
............................................................
69,250
2,000 Nike, Inc., Class B
Shares......................................................
205,500
1,000 Oakley, Inc.
(a).........................................................
.......
45,500
1,900 Quiksilver, Inc.
(a).........................................................
... 57,000
800 Rexall Sundown, Inc.
(a)........................................................
21,600
2,000 St. John Knits, Inc.
...........................................................
89,250
2,750 Tommy Hilfiger Corp.
(a)........................................................
147,469
1,750 USA Detergents, Inc.
(a)........................................................
69,781
2,000 Wolverine World Wide, Inc.
.....................................................
65,000
- ------------------------------------------------------------
- ------------------
- --------------------------
1,112,100
- ------------------------------------------------------------
- ------------------
- --------------------------
CONSUMER SERVICES -- 4.7%
2,000 Apac Teleservices, Inc.
(a).....................................................
72,000
2,000 Apollo Group, Inc., Class A Shares
(a).......................................... 56,000
1,500 Career Horizons, Inc.
(a).......................................................
52,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- --------------------------
<S>
<C>
CONSUMER SERVICES -- 4.7% (CONTINUED)
1,500 Doubletree Corp.
(a).........................................................
... $ 53,250
3,000 Hospitality Franchise Systems, Inc.
(a)......................................... 210,000
2,000 Meredith Corp.
............................................................
.....
83,500
2,500 Mirage Resorts, Inc.
(a)........................................................
135,000
1,500 Promus Hotel Corp.
(a).........................................................
. 44,438
3,000 Regal Cinemas, Inc.
(a).........................................................
137,250
2,000 Sitel Corp.
(a).........................................................
........
84,000
- ------------------------------------------------------------
- ------------------
- --------------------------
927,938
- ------------------------------------------------------------
- ------------------
- --------------------------
ELECTRONICS -- 1.3%
500 Cable Design Technologies, Inc.
(a).............................................
16,375
1,500 Checkpoint Systems, Inc.
(a)....................................................
51,562
1,000 Harman International Industries, Inc.
.......................................... 49,250
3,000 Kent Electronics Corp.
(a)......................................................
93,750
500 MEMC Electronic Materials, Inc.
................................................
19,375
750 SCI Systems, Inc.
(a).........................................................
.. 30,469
- ------------------------------------------------------------
- ------------------
- --------------------------
260,781
- ------------------------------------------------------------
- ------------------
- --------------------------
ENERGY -- 6.9%
1,000 Baker Hughes, Inc.
............................................................
. 32,875
3,431 BJ Services Co.
(a).........................................................
.... 100,826
1,500 Camco International Corp.
......................................................
50,813
2,000 Chesapeake Energy Corp.
(a).....................................................
179,750
1,000 Diamond Offshore Drilling, Inc.
(a).............................................
57,250
750 Ensco International, Inc.
(a)...................................................
24,375
5,000 Global Marine, Inc.
(a).........................................................
69,375
4,000 Input/Output, Inc.
(a).........................................................
. 129,500
2,000 Marine Drilling Co., Inc.
(a)...................................................
20,250
3,000 Pogo Producing Co.
............................................................
. 114,375
5,000 Pride Petroleum Services, Inc.
(a)..............................................
71,250
1,000 Primark Corp.
............................................................
......
32,625
2,000 Reading & Bates Corp.
New.......................................................
44,250
4,500 Rowan Cos., Inc.
............................................................
... 66,375
3,000 Smith International, Inc.
(a)...................................................
90,375
3,000 Sonat Offshore Drilling, Inc.
..................................................
151,500
2,500 Tidewater, Inc.
............................................................
.... 109,687
500 Williams Cos., Inc.
............................................................
24,750
- ------------------------------------------------------------
- ------------------
- --------------------------
1,370,201
- ------------------------------------------------------------
- ------------------
- --------------------------
FINANCIAL SERVICES -- 6.0%
2,000 Aames Financial Corp.
..........................................................
71,750
2,000 Bank of Boston Corp.
...........................................................
99,000
1,500 Cullen Frost Bankers, Inc.
.....................................................
41,625
2,250 Finova Group, Inc.
............................................................
. 109,687
1,000 First Bank System, Inc.
........................................................
58,000
1,500 Firstar Corp.
............................................................
......
69,187
2,000 Green Tree Financial Corp.
.....................................................
62,500
1,500 Imperial Credit Industries, Inc.
(a)............................................
45,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- --------------------------
<S>
<C>
FINANCIAL SERVICES -- 6.0% (CONTINUED)
2,500 Money Store, Inc.
............................................................
.. $ 55,313
1,500 North Fork Bankcorp.
...........................................................
39,188
1,000 Oxford Resources Corp., Class A Shares
(a)...................................... 23,250
2,400 Penncorp Financial Group, Inc.
.................................................
76,200
1,250 People's Heritage Financial Group, Inc.
........................................ 25,469
1,000 Star Banc Corp.
(a).........................................................
.... 67,375
1,500 Student Loan Marketing Association, Inc.
....................................... 111,000
1,500 SunAmerica, Inc.
............................................................
... 84,750
2,000 TCF Financial Corp.
............................................................
66,500
3,000 Washington Mutual, Inc.
........................................................
89,625
- ------------------------------------------------------------
- ------------------
- --------------------------
1,195,794
- ------------------------------------------------------------
- ------------------
- --------------------------
HEALTHCARE -- 16.9%
750 ABR Information Services, Inc.
.................................................
37,687
1,500 Access Health, Inc.
............................................................
70,875
1,000 Advanced Technology Labs, Inc.
.................................................
36,500
1,000 Biochem Pharmaceuticals, Inc.
(a)...............................................
37,500
400 Clintrials Research, Inc.
(a)...................................................
16,600
350 CN Lunar Corp.
(a).........................................................
.....
12,075
1,000 Coherent, Inc.
(a).........................................................
.....
52,000
1,000 Compdent Corp.
(a).........................................................
.....
46,500
750 Curative Technologies, Inc.
(a).................................................
19,687
2,100 Cycare Systems, Inc.
(a)........................................................
109,463
2,500 Dura Pharmaceuticals, Inc.
(a)..................................................
140,000
750 Elan PLC
ADR.........................................................
...........
42,843
750 Genesis Health Ventures, Inc.
(a)...............................................
23,531
1,000 Genetics Institute, Inc.
(a)....................................................
63,500
3,500 Guidant Corp.
............................................................
......
172,375
1,000 Gulf South Medical Supply, Inc.
(a).............................................
39,000
8,000 HBO & Co.
............................................................
..........
542,000
1,000 Healthcare COMPARE Corp.
(a)....................................................
48,750
4,500 Health Management Associates, Inc., Class A Shares
(a).......................... 91,125
2,750 Health Management Systems, Inc.
(a).............................................
87,313
4,000 Healthsouth Corp.
(a).........................................................
.. 144,000
1,500 Hologic, Inc.
(a).........................................................
......
66,375
2,000 HPR, Inc.
(a).........................................................
..........
42,500
1,500 Invacare Corp.
............................................................
.....
35,250
1,500 Jones Medical Industries, Inc.
.................................................
49,875
1,500 Liposome, Inc.
(a).........................................................
.....
28,125
1,500 Medaphis Corp.
(a).........................................................
.....
59,625
1,500 Medpartners/Mullikin, Inc.
(a)..................................................
31,313
3,000 Mentor Corp.
............................................................
.......
76,500
4,000 Minimed, Inc.
(a).........................................................
......
119,000
6,000 Omnicare Group, Inc.
...........................................................
159,000
1,000 Orthodontic Centers of America, Inc.
(a)........................................ 26,500
1,000 Parexel International Corp.
(a).................................................
48,250
1,500 PhyCor, Inc.
(a).........................................................
.......
57,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- --------------------------
<S>
<C>
HEALTHCARE -- 16.9% (CONTINUED)
3,000 Physician Reliance Network, Inc.
(a)............................................ $
66,750
3,000 Physician Sales & Service, Inc.
(a).............................................
72,750
750 Quintiles Transnational Corp.
(a)...............................................
49,313
4,000 Renal Treatment Centers, Inc.
(a)...............................................
115,000
1,500 Spine Tech, Inc.
(a).........................................................
... 43,500
1,500 Target Therapeutics, Inc.
(a)...................................................
61,500
1,500 Tenet Healthcare Corp.
.........................................................
32,063
1,500 Total Renal Care Holdings, Inc.
(a).............................................
63,375
1,000 United Dental Care, Inc.
(a)....................................................
42,250
3,000 Universal Health Services, Inc., Class B Shares
(a)............................. 78,375
2,000 Veterinary Centers of America, Inc.
(a)......................................... 44,750
1,900 Watson Pharmaceuticals, Inc.
(a)................................................
71,962
- ------------------------------------------------------------
- ------------------
- --------------------------
3,374,225
- ------------------------------------------------------------
- ------------------
- --------------------------
INSURANCE -- 2.5%
1,000 American Bankers Insurance Group, Inc.
......................................... 43,625
4,000 American Travelers Corp.
(a)....................................................
92,000
1,500 CMAC Investment Corp.
..........................................................
86,250
1,000 Conseco, Inc.
............................................................
......
40,000
2,000 Exel Ltd.
............................................................
..........
141,000
1,500 Old Republic International Corp.
...............................................
32,250
1,000 TIG Holdings, Inc.
............................................................
. 29,000
1,000 Vesta Insurance Group, Inc.
....................................................
33,375
- ------------------------------------------------------------
- ------------------
- --------------------------
497,500
- ------------------------------------------------------------
- ------------------
- --------------------------
MEDIA -- 2.8%
2,300 Clear Channel Communications, Inc.
(a).......................................... 189,462
2,000 Evergreen Media Corp.
(a).......................................................
85,500
4,125 Infinity Broadcasting Co., Class A Shares
(a)................................... 123,750
1,500 Interpublic Group Cos., Inc.
...................................................
70,313
1,000 National Media Corp.
(a)........................................................
17,625
1,500 Omnicom Group, Inc.
............................................................
69,750
- ------------------------------------------------------------
- ------------------
- --------------------------
556,400
- ------------------------------------------------------------
- ------------------
- --------------------------
RESTAURANTS -- 0.5%
2,000 Boston Market, Inc.
(a).........................................................
65,000
1,000 Outback Steakhouse, Inc.
(a)....................................................
34,484
- ------------------------------------------------------------
- ------------------
- --------------------------
99,484
- ------------------------------------------------------------
- ------------------
- --------------------------
TECHNOLOGY -- 24.5%
1,000 Adaptec, Inc.
(a).........................................................
......
47,375
750 Anchor Gaming
(a).........................................................
......
45,188
1,500 Applix, Inc.
(a).........................................................
.......
43,125
8,000 Ascend Communications, Inc.
(a).................................................
450,000
2,000 Aspect Telecommunications Corp.
(a).............................................
99,000
2,000 Aspen Technologies, Inc.
(a)....................................................
110,000
1,500 Astea International, Inc.
(a)...................................................
36,375
1,000 Atmel Corp.
(a).........................................................
........
30,125
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- --------------------------
<S>
<C>
TECHNOLOGY -- 24.5% (CONTINUED)
2,000 Auspex Systems, Inc.
(a)........................................................
$ 30,000
1,500 BMC Industries, Inc.
...........................................................
43,125
1,300 BMC Software, Inc.
(a).........................................................
. 77,675
6,750 Cadence Design Systems, Inc.
(a)................................................
227,812
3,000 Cambridge Technology Partners, Inc.
(a)......................................... 91,500
4,500 Cascade Communications Corp.
(a)................................................
306,000
400 CBT Group Ltd. Sponsored ADR
(a)................................................
18,500
3,500 Cisco Systems, Inc.
(a).........................................................
198,187
1,000 Citrix Systems, Inc.
(a)........................................................
38,000
1,000 Concord EFS, Inc.
(a).........................................................
.. 35,500
3,000 DSP Communications Inc.
(a).....................................................
154,125
2,000 ECI Telecomm Ltd.
............................................................
.. 46,500
1,000 GT Interactive Software Corp.
(a)...............................................
16,750
1,000 IDX Systems Corp.
(a).........................................................
.. 39,000
1,000 Inso Corp.
(a).........................................................
.........
52,375
2,000 Integrated Systems, Inc.
.......................................................
80,125
5,250 McAfee Associates, Inc.
(a).....................................................
257,250
1,000 Medic Computer Systems, Inc.
(a)................................................
81,125
2,500 Mylex Corp.
(a).........................................................
........
44,375
3,000 Network General Corp.
(a).......................................................
64,500
1,500 Newbridge Networks Corp.
(a)....................................................
98,250
2,250 Oracle Systems Corp.
(a)........................................................
88,734
5,500 Pairgain Technologies, Inc.
(a).................................................
341,000
3,000 Parametric Technology Corp.
(a).................................................
130,125
2,250 Paychex, Inc.
............................................................
......
108,281
2,000 Peoplesoft, Inc.
(a).........................................................
... 142,500
1,500 Picturetel Corp.
(a).........................................................
... 59,062
1,000 Project Software & Development Corp.
(a)........................................ 46,875
1,500 Proxim, Inc.
(a).........................................................
.......
60,375
500 Remedy Corp.
(a).........................................................
.......
36,500
1,500 Security Dynamics Tech I Corp.
(a)..............................................
123,375
1,500 Shiva Corp.
(a).........................................................
........
120,000
1,500 Structural Dynamics Research, Inc.
(a).......................................... 33,000
2,000 Sunguard Data Systems, Inc.
(a).................................................
80,250
3,500 Sun MicroSystems, Inc.
(a)......................................................
206,063
1,500 Transition Systems, Inc.
(a)....................................................
42,750
4,000 U.S. Robotics Corp.
(a).........................................................
342,000
1,000 Viasoft, Inc.
(a).........................................................
......
64,625
- ------------------------------------------------------------
- ------------------
- --------------------------
4,887,377
- ------------------------------------------------------------
- ------------------
- --------------------------
TRANSPORTATION -- 1.5%
1,500 America West Airlines, Class B Shares
(a)....................................... 33,000
1,500 Comair Holdings, Inc.
..........................................................
40,500
500 Conrail, Inc.
............................................................
......
33,188
2,500 Continental Airlines Corp., Class B Shares
(a).................................. 154,375
1,000 Fritz Co.
(a).........................................................
..........
32,250
- ------------------------------------------------------------
- ------------------
- --------------------------
293,313
- ------------------------------------------------------------
- ------------------
- --------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- --------------------------
<S>
<C>
UTILITIES -- 2.3%
1,000 ACC Corp.
............................................................
.......... $
48,625
500 Cellular Communications, Inc., Class A Shares
(a)............................... 26,563
2,500 Cincinnati Bell, Inc.
..........................................................
130,312
3,000 Frontier Corp.
............................................................
.....
91,875
4,000 LCI International, Inc.
(a).....................................................
125,500
1,000 Lucent Technologies, Inc.
......................................................
37,875
- ------------------------------------------------------------
- ------------------
- --------------------------
460,750
- ------------------------------------------------------------
- ------------------
- --------------------------
TOTAL COMMON STOCKS (Cost --
$12,909,593).......................................
19,004,676
- ------------------------------------------------------------
- ------------------
- --------------------------
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- --------------------------
<S>
<C>
U.S. GOVERNMENT OBLIGATIONS -- 4.6%
U.S. Treasury Bills:
$160,000 4.500% due 7/11/96
(b)........................................................
159,801
160,000 4.780% due 7/25/96
(b)........................................................
159,490
100,000 4.940% due 7/25/96
(b)........................................................
99,128
510,000 4.750% due 8/1/96
(b).........................................................
507,914
- ------------------------------------------------------------
- ------------------
- --------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost --
$926,875)............................ 926,333
- ------------------------------------------------------------
- ------------------
- --------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$13,836,468*)................................ $19,931,009
- ------------------------------------------------------------
- ------------------
- --------------------------
</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.
51
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
COMMON STOCKS -- 70.9%
BROADCAST -- 3.0%
94,000 Viacom Inc.
(a).........................................................
... $ 3,654,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
CHEMICALS -- 2.2%
61,000 Betz Laboratories Inc.
....................................................
2,676,375
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONSUMER CYCLICALS -- 4.5%
42,000 Eastman Kodak Co.
.........................................................
3,265,500
50,000 Weyerhauser Co.
...........................................................
2,125,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
5,390,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
ENERGY -- 11.2%
32,000 Amoco Corp.
(a).........................................................
... 2,316,000
16,000 Atlantic Richfield Co.
(a).................................................
1,896,000
80,000 Coastal Corp.
............................................................
. 3,340,000
95,900 Crown Central Petroleum
(a)................................................
1,474,463
150,000 Oryx Energy Co.
(a)........................................................
2,437,500
50,000 Phillips Petroleum Co.
....................................................
2,093,750
- ------------------------------------------------------------
- ------------------
- ---------------------------
13,557,713
- ------------------------------------------------------------
- ------------------
- ---------------------------
FINANCIAL SERVICES -- 10.9%
70,000 Bank of New
York........................................................
... 3,587,500
41,000
Citicorp....................................................
...............
3,387,625
150,000 Great Western Financial Corp.
............................................. 3,581,250
80,000 H&R Block Inc.
............................................................
2,610,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
13,166,375
- ------------------------------------------------------------
- ------------------
- ---------------------------
HEALTHCARE -- 6.6%
21,000 Bristol Myers Squibb Co.
..................................................
1,890,000
55,000 U.S. Healthcare Inc.
......................................................
3,025,000
130,000 Value Health Inc.
(a)......................................................
3,071,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
7,986,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
INSURANCE -- 2.9%
30,000 Cigna Corp.
............................................................
... 3,536,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
IRON/STEEL -- 2.3%
200,000 Oregon Steel Mills Inc.
...................................................
2,750,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
MINING -- 2.3%
159,000 Homestake Mining Co.
(a)...................................................
2,722,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
REAL ESTATE -- 11.9%
200,000 Irvine Apartment Communities Inc.
......................................... 4,025,000
150,000 Simon Property Group Inc.
.................................................
3,675,000
106,000 Spieker Properties Inc.
...................................................
2,888,500
130,000 Tri-Net Corporate Realty Trust Inc.
....................................... 3,770,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
14,358,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
RETAIL -- 4.6%
53,000 Sears Roebuck & Co.
....................................................... $
2,577,125
106,000 Toys 'R' Us Inc.
(a).......................................................
3,021,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
5,598,125
- ------------------------------------------------------------
- ------------------
- ---------------------------
TELECOMMUNICATIONS -- 8.5%
143,000 Comsat Corp.
............................................................
.. 3,718,000
75,000 GTE Corp.
............................................................
.....
3,356,250
180,000 Tele-Communications, Inc.
(a)..............................................
3,262,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
10,336,750
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL COMMON STOCKS (Cost --
$77,717,248)..................................
85,733,963
- ------------------------------------------------------------
- ------------------
- ---------------------------
CONVERTIBLE PREFERRED STOCKS -- 13.0%
32,000 Catellus Development Corp., Series B,
Exchangeable
7.500%.................. 1,768,000
53,000 Delta Air Lines Inc., Depository Shares,
Series
C.......................... 3,339,000
65,000 K Mart Financing, Exchangeable
7.750%...................................... 3,526,250
60,000 Noram Financing, Exchangeable
6.250%....................................... 3,255,000
64,000 Rouse Co., Series A, Exchangeable
6.500%................................... 3,888,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost --
$13,953,253)................... 15,776,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
OPTIONS -- 0.0%
55,000 U.S. Healthcare Inc., Put @ 47, Expires
7/19/96 (Cost --
$49,225).......... 13,750
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL COMMON STOCKS, CONVERTIBLE PREFERRED
STOCKS AND OPTIONS
(Cost --
$91,719,726)................................................
......
101,523,963
- ------------------------------------------------------------
- ------------------
- ---------------------------
<CAPTION>
FACE
AMOUNT SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
REPURCHASE AGREEMENT -- 16.1%
$19,501,000 Citibank, 5.396% due 7/1/96; Proceeds at
maturity --
$19,509,769;
(Fully collateralized by U.S. Treasury Notes,
6.375% due
5/15/99;
Market value -- $19,893,089) (Cost --
$19,501,000)......................... 19,501,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$111,220,726*).......................... $121,024,963
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
(a) Non-income producing security.
* Aggregate cost for Federal income tax purposes is
substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
53
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
STOCKS -- 100.0%
ARGENTINA -- 1.2%
12,500 Quilmes Industrial
ADR........................................................
$ 128,125
25,000 Quilmes Industrial S.A.
......................................................
256,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
384,375
- ------------------------------------------------------------
- ------------------
- ---------------------------
AUSTRALIA -- 2.2%
66,154 Coca Cola Amatil Ltd.
........................................................
735,744
- ------------------------------------------------------------
- ------------------
- ---------------------------
AUSTRIA -- 3.7%
5,500 Baumax AG
Preferred...................................................
........
175,073
2,200 VAE Eisenbahnsysteme
AG.......................................................
207,417
2,000 VA Technologie
AG..........................................................
... 244,943
2,500 Wolford
AG..........................................................
..........
611,424
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,238,857
- ------------------------------------------------------------
- ------------------
- ---------------------------
BELGIUM -- 3.4%
7,000 Barco N.V.(a)
............................................................
.... 1,121,609
- ------------------------------------------------------------
- ------------------
- ---------------------------
CHILE -- 1.7%
15,000 Embotelladora Andina S.A.
ADR.................................................
551,250
- ------------------------------------------------------------
- ------------------
- ---------------------------
DENMARK -- 1.3%
25,000 Scandinavian Mobility International AS
(a).................................... 426,860
- ------------------------------------------------------------
- ------------------
- ---------------------------
FINLAND -- 1.5%
14,000 Nokia OY AB, Class A
Shares...................................................
515,770
- ------------------------------------------------------------
- ------------------
- ---------------------------
FRANCE -- 4.2%
800 Carrefour
Supermarche.................................................
........
448,148
2,248 Castorama Dubois
Investisse..................................................
. 442,841
2,000 Ecco S.A.
............................................................
........
503,079
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,394,068
- ------------------------------------------------------------
- ------------------
- ---------------------------
GERMANY -- 5.3%
15,000 SGL Carbon
AG..........................................................
.......
1,763,894
- ------------------------------------------------------------
- ------------------
- ---------------------------
HONG KONG -- 6.6%
50,000 Guoco Group Ltd.
............................................................
. 238,347
240,000 Hong Kong & China Gas Co. Ltd.
...............................................
382,906
20,000 Hong Kong & China Gas Warrants, Expire 9/30/97
(a)............................ 5,232
30,000 HSBC Holdings
PLC.........................................................
.... 453,441
100,000 Hutchinson Whampoa Ltd.
......................................................
629,134
50,000 Sun Hung Kai Properties Ltd.
.................................................
505,439
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,214,499
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
IRELAND -- 7.2%
61,544 Bank of
Ireland.....................................................
.......... $
418,833
40,736 CRH
PLC.........................................................
..............
409,976
113,638 Greencore Group
PLC.........................................................
.. 597,254
166,666 Independent Newspapers
PLC....................................................
772,123
25,281 Irish Continental Group
PLC...................................................
230,202
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,428,388
- ------------------------------------------------------------
- ------------------
- ---------------------------
ISRAEL -- 1.3%
20,000 Gilat Satellite Networks Ltd.
(a).............................................
440,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
ITALY -- 7.1%
30,000 De Rigo S.p.A. ADR
(a)........................................................
686,250
10,000 Industrie Natuzzi S.p.A.
ADR..................................................
512,500
7,000 Luxottica Group S.p.A.
ADR....................................................
513,625
300,000 Telecom Italia Mobile S.p.A.
.................................................
672,016
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,384,391
- ------------------------------------------------------------
- ------------------
- ---------------------------
JAPAN -- 8.4%
15,000 Canon, Inc.
............................................................
......
311,802
660 Doutor Coffee Co. Ltd.
.......................................................
30,688
40,000 Hitachi Ltd.
............................................................
.....
371,974
44,000 Itochu Corp.
............................................................
.....
307,280
28,000 Kajima Corp.
............................................................
.....
288,462
16,000 Matsushita Electric Industries Co. Ltd.
...................................... 297,579
42,000 Mitsubishi Heavy Industries Ltd.
............................................. 364,918
66 Mr. Max Corp.
............................................................
.... 1,203
6,600 Ohmoto Gumi Co. Ltd.
.........................................................
133,583
3,000 Shohkoh Fund & Co. Ltd.
......................................................
629,074
4,000 Yagi
Antenna.....................................................
.............
77,312
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,813,875
- ------------------------------------------------------------
- ------------------
- ---------------------------
MALAYSIA -- 3.1%
125,000 Renong
Berhad......................................................
...........
199,375
25,000 Renong Berhad-4% ICUL 2001
(a)................................................
9,418
15,625 Renong Berhad Warrants, Expire 11/21/00
(a)................................... 7,076
12,500 Sungei Way Holdings Berhad Warrants, Expire
6/29/99
(a)....................... 26,049
112,000 Sungei Way Holdings
Berhad....................................................
525,147
30,000 Telekom Malaysia
Berhad......................................................
. 266,902
- ------------------------------------------------------------
- ------------------
- ---------------------------
1,033,967
- ------------------------------------------------------------
- ------------------
- ---------------------------
MEXICO -- 2.0%
53,550 Gruma S.A.
(a).........................................................
.......
247,969
24,000 Kimberly Clark S.A., Series
A.................................................
436,939
- ------------------------------------------------------------
- ------------------
- ---------------------------
684,908
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
NETHERLANDS -- 8.9%
60,568 Getronics N.V.
............................................................
... $ 1,341,225
3,125 Heineken N.V.
............................................................
.... 698,228
10,000 IHC Caland N.V.
............................................................
.. 492,091
4,000 Wolters Kluwer N.V.
..........................................................
454,364
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,985,908
- ------------------------------------------------------------
- ------------------
- ---------------------------
NORWAY -- 1.9%
40,000 Tomra Systems
AS..........................................................
.... 406,366
40,125 Visual Management
Application.................................................
216,171
- ------------------------------------------------------------
- ------------------
- ---------------------------
622,537
- ------------------------------------------------------------
- ------------------
- ---------------------------
PANAMA -- 1.3%
10,000 Panamerican Beverages, Inc.
A.................................................
447,500
- ------------------------------------------------------------
- ------------------
- ---------------------------
PHILIPPINES -- 0.9%
1,200,000 SM Prime Holdings Inc.
.......................................................
311,450
- ------------------------------------------------------------
- ------------------
- ---------------------------
SINGAPORE -- 7.1%
70,000 Cerebos Pacific Ltd.
.........................................................
629,826
100,000 DBS Land Ltd.
............................................................
.... 342,898
18,000 Fraser & Neave Ltd.
..........................................................
186,185
500,000 QAF Ltd.
............................................................
.........
673,043
35,000 Sembawang Maritime Ltd.
......................................................
94,722
100,000 Van Der Horst Ltd.
...........................................................
467,588
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,394,262
- ------------------------------------------------------------
- ------------------
- ---------------------------
SOUTH AFRICA -- 0.9%
30,000 Barlow
Limited.....................................................
...........
313,474
- ------------------------------------------------------------
- ------------------
- ---------------------------
SWEDEN -- 8.0%
8,000 Astra AB, Series
A...........................................................
. 353,241
2,000 Astra AB, Series
B...........................................................
. 87,105
30,000 Autoliv AB
Free........................................................
.......
913,242
30,800 Ericsson Tel AB LM, Series B
Free.............................................
663,743
35,000 Nobel Biocare AB
(a).........................................................
. 648,764
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,666,095
- ------------------------------------------------------------
- ------------------
- ---------------------------
SWITZERLAND -- 1.7%
500 Sandoz
AG..........................................................
...........
571,623
- ------------------------------------------------------------
- ------------------
- ---------------------------
TAIWAN -- 0.2%
5,000 Formosa Growth Fund Ltd., Series 1
(a)........................................ 70,000
- ------------------------------------------------------------
- ------------------
- ---------------------------
THAILAND -- 2.1%
90,000 Krung Thai Bank Public Co Ltd.
...............................................
411,024
60,000 Siam Makro Public Co. Ltd.
...................................................
307,087
- ------------------------------------------------------------
- ------------------
- ---------------------------
718,111
- ------------------------------------------------------------
- ------------------
- ---------------------------
UNITED KINGDOM -- 6.8%
40,589 BAA
PLC.........................................................
..............
295,156
20,000 British Biotech PLC
(a).......................................................
762,298
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30,
1996
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY
VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
UNITED KINGDOM -- 6.8% (CONTINUED)
33,333 Independent New
Rights......................................................
.. $ 7,769
30,174 MISYS
PLC.........................................................
............
364,762
6,000 Reuters Holdings PLC
ADR......................................................
435,000
50,000 Serco Group
PLC.........................................................
......
423,413
- ------------------------------------------------------------
- ------------------
- ---------------------------
2,288,398
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$25,790,639*).............................. $33,521,813
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
(a) Non-income producing security.
* Aggregate cost for Federal income tax purposes is
substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
57
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30,
1996
<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................ $5,846,315
$14,904,361
$58,205,157 $43,383,244 $12,344,382 $26,539,074
Repurchase agreements -- Cost...... --
- --
- -- -- -- --
Foreign currency -- Cost........... --
- --
449,263 -- -- --
- ------------------------------------------------------------
- ------------------
- -----------------------------------------------
Investments, at value.............. $5,846,315
$14,667,862
$59,203,790 $48,646,240 $17,079,382 $36,981,349
Repurchase agreements.............. --
- --
- -- -- -- --
Foreign currency, at value......... --
- --
451,660 -- -- --
Cash............................... 414
976
574 670 987 325
Receivable for securities sold..... --
- --
534,890 456,391 -- --
Dividends and interest
receivable....................... 39
304,651
1,053,010 346,464 24,708 114,592
Receivable for open forward foreign
currency contracts............... --
- --
5 -- -- --
Receivable from broker............. --
- --
- -- -- 5,625 --
Deferred organization costs (Note
10).............................. 8,937
- --
- -- -- -- --
Other assets....................... 38,589
- --
- -- -- -- --
- ------------------------------------------------------------
- ------------------
- -----------------------------------------------
TOTAL ASSETS....................... 5,894,294
14,973,489
61,243,929 49,449,765 17,110,702 37,096,266
- ------------------------------------------------------------
- ------------------
- -----------------------------------------------
LIABILITIES:
Investment advisory fees payable... 30,260
10,320
21,763 17,576 42,162 13,898
Administration fees payable........ 12,969
5,160
9,672 7,811 32,509 5,956
Payable for securities purchased... --
- --
2,086,927 686,875 -- --
Dividends payable.................. 10,603
- --
414 -- -- --
Payable for options written........ --
- --
- -- -- -- --
Payable for open forward foreign
currency contracts............... --
- --
15,590 -- -- --
Accrued expenses................... --
7,199
81,523 124,317 12,887 31,079
- ------------------------------------------------------------
- ------------------
- -----------------------------------------------
TOTAL LIABILITIES.................. 53,832
22,679
2,215,889 836,579 87,558 50,933
- ------------------------------------------------------------
- ------------------
- -----------------------------------------------
TOTAL NET ASSETS..................... $5,840,462
$14,950,810
$59,028,040 $48,613,186 $17,023,144 $37,045,333
- ------------------------------------------------------------
- ------------------
- -----------------------------------------------
NET ASSETS:
Par value of shares of beneficial
interest......................... $ 5,840 $
1,450 $
5,719 $ 3,895 $ 998 $ 2,459
Capital paid in excess of par
value............................ 5,834,622
14,934,874
56,243,037 43,211,582 11,415,794 25,708,223
Undistributed (overdistributed) net
investment income................ --
600,672
3,090,700 1,355,414 340,095 331,878
Accumulated net realized gain
(loss) on security transactions,
futures contracts and options.... --
(349,687)
(1,297,109) (1,220,701) 534,463 560,498
Net unrealized appreciation
(depreciation) of investments,
futures contracts, options and
foreign currencies............... --
(236,499)
985,693 5,262,996 4,731,794 10,442,275
- ------------------------------------------------------------
- ------------------
- -----------------------------------------------
TOTAL NET ASSETS..................... $5,840,462
$14,950,810
$59,028,040 $48,613,186 $17,023,144 $37,045,333
- ------------------------------------------------------------
- ------------------
- -----------------------------------------------
SHARES OUTSTANDING................... 5,840,462
1,450,135
5,719,095 3,894,600 997,504 2,458,750
- ------------------------------------------------------------
- ------------------
- -----------------------------------------------
NET ASSET VALUE, PER SHARE........... $1.00
$10.31
$10.32 $12.48 $17.07 $15.07
- ------------------------------------------------------------
- ------------------
- -----------------------------------------------
<CAPTION>
EMERGING TOTAL
INTERNATIONAL
APPRECIATION
GROWTH
RETURN EQUITY
PORTFOLIO
PORTFOLIO
PORTFOLIO PORTFOLIO
- ------------------------------------------------------------
- ------------------
- ---------------------
<S> <C> <C>
<C>
<C>
ASSETS:
Investments -- Cost................ $ 69,150,450
$13,836,468 $
91,719,726 $ 25,790,639
Repurchase agreements -- Cost...... 12,935,000
- --
19,501,000 --
Foreign currency -- Cost........... --
- --
- -- 443,670
- ------------------------------------------------------------
- ------------------
- ---------------------
Investments, at value.............. $ 88,118,237
$19,931,009
$101,523,963 $ 33,521,813
Repurchase agreements.............. 12,935,000
- --
19,501,000 --
Foreign currency, at value......... --
- --
- -- 443,620
Cash............................... 788
40,428
741 581,491
Receivable for securities sold..... 143,515
61,379
2,512,500 --
Dividends and interest
receivable....................... 121,486
4,358
303,619 80,239
Receivable for open forward foreign
currency contracts............... --
- --
- -- --
Receivable from broker............. --
- --
- -- --
Deferred organization costs (Note
10).............................. --
6,280
7,761 9,386
Other assets....................... --
- --
- -- --
- ------------------------------------------------------------
- ------------------
- ---------------------
TOTAL ASSETS....................... 101,319,026
20,043,454
123,849,584 34,636,549
- ------------------------------------------------------------
- ------------------
- ---------------------
LIABILITIES:
Investment advisory fees payable... 45,457
37,861
53,419 23,590
Administration fees payable........ 16,230
10,920
19,425 5,551
Payable for securities purchased... 1,226,572
23,044
2,500,000 521,367
Dividends payable.................. --
- --
- -- --
Payable for options written........ --
- --
152,750 --
Payable for open forward foreign
currency contracts............... --
- --
- -- 87
Accrued expenses................... 218,273
18,375
62,056 71,589
- ------------------------------------------------------------
- ------------------
- ---------------------
TOTAL LIABILITIES.................. 1,506,532
90,200
2,787,650 622,184
- ------------------------------------------------------------
- ------------------
- ---------------------
TOTAL NET ASSETS..................... $ 99,812,494
$19,953,254
$121,061,934 $ 34,014,365
- ------------------------------------------------------------
- ------------------
- ---------------------
NET ASSETS:
Par value of shares of beneficial
interest......................... $ 6,395 $
1,231 $
8,468 $ 2,968
Capital paid in excess of par
value............................ 66,642,077
12,410,130
103,413,615 29,105,182
Undistributed (overdistributed) net
investment income................ 2,214,506
(53,218)
3,025,568 29,029
Accumulated net realized gain
(loss) on security transactions,
futures contracts and options.... 11,981,729
1,500,570
4,739,648 (2,851,415)
Net unrealized appreciation
(depreciation) of investments,
futures contracts, options and
foreign currencies............... 18,967,787
6,094,541
9,874,635 7,728,601
- ------------------------------------------------------------
- ------------------
- ---------------------
TOTAL NET ASSETS..................... $ 99,812,494
$19,953,254
$121,061,934 $ 34,014,365
- ------------------------------------------------------------
- ------------------
- ---------------------
SHARES OUTSTANDING................... 6,394,596
1,230,725
8,467,853 2,967,873
- ------------------------------------------------------------
- ------------------
- ---------------------
NET ASSET VALUE, PER SHARE........... $15.61
$16.21
$14.30 $11.46
- ------------------------------------------------------------
- ------------------
- ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS
ENDED JUNE 30,
1996
<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.................................... $163,313
$ 561,550
$2,203,958 $ 407,424 $ 28,679 $ 362,958
Dividends................................... --
- --
97,605 897,313 170,966 97,943
Less: Foreign withholding tax............... --
- --
(4,092) (952) (1,360) (1,403)
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
TOTAL INVESTMENT INCOME..................... 163,313
561,550
2,297,471 1,303,785 198,285 459,498
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
EXPENSES:
Investment advisory fees (Note 3)........... 9,020
30,960
133,263 110,940 32,588 81,677
Administration fees (Note 3)................ 6,014
15,480
59,227 49,307 16,294 36,301
Shareholder and system servicing fees....... 4,000
2,431
3,736 6,000 6,000 5,966
Audit and legal............................. 7,500
7,393
9,138 9,000 8,000 9,476
Shareholder communications.................. 4,000
6,809
6,495 5,000 7,500 5,966
Custody..................................... 2,937
525
31,610 1,500 13,500 7,740
Trustees' fees.............................. 700
1,508
4,310 1,500 1,800 1,740
Amortization of deferred organization
costs..................................... 2,913
2,890
3,090 3,090 2,954 2,965
Pricing service fees........................ --
2,100
1,436 1,500 -- 200
Registration fees........................... --
- --
2,874 -- -- --
Other....................................... 500
500
11,093 34,825 739 28,310
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
TOTAL EXPENSES.............................. 37,584
70,596
266,272 222,662 89,375 180,341
Less: Investment advisory and administration
fee waiver (Note 3)................... (15,032)
(4,037)
- -- -- -- --
Custody earnings credit (Note 1)....... --
- --
- -- -- -- --
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
NET EXPENSES................................ 22,552
66,559
266,272 222,662 89,375 180,341
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
NET INVESTMENT INCOME (LOSS).................. 140,761
494,991
2,031,199 1,081,123 108,910 279,157
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FUTURES CONTRACTS, OPTIONS AND
FOREIGN CURRENCIES (NOTES 4, 5, 6 AND 7):
Realized Gain (Loss) From:
Security transactions (excluding
short-term securities).................. --
(62,063)
311,392 866,643 84,419 562,063
Futures contracts......................... --
- --
- -- -- 73,340 --
Options written........................... --
- --
- -- -- -- --
Foreign currency transactions............. --
- --
267,560 -- -- --
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
NET REALIZED GAIN (LOSS).................... --
(62,063)
578,952 866,643 157,759 562,063
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
Change in Net Unrealized Appreciation
(Depreciation) of Investments, Futures
Contracts, Options and Foreign Currencies:
Beginning of period....................... --
636,929
1,763,361 6,772,257 3,530,713 7,922,235
End of period............................. --
(236,499)
985,693 5,262,996 4,731,794 10,442,275
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
INCREASE (DECREASE) IN NET UNREALIZED
APPRECIATION.............................. --
(873,428)
(777,668) (1,509,261) 1,201,081 2,520,040
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS, OPTIONS AND FOREIGN CURRENCIES... --
(935,491)
(198,716) (642,618) 1,358,840 3,082,103
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS.................................. $140,761
$(440,500)
$1,832,483 $ 438,505 $1,467,750 $3,361,260
- ------------------------------------------------------------
- ------------------
- --------------------------------------------------
<CAPTION>
EMERGING
TOTAL INTERNATIONAL
APPRECIATION
GROWTH
RETURN EQUITY
PORTFOLIO
PORTFOLIO
PORTFOLIO PORTFOLIO
- ------------------------------------------------------------
- ------------------
- -------------------------------
<S> <C>
<C>
<C> <C>
INVESTMENT INCOME:
Interest.................................... $ 263,368
$ 22,029
$ 565,685 $ 18,602
Dividends................................... 929,193
38,155
1,298,546 258,486
Less: Foreign withholding tax............... (8,248)
(356)
- -- (25,709)
- ------------------------------------------------------------
- ------------------
- -------------------------------
TOTAL INVESTMENT INCOME..................... 1,184,313
59,828
1,864,231 251,379
- ------------------------------------------------------------
- ------------------
- -------------------------------
EXPENSES:
Investment advisory fees (Note 3)........... 267,665
69,811
276,133 136,368
Administration fees (Note 3)................ 97,333
18,616
100,286 32,087
Shareholder and system servicing fees....... 6,000
5,469
6,215 2,727
Audit and legal............................. 9,000
8,557
8,205 6,336
Shareholder communications.................. 6,000
7,072
7,500 4,196
Custody..................................... 3,000
8,951
2,983 24,120
Trustees' fees.............................. 2,000
1,642
5,967 1,972
Amortization of deferred organization
costs..................................... 3,533
1,249
1,618 1,608
Pricing service fees........................ --
- --
- -- 2,937
Registration fees........................... --
- --
11,139 420
Other....................................... 32,434
- --
11,576 1,749
- ------------------------------------------------------------
- ------------------
- -------------------------------
TOTAL EXPENSES.............................. 426,965
121,367
431,622 214,520
Less: Investment advisory and administration
fee waiver (Note 3)................... --
(8,321)
- -- --
Custody earnings credit (Note 1)....... --
- --
- -- (5,239)
- ------------------------------------------------------------
- ------------------
- -------------------------------
NET EXPENSES................................ 426,965
113,046
431,622 209,281
- ------------------------------------------------------------
- ------------------
- -------------------------------
NET INVESTMENT INCOME (LOSS).................. 757,348
(53,218)
1,432,609 42,098
- ------------------------------------------------------------
- ------------------
- -------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FUTURES CONTRACTS, OPTIONS AND
FOREIGN CURRENCIES (NOTES 4, 5, 6 AND 7):
Realized Gain (Loss) From:
Security transactions (excluding
short-term securities).................. 5,233,148
1,054,757
3,792,901 (335,796)
Futures contracts......................... --
- --
- -- --
Options written........................... --
- --
(31,299) --
Foreign currency transactions............. --
- --
- -- (2,052)
- ------------------------------------------------------------
- ------------------
- -------------------------------
NET REALIZED GAIN (LOSS).................... 5,233,148
1,054,757
3,761,602 (337,848)
- ------------------------------------------------------------
- ------------------
- -------------------------------
Change in Net Unrealized Appreciation
(Depreciation) of Investments, Futures
Contracts, Options and Foreign Currencies:
Beginning of period....................... 17,032,486
4,015,304
4,217,824 3,059,968
End of period............................. 18,967,787
6,094,541
9,874,635 7,728,601
- ------------------------------------------------------------
- ------------------
- -------------------------------
INCREASE (DECREASE) IN NET UNREALIZED
APPRECIATION.............................. 1,935,301
2,079,237
5,656,811 4,668,633
- ------------------------------------------------------------
- ------------------
- -------------------------------
NET GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS, OPTIONS AND FOREIGN CURRENCIES... 7,168,449
3,133,994
9,418,413 4,330,785
- ------------------------------------------------------------
- ------------------
- -------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS.................................. $7,925,797
$ 3,080,776
$ 10,851,022 $ 4,372,883
- ------------------------------------------------------------
- ------------------
- -------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) FOR THE
SIX MONTHS ENDED
JUNE
30,
1996
<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)....... $ 140,761 $
494,991 $
2,031,199 $ 1,081,123 $ 108,910 $ 279,157
Net realized gain (loss)........... --
(62,063)
578,952 866,643 157,759 562,063
Increase (decrease) in net
unrealized appreciation.......... --
(873,428)
(777,668) (1,509,261) 1,201,081 2,520,040
- ------------------------------------------------------------
- ------------------
- ------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS.................. 140,761
(440,500)
1,832,483 438,505 1,467,750 3,361,260
- ------------------------------------------------------------
- ------------------
- ------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
(NOTE 2):
Net investment income.............. (140,761)
- --
- -- -- -- --
- ------------------------------------------------------------
- ------------------
- ------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS.... (140,761)
- --
- -- -- -- --
- ------------------------------------------------------------
- ------------------
- ------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 10):
Net proceeds from sale of shares... 2,337,078
713,442
1,439,852 176,163 1,332,306 676,330
Net asset value of shares issued
for reinvestment of dividends.... 146,637
- --
- -- -- -- --
Cost of shares reacquired.......... (2,296,523)
(1,474,553)
(3,559,832) (4,445,750) (1,007,131) (2,150,443)
- ------------------------------------------------------------
- ------------------
- ------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM FUND SHARE TRANSACTIONS..... 187,192
(761,111)
(2,119,980) (4,269,587) 325,175 (1,474,113)
- ------------------------------------------------------------
- ------------------
- ------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS.... 187,192
(1,201,611)
(287,497) (3,831,082) 1,792,925 1,887,147
NET ASSETS:
Beginning of period................ 5,653,270
16,152,421
59,315,537 52,444,268 15,230,219 35,158,186
- ------------------------------------------------------------
- ------------------
- ------------------------------------------------
END OF PERIOD*..................... $ 5,840,462
$14,950,810
$59,028,040 $48,613,186 $17,023,144 $37,045,333
- ------------------------------------------------------------
- ------------------
- ------------------------------------------------
* Includes undistributed
(overdistributed) net investment
income of: ........................ --
$600,672
$3,090,700 $1,355,414 $340,095 $331,878
- ------------------------------------------------------------
- ------------------
- ------------------------------------------------
<CAPTION>
EMERGING TOTAL
INTERNATIONAL
APPRECIATION
GROWTH RETURN
EQUITY
PORTFOLIO
PORTFOLIO
PORTFOLIO PORTFOLIO
- ------------------------------------------------------------
- ------------------
- ---------------------
<S> <C> <C>
<C>
<C>
OPERATIONS:
Net investment income (loss)....... $ 757,348 $
(53,218) $
1,432,609 $ 42,098
Net realized gain (loss)........... 5,233,148
1,054,757
3,761,602 (337,848)
Increase (decrease) in net
unrealized appreciation.......... 1,935,301
2,079,237
5,656,811 4,668,633
- ------------------------------------------------------------
- ------------------
- ---------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS.................. 7,925,797
3,080,776
10,851,022 4,372,883
- ------------------------------------------------------------
- ------------------
- ---------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
(NOTE 2):
Net investment income.............. --
- --
- -- --
- ------------------------------------------------------------
- ------------------
- ---------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS.... --
- --
- -- --
- ------------------------------------------------------------
- ------------------
- ---------------------
FUND SHARE TRANSACTIONS (NOTE 10):
Net proceeds from sale of shares... 2,005,997
1,165,749
33,903,542 2,314,452
Net asset value of shares issued
for reinvestment of dividends.... --
- --
- -- --
Cost of shares reacquired.......... (4,611,128)
(1,756,206)
(1,735,602) (1,651,557)
- ------------------------------------------------------------
- ------------------
- ---------------------
INCREASE (DECREASE) IN NET ASSETS
FROM FUND SHARE TRANSACTIONS..... (2,605,131)
(590,457)
32,167,940 662,895
- ------------------------------------------------------------
- ------------------
- ---------------------
INCREASE (DECREASE) IN NET ASSETS.... 5,320,666
2,490,319
43,018,962 5,035,778
NET ASSETS:
Beginning of period................ 94,491,828
17,462,935
78,042,972 28,978,587
- ------------------------------------------------------------
- ------------------
- ---------------------
END OF PERIOD*..................... $99,812,494
$19,953,254
$121,061,934 $ 34,014,365
- ------------------------------------------------------------
- ------------------
- ---------------------
* Includes undistributed
(overdistributed) net investment
income of: ........................ $2,214,506
$(53,218)
$3,025,568 $29,029
- ------------------------------------------------------------
- ------------------
- ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<PAGE>
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
(NOTE 2):
Net investment income............... (318,978)
(1,080,907)
(3,628,366) (2,744,365) (200,991) (701,745)
Net realized gains.................. --
- --
- -- -- (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 10):
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
(overdistributed)
net investment income 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
(NOTE 2):
Net investment income............... (1,410,859)
- --
(1,506,614) (110,647)
Net realized gains.................. (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 10):
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
(overdistributed)
net investment income of: .......... $1,457,158
- --
$978,046 $(11,017)
- ------------------------------------------------------------
- ------------------
- ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Smith Barney Series Fund ("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 ("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) security 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 Agency
obligations are
valued
at the average between the bid and the ask prices;
securities 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 securities
maturing within 60 days 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) direct expenses are charged to each portfolio; (g)
dividends and
distributions to shareholders are recorded by the Fund on
the ex-dividend
date;
(h) 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; (i)
the accounting records of the Fund are maintained in U.S.
dollars. All assets
and liabilities denominated in foreign currencies are
translated into U.S.
dollars based on the rate of exchange of such currencies
against U.S. 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; (j) 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; (k) 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 were
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 (l) 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.
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
six months ended
June
30, 1996, the custody credit totalled $5,239 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.
62
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
2. DIVIDENDS
Effective January 17, 1996, the Fund's 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, if any.
The Money Market Portfolio will continue to distribute
dividends from net
investment income monthly, if any. Any net realized capital
gains are declared
and distributed annually, if any.
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.
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.
For the six months ended June 30, 1996, the investment
adviser and
administrator waived fees as follows:
<TABLE>
<CAPTION>
TOTAL
INVESTMENT
PORTFOLIO
FEE WAIVERS
ADVISER ADMINISTRATOR
- ------------------------------------------------------------
- ------------------
- -----------------------------
<S>
<C>
<C> <C>
Money Market............................................
$15,032
$9,019 $ 6,013
Intermediate High Grade.................................
4,037
2,705 1,332
Emerging Growth.........................................
8,261
5,535 2,726
</TABLE>
- ------------------------------------------------------------
- ------------------
- --
For the six months ended June 30, 1996, Smith Barney
received brokerage
commissions of $60,849.
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.
63
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
4. INVESTMENTS
The aggregate costs of purchases and proceeds from
sales of investments
(including maturities, but excluding short-term securities),
during the six
months ended June 30, 1996 were as follows:
<TABLE>
<CAPTION>
PORTFOLIO
PURCHASES SALES
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C> <C>
Intermediate High
Grade.....................................................
$ 9,366,349 $10,040,630
Diversified Strategic
Income................................................
21,569,386 21,533,861
Equity
Income......................................................
.........
7,466,705 7,696,435
Equity
Index.......................................................
.........
711,942 187,958
Growth and
Income......................................................
.....
1,384,007 1,480,519
Appreciation................................................
................
21,231,250 26,449,042
Emerging
Growth......................................................
.......
7,641,137 8,390,970
Total
Return......................................................
..........
78,791,857 38,808,141
International
Equity......................................................
..
7,630,170 6,640,874
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
At June 30, 1996, the aggregate gross unrealized
appreciation and
depreciation of investments for Federal income tax purposes
were approximately
as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION
PORTFOLIO
APPRECIATION
DEPRECIATION (DEPRECIATION)
- ------------------------------------------------------------
- ------------------
- ------------------------------
<S>
<C>
<C> <C>
Intermediate High Grade....................................
$ 57,297
$ (293,796) $ (236,499)
Diversified Strategic Income...............................
1,552,338
(553,705) 998,633
Equity Income..............................................
5,832,890
(569,894) 5,262,996
Equity Index...............................................
4,899,097
(164,097) 4,735,000
Growth and Income..........................................
10,592,182
(149,907) 10,442,275
Appreciation...............................................
19,757,970
(790,183) 18,967,787
Emerging Growth............................................
6,319,493
(224,952) 6,094,541
Total Return...............................................
10,388,115
(583,878) 9,804,237
International Equity.......................................
8,806,151
(1,074,977) 7,731,174
- ------------------------------------------------------------
- ------------------
- ------------------------------
</TABLE>
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. The Fund enters into such
contracts to hedge
a
portion of its portfolio. The Fund bears the market risk
that arises from
changes in the value of the financial instruments and
securities indices
(futures contracts) and the credit risk should a
counterparty fail to perform
under such contracts.
At June 30, 1996, the Equity Index Portfolio purchased
three financial
futures contracts on the Standard & Poor's 500 Index
expiring in September
1996.
The basic value of such contracts was $1,018,406. The market
value of such
contracts on June 30, 1996 was $1,015,200, thereby resulting
in an unrealized
loss of $3,206.
64
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
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 the underlying security and the
proceeds from such sale
are increased by the premium originally received. When a put
option is
exercised, the amount of the premium originally received
will reduce the cost
of
the security which the Portfolio purchased upon exercise.
When written index
options are exercised, settlement is made in cash. The risk
associated with
purchasing options is limited to the premium originally
paid. The Fund enters
into options for hedging purposes. The risk in writing a
call option is that
the
Fund gives up the opportunity to participate in any increase
in the price of
the
underlying security beyond the exercise price. The risk in
writing a put
option
is that the Fund is exposed to the risk of loss if the
market price of the
underlying security declines.
Option activity for the Total Return Portfolio for the
six months ended
June 30, 1996 were as follows:
<TABLE>
<CAPTION>
NUMBER OF
PREMIUMS
CONTRACTS
- ------------------------------------------------------------
- ------------------
- -----------------
<S>
<C>
<C>
Written options outstanding at December 31,
1995.................. $ --
- --
Written options opened during the
period.......................... 912,152
6,903
Options cancelled in closing purchase
transactions................ (311,462 )
(1,965)
Options exercised during the
period............................... (213,976 )
(1,898)
Options expired during the
period................................. (163,566 )
(2,100)
- ------------------------------------------------------------
- ------------------
- -----------------
Written options outstanding at June 30,
1996...................... $223,148
940
- ------------------------------------------------------------
- ------------------
- -----------------
</TABLE>
The following table represents the open option
contracts as of June 30,
1996:
<TABLE>
<CAPTION>
NUMBER OF
STRIKE
CONTRACTS
EXPIRATION
PRICE VALUE
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S> <C>
<C>
<C> <C>
940 Viacom, Inc.
(Premiums received -- $223,148)
9/20/96
$ 40 $(152,750)
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
65
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
7. FORWARD FOREIGN CURRENCY CONTRACTS
At June 30, 1996, 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 were 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:
Spanish Peseta.................................
73,000,000 $ 568,750
7/17/96 $ (6,030)
Finnish Markka.................................
4,300,000 926,404
7/17/96 (9,560)
- ------------------------------------------------------------
- ------------------
- -----------------------------
1,495,154
(15,590)
- ------------------------------------------------------------
- ------------------
- -----------------------------
TO BUY:
Japanese Yen...................................
321,310 62,420
7/1/96 5
- ------------------------------------------------------------
- ------------------
- -----------------------------
TOTAL MARKET VALUE AND UNREALIZED LOSS ON FORWARD
FOREIGN CURRENCY CONTRACTS.....................
$1,557,574
$ (15,585)
- ------------------------------------------------------------
- ------------------
- -----------------------------
</TABLE>
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
FOREIGN CURRENCY
- ------------------------------------------------------------
- ------------------
- -----------------------------
<S> <C>
<C>
<C> <C>
TO SELL:
Japanese Yen...................................
8,527,645 $77,791
7/2/96 $(87)
- ------------------------------------------------------------
- ------------------
- -----------------------------
TOTAL MARKET VALUE AND UNREALIZED LOSS ON FORWARD
FOREIGN CURRENCY CONTRACTS.....................
$77,791
$(87)
- ------------------------------------------------------------
- ------------------
- -----------------------------
</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. REVERSE REPURCHASE AGREEMENTS
Reverse repurchase agreements may be entered into for
leveraging
purposes.
A reverse repurchase agreement involves a sale by the Fund
of securities that
it
holds with an agreement by the Fund to repurchase the same
securities at an
agreed upon price and date. A reverse repurchase agreement
involves risk that
the market value of the securities sold by the Fund may
decline below the
repurchase price of the securities. The Fund will establish
a segregated
account
with its custodian, in which the Fund will maintain cash,
U.S. government
securities or other liquid high grade debt obligations equal
in value to its
obligations with respect to the reverse repurchase
agreements.
At June 30, 1996, there were no open reverse repurchase
agreements.
10. SHARES OF BENEFICIAL INTEREST
As of June 30, 1996, the Fund had an unlimited number
of shares of
beneficial interest authorized with a par value of $0.001
per share.
Transactions in shares for each portfolio were as follows:
66
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED YEAR ENDED
JUNE
30, 1996 DECEMBER 31, 1995
- ------------------------------------------------------------
- ------------------
- ---------------------------
<S>
<C>
<C>
MONEY MARKET PORTFOLIO
Shares
sold........................................................
.
2,337,078 4,160,876
Shares issued on
reinvestment.......................................
146,637 302,497
Shares
redeemed....................................................
.
(2,296,523) (5,951,049)
- ------------------------------------------------------------
- ------------------
- ---------------------------
Net Increase
(Decrease).............................................
187,192 (1,487,676)
- ------------------------------------------------------------
- ------------------
- ---------------------------
INTERMEDIATE HIGH GRADE PORTFOLIO
Shares
sold........................................................
.
68,463 261,586
Shares issued on
reinvestment.......................................
- -- 107,108
Shares
redeemed....................................................
.
(142,688) (218,646)
- ------------------------------------------------------------
- ------------------
- ---------------------------
Net Increase
(Decrease).............................................
(74,225) 150,048
- ------------------------------------------------------------
- ------------------
- ---------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
Shares
sold........................................................
.
141,845 257,850
Shares issued on
reinvestment.......................................
- -- 376,906
Shares
redeemed....................................................
.
(350,087) (725,789)
- ------------------------------------------------------------
- ------------------
- ---------------------------
Net
Decrease....................................................
....
(208,242) (91,033)
- ------------------------------------------------------------
- ------------------
- ---------------------------
EQUITY INCOME PORTFOLIO
Shares
sold........................................................
.
14,435 183,214
Shares issued on
reinvestment.......................................
- -- 253,960
Shares
redeemed....................................................
.
(366,791) (692,366)
- ------------------------------------------------------------
- ------------------
- ---------------------------
Net
Decrease....................................................
....
(352,356) (255,192)
- ------------------------------------------------------------
- ------------------
- ---------------------------
EQUITY INDEX PORTFOLIO
Shares
sold........................................................
.
82,643 221,160
Shares issued on
reinvestment.......................................
- -- 16,599
Shares
redeemed....................................................
.
(62,740) (135,102)
- ------------------------------------------------------------
- ------------------
- ---------------------------
Net
Increase....................................................
....
19,903 102,657
- ------------------------------------------------------------
- ------------------
- ---------------------------
GROWTH AND INCOME PORTFOLIO
Shares
sold........................................................
.
46,703 115,413
Shares issued on
reinvestment.......................................
- -- 63,571
Shares
redeemed....................................................
.
(148,582) (375,361)
- ------------------------------------------------------------
- ------------------
- ---------------------------
Net Increase
(Decrease).............................................
(101,879) (196,377)
- ------------------------------------------------------------
- ------------------
- ---------------------------
APPRECIATION PORTFOLIO
Shares
sold........................................................
.
130,926 211,124
Shares issued on
reinvestment.......................................
- -- 224,994
Shares
redeemed....................................................
.
(304,608) (872,074)
- ------------------------------------------------------------
- ------------------
- ---------------------------
Net
Decrease....................................................
....
(173,682) (435,956)
- ------------------------------------------------------------
- ------------------
- ---------------------------
EMERGING GROWTH PORTFOLIO
Shares
sold........................................................
.
78,406 210,992
Shares issued on
reinvestment.......................................
- -- --
Shares
redeemed....................................................
.
(116,898) (139,884)
- ------------------------------------------------------------
- ------------------
- ---------------------------
Net Increase
(Decrease).............................................
(38,492) 71,108
- ------------------------------------------------------------
- ------------------
- ---------------------------
TOTAL RETURN PORTFOLIO
Shares
sold........................................................
.
2,470,965 4,028,225
Shares issued on
reinvestment.......................................
- -- 186,081
Shares
redeemed....................................................
.
(126,501) (242,324)
- ------------------------------------------------------------
- ------------------
- ---------------------------
Net
Increase....................................................
....
2,344,464 3,971,982
- ------------------------------------------------------------
- ------------------
- ---------------------------
INTERNATIONAL EQUITY PORTFOLIO
Shares
sold........................................................
.
213,887 282,677
Shares issued on
reinvestment.......................................
- -- 12,132
Shares
redeemed....................................................
.
(151,112) (475,871)
- ------------------------------------------------------------
- ------------------
- ---------------------------
Net Increase
(Decrease).............................................
62,775 (181,062)
- ------------------------------------------------------------
- ------------------
- ---------------------------
</TABLE>
67
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
11. 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.
12. CONCENTRATION OF RISK
Under normal market conditions, the Money Market
Portfolio invests at
least
25% of its assets in short-term bank instruments and the
Equity Income
Portfolio
invests at least 25% of its assets in the utility industry.
Because of their
concentration policy, these Portfolios may be subject to
greater risk and
market
fluctuation than a portfolio that has 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.
13. 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.
14. CAPITAL LOSS CARRYFORWARD
As of December 31, 1995, the following Portfolios had
available, for
Federal tax purposes, capital loss carryforwards were as
follows:
<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 in the year indicated.
15. SECURITIES TRADED ON A TO-BE-ANNOUNCED BASIS
In a to-be-announced ("TBA") transaction, the Fund
commits to purchasing
or
selling securities for which specific information is not yet
known at the time
of the trade, particularly the face amount and maturity date
in GNMA
transactions. Securities purchased on a TBA basis are not
settled until they
are
delivered to the Fund, normally 15 to 45 days later. These
transactions are
subject to market fluctuations and their current value is
determined in the
same
manner as for other securities.
As of June 30, 1996, there were no TBA securities held.
68
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
16. MORTGAGE ROLL TRANSACTIONS
A mortgage roll transaction involves a sale by the Fund
of securities
that
it holds with an agreement by the Fund to repurchase similar
securities at an
agreed upon price and date. The securities repurchased will
bear the same
interest as those sold, but generally will be collateralized
by pools of
mortgages with different prepayment histories than those
securities sold.
Proceeds of the sale will be invested and the income from
these investments,
together with any additional income from the Fund exceeding
the yield on the
securities sold.
As of June 30, 1996, there were no open mortgage roll
transactions.
69
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout
each period:
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO 1996(1)
1995 1994
1993 1992 1991(2)
- ------------------------------------------------------------
- ------------------
- -------------------------------
<S> <C>
<C> <C>
<C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $1.000
$1.000 $
1.000 $1.000 $1.000 $1.000
- ------------------------------------------------------------
- ------------------
- -------------------------------
INCOME FROM OPERATIONS:
Net investment income (3).................... 0.019
0.052
0.035 0.023 0.027 0.005
Dividends from net investment income......... (0.019)
(0.052)
(0.035) (0.023) (0.027) (0.005)
- ------------------------------------------------------------
- ------------------
- -------------------------------
NET ASSET VALUE, END OF PERIOD................. $1.000
$1.000
$1.000 $1.000 $1.000 $1.000
- ------------------------------------------------------------
- ------------------
- -------------------------------
TOTAL RETURN................................... 1.93%++
5.31%
3.56% 2.37% 2.75% 0.53%++
- ------------------------------------------------------------
- ------------------
- -------------------------------
NET ASSETS, END OF PERIOD (000'S).............. $5,840
$5,653
$7,141 $3,703 $2,108 $ 830
- ------------------------------------------------------------
- ------------------
- -------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)................................. 0.75%+
0.75%
0.75% 0.75% 0.75% 0.65%+
Net investment income........................ 4.67+
5.19
3.65 2.34 2.79 3.35+
- ------------------------------------------------------------
- ------------------
- -------------------------------
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE HIGH GRADE PORTFOLIO 1996(1)
1995 1994
1993 1992 1991(2)
- ------------------------------------------------------------
- ------------------
- -------------------------------
<S> <C>
<C> <C>
<C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $10.60
$9.66
$10.69 $10.29 $10.24 $10.00
- ------------------------------------------------------------
- ------------------
- -------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (3).................... 0.33
0.66
0.61 0.55 0.45 0.03
Net realized and unrealized gain (loss)...... (0.62)
1.00
(0.94) 0.26 0.08 0.21
- ------------------------------------------------------------
- ------------------
- -------------------------------
Total Income (Loss) From Operations............ (0.29)
1.66
(0.33) 0.81 0.53 0.24
- ------------------------------------------------------------
- ------------------
- -------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................ --
(0.72)
(0.61) (0.36) (0.48) --
Net realized gains........................... --
- --
(0.09) (0.05) -- --
- ------------------------------------------------------------
- ------------------
- -------------------------------
Total Distributions............................ --
(0.72)
(0.70) (0.41) (0.48) --
- ------------------------------------------------------------
- ------------------
- -------------------------------
NET ASSET VALUE, END OF PERIOD................. $ 10.31
$10.60
$9.66 $10.69 $10.29 $10.24
- ------------------------------------------------------------
- ------------------
- -------------------------------
TOTAL RETURN...................................
(2.74)%++ 17.76%
(3.05)% 8.00% 5.28% 2.40%++
- ------------------------------------------------------------
- ------------------
- -------------------------------
NET ASSETS, END OF PERIOD (000'S).............. $14,951
$16,152
$13,280 $9,859 $3,621 $ 697
- ------------------------------------------------------------
- ------------------
- -------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)................................. 0.86%+
0.86%
0.85% 0.85% 0.85% 0.80%+
Net investment income........................ 6.39+
6.63
6.57 5.25 4.75 4.49+
- ------------------------------------------------------------
- ------------------
- -------------------------------
PORTFOLIO TURNOVER RATE........................ 61%
121%
90% 139% 124% --
- ------------------------------------------------------------
- ------------------
- -------------------------------
</TABLE>
(1) For the six months ended June 30, 1996 (unaudited).
(2) For the period from October 16, 1991 (commencement of
operations) to
December 31, 1991.
(3) Expense ratios and the per share decrease in net
investment income before
fee waivers and expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT
INCOME
EXPENSE RATIOS WITHOUT WAIVERS AND
PER SHARE
DECREASE
REIMBURSEMENTS
------------------------------------
- ------------------
- -- ---------------------------------------------
PORTFOLIO 1996 1995 1994 1993
1992
1991 1996 1995 1994 1993 1992 1991
----------------- ------ ------ ------ ------
- ------ ----
- -- ---- ---- ---- ---- ---- -----
<S> <C> <C> <C> <C>
<C> <C>
<C> <C> <C> <C> <C> <C>
Money Market..... $0.002 $0.005 $0.005 $0.014
$0.014
$0.034 1.25% 1.21% 1.26% 2.15% 2.18% 21.47%+
Intermediate High
Grade.......... 0.003 0.003 0.020 0.050
0.130
0.170 0.88 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.
70
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout
each period:
<TABLE>
<CAPTION>
DIVERSIFIED STRATEGIC INCOME PORTFOLIO 1996(1)
1995 1994
1993 1992 1991(2)
- ------------------------------------------------------------
- ------------------
- --------------------------------
<S> <C>
<C> <C>
<C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.......... $10.01
$9.18 $10.07
$9.61 $10.14 $10.00
- ------------------------------------------------------------
- ------------------
- --------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (3)*.................. 0.39
0.74 0.58
0.70 0.67 0.02
Net realized and unrealized gain (loss)..... (0.08)
0.70
(0.86) 0.47 (0.53) 0.12
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Income (Loss) From Operations........... 0.31
1.44
(0.28) 1.17 0.14 0.14
- ------------------------------------------------------------
- ------------------
- --------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income....................... --
(0.61)
(0.58) (0.61) (0.67) --
Net realized gains.......................... --
- -- --
(0.04) -- --
Overdistribution of net realized gains...... --
- -- --
(0.05) -- --
Capital..................................... --
- --
(0.03) (0.01) -- --
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Distributions........................... --
(0.61)
(0.61) (0.71) (0.67) --
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSET VALUE, END OF PERIOD................ $10.32
$10.01 $9.18
$10.07 $9.61 $10.14
- ------------------------------------------------------------
- ------------------
- --------------------------------
TOTAL RETURN.................................. 3.10%++
16.18%
(2.81)% 12.56% 1.42% 1.40%++
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSETS, END OF PERIOD (000'S)............. $59,028
$59,316 $55,260
$43,244 $19,991 $3,914
- ------------------------------------------------------------
- ------------------
- --------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)................................ 0.89%+
0.90%
0.95% 1.00% 1.00% 0.94%+
Net investment income....................... 6.82+
7.73 7.31
7.14 7.70 4.57+
- ------------------------------------------------------------
- ------------------
- --------------------------------
PORTFOLIO TURNOVER RATE....................... 37%
46%
54% 94% 65% --
- ------------------------------------------------------------
- ------------------
- --------------------------------
<CAPTION>
EQUITY INCOME PORTFOLIO 1996(1)
1995 1994
1993 1992 1991(2)
- ------------------------------------------------------------
- ------------------
- --------------------------------
<S> <C>
<C> <C>
<C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.......... $12.35
$9.87 $11.55
$10.90 $10.20 $10.00
- ------------------------------------------------------------
- ------------------
- --------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (3)................... 0.28
0.54 0.58
0.53 0.45 0.02
Net realized and unrealized gain (loss)..... (0.15)
2.56
(1.75) 0.60 0.72 0.18
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Income (Loss) From Operations........... 0.13
3.10
(1.17) 1.13 1.17 0.20
- ------------------------------------------------------------
- ------------------
- --------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income....................... --
(0.62)
(0.49) (0.47) (0.47) --
Net realized gains.......................... --
- --
(0.02) (0.01) -- --
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Distributions........................... --
(0.62)
(0.51) (0.48) (0.47) --
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSET VALUE, END OF PERIOD................ $12.48
$12.35 $9.87
$11.55 $10.90 $10.20
- ------------------------------------------------------------
- ------------------
- --------------------------------
TOTAL RETURN.................................. 1.05%++
32.47%
(10.20)% 10.41% 11.74% 2.00%++
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSETS, END OF PERIOD (000'S)............. $48,613
$52,444 $44,417
$60,160 $25,985 $3,900
- ------------------------------------------------------------
- ------------------
- --------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)................................ 0.91%+
0.95%
0.84% 0.87% 1.00% 0.93%+
Net investment income....................... 4.40+
4.95 5.51
4.54 4.93 4.14+
- ------------------------------------------------------------
- ------------------
- --------------------------------
PORTFOLIO TURNOVER RATE....................... 16%
33%
21% 4% 4% --
- ------------------------------------------------------------
- ------------------
- --------------------------------
AVERAGE COMMISSIONS PER SHARE PAID ON EQUITY
TRANSACTIONS (4)............................ $0.06
$0.06 --
- -- -- --
- ------------------------------------------------------------
- ------------------
- --------------------------------
</TABLE>
(1) For the six months ended June 30, 1996 (unaudited).
(2) For the period from October 16, 1991 (commencement of
operations) to
December 31, 1991.
(3) Expense ratios and the per share decrease in net
investment income before
fee waivers and expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET
INVESTMENT INCOME
EXPENSE RATIOS WITHOUT WAIVERS
PER SHARE
DECREASE
AND REIMBURSEMENTS
--------------------------
- ------------------
- --- --------------------------------------------
PORTFOLIO 1996 1995 1994
1993 1992
1991 1996 1995 1994 1993 1992 1991
--------------------------- ---- ---- ---- --
- --- ----- --
- --- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C>
<C> <C>
<C> <C> <C> <C> <C> <C> <C>
Diversified Strategic
Income................... N/A N/A N/A
- -- $0.03
$0.03 N/A N/A N/A 1.02% 1.41% 7.76%+
Equity Income.............. N/A N/A N/A
N/A 0.02
0.03 N/A N/A N/A N/A 1.27 8.34+
</TABLE>
(4) As of October 1995, the SEC instituted new guidelines
requiring the
disclosure of average commissions per share.
* 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.
71
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout
each period:
<TABLE>
<CAPTION>
EQUITY INDEX PORTFOLIO 1996(1)
1995 1994
1993 1992 1991(2)
- ------------------------------------------------------------
- ------------------
- --------------------------------
<S> <C>
<C> <C>
<C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.......... $15.58
$11.69 $11.90
$11.27 $10.62 $10.00
- ------------------------------------------------------------
- ------------------
- --------------------------------
INCOME FROM OPERATIONS:
Net investment income (3)................... 0.11
0.25 0.23
0.20 0.17 0.04
Net realized and unrealized gain (loss)..... 1.38
3.88
(0.14) 0.71 0.55 0.58
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Income From Operations.................. 1.49
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 PERIOD................ $17.07
$15.58 $11.69
$11.90 $11.27 $10.62
- ------------------------------------------------------------
- ------------------
- --------------------------------
TOTAL RETURN.................................. 9.56%+
35.81%
0.85% 8.66% 6.74% 6.20%++
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSETS, END OF PERIOD (000'S)............. $17,023
$15,230 $10,225
$8,842 $4,178 $1,733
- ------------------------------------------------------------
- ------------------
- --------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)................................ 1.10%+
1.00%
1.00% 1.00% 1.00% 0.98%+
Net investment income....................... 1.34+
1.84 2.10
1.77 2.10 2.91+
- ------------------------------------------------------------
- ------------------
- --------------------------------
PORTFOLIO TURNOVER RATE....................... 1%
5%
1% 1% 8% --
- ------------------------------------------------------------
- ------------------
- --------------------------------
AVERAGE COMMISSIONS PER SHARE PAID ON EQUITY
TRANSACTIONS (4)............................ $0.05
$0.05 --
- -- -- --
- ------------------------------------------------------------
- ------------------
- --------------------------------
</TABLE>
<TABLE>
<CAPTION>
GROWTH & INCOME PORTFOLIO 1996(1)
1995 1994
1993 1992 1991(2)
- ------------------------------------------------------------
- ------------------
- --------------------------------
<S> <C>
<C> <C>
<C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.......... $13.73
$10.75 $11.37
$10.68 $10.15 $10.00
- ------------------------------------------------------------
- ------------------
- --------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (3)................... 0.11
0.26 0.27
0.30 0.27 0.02
Net realized and unrealized gain (loss)..... 1.23
2.99
(0.63) 0.67 0.55 0.13
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Income (Loss) From Operations........... 1.34
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...... --
- -- --
(0.02) -- --
Capital..................................... --
- -- --
- -- (0.00)* --
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Distributions........................... --
(0.27)
(0.26) (0.28) (0.29) --
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSET VALUE, END OF PERIOD................ $15.07
$13.73 $10.75
$11.37 $10.68 $10.15
- ------------------------------------------------------------
- ------------------
- --------------------------------
TOTAL RETURN.................................. 9.76%++
30.49%
(3.20)% 9.09% 8.44% 1.40%++
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSETS, END OF PERIOD (000'S)............. $37,045
$35,158 $29,625
$25,549 $10,951 $1,904
- ------------------------------------------------------------
- ------------------
- --------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)................................ 1.01%+
0.98%
0.93% 1.00% 1.00% 0.90%+
Net investment income....................... 1.57+
2.09 2.52
2.68 3.06 4.14+
- ------------------------------------------------------------
- ------------------
- --------------------------------
PORTFOLIO TURNOVER RATE....................... 4%
17%
77% 78% 78% 3%
- ------------------------------------------------------------
- ------------------
- --------------------------------
AVERAGE COMMISSIONS PER SHARE PAID ON EQUITY
TRANSACTIONS (4)............................ $0.06
$0.06 --
- -- -- --
- ------------------------------------------------------------
- ------------------
- --------------------------------
</TABLE>
(1) For the six months ended June 30, 1994 (unaudited).
(2) For the period from October 16, 1991 (commencement of
operations) to
December 31, 1991.
(3) Expense ratios and the per share decrease in net
investment income before
fee waivers and expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT
INCOME
EXPENSE RATIOS WITHOUT WAIVERS AND
PER SHARE
DECREASE
REIMBURSEMENTS
-------------------------------
- ------------------
- - ----------------------------------------------
PORTFOLIO 1996 1995 1994 1993
1992 1991
1996 1995 1994 1993 1992 1991
---------------------- ----- ----- ----- ----
- - ----- ----
- - ----- ---- ---- ---- ---- -----
<S> <C> <C> <C> <C>
<C> <C>
<C> <C> <C> <C> <C> <C>
Equity Index.......... N/A $0.02 $0.06
$0.10 $0.15
$0.09 N/A 1.17% 1.53% 1.88% 2.89% 7.60%+
Growth & Income....... N/A N/A N/A
0.01 0.06
0.07 N/A N/A N/A 1.01 1.65 20.02+
</TABLE>
(4) As of October 1995, the SEC instituted new guidelines
requiring the
disclosure of average commissions per shares.
* Amount represents less than $0.01.
++ Total return is not annualized, as it may not be
representative of the
total return for the year.
+ Annualized.
72
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout
each period:
<TABLE>
<CAPTION>
APPRECIATION PORTFOLIO 1996(1)
1995 1994
1993 1992 1991(2)
- ------------------------------------------------------------
- ------------------
- --------------------------------
<S> <C>
<C> <C>
<C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $14.39
$11.54 $11.80
$11.13 $10.49 $10.00
- ------------------------------------------------------------
- ------------------
- --------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (3).................. 0.12
0.23 0.20
0.15 0.11 0.01
Net realized and unrealized gain (loss).... 1.10
3.04 (0.32)
0.63 0.53 0.48
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Income (Loss) From Operations.......... 1.22
3.27 (0.12)
0.78 0.64 0.49
- ------------------------------------------------------------
- ------------------
- --------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income...................... --
(0.21) (0.14)
(0.11) (0.00)* --
Net realized gains......................... --
(0.21) --
- -- -- --
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Distributions.......................... --
(0.42) (0.14)
(0.11) (0.00)* --
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSET VALUE, END OF PERIOD............... $15.61
$14.39 $11.54
$11.80 $11.13 $10.49
- ------------------------------------------------------------
- ------------------
- --------------------------------
TOTAL RETURN................................. 8.48%++
28.84%
(1.12)% 7.03% 6.13% 4.90%++
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSETS, END OF PERIOD (000'S)............ $99,812
$94,492 $80,823
$77,843 $53,450 $11,436
- ------------------------------------------------------------
- ------------------
- --------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)............................... 0.88%+
0.97% 0.88%
1.01% 1.00% 0.94%+
Net investment income...................... 1.56+
1.65 1.75
1.35 1.61 3.00+
- ------------------------------------------------------------
- ------------------
- --------------------------------
Portfolio Turnover Rate...................... 24%
43% 61%
33% 14% --
- ------------------------------------------------------------
- ------------------
- --------------------------------
AVERAGE COMMISSIONS PER SHARE PAID ON EQUITY
TRANSACTIONS (4)........................... $0.06
$0.06 --
- -- -- --
- ------------------------------------------------------------
- ------------------
- --------------------------------
<CAPTION>
EMERGING GROWTH PORTFOLIO 1996(1)
1995 1994
1993(5)
- ------------------------------------------------------------
- ------------------
- --------------------------------
<S> <C>
<C> <C>
<C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $13.76
$9.63 $10.41
$10.00
- ------------------------------------------------------------
- ------------------
- --------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss) (3)........... (0.04)
(0.03) 0.00*
0.01
Net realized and unrealized gain (loss).... 2.49
4.16 (0.78)
0.40
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Income (Loss) From Operations.......... 2.45
4.13 (0.78)
0.41
- ------------------------------------------------------------
- ------------------
- --------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income...................... --
- --
(0.00)* --
Net realized gains......................... --
- -- --
- --
- ------------------------------------------------------------
- ------------------
- --------------------------------
Total Distributions.......................... --
- --
(0.00)* --
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSET VALUE, END OF PERIOD............... $16.21
$13.76 $9.63
$10.41
- ------------------------------------------------------------
- ------------------
- --------------------------------
TOTAL RETURN................................. 17.81%++
42.89%
(7.48)% 4.10%++
- ------------------------------------------------------------
- ------------------
- --------------------------------
NET ASSETS, END OF PERIOD (000'S)............ $19,953
$17,463 $11,539
$2,257
- ------------------------------------------------------------
- ------------------
- --------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)............................... 1.21%+
1.20% 1.20%
1.05%+
Net investment income (loss)............... (0.57)+
(0.24) (0.17)
1.37+
- ------------------------------------------------------------
- ------------------
- --------------------------------
Portfolio Turnover Rate...................... 42%
121% 66%
- --
- ------------------------------------------------------------
- ------------------
- --------------------------------
AVERAGE COMMISSIONS PER SHARE PAID ON EQUITY
TRANSACTIONS (4)........................... $0.06
$0.06 --
- --
- ------------------------------------------------------------
- ------------------
- --------------------------------
</TABLE>
(1) For the six months ended June 30, 1996 (unaudited).
(2) For the period from October 16, 1991 (commencement of
operations) to
December 31, 1991.
(3) Expense ratios and the per share decrease in net
investment income before
fee waivers and expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT
INCOME
EXPENSE RATIOS WITHOUT WAIVERS AND
PER SHARE
DECREASE
REIMBURSEMENTS
-----------------------------
- ------------------
- --- --------------------------------------------
PORTFOLIO 1996 1995 1994
1993 1992
1991 1996 1995 1994 1993 1992 1991
------------------------ ----- ----- ----- --
- --- ----- --
- --- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C>
<C> <C>
<C> <C> <C> <C> <C> <C> <C>
Appreciation............ N/A N/A N/A
N/A $0.01
$0.01 N/A N/A N/A N/A 1.16% 3.64%+
Emerging Growth......... $0.01 $0.02 $0.01
$0.06 N/A
N/A 1.30% 1.39% 1.59% 9.99% N/A N/A
</TABLE>
(4) As of October 1995, the SEC instituted new guidelines
requiring the
disclosure of average commissions per share.
(5) For the period from December 3, 1993 (commencement of
operations) to
December 31, 1993.
* Amount represents less than $0.01.
++ Total return is not annualized, as it may not be
representative of the
total return for the year.
+ Annualized.
73
<PAGE>
SMITH BARNEY SERIES FUND
- ------------------------------------------------------------
- ------------------
- --
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout
each period:
<TABLE>
<CAPTION>
TOTAL RETURN PORTFOLIO
1996(1)
1995 1994 1993(2)
- ------------------------------------------------------------
- ------------------
- -----------------------------
<S>
<C>
<C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $12.75
$10.78 $10.30 $10.00
- ------------------------------------------------------------
- ------------------
- -----------------------------
INCOME FROM OPERATIONS:
Net investment income
(3)..................................... 0.10
0.43 0.34 0.01
Net realized and unrealized
gain.............................. 1.45
2.19 0.42* 0.29
- ------------------------------------------------------------
- ------------------
- -----------------------------
Total Income From
Operations.................................... 1.55
2.62 0.76 0.30
- ------------------------------------------------------------
- ------------------
- -----------------------------
LESS DISTRIBUTIONS:
Net investment
income......................................... --
(0.41) (0.28) --
Net realized
gains............................................ --
(0.24) -- --
- ------------------------------------------------------------
- ------------------
- -----------------------------
Total
Distributions.............................................
- --
(0.65) (0.28) --
- ------------------------------------------------------------
- ------------------
- -----------------------------
NET ASSET VALUE, END OF
PERIOD.................................. $14.30
$12.75 $10.78 $10.30
- ------------------------------------------------------------
- ------------------
- -----------------------------
TOTAL
RETURN....................................................
12.00%++
25.04% 7.40% 3.00%++
- ------------------------------------------------------------
- ------------------
- -----------------------------
NET ASSETS, END OF PERIOD
(000'S)............................... $121,062
$78,042 $23,196 $2,777
- ------------------------------------------------------------
- ------------------
- -----------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses
(3)..................................................
0.86%+
1.00% 1.00% 0.85%+
Net investment
income......................................... 2.85+
3.80 3.84 1.93+
- ------------------------------------------------------------
- ------------------
- -----------------------------
PORTFOLIO TURNOVER
RATE......................................... 49%
81% 118% --
- ------------------------------------------------------------
- ------------------
- -----------------------------
AVERAGE COMMISSIONS PER SHARE PAID ON EQUITY TRANSACTIONS
(4)... $0.06
$0.06 -- --
- ------------------------------------------------------------
- ------------------
- -----------------------------
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO
1996(1)
1995 1994 1993(2)
- ------------------------------------------------------------
- ------------------
- -----------------------------
<S>
<C>
<C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $9.98
$9.21 $10.05 $10.00
- ------------------------------------------------------------
- ------------------
- -----------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income
(3)***.................................. 0.01
0.03 0.00** 0.00**
Net realized and unrealized gain
(loss)....................... 1.47
0.78 (0.84) 0.05
- ------------------------------------------------------------
- ------------------
- -----------------------------
Total Income (Loss) From
Operations............................. 1.48
0.81 (0.84) 0.05
- ------------------------------------------------------------
- ------------------
- -----------------------------
LESS DISTRIBUTIONS FROM:
Net investment
income......................................... --
(0.04) -- --
Net realized
gains............................................ --
- -- -- --
- ------------------------------------------------------------
- ------------------
- -----------------------------
Total
Distributions.............................................
- --
(0.04) -- --
- ------------------------------------------------------------
- ------------------
- -----------------------------
NET ASSET VALUE, END OF
PERIOD.................................. $11.46
$9.98 $9.21 $10.05
- ------------------------------------------------------------
- ------------------
- -----------------------------
TOTAL
RETURN....................................................
14.83%++
8.80% (8.36)% 0.50%++
- ------------------------------------------------------------
- ------------------
- -----------------------------
NET ASSETS, END OF PERIOD
(000'S)............................... $34,014
$28,979 $28,413 $5,867
- ------------------------------------------------------------
- ------------------
- -----------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses
(3)(5)...............................................
1.36%+
1.43% 1.30% 1.08%+
Net investment income
(loss).................................. 0.23+
0.35 0.31 (0.51)+
- ------------------------------------------------------------
- ------------------
- -----------------------------
Portfolio Turnover
Rate......................................... 21%
34% 12% --
- ------------------------------------------------------------
- ------------------
- -----------------------------
AVERAGE COMMISSIONS PER SHARE PAID ON EQUITY TRANSACTIONS
(4)... $0.04
$0.01 -- --
- ------------------------------------------------------------
- ------------------
- -----------------------------
(1) For the six months ended June 30, 1996 (unaudited).
(2) For the period from December 3, 1993 (commencement of
operations) to
December 31, 1993.
Expense ratios and the per share decrease in net
investment income before
fees waiver and expense reimbursements were as
(3) follows:
</TABLE>
<TABLE>
<CAPTION>
NET INVESTMENT
INCOME
EXPENSE RATIOS WITHOUT
PER SHARE
DECREASE
WAIVERS AND REIMBURSEMENTS
----------------------
- ---------------
- -----------------------------------------
PORTFOLIO 1996 1995
1994 1993
1996 1995 1994 1993
---------------------------- ---- ---- --
- --- -----
- --- --- ---- ----
<S> <C> <C>
<C> <C>
<C> <C> <C> <C>
Total Return................ N/A N/A
$0.01 $0.02
N/A N/A 1.11% 4.14%+
International Equity........ N/A N/A
0.00** 0.02
N/A N/A 1.51 2.96+
(4) As of October 1995, the SEC instituted new guidelines
requiring the
disclosure of average commissions per share.
(5) During the six months ended June 30, 1996 and 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 1.33% and 1.37%,
respectively.
* 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.
++ Total return is not annualized, as it may not be
representative of the
total return for the year.
+ Annualized.
</TABLE>
74
<PAGE>
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<PAGE>
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<PAGE>
This report is
submitted for the
general
information of the
owners of the Smith
Barney Series Fund.
It is not
authorized
for distribution to
prospective
investors unless
accompanied or
preceded
by an effective
Prospectus for the
Fund,
which contains
information concerning
the Fund's
investment policies, fees
and
expenses, as well as
other pertinent
information.
SYMPHONY
investments are
sponsored and managed
by:
Smith Barney Inc.
and subsidiaries
SYMPHONY
is underwritten,
issued and serviced
by:
IDS Life Insurance
Company and
IDS Life Insurance
Company of New York
S-6225 F (8/96)
