[GRAPHIC OMITTED]
Smith Barney
S&P 500 Index
Fund
SPECIAL DISCIPLINE SERIES
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ANNUAL REPORT
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DECEMBER 31, 1999
[LOGO] Smith Barney
Mutual Funds
NOT FDIC INSURED - NOT BANK GUARANTEED - MAY LOSE VALUE
<PAGE>
Smith Barney
S&P 500
Index Fund
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HEATH B. MCLENDON
Chairman
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SANDIP A. BHAGAT, CFA
Vice President and Investment Officer
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JOHN LAU
Investment Officer
Dear Shareholder:
We are pleased to provide the report of the Smith Barney S&P 500 Index Fund
("Fund") for the one-month period ended December 31, 1999. Please note that on
October 13, 1999 the Board of Trustees voted to change the Fund's fiscal year
from November 30 to December 31. This is why you are receiving an additional
shareholder report for the 1999 calendar year. In this report we summarize the
period's prevailing economic and market conditions. A detailed summary of
performance and current holdings of the Fund can be found in the appropriate
sections that follow. The next S&P 500 Index Fund report you will receive will
be a semi-annual report covering the six-month period ended June 30, 2000.
Investment Objective and Performance Update
The Fund seeks to provide investment results that, before expenses, correspond
to the price and yield performance of the Standard & Poor's 500 Composite Stock
Index ("S&P 500 Index")(1), which is representative of the U.S. stock market.
(The S&P 500 Index is a market capitalization-weighted measure of 500 widely
held common stocks.)
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(1) Standard & Poor's, "S&P(R)" and "S&P 500(R)" are trademarks of Standard &
Poor's, a division of the McGraw Hill Companies, Inc. and have been
licensed for use by the Fund. The Fund is not sponsored, endorsed or
promoted by Standard & Poor's, and Standard & Poor's makes no
representation regarding the advisability of investing in the Fund.
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Smith Barney S&P 500 Index Fund 1
<PAGE>
The Fund is designed to provide reliable exposure to the large-cap segment of
the U.S. market through a broadly diversified portfolio structure. The Fund
holds a widely diversified portfolio of common stocks that is comparable to the
S&P 500 Index in terms of sector weightings and market capitalization. The total
return for the Fund's Class A and D shares for the one month ended December 31,
1999 were 5.88% and 5.91%, respectively, compared with the 5.88% total return
for the S&P 500 Index during the same period.
Financial Markets Overview
The U.S. stock market has continued its historically unprecedented rise. We
observed in our last report that low interest rates and favorable money flows
were the dominant influences on market performance in 1999. While interest rates
have gone up during the reporting period, their adverse impact on stock prices
has been more than offset by strong earnings growth in 1999 and money flows
continue to be robust.
In our view, the most persuasive argument for the strength of the market is the
significant gain in productivity. According to statistics compiled by the Bureau
of Labor Statistics, the ratio of productivity growth to output growth has been
above the historical norm in four out of the last six years -- often by wide
margins.
The magnitude and duration of this long bull market in stocks is unparalleled
and evidenced by the historically high price/earnings ratios for many large cap
stocks. (The price/earnings ratio is the price of a stock divided by its
earnings per share.)
As you may know, the Fund matches the composition of the S&P 500 and owns the
constituent index stocks at the appropriate index weight. The Fund, therefore,
remains neutral relative to the benchmark in terms of economic sectors, market
capitalization and the growth and value styles of investing.
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2 1999 Annual Report to Shareholders
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Thank you for investing in the Smith Barney S&P 500 Index Fund. We look forward
to helping you pursue your financial goals in the next century.
Sincerely,
/s/ Heath B. McLendon /s/ Sandip A. Bhagat, CFA
Heath B. McLendon Sandip A. Bhagat, CFA
Chairman Vice President
and Investment Officer
/s/ John Lau
John Lau
Investment Officer
January 24, 2000
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Smith Barney S&P 500 Index Fund 3
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Historical Performance -- Class A Shares
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Net Asset Value
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Beginning End Income Capital Gain Total
Period Ended of Period of Period Dividend Distribution Returns+
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12/31/99* $14.24 $15.00 $0.08 $0.00 5.88%++
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11/30/99 11.98 14.24 0.06 0.07 19.96
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Inception**-11/30/98 10.00 11.98 0.00 0.00 19.80++
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Total $0.14 $0.07
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Historical Performance -- Class D Shares
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Net Asset Value
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Beginning End Income Capital Gain Total
Period Ended of Period of Period Dividend Distribution Returns+
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12/31/99* $14.28 $15.01 $0.11 $0.00 5.91%++
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11/30/99 11.99 14.28 0.07 0.07 20.29
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Inception**-11/30/98 11.00 11.99 0.00 0.00 9.00++
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Total $0.18 $0.07
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It is the Fund's policy to distribute dividends and capital gains, if any,
annually.
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Average Annual Total Returns+
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Class A Class D
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Period Ended 12/31/99*++ 5.88% 5.91%
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Year Ended 12/31/99 20.03 20.29
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Inception** through 12/31/99 23.53 26.25
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Cumulative Total Returns
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Class A (Inception** through 12/31/99) 52.16%
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Class D (Inception** through 12/31/99) 38.85
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* For the period December 1, 1999 to December 31, 1999, which reflects a
change in the fiscal year end of the Fund.
** Inception dates for Class A and D shares are January 5, 1998 and August 4,
1998, respectively.
+ Assumes reinvestment of all dividends and capital gain distributions.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
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4 1999 Annual Report to Shareholders
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5
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Historical Performance (unaudited)
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Growth of $10,000 Invested
in Class A Shares of
the Smith Barney S&P
500 Index Fund vs.
Standard & Poor's 500 Index
January 1998 -- December 1999
[GRAPHIC OMITTED]
+ Hypothetical illustration of $10,000 invested in Class A shares at
inception on January 5, 1998, assuming reinvestment of dividends and
capital gains, if any, at net asset value through December 31, 1999. The
Standard & Poor's 500 Index is composed of widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and the
over-the-counter market. Figures for the index include reinvestment of
dividends. The Standard & Poor's 500 Index is unmanaged and is not subject
to the same management and trading expenses as a mutual fund. An investor
may not invest directly in an index.
All figures represent past performance and are not a guarantee of future
results. Investment returns and principal value will fluctuate, and
redemption value may be more or less than the original cost. No adjustment
has been made for shareholder tax liability on dividends or capital gains.
See Notes to Financial Statements.
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Smith Barney S&P 500 Index Fund 5
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Schedule of Investments (continued) December 31, 1999
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SHARES SECURITY VALUE
================================================================================
COMMON STOCK -- 98.3%
Auto & Transportation -- 1.9%
3,191 AMR Corp.* $ 213,797
9,862 Burlington Northern Santa Fe Corp. 239,153
1,701 Cooper Tire & Rubber Co. 26,472
4,738 CSX Corp. 148,655
872 Cummins Engine Co., Inc. 42,128
3,530 Dana Corp. 105,679
2,853 Delta Air Lines, Inc. 142,115
1,588 Eaton Corp. 115,329
6,449 FDX Corp.* 264,006
673 Fleetwood Enterprises Inc. 13,881
26,189 Ford Motor Co. 1,399,475
13,879 General Motors Corp. 1,008,830
3,846 Genuine Parts Co. 95,429
3,410 The Goodyear Tire & Rubber Co. 96,119
1,922 ITT Industries, Inc. 64,267
1,829 Johnson Controls Inc. 104,024
2,392 Kansas City Southern Industries, Inc. 178,503
1,359 Navistar International Corp. 64,383
8,291 Norfolk Southern Corp. 169,966
1,707 Paccar, Inc. 75,641
1,385 Ryder Systems, Inc. 33,846
1,285 Snap-On, Inc. 34,133
11,012 Southwest Airlines Co. 178,257
1,275 The Timken Co. 26,058
2,651 TRW, Inc. 137,686
5,384 Union Pacific Resources 68,646
1,555 US Airways Group, Inc.* 49,857
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5,096,335
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Consumer Discretionary -- 14.4%
1,186 Alberto Culver Co., Class B Shares 30,614
9,167 Albertsons, Inc. 295,636
1,432 American Greetings Corp., Class A Shares 33,831
3,118 Autozone, Inc.* 100,750
5,232 Avon Products, Inc. 172,656
3,050 Bed Bath and Beyond, Inc.* 105,987
4,422 Best Buy Co., Inc.* 221,929
2,049 Brunswick Corp. 45,590
13,380 Carnival Corp. 639,731
16,528 CBS Corp. 1,056,759
15,401 Cendant Corp.* 409,089
4,384 Circuit City Stores - Circuit City Group 197,554
7,334 Clear Channel Communications Inc.* 654,559
5,113 Clorox Co. 257,567
12,615 Colgate Palmolive Co. 819,975
16,309 Comcast Corp., Class A Shares 819,527
See Notes to Financial Statements.
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6 1999 Annual Report to Shareholders
<PAGE>
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Schedule of Investments (continued) December 31, 1999
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SHARES SECURITY VALUE
================================================================================
Consumer Discretionary -- 14.4% (continued)
2,445 Consolidated Stores Corp.* $ 39,731
4,812 Costco Cos., Inc. 439,095
8,497 CVS Corp. 339,349
2,862 Darden Restaurants, Inc. 51,874
9,538 Dayton-Hudson Corp. 700,447
1,555 Deluxe Corp. 42,665
2,305 Dillard, Inc., Class A Shares 46,532
5,750 Dollar General Corp. 130,812
1,936 Dow Jones & Co., Inc. 131,648
3,449 Dun & Bradstreet Corp. 101,746
6,847 Eastman Kodak Co. 453,614
4,543 Federated Department Stores, Inc.* 229,705
6,040 Gannett Co. 492,638
18,566 The Gap, Inc. 854,036
23,238 The Gillette Co. 957,115
802 The Great Atlantic & Pacific Tea Co., Inc. 22,356
1,551 Harcourt General, Inc. 62,428
2,803 Harrah's Entertainment, Inc.* 74,104
4,223 Hasbro, Inc. 80,501
7,948 Hilton Hotels Corp. 76,500
49,876 Home Depot, Inc. 3,419,658
3,278 Ikon Office Solutions Inc. 22,331
2,274 International Flavors & Fragrances, Inc. 85,844
6,099 The Interpublic Group Cos., Inc. 351,836
5,704 J.C. Penney Co., Inc. 113,724
718 Jostens, Inc. 17,456
11,780 Kimberly-Clark Corp. 768,645
10,730 KMart Corp.* 107,971
1,800 Knight Ridder, Inc. 107,100
3,542 Kohl's Corp.* 255,688
18,070 Kroger Co.* 341,071
4,682 The Limited, Inc. 202,789
1,292 Liz Claiborne, Inc. 48,612
906 Longs Drug Stores Corp. 23,386
8,299 Lowe's Cos., Inc. 495,865
5,383 Marriott International Inc., Class A Shares 169,901
9,021 Mattel, Inc. 118,401
7,238 May Department Stores Co. 233,426
1,810 Maytag Corp. 86,880
29,358 McDonald's Corp. 1,183,494
4,253 McGraw Hill, Inc. 262,091
1,133 Meredith Corp. 47,232
4,104 Mirage Resorts, Inc. 62,843
841 National Service Industries, Inc. 24,810
3,706 The New York Times Co., Class A Shares 182,057
6,102 Newell Co. 176,958
6,089 Nike Inc., Class B Shares 301,786
See Notes to Financial Statements.
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Smith Barney S&P 500 Index Fund 7
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Schedule of Investments (continued) December 31, 1999
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SHARES SECURITY VALUE
================================================================================
Consumer Discretionary -- 14.4% (continued)
3,021 Nordstrom, Inc. $ 79,112
7,036 Office Depot, Inc.* 76,956
3,836 Omnicom Group, Inc. 383,600
3,320 Pactiv Corp.* 35,275
1,249 The Pep Boys - Manny, Moe & Jack 11,397
1,005 Polaroid Corp. 18,907
28,483 The Procter & Gamble Corp. 3,120,669
2,762 R.R. Donnelley & Sons Co. 68,532
1,258 Reebok International Ltd.* 10,300
5,629 Rite Aid Corp. 62,974
733 Russell Corp. 12,278
8,226 Sears Roebuck & Co. 250,379
5,887 Service Corp. 40,840
399 Springs Industries, Inc. 15,935
10,113 Staples, Inc.* 209,845
2,965 SUPERVALU, Inc. 59,300
4,173 Tandy Corp. 205,259
27,878 Time Warner, Inc. 2,019,413
1,282 Times Mirror Corp., Class A Shares 85,894
6,656 TJX Cos., Inc. 136,032
5,375 Toys 'R' Us, Inc.* 76,930
5,139 Tribune Co. 282,966
3,313 Tricon Global Resturants, Inc.* 127,965
1,301 Tupperware Corp. 22,036
10,931 U.S. West Media Group Inc.* 787,032
12,403 Unilever NV 675,188
2,559 VF Corp. 76,770
15,084 Viacom, Inc.- Class B Shares * 911,639
21,725 Walgreen Co. 635,456
96,417 Wal-Mart Stores, Inc. (a) 6,664,825
44,728 Walt Disney Co. 1,308,294
2,615 Wendy's International, Inc. 53,934
1,617 Whirlpool Corp. 105,206
3,211 Winn - Dixie Stores Inc. 76,863
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39,108,506
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Consumer Staples -- 4.1%
793 Adolph Coors Co., Class B Shares 41,632
10,077 Anheuser-Busch Co., Inc. 714,207
13,113 Archer-Daniels-Midland Co. 159,815
6,052 Bestfoods 318,108
1,491 Brown-Forman Corp., Class B Shares 85,360
9,269 Campbell Soup Co. 358,594
53,524 The Coca-Cola Co. 3,117,773
9,237 Coca-Cola Enterprises 185,895
10,689 ConAgra, Inc. 241,171
3,562 Fortune Brands, Inc. 117,769
See Notes to Financial Statements.
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8 1999 Annual Report to Shareholders
<PAGE>
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Schedule of Investments (continued) December 31, 1999
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SHARES SECURITY VALUE
================================================================================
Consumer Staples -- 4.1% (continued)
6,615 General Mills, Inc. $ 236,486
7,735 H.J. Heinz Co. 307,950
2,984 Hershey Foods Corp. 141,740
8,768 Kellogg Co. 270,164
2,280 Loews Corp. 138,368
7,020 Nabisco Group Holdings Corp. 74,588
31,510 PepsiCo, Inc. 1,110,728
51,318 Phillip Morris Cos., Inc. 1,189,936
2,909 Quaker Oats Co. 190,903
7,031 Ralston-Purnina Group 195,989
11,047 Safeway, Inc.* 392,859
19,725 Sara Lee Corp. 435,183
9,392 Seagram Co., Ltd. 422,053
7,158 Sysco Corp. 283,188
3,756 UST, Inc. 94,604
2,512 Wm. Wrigley Jr., Co. 208,339
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11,033,402
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Finance -- 13.0%
5,743 AFLAC, Inc. 270,998
17,484 Allstate Corp. 419,616
9,703 American Express Co. 1,613,124
5,338 American General Corp. 405,021
33,559 American International Group, Inc. 3,628,567
8,536 AmSouth Bancorporation 164,851
5,560 Aon Corp. 222,400
15,755 Associates First Captial Corp.* 432,278
36,972 Bank of America Corp. 1,855,532
15,972 The Bank of New York Co., Inc. 638,880
24,813 Bank One Corp. 795,567
7,131 BB&T Corp. 195,211
2,584 Bear Stearns Cos. Inc. 110,466
4,294 Capital One Financial Corp. 206,917
17,729 Charles Schwab Corp. 680,350
17,861 Chase Manhattan Corp. 1,387,576
3,812 Chubb Corp. 214,663
4,039 CIGNA Corp. 325,392
3,587 Cincinnati Financial Corp. 111,870
73,072 Citigroup, Inc. 4,060,063
3,382 Comerica, Inc. 157,897
7,116 Conseco, Inc. 127,199
2,459 Countrywide Credit Industries, Inc. 62,090
3,117 Equifax, Inc. 73,444
22,204 Fannie Mae 1,386,362
6,691 Fifth Third Bancorp 490,952
21,401 First Union Corp. 702,220
21,176 Firstar Corp. 447,343
See Notes to Financial Statements.
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Smith Barney S&P 500 Index Fund 9
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Schedule of Investments (continued) December 31, 1999
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SHARES SECURITY VALUE
================================================================================
Finance -- 13.0% (continued)
19,848 FleetBoston Financial Corp. $ 690,959
5,427 Franklin Resources, Inc. 174,003
15,051 Freddie Mac 708,338
3,480 Golden West Financial Corp. 116,580
2,135 H&R Block, Inc. 93,406
4,788 Hartford Financial Services, Inc. 226,832
10,184 Household International, Inc. 379,354
4,926 Huntington Bancshares Inc. 117,608
3,745 J.P. Morgan & Co., Inc. 474,211
2,276 Jefferson Pilot Corp. 155,337
9,725 Keycorp 215,166
2,601 Lehman Brothers Holdings, Inc. 220,272
4,204 Lincoln National Corp. 168,160
5,770 Marsh & McLennan Cos., Inc. 552,117
2,184 MBIA, Inc. 115,343
17,396 MBNA Corp. 474,041
11,026 Mellon Financial Corp. 375,573
8,031 Merrill Lynch & Co., Inc. 670,589
2,300 MGIC Investment Corp. 138,431
12,073 Morgan Stanley, Dean Witter & Co. 1,723,421
13,316 National City Corp. 315,423
4,848 Northern Trust Corp. 256,944
2,580 Old Kent Financial Corp. 91,268
3,070 PaineWebber Group, Inc. 119,154
5,348 Paychex, Inc. 213,920
1,828 Pinnacle West Capital Corp. 55,868
6,349 PNC Bank Corp. 282,531
1,595 Progressive Corp. 116,634
3,070 Providian Financial Corp. 279,562
4,772 Regions Financial Corp. 119,897
2,846 SAFECO Corp. 70,794
3,469 SLM Holding Corp. 146,565
3,641 SouthTrust Corp. 137,675
4,900 St. Paul Cos. 165,069
3,468 State Street Corp. 253,381
3,755 Summit Bancorp 114,997
6,930 Suntrust Banks, Inc. 476,871
6,004 Synovus Financial Corp. 119,330
2,585 T. Rowe Price Associates 95,483
2,858 Torchmark Corp. 83,061
15,754 U.S. Bancorp. 375,142
3,053 Union Planters Corp. 120,403
5,174 UnumProvident Corp. 165,891
4,403 Wachovia Corp. 299,404
12,556 Washington Mutual, Inc. 326,456
35,560 Wells Fargo & Co. 1,437,958
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35,216,271
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See Notes to Financial Statements.
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10 1999 Annual Report to Shareholders
<PAGE>
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Schedule of Investments (continued) December 31, 1999
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SHARES SECURITY VALUE
================================================================================
Health Care -- 9.2%
33,339 Abbott Laboratories $ 1,210,622
3,262 AETNA, Inc. 182,060
2,850 Allergan, Inc. 141,787
2,206 Alza Corp.* 76,383
28,299 American Home Products Corp. 1,116,042
22,134 Amgen, Inc.* 1,329,423
1,245 Bausch & Lomb, Inc. 85,205
6,294 Baxter International, Inc. 395,342
5,406 Becton Dickinson & Co. 144,610
2,420 Biomet, Inc. 96,800
8,925 Boston Scientific Corp.* 195,234
42,972 Bristol-Myers Squibb & Co. 2,758,265
1,102 C.R. Bard, Inc. 58,406
6,047 Cardinal Health, Inc. 289,500
12,180 Columbia/HCA Healthcare Corp. 357,026
23,617 Eli Lilly & Co. 1,570,531
6,634 Guidant Corp. 311,798
8,454 HealthSouth Corp.* 45,440
3,615 Humana, Inc. 29,598
6,678 IMS Health, Inc. 181,558
30,138 Johnson & Johnson 2,806,601
1,542 Mallinckrodt, Inc. 49,055
2,160 Manor Care, Inc. 34,560
6,068 McKesson HBOC, Inc. 136,909
25,891 Medtronic, Inc. 943,403
50,665 Merck & Co., Inc. 3,397,722
2,235 PE Corp.-PE Biosystems Group 268,898
83,914 Pfizer, Inc. 2,721,960
11,259 Pharmacia & Upjohn, Inc. 506,655
2,440 Quintiles Transnational* 45,598
31,828 Schering Plough Corp. 1,342,744
1,821 St. Jude Medical, Inc. 55,882
6,754 Tenet Healthcare Corp. 158,719
3,685 United Healthcare Corp. 195,766
18,596 Warner-Lambert Co. 1,523,710
2,075 Watson Pharmaceuticals, Inc.* 74,311
1,363 WellPoint Health Networks, Inc.* 89,873
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24,927,996
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Integrated Oil -- 4.6%
1,982 Amerada Hess Corp. 112,478
1,551 Ashland, Inc. 51,086
6,992 Atlantic Richfield Co. 604,808
14,220 Chevron Corp. 1,231,807
74,844 Exxon Mobil Corp. 6,029,620
1,891 Kerr-McGee Corp. 117,242
8,017 Occidental Petroleum Corp. 173,368
See Notes to Financial Statements.
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Smith Barney S&P 500 Index Fund 11
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Schedule of Investments (continued) December 31, 1999
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SHARES SECURITY VALUE
================================================================================
Integrated Oil -- 4.6% (continued)
5,513 Phillips Petroleum Co. $ 259,111
46,443 Royal Dutch Petroleum Co. 2,806,899
1,957 Sunoco, Inc. 45,990
11,994 Texaco, Inc. 651,424
3,155 Tosco Corp. 85,777
5,220 Unocal Corp. 175,196
6,736 USX Marathon Group, Inc. 166,295
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12,511,101
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Materials & Processing -- 3.2%
4,972 Air Products and Chemicals, Inc. 166,873
4,716 Alcan Aluminium Ltd. 194,240
2,031 Allegheny Technologies, Inc. 45,571
838 Armstrong World Industries, Inc. 27,968
2,431 Avery Dennison Corp. 177,159
644 Ball Corp. 25,357
8,531 Barrick Gold Corp.* 150,892
1,134 Bemis, Inc. 39,548
2,920 Bethlehem Steel Corp.* 24,455
1,873 Black & Decker Corp. 97,864
1,259 Boise Cascade Corp. 50,989
2,069 Champion International Corp. 128,149
13,538 Conoco Inc. 336,778
2,671 Crown Cork & Seal Co., Inc. 59,764
4,749 Dow Chemical Corp. 634,585
22,638 E.I. du Pont de Nemours & Co. 1,491,326
1,681 Eastman Chemical Co. 80,163
2,795 Ecolab, Inc. 109,354
2,688 Engelhard Corp. 50,736
650 FMC Corp.* 37,253
4,645 Fort James Corp. 127,157
3,524 Freeport-McMoRan Copper & Gold, Inc. 74,445
3,696 Georgia Pacific Corp. 187,572
1,262 Great Lakes Chemical Corp. 48,193
2,307 Hercules, Inc. 64,308
5,620 Homestake Mining Co. 43,906
4,220 Inco Ltd. 99,170
8,956 International Paper Co. 505,454
4,242 Leggett & Platt, Inc. 90,938
2,211 Louisiana Pacific Corp. 31,507
9,728 Masco Corp. 246,848
2,217 Mead Corp. 96,301
13,784 Monsanto Co. 491,055
3,678 Newmont Mining Corp. 90,111
1,886 Nucor Corp. 103,376
1,212 Owens Corning 23,407
3,271 Owens-Illinois, Inc.* 81,979
See Notes to Financial Statements.
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12 1999 Annual Report to Shareholders
<PAGE>
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Schedule of Investments (continued) December 31, 1999
- --------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Materials & Processing -- 3.2% (continued)
1,767 Phelps Dodge Corp. $ 118,610
7,072 Placer Dome, Inc. 76,024
608 Potlatch Corp. 27,132
3,755 PPG Industries, Inc. 234,922
3,472 Praxair, Inc. 174,685
1,383 Reynolds Metals Co. 105,972
4,710 Rohm & Hass Co. 191,638
1,787 Sealed Air Corp.* 92,589
3,566 Sherwin-Williams Co. 74,886
2,213 Sigma Aldrich Corp. 66,528
1,958 The Stanley Works 58,985
1,220 Temple-Inland, Inc. 80,444
2,307 Transocean Sedco Forex Inc. 77,741
2,895 Union Carbide Corp. 193,241
1,909 USX-U.S. Steel Group, Inc. 62,997
2,154 Vulcan Materials Co. 86,025
1,668 W.R. Grace & Co.* 23,144
2,139 Westvaco Corp. 69,785
5,099 Weyerhaeuser Co. 366,172
2,414 Willamette Industries, Inc. 112,100
1,905 Worthington Industries, Inc. 31,552
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8,659,923
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Other Energy -- 0.7%
2,747 Anadarko Petroleum Corp. 93,741
2,495 Apache Corp. 92,159
7,149 Baker Hughes, Inc. 150,576
4,676 Burlington Resources, Inc. 154,600
9,582 Halliburton Co. 385,676
1,385 McDermott International, Inc. 12,552
159 NACCO Industries Inc., Class A Shares 8,834
1,867 Rowan Cos., Inc.* 40,491
11,920 Schlumberger Ltd. 670,500
5,378 Union Pacific Corp. 234,615
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1,843,744
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Producer Durables -- 7.9%
7,946 Alcoa Inc. 659,518
4,237 Allied Waste Industries* 37,339
2,412 The B.F. Goodrich Co. 66,330
20,241 Boeing Co. 841,267
510 Briggs & Stratton Corp. 27,349
7,706 Caterpillar Inc. 362,664
1,235 Centex Corp. 30,489
2,038 Cooper Industries, Inc. 82,412
5,315 Corning, Inc. 685,303
1,477 Crane Co. 29,355
3,098 Danaher Corp. 149,478
See Notes to Financial Statements.
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Smith Barney S&P 500 Index Fund 13
<PAGE>
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Schedule of Investments (continued) December 31, 1999
- --------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Producer Durables -- 7.9% (continued)
5,041 Deere & Co. $ 218,653
12,257 Delphi Automotive Systems Corp. 193,048
4,436 Dover Corp. 201,283
9,426 Emerson Electric Co. 540,817
1,663 Fluor Corp. 76,290
798 Foster Wheeler Corp. 7,082
4,363 General Dynamics Corp. 230,148
71,094 General Electric Co. 11,001,797
17,148 Honeywell, Inc. 989,225
6,524 Illinois Tool Works, Inc. 440,778
3,522 Ingersoll-Rand Co. 193,930
1,025 Kaufman & Broad Home Corp. 24,792
8,527 Lockheed Martin Corp. 186,528
736 Milacron, Inc. 11,316
990 Millipore Corp. 38,239
8,709 Minnesota Mining & Manufacturing Co. 852,393
1,524 Northrop Grumman Corp. 82,391
2,663 Pall Corp. 57,421
882 Pulte Corp. 19,845
7,284 Raytheon Co. 193,481
4,121 Rockwell International Corp. 197,293
3,206 Textron, Inc. 245,860
3,496 Thermo Electron Corp.* 52,440
1,239 Thomas & Betts Corp. 39,493
36,561 Tyco International Ltd. 1,421,309
10,358 United Technologies Corp. 673,270
2,044 W.W. Grainger, Inc. 97,729
13,442 Waste Management, Inc. 231,034
- --------------------------------------------------------------------------------
21,489,389
- --------------------------------------------------------------------------------
Technology -- 29.8%
7,483 3Com Corp.* 351,701
2,605 Adobe Systems, Inc. 175,186
3,170 Advanced Micro Devices, Inc.* 91,732
48,437 America Online, Inc.* 3,653,966
3,780 Analog Devices, Inc.* 351,540
1,832 Andrew Corp.* 34,693
3,496 Apple Computer, Inc.* 359,432
8,194 Applied Materials, Inc.* 1,038,077
1,306 Autodesk, Inc. 44,077
13,556 Automatic Data Processing Inc. 730,329
5,266 BMC Software, Inc.* 420,951
3,911 Cabletron Systems, Inc.* 101,686
3,122 Ceridian Corp.* 67,318
70,873 Cisco Systems, Inc.* 7,592,270
1,948 Citrix Systems, Inc.* 239,604
36,803 Compaq Computer Corp. 995,997
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
14 1999 Annual Report to Shareholders
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) December 31, 1999
- --------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Technology -- 29.8% (continued)
11,692 Computer Associates International, Inc.* $ 817,709
3,621 Computer Sciences Corp. 342,637
7,750 Compuware Corp.* 288,687
1,538 Comverse Technology, Inc.* 222,625
55,039 Dell Computer Corp.* 2,806,989
10,204 Electronic Data Systems Corp. 683,030
22,045 EMC Group * 2,408,417
9,081 First Data Corp. 447,807
6,845 Gateway 2000, Inc.* 493,268
3,785 General Instrument Corp.* 321,725
16,423 Global Crossing Ltd.* 821,150
22,088 Hewlett-Packard Co. 2,516,652
72,382 Intel Corp. 5,957,943
39,066 International Business Machines Corp. 4,219,128
1,944 KLA-Tencor Corp.* 216,513
2,758 Lexmark International Group 249,599
3,237 LSI Logic Corp.* 218,498
67,875 Lucent Technologies, Inc. 5,077,898
13,254 MediaOne Group, Inc.* 1,018,073
5,858 Micron Technology, Inc. 455,460
111,801 Microsoft Corp.* 13,052,767
3,382 Molex, Inc. 191,717
13,194 Motorola, Inc. 1,942,817
3,730 National Semiconductor Corp.* 159,691
3,128 Network Appliance, Inc.* 259,820
28,949 Nortel Networks Corp. 2,923,849
7,212 Novell, Inc.* 288,029
30,835 Oracle Corp.* 3,455,447
5,849 Parametric Technology, Inc.* 158,289
2,441 Parker-Hannifin Corp. 125,254
5,344 PeopleSoft, Inc.* 113,894
1,016 PerkinElmer, Inc. 42,355
5,744 Pitney Bowes, Inc. 277,507
14,300 QUALCOMM, Inc.* 2,520,375
1,713 Scientific-Atlanta, Inc. 95,286
4,533 Seagate Technology, Inc.* 211,068
578 Shared Medical Systems Corp. 29,442
3,988 Silicon Graphics, Inc.* 39,132
6,351 Solectron Corp.* 604,139
33,841 Sun Microsystems, Inc.* 2,620,562
995 Tektronix, Inc. 38,681
8,716 Tellabs, Inc.* 559,458
3,693 Teradyne, Inc. 243,738
17,388 Texas Instruments, Inc. 1,684,463
6,733 Unisys Corp.* 215,035
14,443 Xerox Corp. 327,676
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 15
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) December 31, 1999
- --------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Technology -- 29.8% (continued)
6,904 Xilinx, Inc.* $ 313,916
5,702 Yahoo! Inc.* 2,467,184
- --------------------------------------------------------------------------------
80,793,958
- --------------------------------------------------------------------------------
Utilities -- 9.5%
2,200 Adaptec, Inc.* 109,725
3,253 ADC Telecommunications, Inc.* 236,046
4,465 AES Corp.* 333,759
6,802 ALLTEL Corp. 562,440
3,000 Ameren Corp. 98,250
4,244 American Electric Power, Inc. 136,338
69,241 AT&T Corp. 3,513,981
33,630 Bell Atlantic Corp. 2,070,347
40,789 BellSouth Corp. 1,909,435
3,449 Carolina Power & Light Co. 104,979
4,579 Central & Southwest Corp. 91,580
3,014 CenturyTel, Inc. 142,788
3,416 Cinergy Corp. 82,411
2,493 CMS Energy Corp. 77,750
4,620 Coastal Corp. 163,721
1,776 Columbia Energy Group 112,332
4,813 Consolidated Edison, Inc. 166,048
2,075 Consolidated Natural Gas Co. 134,745
3,261 Constellation Energy Group 94,569
4,153 Dominion Resources, Inc. 163,005
3,151 DTE Energy Co. 98,863
7,919 Duke Energy Corp. 396,940
593 Eastern Enterprises 34,060
7,502 Edison International 196,459
4,943 El Paso Energy Corp. 191,850
15,518 Enron Corp. 688,611
5,353 Entergy Corp. 137,840
4,995 FirstEnergy Corp. 113,324
2,115 Florida Progress Corp. 89,491
3,907 FPL Group, Inc. 167,268
2,707 GPU, Inc. 81,041
21,070 GTE Corp. 1,486,752
61,482 MCI WorldCom, Inc.* 3,262,389
2,513 New Century Energies Inc. 76,332
7,864 Nextel Communications, Inc.* 810,975
4,140 Niagara Mohawk Power Holdings, Inc.* 57,701
987 NICOR, Inc. 32,078
3,380 Northern States Power Co. 65,910
685 ONEOK, Inc. 17,211
4,015 PECO Energy Co. 139,521
762 Peoples Energy Corp. 25,527
8,267 PG&E Corp. 169,474
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
16 1999 Annual Report to Shareholders
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) December 31, 1999
- --------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Utilities -- 9.5% (continued)
3,161 PP&L Resources, Inc. $ 72,308
4,701 Public Service Enterprise Group, Inc. 163,654
6,408 Reliant Energy, Inc. 146,583
73,940 SBC Communications, Inc. 3,604,575
5,261 Sempra Energy 91,410
14,591 Southern Co. 342,889
18,882 Sprint Corp. (FON Group) 1,270,995
9,349 Sprint Corp. (PCS Group)* 958,273
5,976 Texas Utilities Co. 212,522
4,728 Unicom Corp. 158,388
9,394 Williams Cos., Inc. 287,104
- --------------------------------------------------------------------------------
25,952,567
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK
(Cost -- $228,635,082) 266,633,192
================================================================================
FACE
AMOUNT SECURITY VALUE
================================================================================
U.S. Treasury Bills -- 0.3%
$ 795,000 U.S. Treasury Bills, 5.180% due 3/16/00 786,415
40,000 U.S. Treasury Bills, 5.300% due 3/16/00 39,559
- --------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS
(Cost -- $825,974) 825,974
================================================================================
REPURCHASE AGREEMENT -- 1.4%
3,744,000 Chase Manhattan Bank, 2.000% due 1/3/00,
Proceeds at maturity -- $3,744,624;
(Fully collateralized by U.S. Treasury
Notes, 11.625% due 11/15/02; Market
value -- $3,822,743) (Cost -- $3,744,000) 3,744,000
================================================================================
TOTAL INVESTMENTS -- 100%
(Cost -- $233,205,056**) $271,203,166
================================================================================
* Non-income producing security.
(a) A portion of this security has been segregated by the custodian for
futures contract commitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 17
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost -- $233,205,056) $ 271,203,166
Cash 10,969
Receivable for Fund shares sold 3,386,893
Dividends and interest receivable 228,476
Receivable for securities sold 185,742
Receivable from administrator 102,932
Receivable from broker - variation margin 11,900
- --------------------------------------------------------------------------------------
Total Assets 275,130,078
- --------------------------------------------------------------------------------------
LIABILITIES:
Payable for Fund shares purchased 1,923,336
Distribution fees payable 15,214
Accrued expenses 131,007
- --------------------------------------------------------------------------------------
Total Liabilities 2,069,557
- --------------------------------------------------------------------------------------
Total Net Assets $ 273,060,521
======================================================================================
NET ASSETS:
Par value of shares of beneficial interest $ 18,203
Capital paid in excess of par value 234,791,427
Overdistributed net investment income (235)
Accumulated net realized gain on investments and futures contracts 199,491
Net unrealized appreciation of investments and futures contracts 38,051,635
- --------------------------------------------------------------------------------------
Total Net Assets $ 273,060,521
======================================================================================
Shares Outstanding:
Class A 16,828,532
----------------------------------------------------------------------------------
Class D 1,374,026
----------------------------------------------------------------------------------
Net Asset Value:
Class A (and redemption price) $ 15.00
----------------------------------------------------------------------------------
Class D (and redemption price) $ 15.01
======================================================================================
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
18 1999 Annual Report to Shareholders
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations
- --------------------------------------------------------------------------------
For the Year Ended December 31, 1999(a)
and the Year Ended November 30, 1999
<TABLE>
<CAPTION>
1999(a) 1999
===================================================================================================
<S> <C> <C>
INVESTMENT INCOME:
Dividends $ 242,965 $ 1,952,792
Interest 31,199 260,666
- ---------------------------------------------------------------------------------------------------
Total Investment Income 274,164 2,213,458
- ---------------------------------------------------------------------------------------------------
EXPENSES:
Distribution fees (Note 2) 40,031 292,236
Investment advisory fees (Note 2) 34,480 233,127
Administration fees (Note 2) 21,591 155,418
Shareholder and system servicing fees 20,656 99,497
Registration fees 18,618 64,321
Audit and legal 15,150 40,357
Shareholder communications 5,800 23,281
Custody 4,600 90,085
Trustees' fees 950 11,502
Other 524 7,125
- ---------------------------------------------------------------------------------------------------
Total Expenses 162,400 1,016,949
Less: Administration fee waiver and expense
reimbursement (Note 2) (36,700) (122,303)
- ---------------------------------------------------------------------------------------------------
Net Expenses 125,700 894,646
- ---------------------------------------------------------------------------------------------------
Net Investment Income 148,464 1,318,812
- ---------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS (NOTES 3 AND 6):
Realized Gain (Loss) From:
Security transactions (excluding short-term securities) (22,743) 1,683,279
Futures contracts 22,064 (520,261)
------------
- ---------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) (679) 1,163,018
- ---------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation of Investments
and Futures Contracts:
Beginning of period 23,555,806 3,647,032
End of period 38,051,635 23,555,806
- ---------------------------------------------------------------------------------------------------
Increase in Net Unrealized Appreciation 14,495,829 19,908,774
- ---------------------------------------------------------------------------------------------------
Net Gain on Investments and Future Contracts 14,495,150 21,071,792
- ---------------------------------------------------------------------------------------------------
Increase in Net Assets From Operations $ 14,643,614 $ 22,390,604
===================================================================================================
</TABLE>
(a) For the period from December 1, 1999 to December 31, 1999 which reflects a
change in the fiscal year end of the Fund.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 19
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the Period Ended December 31, 1999(a),
the Year Ended November 30, 1999 and
the Period Ended November 30, 1998 (b)
<TABLE>
<CAPTION>
1999(a) 1999 1998(b)
==================================================================================================
<S> <C> <C> <C>
OPERATIONS:
Net investment income $ 148,464 $ 1,318,812 $ 256,578
Net realized gain (loss) (679) 1,163,018 83,845
Increase in net unrealized
appreciation 14,495,829 19,908,774 3,647,032
- --------------------------------------------------------------------------------------------------
Increase in Net Assets From
Operations 14,643,614 22,390,604 3,987,455
- --------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (1,412,669) (314,888) --
Net realized gains (6,236) (1,040,165) --
- --------------------------------------------------------------------------------------------------
Decrease in Net Assets From
Distributions to Shareholders (1,418,905) (1,355,053) --
- --------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS
(NOTE 8):
Net proceeds from sale of shares 30,011,242 221,497,229 74,919,867
Net asset value of shares issued
for reinvestment of dividends 1,372,121 1,313,876 --
Cost of shares reacquired (9,402,340) (62,988,825) (21,910,364)
- --------------------------------------------------------------------------------------------------
Increase in Net Assets From
Fund Share Transactions 21,981,023 159,822,280 53,009,503
- --------------------------------------------------------------------------------------------------
Increase in Net Assets 35,205,732 180,857,831 56,998,958
NET ASSETS:
Beginning of period 237,854,789 56,996,958 --
- --------------------------------------------------------------------------------------------------
End of period* $ 273,060,521 $ 237,854,789 $ 56,996,998
==================================================================================================
* Includes undistributed (overdistributed)
net investment income of: $ (235) $ 1,263,970 $ 259,754
==================================================================================================
</TABLE>
(a) For the period from December 1, 1999 to December 31, 1999 which reflects a
change in the fiscal year end of the Fund.
(b) For the period from January 5, 1998 (commencement of operations) to
November 30, 1998.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
20 1999 Annual Report to Shareholders
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. Significant Accounting Policies
The Smith Barney S&P 500 Index Fund ("Fund") is a separate investment fund of
the Smith Barney Investment Trust ("Trust"). The Trust, a Massachusetts business
trust, is registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Trust consists of this
Fund and six other funds: Smith Barney Intermediate Maturity California
Municipals Fund, Smith Barney Intermediate Maturity New York Municipals Fund,
Smith Barney Large Capitalization Growth Fund, Smith Barney Mid Cap Blend Fund,
Smith Barney U.S. 5000 Index Fund and Smith Barney EAFE Index Fund. The
financial statements and financial highlights for the other funds are presented
in separate shareholder reports.
The significant accounting policies consistently followed by the Fund are: (a)
security transactions are accounted for on trade date; (b) securities traded on
a national securities exchange are valued at the last sale price on that
exchange or, if there were no sales, at the current quoted bid price; over-
the-counter securities and listed securities are valued at the bid price at the
close of business on each day; U.S. government securities are valued at the
quoted bid price in the over-the-counter market; (c) securities for which market
quotations are not available will be valued in good faith at fair value by or
under the direction of the Board of Trustees; (d) securities maturing within 60
days are valued at cost plus accreted discount, or minus amortized premium,
which approximates value; (e) interest income is recorded on an accrual basis
and dividend income is recorded on the ex-dividend date; (f) 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 or expense amounts
recorded and collected or paid are adjusted when reported by the custodian bank;
(g) gains or losses on the sale of securities are calculated by using the
specific identification method; (h) dividends and distributions to shareholders
are recorded by the Fund on the ex-dividend date; (i) 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, 1999 reclassifications were made to the Fund's capital accounts to
reflect permanent book/tax differences and income and gains available for
distributions under income tax regulations. Net investment income, net realized
gains and net assets were not affected by this adjustment; (j) the Fund intends
- --------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 21
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
to comply with the applicable provisions 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 taxes; and (k) estimates and assumptions are required
to be made regarding assets, liabilities and changes in net assets resulting
from operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ.
2. Investment Advisory Agreement, Administration Agreement and Other
Transactions
Travelers Investment Management Company, ("TIMCO"), a wholly owned subsidiary of
Citigroup Inc. ("Citigroup"), acts as investment adviser to the Fund. The Fund
pays TIMCO an advisory fee calculated at an annual rate of 0.15% of the average
daily net assets. This fee is calculated daily and paid monthly.
SSB Citi Fund Management LLC ("SSBC"), formerly known as SSBC Fund Management
Inc., another subsidiary of Citigroup, acts as administrator to the Fund. The
Fund pays SSBC an administration fee calculated at an annual rate of 0.10% of
the average daily net assets. This fee is calculated daily and paid monthly. For
the period ended December 31, 1999 and the year ended November 30, 1999, SSBC
waived all or a portion of its administration fees. In addition, SSBC agreed to
reimburse expenses of $15,109 to the Fund for the period ended December 31,
1999.
Effective October 1999, Smith Barney Private Trust Company ("Private Trust"),
another subsidiary of Citigroup, became the Fund's transfer agent and PFPC
Global Fund Services ("PFPC") became the sub-transfer agent. Private Trust
receives account fees and asset-based fees that vary according to the account
size and type of account. PFPC is responsible for shareholder recordkeeping and
financial processing for all shareholder accounts and is paid by Private Trust.
For the month ended December 31, 1999 and period of October 31, 1999 through
November 30, 1999, the Fund paid transfer agent fees of $10,906 and $20,557,
respectively to Private Trust.
CFBDS, Inc. ("CFBDS") acts as the Fund's distributor. Salomon Smith Barney Inc.
("SSB"), another subsidiary of Citigroup, as well as certain other
broker-dealers, continues to sell Fund shares to the public as a member of the
selling group.
Pursuant to a Distribution Plan, the Fund pays CFBDS a service fee calculated at
an annual rate of 0.20% of the average daily net assets for Class A shares.
All officers and one Trustee of the Trust are employees of SSB.
- --------------------------------------------------------------------------------
22 1999 Annual Report to Shareholders
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
3. Investments
The aggregate cost of purchases and proceeds from sales of investments
(including maturities, but excluding short-term securities) for the period ended
December 31, 1999 and the year ended November 30, 1999 were as follows:
Period Ended Year Ended
December 31, 1999 November 30, 1999
================================================================================
Purchases $17,254,403 $171,118,238
- --------------------------------------------------------------------------------
Sales 250,694 9,658,264
================================================================================
At December 31, 1999, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
================================================================================
Gross unrealized appreciation $ 52,739,498
Gross unrealized depreciation (14,741,388)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 37,998,110
================================================================================
4. 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.
5. Option Contracts
Premiums paid when put or call options are purchased by the Fund represent
investments, which are marked-to-market daily. When a purchased option expires,
the Fund will realize a loss in the amount of the premium paid. When the Fund
enters into a closing sales transaction, the Fund will realize a gain or loss
depending on whether the proceeds from the closing sales transaction are greater
or less than the premium paid for the option. When the Fund exercises a put
option, they 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 Fund exercises a call option, the cost of the security
which the Fund purchases upon exercise will be increased by the premium
originally paid.
At December 31, 1999, the Fund held no purchased call or put options.
- --------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 23
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
When the Fund writes a call or put option, an amount equal to the premium
received by the Fund is recorded as a liability, the value of which is
marked-to-market daily. When a written option expires, the Fund realizes a gain
equal to the amount of the premium received. When the Fund enters into a closing
purchase transaction, the Fund 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 written call
option is exercised the cost of the security sold will be decreased by the
premium originally received. When a written put option is exercised, the amount
of the premium originally received will reduce the cost of the security which
the Fund purchases 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.
During the period ended December 31, 1999, the Fund did not write any call or
put options.
6. Futures Contracts
Initial margin deposits made upon entering into futures contracts are recognized
as assets. Securities equal to the initial margin amount are segregated by the
custodian in the name of the broker. Additional securities are also segregated
up to the current market value of the futures contracts. 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 received or made 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
transactions 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).
- --------------------------------------------------------------------------------
24 1999 Annual Report to Shareholders
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
At December 31, 1999, the Fund had the following open futures contracts:
<TABLE>
<CAPTION>
# of Basis Market Unrealized
Contracts to Buy Contracts Expiration Value Value Gain
========================================================================================
<S> <C> <C> <C> <C> <C>
S&P 500 14 3/00 $5,141,175 $5,194,700 $53,525
========================================================================================
</TABLE>
7. Lending of Portfolio Securities
The Fund has an agreement with its custodian whereby the custodian may lend
securities owned by the Fund to brokers, dealers and other financial
organizations. Fees earned by the Fund on securities lending are recorded as
interest income. Loans of securities by the Fund are collateralized by cash,
U.S. government securities or high quality money market instruments that are
maintained at all times in an amount at least equal to the current market value
of the loaned securities, plus a margin depending on the type of securities
loaned. The custodian establishes and maintains the collateral in a segregated
account. The Fund maintains exposure for the risk of any losses in the
investment of amounts received as collateral.
At December 31, 1999, the Fund had no securities on loan.
8. Shares of Beneficial Interest
At December 31, 1999, the Fund had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. The Fund has the
ability to issue multiple classes of shares. Each share of a class represents an
identical interest and has the same rights, except that each class bears certain
direct expenses, including those specifically related to the distribution of its
shares.
At December 31, 1999, total paid-in capital amounted to the following for each
class:
Class A Class D
================================================================================
Total Paid-In Capital $215,986,352 $ 18,823,278
================================================================================
- --------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 25
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
Transactions in shares of the Fund were as follows:
<TABLE>
<CAPTION>
Period Ended Year Ended Period Ended
Dec. 31, 1999(a) Nov. 30, 1999 Nov. 30, 1998(b)(c)
=========================================================================================
<S> <C> <C> <C>
Class A
Shares sold 1,668,984 14,264,265 6,596,036
Shares issued on reinvestment 81,950 89,688 --
Shares reacquired (636,484) (3,247,873) (1,988,034)
- -----------------------------------------------------------------------------------------
Net Increase 1,114,450 11,106,080 4,606,002
=========================================================================================
Class D
Shares sold 381,854 2,270,347 175,689
Shares issued on reinvestment 10,193 5,161 --
Shares reacquired (2,964) (1,441,526) (24,728)
- -----------------------------------------------------------------------------------------
Net Increase 389,083 833,982 150,961
=========================================================================================
</TABLE>
(a) For the period from December 1, 1999 to December 31, 1999, which reflects
a change in the fiscal year end of the Fund.
(b) For Class A shares, transactions are for the period from January 5, 1998
(Inception date) to November 30, 1998.
(c) For Class D shares, transactions are for the period from August 4, 1998
(Inception date) to November 30, 1998.
- --------------------------------------------------------------------------------
26 1999 Annual Report to Shareholders
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
For a share of each class of beneficial interest outstanding throughout each
year ended November 30, except where noted:
<TABLE>
<CAPTION>
Class A
----------------------------------------------------
1999(1)(2) 1999(2) 1998(3)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period $ 14.24 $ 11.98 $ 10.00
- ---------------------------------------------------------------------------------------------
Income From Operations:
Net investment income(4) 0.01 0.12 0.05
Net realized and unrealized gain 0.83 2.27 1.93
- ---------------------------------------------------------------------------------------------
Total Income From Operations 0.84 2.39 1.98
- ---------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.08) (0.06) --
Net realized gains -- (0.07) --
- ---------------------------------------------------------------------------------------------
Total Distributions (0.08) (0.13) --
- ---------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.00 $ 14.24 $ 11.98
- ---------------------------------------------------------------------------------------------
Total Return 5.88%++ 19.96% 19.80%++
- ---------------------------------------------------------------------------------------------
Net Assets, End of Period (000s) $ 252,435 $ 223,787 $ 55,187
- ---------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(4)(5) 0.60%+ 0.59% 0.59%+
Net investment income 0.67+ 0.83 1.05+
- ---------------------------------------------------------------------------------------------
Portfolio Turnover Rate 0% 6% 4%
- ---------------------------------------------------------------------------------------------
</TABLE>
(1) For the period from December 1, 1999 to December 31, 1999, which reflects
a change in the fiscal year end of the Fund.
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period from January 5, 1998 (inception date) to November 30, 1998.
(4) The administrator agreed to waive all or a portion of its fees for the
period ended December 31, 1999, the year ended November 30, 1999 and for
the period ended November 30, 1998. In addition, the administrator agreed
to reimburse expenses of $15,109 and $177,520 for the periods ended
December 31, 1999 and November 30, 1998, respectively. If these fees were
not waived and expenses not reimbursed, the per share effect on net
investment income and the expense ratio would have been as follows:
Per Share Decreases to Expense Ratios Without
Net Investment Income Waiver and Reimbursement
----------------------- --------------------------
1999(1) $0.00 0.77%+
1999 0.01 0.68
1998 0.04 1.42+
(5) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 0.60%.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
- --------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 27
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights (continued)
- --------------------------------------------------------------------------------
For a share of each class of beneficial interest outstanding throughout each
year ended November 30, except where noted:
<TABLE>
<CAPTION>
Class D
--------------------------------------------------
1999(1)(2) 1999(2) 1998(3)
===========================================================================================
<S> <C> <C> <C>
Net Asset Value, Beginning of Period $ 14.28 $ 11.99 $ 11.00
- -------------------------------------------------------------------------------------------
Income From Operations:
Net investment income(4) 0.01 0.17 0.03
Net realized and unrealized gain 0.83 2.26 0.96
- -------------------------------------------------------------------------------------------
Total Income From Operations 0.84 2.43 0.99
- -------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.11) (0.07) --
Net realized gains -- (0.07) --
- -------------------------------------------------------------------------------------------
Total Distributions (0.11) (0.14) --
- -------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.01 $ 14.28 $ 11.99
- -------------------------------------------------------------------------------------------
Total Return 5.91%++ 20.29% 9.00%++
- -------------------------------------------------------------------------------------------
Net Assets, End of Period (000s) $ 20,626 $ 14,068 $ 1,810
- -------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(4)(5) 0.36%+ 0.34% 0.36%+
Net investment income 0.90+ 1.08 1.33+
- -------------------------------------------------------------------------------------------
Portfolio Turnover Rate 0% 6% 4%
===========================================================================================
</TABLE>
(1) For the period from December 1, 1999 to December 31, 1999, which reflects
a change in the fiscal year end of the Fund.
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period from August 4, 1998 (inception date) to November 30, 1998.
(4) The administrator agreed to waive all or a portion of its fees for the
period ended December 31, 1999, the year ended November 30, 1999 and for
the period ended November 30, 1998. In addition, the administrator agreed
to reimburse expenses of $15,109 and $177,520 for the periods ended
December 31, 1999 and November 30, 1998, respectively. If these fees were
not waived and expenses not reimbursed, the per share effect on net
investment income and the expense ratio would have been as follows:
Per Share Decreases to Expense Ratios Without
Net Investment Income Waiver and Reimbursement
----------------------- --------------------------
1999(1) $0.00 0.53%+
1999 0.01 0.43
1998 0.02 1.18+
(5) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 0.40%.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
- --------------------------------------------------------------------------------
28 1999 Annual Report to Shareholders
<PAGE>
- --------------------------------------------------------------------------------
Independent Auditors' Report
- --------------------------------------------------------------------------------
The Shareholders and Board of Trustees of
Smith Barney Investment Trust
We have audited the accompanying statement of assets and liabilities,
including the schedule of investments, of Smith Barney S&P 500 Index Fund of the
Smith Barney Investment Trust as of December 31, 1999, the related statement of
operations for the one month then ended and year ended November 30, 1999, and
the statements of changes in net assets and financial highlights for the one
month ended December 31, 1999, for the year ended November 30 1999, and for the
period from January 5, 1998 (commencement of operations) to November 30, 1998.
These financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian. As to securities sold
but not yet delivered, we performed other appropriate auditing procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
Smith Barney S&P 500 Index Fund of the Smith Barney Investment Trust as of
December 31, 1999, the results of its operations for the one month then ended
and year ended November 30, 1999, changes in its net assets and financial
highlights for the one month ended December 31, 1999, for the year ended
November 30, 1999 and the period from January 5, 1998 (commencement of
operations) to November 30, 1998, in conformity with generally accepted
accounting principles.
/s/ KPMG LLP
New York, New York
February 11, 2000
- --------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 29
<PAGE>
- --------------------------------------------------------------------------------
Tax Information (unaudited)
- --------------------------------------------------------------------------------
For federal tax purposes the fund hereby designates for the fiscal year ended
December 31, 1999:
o A corporate dividends received deduction of 100%
A total of 1.29% of the ordinary dividends paid by the Fund from net investment
income are derived from Federal obligations and may be exempt from taxation at
the state level.
- --------------------------------------------------------------------------------
30 1999 Annual Report to Shareholders
<PAGE>
Distributor
CFBDS, Inc.
Custodian
PNC Bank, N.A.
Transfer Agent
Smith Barney Private Trust Company
388 Greenwich Street, 22nd Floor
New York, New York 10013
Sub-Transfer Agent
PFPC Global Fund Services
P.O. Box 9699
Providence, Rhode Island 02940-9699
This report is submitted for the general information of the shareholders of
Smith Barney S&P 500 Index Fund. It is not authorized for distribution to
prospective investors unless accompanied or preceded by a current Prospectus for
the Fund, which contains information concerning the Fund's investment policies
and expenses as well as other pertinent information.
Salomon Smith Barney is a service mark of Salomon Smith Barney Inc.
Smith Barney
S&P 500 Index Fund
388 Greenwich Street, MF-2
New York, New York 10013
www.smithbarney.com/mutualfunds
FD1580 2/00
