-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, I4tx4kHDLiOu1gjIUkdJ2qAk5zCHE/zHA58MuFAjndRJRinhx7TAquGNqHUXYphn YHUF3+1gNzLgaWWfbtPAqQ== 0000930413-01-000550.txt : 20010308 0000930413-01-000550.hdr.sgml : 20010308 ACCESSION NUMBER: 0000930413-01-000550 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20001231 FILED AS OF DATE: 20010307 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CITIFUNDS TRUST I CENTRAL INDEX KEY: 0000744388 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-04006 FILM NUMBER: 1562579 BUSINESS ADDRESS: STREET 1: 125 BROAD ST 10TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10004 BUSINESS PHONE: 2122292554 FORMER COMPANY: FORMER CONFORMED NAME: LANDMARK FUNDS I DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: LANDMARK GROWTH & INCOME FUND DATE OF NAME CHANGE: 19900429 FORMER COMPANY: FORMER CONFORMED NAME: LANDMARKFUNDS MANAGED MUNICIPAL BOND TRUST DATE OF NAME CHANGE: 19860819 N-30D 1 0001.txt ANNUAL REPORT ANNUAL REPORT DECEMBER 31, 2000 CITI NASDAQ-100 INDEX SHARES A CLASS OF SHARES OF CITI NASDAQ-100 INDEX FUND [CitiFunds Logo] - -------------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE - -------------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 4 - -------------------------------------------------------------------------------- Fund Performance 5 - -------------------------------------------------------------------------------- Portfolio Highlights 6 - -------------------------------------------------------------------------------- Portfolio of Investments 7 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 10 - -------------------------------------------------------------------------------- Statement of Operations 10 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 11 - -------------------------------------------------------------------------------- Financial Highlights 12 - -------------------------------------------------------------------------------- Notes to Financial Statements 13 - -------------------------------------------------------------------------------- Independent Auditors' Report 16 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS [PHOTO OMITTED] Dear Shareholder: We are pleased to present the annual report for the Citi(SM) Nasdaq-100 Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000, can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Nasdaq-100 Index(R). The Nasdaq-100 Index includes the largest (based on market capitalization) and most active non-financial domestic and international stocks listed on The Nasdaq Stock Market. Thank you for your investment in the Citi Nasdaq-100 Index Shares, a class of shares of the Citi Nasdaq-100 Index Fund. Sincerely, /s/ Heath B. McLendon Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from inception on September 5, 2000 through December 31, 2000, Citi Nasdaq-100 Index Shares produced a total return of a negative 39.90%. In comparison, the Nasdaq-100 Index (the "Index") returned a negative 41.26% over the same period. While we are pleased to have outperformed the Index during this period, we want to point out that this is unusual. Over the long term, the Fund aims to achieve returns that replicate those of the Index. However, since the Fund has fees and expenses which the Index does not, the Fund's performance may slightly lag that of the Index. Investors in index funds such as this Fund should remember that the performance of the Fund is intended to correspond to the performance of the Index in good and bad markets over the short and long term. WITH THE U.S. ECONOMY GROWING ROBUSTLY DURING THE FIRST QUARTER OF 2000, MANY STOCK MARKET LEADERS AT THAT TIME COMPRISED THE NASDAQ-100 INDEX. These advances, however, were relatively short-lived. Partly because of the stock market's advance and the positive effect of rising wealth levels on consumer spending, the Federal Reserve Board (the "Fed") moved toward a more restrictive monetary policy. The Fed raised short-term interest rates three times during the first half of 2000 in an effort to constrain economic growth and forestall long-dormant inflationary pressures. THE FED'S POLICIES WERE APPARENTLY EFFECTIVE, BECAUSE THE SECOND HALF OF 2000 WAS CHARACTERIZED BY AN ECONOMIC SLOWDOWN IN THE U.S. With these slowing economic conditions, investor sentiment changed dramatically, and many investors sold technology and other growth(1) stocks amid concerns that a slower U.S. economy would adversely affect corporate earnings. Investor sentiment shifted to long-neglected value(2) stocks, which generally have low representation in the Nasdaq-100 Index. For its part, the Fed held interest rates steady during the second half of the year. These sudden shifts in economic growth, monetary policy and investor sentiment made 2000 a highly volatile year for the technology stocks that comprise a significant portion of the Nasdaq-100 Index. In September, the many stocks that comprise the Index endured a significant sell-off due to investors' flight from the technology sector. Technology issues declined by nearly 40% as investors feared a slowing economy and weak earnings growth. The Fund performed slightly better than the benchmark over this period as a result of cash held to facilitate shareholder activity. The performance of the Fund was volatile due to the extreme price fluctuations of stocks in the Index. PERHAPS THE MOST NOTABLE STOCK MARKET TREND OF 2000 ACROSS ALL SECTORS AND CAPITALIZATION RANGES WAS THE SHARP DECLINE IN STOCK PRICES AMONG THE TECHNOLOGY, TELECOMMUNICATIONS AND OTHER GROWTH-ORIENTED INDUSTRY GROUPS. After five years of producing attractive annualized gains, the technology-laden Nasdaq-100 Index fell more than 50% between its March 2000 high and its December 2000 low. - ---------- (1) Growth stocks are shares of companies with the potential for faster-than-average growth within their industries. (2) Value stocks are shares of companies that are considered to be inexpensive relative to their asset values or earning power. 2 Many analysts attribute the technology industry group's weakness to unrestrained investor enthusiasm for companies that they believed would prosper in the "New Economy."(3) Throughout 1999, many investors had bid up the prices of such stocks to extremely high valuations. Among the beneficiaries of investors' enthusiasm for the technology sector were many Internet-related companies that had yet to earn a profit, but were the subject of popular speculation that they might one day grow into industry leaders. Investor enthusiasm for technology stocks continued into the first quarter of 2000, with the Nasdaq-100 Index reaching a record high on March 24, 2000. At the same time, value-oriented industry groups--such as small cap healthcare, energy and consumer stocks that generally are not part of the Nasdaq-100 Index--declined in January, February and the first half of March 2000, due in large part to a general lack of investor interest. By the end of the first quarter, rising short-term interest rates had put pressure on corporate profitability. This led to a series of earnings disappointments by companies in a range of industries that continued throughout the year. This new environment of slower growth hit the technology sector particularly hard. Investors who had given little scrutiny to such "old school" fundamentals as price to earnings ratios suddenly became concerned that technology stock valuations had risen too far, too fast. Investors were quick to sell what they deemed to be overvalued technology stocks, which fell sharply in April 2000. DESPITE A SUMMER RALLY, TECHNOLOGY STOCKS AGAIN DECLINED FROM SEPTEMBER THROUGH DECEMBER 2000, TRIGGERING A "FLIGHT TO QUALITY" THAT BENEFITED MAINLY HIGH-QUALITY BONDS AND RELATIVELY DEFENSIVE, VALUE-ORIENTED STOCKS. Indeed, by the end of December 2000, some beaten-down technology stocks had reached valuations that made them attractive to some value-oriented investors. Technology stocks suffered immensely at the close of 2000, yet signs are beginning to emerge that the worst may be over for the tech-laden Nasdaq-100 Index. The telecommunications industry is approaching a crucial point. Until now, telecommunications companies were burdened with heavy fixed costs. But at present, costs appear to be moderating while demand has firmed and pricing has recovered. These developments should benefit the better telecommunications players' return on investment and may help to ease investors' concerns about a "glut" of supply. However, we think the halcyon days of technology may be over for the foreseeable future and greater competition and slower corporate spending on information technology will certainly act as a drag on the Nasdaq-100 Index in the first part of 2001. However, we expect technology to rebound in the latter part of 2001 as the Fed's rate cuts work their way through the economy. - ---------- (3) The New Economy represents those companies in the technology, telecommunications and Internet sectors. 3 FUND FACTS FUND OBJECTIVE To provide investment results that, before fees and expenses, correspond to the performance of the Nasdaq-100 Index. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Paid semi-annually, if any SUBADVISER CAPITAL GAINS State Street Bank and Trust Distributed annually, if any Company through its State Street Global Advisors division NET ASSETS AS OF 12/31/00 INDEX Citi Shares o Nasdaq-100 Index* $1.9 million * The Nasdaq-100 Index includes the largest (based on market capitalization) and most active non-financial domestic and international stocks listed on The Nasdaq Stock Market. 4 FUND PERFORMANCE TOTAL RETURNS SINCE 9/5/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* ================================================================================ Citi Shares (39.90%) Nasdaq-100 Index (41.26%) * Not Annualized GROWTH OF $10,000 INVESTED IN THE CITI SHARES VS NASDAQ-100 INDEX SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATION)-DECEMBER 31, 2000. [The table below represents a line chart in the printed piece.] Nasdaq-100 Index(R) Citi Shares ----------- ----------- 9/5/00 10000 10000 9/30/00 8955.59 8990 10/31/00 8232.65 8290 11/30/00 6287.2 6660 12/31/00 5873.77 6010 A $10,000 investment in the Citi Share class of the Fund made on inception date would have been $6,010 (as of 12/31/00). The graphs show how the performance of the Citi Shares compares to the Index, its benchmark, over the same period. The graph assumes all dividends and distributions are reinvested at Net Asset Value. Note: All Fund performance numbers represent past performance and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. The Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq(R) are trade or service marks of The Nasdaq Stock Market, Inc. (which with its affiliates are the Corporations) and are licensed for use by SSB Citi Fund Management LLC. The Fund has not been passed on by the Corporations as to their legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. 5 PORTFOLIO HIGHLIGHTS ================================================================================ TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS Cisco Systems, Inc., Computer Communications 6.04% - -------------------------------------------------------------------------------- Microsoft Corp., Packaged Software 4.90% - -------------------------------------------------------------------------------- Qualcomm Inc., Telecommunications Equipment 4.57% - -------------------------------------------------------------------------------- Intel Corp., Semi-Conductors 4.36% - -------------------------------------------------------------------------------- Oracle Corp., Packaged Softwares 4.17% - -------------------------------------------------------------------------------- Sun Microsystems, Inc., Computer Processing Hardware 2.43% - -------------------------------------------------------------------------------- JDS Uniphase Corp., Electronic Equipment & Instruments 2.41% - -------------------------------------------------------------------------------- VERITAS Software Corp., Packaged Softwares 2.15% - -------------------------------------------------------------------------------- Siebel Systems, Inc., Packaged Softwares 2.09% - -------------------------------------------------------------------------------- Amgen Inc., Biotechnology 1.90% - -------------------------------------------------------------------------------- PORTFOLIO DIVERSIFICATION AS OF DECEMBER 31, 2000 [Data below represents a pie chart in the printed piece.] Computer Peripherals 2% Restaurant 1% Telecommunications Equipment 10% Wireless Telecommunications Services 3% Semi-Conductors 14% Discount Stores 1% Electronic Components 2% Packaged Software 19% Medical Specialties 1% Specialty Retail 1% Major Telecommunications 1% Computer Processing Hardware 5% Electronic Production Equipment 1% Data Processing Services 2% Electronic Equipment & Instruments 4% Specialty Telecommunications 2% Commercial Services & Supplies 1% Information Technology Services 1% Internet Software Services 5% *Short-Term 4% Biotechnology 9% Apparel/Footware 1% Cable/Satellite TV 2% Computer Communications 8% * Includes cash and net other assets. 6 CITI NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK -- 96.1% - -------------------------------------------------------------------------------- ADVERTISING/MARKETING SERVICES -- 0.4% - -------------------------------------------------------------------------------- TMP Worldwide Inc. 201 $ 11,055 ----------- APPAREL/FOOTWEAR -- 0.7% - -------------------------------------------------------------------------------- Cintas Corp. 400 21,275 ----------- BIOTECHNOLOGY-- 8.8% - -------------------------------------------------------------------------------- Abgenix, Inc.* 150 8,859 Amgen Inc.* 913 58,375 Biogen, Inc.* 351 21,082 Chiron Corp.* 500 22,250 Genzyme Corp.* 200 17,988 Human Genome Sciences Inc. 235 16,288 IDEC Pharmaceuticals Corp. 101 19,145 Immunex Corp.* 1,405 57,078 MedImmune, Inc.* 436 20,792 Millennium Pharmaceuticals, Inc.* 450 27,844 ----------- 269,701 ----------- BROADCASTING -- 0.4% - -------------------------------------------------------------------------------- USA Networks, Inc.* 700 13,606 ----------- CABLE/SATELLITE TV -- 1.9% - -------------------------------------------------------------------------------- Adelphia Communications Corp.* 271 13,990 Comcast Corp. 826 34,486 EchoStar Communications Corp.* 460 10,465 ----------- 58,941 ----------- COMMERCIAL SERVICES & SUPPLIES -- 0.7% - -------------------------------------------------------------------------------- Concord EFS, Inc.* 471 20,695 ----------- COMPUTER COMMUNICATIONS -- 7.8% - -------------------------------------------------------------------------------- Cisco Systems, Inc.* 4,867 186,163 Juniper Networks, Inc.* 396 49,921 3Com Corp.* 400 3,400 ----------- 239,484 ----------- COMPUTERS PERIPHERALS -- 1.8% - -------------------------------------------------------------------------------- Network Appliance, Inc.* 639 41,016 Qlogic Corp.* 180 13,860 ----------- 54,876 ----------- COMPUTER PROCESSING HARDWARE -- 4.8% - -------------------------------------------------------------------------------- Apple Computer, Inc. 876 13,031 Dell Computer Corp.* 1,860 32,434 Palm, Inc.* 1,015 28,737 Sun Microsystems, Inc.* 2,687 74,900 ----------- 149,102 ----------- CONSUMER SERVICES -- 0.4% - -------------------------------------------------------------------------------- eBay Inc.* 400 13,200 ----------- CONTAINERS & PACKAGING -- 0.2% - -------------------------------------------------------------------------------- Smurfit-Stone Container Corp. 500 7,469 ----------- DATA PROCESSING SERVICES -- 1.5% - -------------------------------------------------------------------------------- Fiserv, Inc.* 300 14,231 Paychex, Inc. 670 32,579 ----------- 46,810 ----------- DISCOUNT STORES -- 0.6% - -------------------------------------------------------------------------------- Costco Wholesale Corp. 456 18,211 ----------- ELECTRICAL PRODUCTS -- 0.2% - -------------------------------------------------------------------------------- Molex Inc. 200 7,100 ----------- ELECTRONIC COMPONENTS -- 1.6% - -------------------------------------------------------------------------------- Flextronics International Ltd.* 882 25,137 Sanmina Corp.* 300 22,988 ----------- 48,125 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS -- 3.6% - -------------------------------------------------------------------------------- Gemstar-TV Guide International, Inc.* 830 38,284 JDS Uniphase Corp.* 1,778 74,120 ----------- 112,404 ----------- ELECTRONIC PRODUCTION EQUIPMENT -- 1.5% - -------------------------------------------------------------------------------- Applied Materials, Inc. 810 30,932 KLA-Tencor Corp.* 435 14,654 ----------- 45,586 ----------- INFORMATION TECHNOLOGY SERVICES -- 1.2% - -------------------------------------------------------------------------------- Citrix Systems, Inc.* 425 9,563 Peoplesoft, Inc.* 765 28,448 ----------- 38,011 ----------- INTERNET RETAIL -- 0.2% - -------------------------------------------------------------------------------- Amazon Com Inc. 448 6,972 ----------- 7 CITI NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- INTERNET SOFTWARE/SERVICES -- 5.0% - -------------------------------------------------------------------------------- Ariba, Inc.* 447 $ 23,970 At Home Corp.* 600 3,319 BEA Systems, Inc.* 668 44,964 Broadvision, Inc* 600 7,088 CMGI Inc.* 700 3,916 CNET Networks, Inc* 300 4,795 Exodus Communications Inc. 887 17,740 Inktomi Corp. 201 3,593 Real Networks, Inc.* 300 2,606 VeriSign, Inc.* 360 26,708 Yahoo! Inc.* 519 15,659 ----------- 154,358 ----------- MAJOR TELECOMMUNICATIONS -- 0.9% - -------------------------------------------------------------------------------- WorldCom, Inc.* 2,001 28,139 ----------- MEDICAL SPECIALTIES -- 0.6% - -------------------------------------------------------------------------------- Biomet, Inc 464 18,415 ----------- PACKAGED SOFTWARE-- 19.3% - -------------------------------------------------------------------------------- Adobe Systems Inc. 455 26,475 BMC Software, Inc.* 400 5,600 Check Point Software Technologies Ltd.* 295 39,401 Compuware Corp* 500 3,125 Intuit Inc.* 500 19,719 i2 Technologies, Inc. 841 45,729 Mercury Interactive Corp. 166 14,982 Microsoft Corp.* 3,480 150,945 Novell, Inc.* 800 4,175 Oracle Corp.* 4,425 128,602 Parametric Technology Corp.* 715 9,608 Rational Software Corp. 381 14,835 Siebel Systems, Inc.* 954 64,514 VERITAS Software Corp. 758 66,324 ----------- 594,034 ----------- RECREATIONAL PRODUCTS -- 0.4% - -------------------------------------------------------------------------------- Electronic Arts Inc.* 257 10,955 ----------- RESTAURANTS -- 0.7% - -------------------------------------------------------------------------------- Starbucks Corp.* 500 22,125 ----------- SEMI-CONDUCTORS-- 14.4% - -------------------------------------------------------------------------------- Altera Corp.* 1,077 28,339 Applied Micro Circuits Corp.* 663 49,756 Atmel Corp. 700 8,138 Broadcom Corp. 269 22,595 Conexant Systems Inc. 500 7,688 Intel Corp. 4,468 134,319 Linear Technology Corp. 818 37,832 Maxim Integrated Products, Inc.* 769 36,768 Microchip Technology Inc.* 192 4,212 PMC Sierra, Inc.* 341 26,810 SDL, Inc.* 175 25,933 Vitesse Semiconductor Corp.* 376 20,798 Xilinx, Inc.* 845 38,975 ----------- 442,163 ----------- SPECIALTY RETAIL -- 0.8% - -------------------------------------------------------------------------------- Bed Bath & Beyond Inc.* 735 16,445 Staples, Inc.* 600 7,088 ----------- 23,533 ----------- SPECIALTY TELECOMMUNICATIONS -- 2.1% - -------------------------------------------------------------------------------- Level 3 Communications, Inc.* 500 16,406 McLeod USA Inc.* 921 13,009 Metromedia Fiber Network, Inc.* 1,021 10,338 Pan Am Sat Corp.* 400 13,875 XO Communications, Inc.* 600 10,688 ----------- 64,316 ----------- TELECOMMUNICATIONS EQUIPMENT -- 10.4% - -------------------------------------------------------------------------------- ADC Telecommunications Inc.* 1,855 33,622 CIENA Corp.* 645 52,406 Comverse Technology, Inc.* 330 35,846 Ericsson AB 2,060 23,046 Qualcomm Inc.* 1,712 140,705 RF Micro Devices, Inc.* 357 9,795 Tellabs, Inc.* 452 25,538 ----------- 320,958 ----------- TRUCKS/CONSTRUCTION/FARM MACHINERY -- 0.3% - -------------------------------------------------------------------------------- Paccar Inc. 166 8,176 WIRELESS TELECOMMUNCATION SERVICES -- 2.9% - -------------------------------------------------------------------------------- Nextel Communications Inc. 1,773 43,882 Voicestream Wireless Corp.* 463 46,589 ----------- 90,471 ----------- 8 CITI NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER VALUE - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Identified Cost -- $4,778,984) $ 2,960,266 ----------- SHORT-TERM OBLIGATIONS -- 0.0% - -------------------------------------------------------------------------------- Federated Prime Cash Obligation Fund 4.58% due 1/02/01 (Identified Cost -- $114) 114 ----------- TOTAL INVESTMENTS (Identified Cost-- $4,779,098) 96.1% 2,960,380 OTHER ASSETS, LESS LIABILITIES 3.9 119,936 ----- ----------- NET ASSETS 100.0% $ 3,080,316 ===== =========== *Non-income producing security See notes to financial statements 9 CITI NASDAQ-100 INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $4,779,098) $2,960,380 Cash 97,598 Dividend receivable 191 Receivable for fund share sold 21,800 Receivable from the Manager 85,364 - -------------------------------------------------------------------------------- Total assets 3,165,333 - -------------------------------------------------------------------------------- LIABILITIES: Payable for shares of beneficial interest repurchased 20,595 Accrued expenses and other liabilities 64,422 - -------------------------------------------------------------------------------- Total liabilities 85,017 - -------------------------------------------------------------------------------- NET ASSETS $3,080,316 ================================================================================ NET ASSETS CONSIST OF: Paid-in capital $5,133,556 Unrealized depreciation (1,818,718) Accumulated net realized loss on investments (234,522) - -------------------------------------------------------------------------------- Total $3,080,316 ================================================================================ COMPUTATION OF SMITH BARNEY SHARES: Net Asset Value, offering price and redemption price per share ($1,144,340/185,325 shares outstanding) $6.17 ================================================================================ COMPUTATION OF CITI SHARES: Net Asset Value, offering price and redemption price per share ($1,935,976/321,882 shares outstanding) $6.01 ================================================================================ STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Dividend income $ 454 Interest income 3,912 - -------------------------------------------------------------------------------- $ 4,366 EXPENSES: Management fees (Note 2) $ 4,236 Distribution fees Smith Barney Shares (Note 3) 394 Custody and fund accounting fees 25,309 Legal fees 22,080 Audit fees 16,000 Shareholder reports 12,740 Licensing fees 10,000 Transfer agent fees 7,573 Registration fees 1,364 Trustees fees 1,300 Other 6,255 - -------------------------------------------------------------------------------- Total expenses 107,251 Less: expense assumed by the Manager (Note 7) (85,364) Less: aggregate amount waived by the Manager (Note 2) (3,671) - -------------------------------------------------------------------------------- Net expenses 18,216 - -------------------------------------------------------------------------------- Net investment loss (13,850) - -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss from investment transactions (234,522) Unrealized depreciation (1,818,718) - -------------------------------------------------------------------------------- Net realized and unrealized loss on investments (2,053,240) - -------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(2,067,090) ================================================================================ See notes to financial statements 10 CITI NASDAQ-100 INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment loss $ (13,850) Net realized loss (234,522) Unrealized depreciation (1,818,718) - -------------------------------------------------------------------------------- Net decrease in net assets resulting from operations (2,067,090) - -------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST: (Note 6): SMITH BARNEY SHARES* Net proceeds from sale of shares 1,534,467 Net asset value of shares issued to shareholders from reinvestment of distributions -- Cost of shares repurchased (71,526) - -------------------------------------------------------------------------------- Total Smith Barney Shares 1,462,941 - -------------------------------------------------------------------------------- CITI SHARES** Net proceeds from sale of shares 5,011,370 Net asset value of shares issued to shareholders from reinvestment of distributions -- Cost of shares repurchased (1,326,905) - -------------------------------------------------------------------------------- Total Citi Shares 3,684,465 - -------------------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 5,147,406 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 3,080,316 - -------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period $ 3,080,316 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. See notes to financial statements 11 CITI NASDAQ-100 INDEX FUND FINANCIAL HIGHLIGHTS CITI SHARES ----------------- FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $ 10.00 - -------------------------------------------------------------------------------- Income From Operations: Net investment loss (0.031) Net realized and unrealized loss (3.959) - -------------------------------------------------------------------------------- Total from operations (3.990) - -------------------------------------------------------------------------------- Less Distributions From: Net investment income -- Net realized gain -- - -------------------------------------------------------------------------------- Total distributions -- - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 6.01 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $ 1,936 Ratio of expenses to average net assets 1.18%* Ratio of net investment loss to average net assets (0.83)%* Portfolio turnover 17% Total return (39.90)%** Note: If Agents of the Fund had not voluntarily agreed to waive all of their fees for the period, and the Manager had not voluntarily assumed expenses, the net investment income per share and the ratios would have been as follows: Net investment loss per share $ (0.267) RATIOS: Expenses to average net assets 7.44%* Net investment loss to average net assets (7.10)%* ================================================================================ * Annualized ** Not Annualized See notes to financial statements 12 CITI NASDAQ-100 INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi Nasdaq-100 Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund offers two classes of shares: the Smith Barney Shares, which commenced operations on September 11, 2000, and the Citi Shares, which commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities exchanges or reported through the NASDAQ system are valued at last sale prices. Unlisted securities or listed securities for which last sale prices are not available are valued at last quoted bid prices. Debt securities (other than short-term obligations maturing in sixty days or less), are valued on the basis of valuations furnished by pricing services approved by the Board of Trustees which take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations, maturing in sixty days or less, are valued at amortized cost, which constitutes fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2000, the Fund, for federal income tax purposes, had a capital loss carryover of $6,597, which will expire on December 31, 2008. Such capital loss carryover will reduce the Fund's taxable income arising from future net realized gain on investment transactions, if any, to the extent permitted by the Internal Revenue code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. 13 CITI NASDAQ-100 INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. For the year ended December 31, 2000, the Fund reclassified $13,850 from paid-in-capital to accumulated net investment loss. E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F. OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.30% of the Fund's average daily net assets. SSBC has delegated the daily management of the Fund to State Street Bank and Trust Company, which will act as a Subadviser through its State Street Global Advisors division. The management fees paid to SSBC amounted to $4,236, of which $3,671 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. acts as the Fund distributor. Salomon Smith Barney Inc. ("SSB") is a subsidiary of Salomon Smith Barney Holding Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDS is responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $12,781 to CFTC. Pursuant to a Distribution Plan, the Fund pays a service fee with respect to Smith Barney Shares calculated at an annual rate of 0.20% of the average daily net assets. The Service Fee amounted to $394 for the period ended December 31, 2000. 14 CITI NASDAQ-100 INDEX FUND NOTES TO FINANCIAL STATEMENTS 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $5,658,173 and $644,668, respectively, for the year ended December 31, 2000. 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $ 4,807,829 ================================================================================ Gross unrealized appreciation $ 87,553 Gross unrealized depreciation (1,935,002) - -------------------------------------------------------------------------------- Net unrealized depreciation $(1,847,449) ================================================================================ 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ SMITH BARNEY SHARES* Shares sold 197,243 Shares issued to shareholders from reinvestment of distributions -- Shares repurchased (11,918) - -------------------------------------------------------------------------------- Net increase 185,325 ================================================================================ CITI SHARES** Shares sold 501,310 Shares issued to shareholders from reinvestment of distributions -- Shares repurchased (179,428) - -------------------------------------------------------------------------------- Net increase 321,882 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the unwaived expenses of the Fund for the year ended December 31, 2000, which amounted to $85,364. 15 CITI NASDAQ-100 INDEX FUND INDEPENDENT AUDITORS' REPORT To the Shareholders and Board of Trustees of the Citi Nasdaq-100 Index Fund We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi Nasdaq-100 Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the Custodian. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi Nasdaq-100 Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 16 TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon*, PRESIDENT Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* *AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi Small Cap Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi Small Cap Index Fund. (C) 2001 Citicorp [RECYCLE LOGO] Printed on recycled paper FD02211 2/01 ANNUAL REPORT DECEMBER 31, 2000 CITI SMALL CAP INDEX SHARES A CLASS OF SHARES OF CITI SMALL CAP INDEX FUND [CitiFunds Logo] - -------------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE - -------------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 5 - -------------------------------------------------------------------------------- Fund Performance 6 - -------------------------------------------------------------------------------- Portfolio Highlights 7 - -------------------------------------------------------------------------------- Portfolio of Investments 8 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 24 - -------------------------------------------------------------------------------- Statement of Operations 25 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 26 - -------------------------------------------------------------------------------- Financial Highlights 27 - -------------------------------------------------------------------------------- Notes to Financial Statements 28 - -------------------------------------------------------------------------------- Independent Auditors' Report 31 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS [PHOTO OMITTED] Dear Shareholder: We are pleased to present the annual report for the Citi(SM) Small Cap Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Russell 2000(R) Index. The Russell 2000 Index is comprised of the 2,000 smallest companies out of the 3,000 largest U.S. public companies based on total market capitalization. Thank you for your investment in the Citi Small Cap Index Shares, a class of shares of Citi Small Cap Index Fund. Sincerely, /s/ Heath B. McLendon Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from inception on September 5, 2000 through December 31, 2000, Citi Small Cap Index Shares produced a total return of negative 8.57%. In comparison, the Russell 2000 Index (the "Index") returned negative 9.86% over the same period. While the Fund has outperformed the Index during this period, we want to point out that this is unusual. Over the long term, the Fund aims to achieve returns that replicate those of the Index. However, since the Fund has fees and expenses which the Index does not, the Fund's performance may slightly lag that of the Index. Investors in index funds such as this should remember that the performance of the Fund will reflect the performance of this Index in good and bad markets, over the short and long term. TO A LARGE DEGREE, THE PERFORMANCE OF THE RUSSELL 2000 INDEX OVER THE PAST YEAR REFLECTED BROADER TRENDS IN THE U.S. ECONOMY. When the U.S. economy was growing robustly during the first half of 2000, the growth areas of the small-capitalization stock market also generally grew, and the market leaders were the stocks that many investors expected would benefit most from a strong economy. The Federal Reserve Board (the "Fed") moved toward a more restrictive monetary policy during the first six months of 2000, raising short-term interest rates three times during the period in an effort to constrain economic growth and forestall long-dormant inflationary pressures. THE FED'S MONETARY POLICIES APPARENTLY WERE EFFECTIVE, BECAUSE THE SECOND HALF OF 2000 SAW AN ECONOMIC SLOWDOWN IN THE U.S. With these slowing economic conditions, many investors changed their emphasis and sold growth stocks(1) amid concerns that a slower U.S. economy might adversely affect corporate earnings. Investor sentiment shifted to long-neglected value(2) stocks that many believed were selling at more reasonable prices relative to their earnings and other measures of value. For its part, the Fed held interest rates steady throughout the second half of the year. THESE SHIFTS IN ECONOMIC GROWTH, MONETARY POLICY AND INVESTOR SENTIMENT MADE 2000 A HIGHLY VOLATILE AND CHALLENGING YEAR FOR THE U.S. STOCK MARKET, INCLUDING SMALL-CAPITALIZATION STOCKS. Within the small-capitalization stock market, performance was widely divergent between growth-oriented stocks, such as technology companies and value-oriented stocks such as energy and healthcare providers. Some suspect that this is mainly because, during the first quarter of 2000, many investors turned away from the most highly valued companies and toward more reasonably valued companies. PERHAPS ONE OF THE MOST NOTABLE STOCK MARKET TRENDS OF 2000 ACROSS ALL CAPITALIZATION RANGES WAS THE SHARP DECLINE IN STOCK PRICES AMONG TECHNOLOGY, TELECOMMUNICATIONS AND OTHER GROWTH-ORIENTED SECTORS. After five years of producing attractive annualized gains of more than 20%, the technology-laden Nasdaq Composite Index (which shares some holdings with the Russell 2000 Index, but also includes stocks that are too large for inclusion in the Index) fell nearly 50% (1) Growth stocks are shares of companies with the potential for faster-than-average growth within their industries. (2) Value stocks are the shares of companies that are considered to be inexpensive relative to their asset values or earning power. 2 between its March 2000 high and its December 2000 low. Many analysts attribute the technology group's weakness to unrestrained investor enthusiasm for companies that they believed would prosper in the "New Economy."(3) During 1999, many investors bid up the prices of such stocks to extremely high valuations. Among the beneficiaries of this early enthusiasm for technology were many small Internet-related companies that had yet to earn profits, but were the subject of popular speculation that they might one day grow into industry leaders. During this period of technology dominance, small-capitalization stocks had higher returns on average than their large-cap counterparts. In addition, within the small-capitalization market, the growth style of investing generally produced higher returns versus the value style. INVESTOR ENTHUSIASM FOR TECHNOLOGY STOCKS CONTINUED INTO THE FIRST QUARTER OF 2000, WITH MANY GROWTH AND TECHNOLOGY SECTOR INDEXES REACHING NEW HIGHS. At the same time, other areas of the small-capitalization stock market languished. For example, value-oriented industry groups, such as small cap healthcare, energy and consumer stocks, generally declined in January, February and the first half of March 2000 because of a general lack of investor interest. By the end of the first quarter, rising short-term interest rates had put pressure on corporate profitability. This led to a series of earnings disappointments by companies in a range of industries that continued throughout the year. This new environment of slower growth hit the technology sector particularly hard. Investors who had given little scrutiny to such "old school" fundamentals as price to earnings ratios suddenly became concerned that technology stock valuations had risen too far, too fast. Yet, from mid-March through the end of 2000, smaller-capitalization stocks overall continued to produce higher returns than larger capitalization stocks. When it later appeared that the economy was slowing and inflation was likely to remain subdued, some investors shifted assets to stocks that tend to do well in a slower growth economy, including previously neglected healthcare, financial services, utility and consumer staples companies. In addition, many investors favored energy stocks because of the positive effects on earnings of high crude oil prices. DESPITE A SUMMER RALLY, TECHNOLOGY STOCKS AGAIN DECLINED IN NOVEMBER AND DECEMBER 2000, TRIGGERING A "FLIGHT TO QUALITY" THAT BENEFITED MAINLY HIGH-QUALITY BONDS AND RELATIVELY DEFENSIVE, VALUE-ORIENTED STOCKS. Indeed, by the end of December, some technology stocks had reached valuations that made them attractive to value-oriented investors. Other market laggards at the time included aluminum, iron and steel manufacturers, long-distance telecommunications firms and retail businesses. On the other hand, the traditional value-oriented sectors continued to attract more capital, especially benefiting the healthcare industry group, which includes pharmaceutical and biotechnology companies, hospitals, generic drug companies and managed care firms. Financial shares ended the year on a particularly strong note when the Fed hinted that it might cut rates in 2001. (3) The New Economy represents those companies in the technology, telecommunications and Internet sectors. 3 We are moderately positive on small-capitalization stocks in the coming year. After a challenging 2000, the outlook for 2001 seems better. For one thing, we think that the market has already priced in many of the foreseeable downside risks--a weak economy, a weaker capital investment environment and slower earnings growth. Moreover, the recent rally in high-yield bonds may be a positive development for small-capitalization stocks. Some small-cap companies may be potential takeover or acquisition targets for larger-sized companies, and improving high-yield market conditions may act as a catalyst for more leveraged buy-outs of small-cap companies. In our view, small-capitalization stocks represent outstanding long-term investment opportunities. The caveat: investors in this area of the market need to be prepared for higher levels of risk and price volatility over the short term. 4 FUND FACTS FUND OBJECTIVE To provide investment results that, before fees and expenses, correspond to the performance of the Russell 2000 Index. INVESTMENT MANAGER DIVIDENDS SSBCiti Fund Manager LLC Paid annually, if any SUBADVISER CAPITAL GAINS State Street Bank & Trust Distributed annually, if any Company through its State Street Global Advisors division NET ASSETS AS OF 12/31/00 BENCHMARKS Citi Index Shares Russell 2000 Index $13.3 million 5 CITI SMALL CAP INDEX FUND FUND PERFORMANCE TOTAL RETURNS SINCE 9/5/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* - -------------------------------------------------------------------------------- Citi Shares (8.57)% Russell 2000 Index (9.86)% * Not Annualized GROWTH OF $10,000 INVESTED IN THE CITI SHARES VS RUSSELL 2000 INDEX SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATION) - DECEMBER 31, 2000. [The table below represents a line chart in the printed piece.] Russell 2000 Index Citi Shares 9/5/00 10000 10000 9/30/00 9683.27 9740 10/31/00 9251.4 9350 11/30/00 8301.28 8420 12/31/00 9014.36 9143.5 A $10,000 investment in the Citi Share class of the Fund made on inception date would have been $9,144 (as of 12/31/00). The graph shows how the performance of the Citi Shares compares to the Index, its benchmark, over the same period. The graph assumes all dividends and distributions are reinvested at Net Asset Value. Note: All Fund performance numbers represent past performance and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. The Russell 2000(R) Index is a trademark/service mark of the Frank Russell Company. Russell(TM) is a trademark of the Frank Russell Company. The Fund is not sponsored, endorsed, sold or promoted by the sponsor of the Index, and the sponsor of the Index is not in any way affiliated with the Fund. The Sponsor of the Index makes no representation or warranty, implied or express, regarding the advisability of investing in the Fund. 6 PORTFOLIO HIGHLIGHTS TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS Laboratory Corp., Service to the Health Industry 0.4% - -------------------------------------------------------------------------------- Manugistics Group Inc., Package Software 0.3% - -------------------------------------------------------------------------------- Caremark Rx Inc., Managed Health Care 0.3% - -------------------------------------------------------------------------------- Invitrogen Corp., Biotechnology 0.3% - -------------------------------------------------------------------------------- Investors Financial Services Corp., Investment Bank/Brokers 0.3% - -------------------------------------------------------------------------------- Health Net Inc., Managed Health Care 0.3% - -------------------------------------------------------------------------------- Amerisource Health Corp., Medical Distributors 0.3% - -------------------------------------------------------------------------------- Lincare Holdings Inc., Medical/Nursing Services 0.3% - -------------------------------------------------------------------------------- Humana Inc., Managed Health Care 0.3% - -------------------------------------------------------------------------------- Interwoven Inc., Internet Software/Services 0.3% - -------------------------------------------------------------------------------- 7 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK -- 99.6% - -------------------------------------------------------------------------------- ADVERTISING/MARKETING SERVICES -- 0.6% - -------------------------------------------------------------------------------- 24 / 7 Media, Inc.* 500 $ 266 ACNielson Corp 1,000 36,250 Advo, Inc. 300 13,313 Direct Focus, Inc.* 201 6,746 Grey Global Group Inc 10 6,500 HA-LO Industries, Inc.* 1,900 4,275 LifeMinders, Inc.* 300 1,050 R. H. Donnelley Corp* 600 14,588 Wink Communications, Inc.* 400 2,400 ----------- 85,388 ----------- AEROSPACE & DEFENSE -- 1.1% - -------------------------------------------------------------------------------- Aeroflex Inc 1,000 28,827 Alliant Techsystems Inc. 150 10,012 Esterline Technologies Corp* 500 13,125 FuelCell Energy, Inc.* 200 13,712 Kaman Corp 700 11,812 Microvision, Inc.* 200 3,500 Newport News Shipbuilding Inc 519 26,987 Primex Technologies, Inc. 144 4,590 REMEC, Inc.* 700 6,738 SBS Technologies, Inc.* 190 5,688 Teledyne Technologies Inc 600 14,175 Trimble Navigation Ltd* 400 9,600 Triumph Group, Inc.* 179 7,339 ----------- 156,105 ----------- AGRICULTRUAL COMMODITIES/MILLING -- 0.4% - -------------------------------------------------------------------------------- Agribrands International, Inc. 200 10,700 Cadiz Inc* 1,000 8,938 Corn Products International, Inc. 700 20,343 Delta and Pine Land Co 700 14,655 ----------- 54,636 ----------- AIR FREIGHT & COURIERS -- 0.3% - -------------------------------------------------------------------------------- Airborne, Inc. 900 8,775 Atlas Air, Inc. 300 9,788 Eagle USA Airfreight, Inc.* 600 14,363 ----------- 32,926 ----------- AIRLINES -- 0.5% - -------------------------------------------------------------------------------- AirTran Holdings, Inc. 906 6,569 Alaska Air Group, Inc. 400 11,900 America West Holdings Corp 700 8,969 Atlantic Coast Airlines Holdings, Inc. 261 10,668 Frontier Airlines, Inc.* 277 8,570 SkyWest, Inc. 800 23,000 ----------- 69,676 ----------- ALTERNATIVE POWER GENERATION -- 0.1% - -------------------------------------------------------------------------------- Ogden Corp* 800 12,300 ----------- APPAREL/FOOTWEAR -- 0.8% - -------------------------------------------------------------------------------- Kellwood Co 372 7,859 Nautica Enterprises, Inc.* 440 6,703 Polo Ralph Lauren Corp* 1,000 22,313 Quiksilver, Inc.* 348 6,743 Reebok International Ltd* 800 21,872 Russell Corp 600 9,263 The Timberland Co* 300 20,063 Wolverine World Wide, Inc. 1,000 15,250 ----------- 110,066 ----------- APPAREL/FOOTWEAR RETAIL -- 1.8% - -------------------------------------------------------------------------------- Abercrombie & Fitch Co. 1,500 30,000 American Eagle Outfitters, Inc. 400 16,900 Ann Taylor Stores Corp 500 12,469 Charming Shoppes, Inc.* 2,200 13,200 Chico's FAS, Inc.* 300 6,263 Claire's Stores, Inc. 700 12,556 Factory 2-U Stores Inc* 200 6,625 Footstar, Inc.* 400 19,800 Genesco Inc* 330 8,064 Pacific Sunwear of California, Inc.* 600 15,375 Payless Shoe Source, Inc.* 400 28,300 The Children's Place Retail Stores, Inc. 400 8,100 The Dress Barn, Inc.* 233 6,757 The Men's Wearhouse, Inc.* 600 16,350 Too Inc* 600 7,500 Venator Group, Inc. 2,200 34,100 ----------- 242,359 ----------- AUTO PARTS: OEM -- 0.8% - -------------------------------------------------------------------------------- ArvinMeritor, Inc. 1,200 13,650 BorgWarner, Inc. 400 16,000 Delco Remy International, Inc.* 1,200 10,350 Federal-Mogul Corp 1,400 3,238 Lear Corp* 1,100 27,294 Modine Manufacturing Co 500 10,375 Superior Industries International, Inc. 400 12,625 Tower Automotive, Inc.* 900 8,100 ----------- 101,632 ----------- 8 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- AUTOMOTIVE AFTERMARKET -- 0.5% - -------------------------------------------------------------------------------- Bandag, Inc 176 $ 7,139 Barnes Group Inc. 500 9,938 Carlisle Companies Inc 500 21,469 CLARCOR Inc 500 10,344 Cooper Tire & Rubber Co 1,300 13,813 ----------- 62,703 ----------- BEVERAGES: ALCOHOLIC -- 0.2% - -------------------------------------------------------------------------------- Constellation Brands, Inc. 200 11,750 The Robert Mondavi Corp* 125 6,766 ----------- 18,516 ----------- BIOTECHNOLOGY -- 4.1% - -------------------------------------------------------------------------------- Advanced Tissue Sciences, Inc. 1,300 3,941 Alexion Pharmaceuticals, Inc. 200 12,988 Amylin Pharmaceuticals, Inc. 1,000 7,875 Aphton Corp 400 7,200 Aurora Bioscience Corp 300 9,431 AVANT Immunotherapeutics, Inc. 1,000 6,875 Avigen, Inc. 300 6,225 Bio-Technology General Corp. 1,000 7,063 BioCryst Pharmaceuticals, Inc. 300 1,986 Biopure Corp 212 4,240 CV Therapeutics, Inc.* 300 21,225 Cell Genesys, Inc.* 600 13,687 Corixa Corp* 701 19,540 Cubist Pharmaceuticals, Inc.* 400 11,600 CuraGen Corp* 400 10,925 CYTOGEN Corp* 1,300 3,047 DUSA Pharmaceuticals, Inc.* 300 5,044 Emisphere Technologies, Inc.* 300 7,500 Enzon, Inc.* 600 37,238 Enzo Biochem, Inc. 400 9,950 Gene Logic Inc* 400 7,350 Genome Therapeutics Corp* 400 2,788 Genzyme Transgenics Corp* 300 4,294 Geron Corp* 400 6,175 Guilford Pharmaceuticals Inc* 500 9,000 IDEXX Laboratories, Inc.* 600 13,200 ILEX Oncology, Inc.* 500 13,156 ImmunoGen, Inc.* 700 15,004 Immunomedics, Inc.* 500 10,750 Invitrogen Corp* 500 43,184 Isis Pharmaceuticals, Inc.* 900 9,562 Ligand Pharmaceuticals Inc* 1,000 14,000 MGI Pharma, Inc.* 300 4,950 Maxim Pharmaceuticals, Inc.* 400 2,550 Myriad Genetics, Inc.* 300 24,825 NPS Pharmaceuticals, Inc.* 300 14,400 Neurocrine Biosciences, Inc.* 400 13,250 Neurogen Corp* 300 10,538 OSI Pharmaceuticals, Inc.* 400 32,050 Organogenesis Inc* 700 6,293 Pharmacyclics, Inc. 300 10,275 Regeneron Pharmaceuticals, Inc.* 300 10,580 SICOR Inc* 900 12,993 SuperGen, Inc.* 500 6,937 Texas Biotechnology Corp* 800 6,872 Titan Pharmaceuticals, Inc.* 400 14,147 Transkaryotic Therapies, Inc.* 400 14,575 Trimeris, Inc.* 300 16,462 Vical Inc* 400 7,400 ----------- 565,140 ----------- BROADCASTING -- 0.6% - -------------------------------------------------------------------------------- Citadel Communications Corp* 700 8,400 Paxson Communications Corp* 900 10,744 Sinclair Broadcast Group, Inc.* 1,100 11,034 Sirius Satellite Radio Inc* 600 17,963 The Liberty Corp 300 12,206 United Television, Inc. 100 11,600 Xm Satellite Radio Holdings Inc* 300 4,819 Young Broadcasting Inc* 300 10,045 ----------- 86,811 ----------- BUILDING PRODUCTS -- 0.4% - -------------------------------------------------------------------------------- Armstrong Holdings, Inc. 900 1,856 Dal-Tile International Inc* 1,200 17,025 Interface, Inc. 701 6,090 Lennox International Inc 700 5,425 Simpson Manufacturing Co., Inc.* 128 6,528 York International Corp 700 21,481 ----------- 58,405 ----------- CABLE/SATELLITE TV -- 0.2% - -------------------------------------------------------------------------------- ACTV, Inc. 700 2,975 Insight Communications Company, Inc.* 800 18,800 Nucentrix Broadband Networks, Inc.* 400 4,500 ----------- 26,275 ----------- 9 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- CASINOS/GAMING -- 0.4% - -------------------------------------------------------------------------------- Aztar Corp 700 $ 9,056 Churchill Downs Inc 178 5,307 GTECH Holdings Corp* 600 12,338 Isle Capri Casinos, Inc.* 600 6,375 Pinnacle Entertainment, Inc. 500 6,750 Station Casinos, Inc.* 700 10,456 ----------- 50,282 ----------- CATALOG/SPECIALTY DISTRIBUTION -- 0.1% - -------------------------------------------------------------------------------- Insight Enterprises, Inc.* 600 10,763 Value Vision International, Inc.* 600 7,575 ----------- 18,338 ----------- CHEMICALS: AGRICULTURAL -- 0.1% - -------------------------------------------------------------------------------- The Scotts Co* 300 11,081 ----------- CHEMICALS: MAJOR DIVERSIFIED -- 0.2% - -------------------------------------------------------------------------------- Solutia Inc 1,700 20,400 ----------- CHEMICALS: SPECIALTY -- 1.9% - -------------------------------------------------------------------------------- A. Schulman, Inc. 900 10,350 Airgas, Inc. 794 5,409 Albemarle Corp 400 9,900 Calgon Carbon Corp 1,100 6,256 Cambrex Corp 400 18,100 ChemFirst Inc 400 8,825 Crompton Corp 2,000 21,000 Cytec Industries Inc* 600 23,963 Georgia Gulf Corp 493 8,412 Great Lakes Chemical Corp 700 26,031 Millennium Chemicals Inc 1,100 19,938 NL Industries, Inc. 327 7,930 Olin Corp 700 15,488 OM Group, Inc. 400 21,850 PolyOne Corp 1,508 8,860 Sensient Technologies Corp 800 18,200 The Lubrizol Corp 900 23,175 W.R. Grace & Co* 1,400 4,463 ----------- 258,150 ----------- COAL -- 0.1% - -------------------------------------------------------------------------------- CONSOL Energy Inc 393 10,979 ----------- COMMERCIAL PRINTING/FORMS -- 0.4% - -------------------------------------------------------------------------------- Banta Corp 500 12,710 Bowne & Co, Inc. 1,000 10,563 John H. Harland Co 700 9,888 Wallace Computer Services, Inc. 900 15,300 ----------- 48,461 ----------- COMPUTER COMMUNICATIONS -- 0.6% - -------------------------------------------------------------------------------- Avocent Corp 700 18,900 Aware, Inc. 300 5,325 Computer Network Technology* 600 17,288 Extended Systems Inc* 100 1,169 MRV Communications, Inc.* 800 10,700 Netopia, Inc.* 300 1,294 PLX Technology, Inc.* 300 2,494 Proxim, Inc.* 400 17,200 Tut Systems, Inc.* 300 2,475 Xircom, Inc.* 500 7,750 ----------- 84,595 ----------- COMPUTERS & PERIPHERALS -- 1.4% - -------------------------------------------------------------------------------- Advanced Digital Information Corp 1,000 23,000 Avid Technology, Inc. 700 12,786 DSP Group, Inc.* 500 10,523 Imation Corp* 700 10,850 InFocus Corp* 600 8,850 Intergraph Corp* 1,600 9,600 Iomega Corp* 5,000 16,850 Maxtor Corp* 1,400 7,831 Mercury Computer Systems, Inc. 336 15,603 Pinnacle Systems, Inc.* 1,000 7,375 Quantum Corp* 1,600 12,800 Rainbow Technologies, Inc.* 333 5,266 SCM Microsystems, Inc.* 300 9,900 Storage Technology Corp* 1,700 15,300 Western Digital Corp* 2,800 6,825 Zebra Technologies Corp* 400 16,319 ----------- 189,678 ----------- COMPUTER PROCESSING HARDWARE -- 0.2% - -------------------------------------------------------------------------------- Concurrent Computer Corp* 1,000 5,375 Micron Electronics, Inc.* 800 3,125 RadiSys Corp* 300 7,763 Silicon Graphics, Inc.* 3,700 14,800 ----------- 31,063 ----------- CONSTRUCTION MATERIALS -- 0.2% - -------------------------------------------------------------------------------- Florida Rock Industries, Inc. 300 11,738 Texas Industries, Inc. 400 12,000 ----------- 23,738 ----------- CONSUMER SUNDRIES -- 0.2% - -------------------------------------------------------------------------------- American Greetings Corp 1,000 9,438 Blyth, Inc. 600 14,475 Oakley, Inc.* 345 4,658 ----------- 28,571 ----------- 10 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- CONTAINERS/PACKAGING -- 0.8% - -------------------------------------------------------------------------------- AptarGroup, Inc. 600 $ 17,625 Ball Corp 500 23,031 Greif Bros. Corp 400 11,400 Caraustar Industries, Inc. 600 5,625 Packaging Corp of America* 800 12,900 Pactiv Corp* 2,700 33,413 ----------- 103,994 ----------- CONTRACT DRILLING -- 0.3% - -------------------------------------------------------------------------------- Grey Wolf, Inc.* 3,100 18,213 Parker Drilling Co* 1,600 8,100 Patterson Energy, Inc.* 500 18,625 ----------- 44,938 ----------- DATA PROCESSING SERVICES -- 0.2% - -------------------------------------------------------------------------------- National Data Corp 600 21,975 Pegasus Solutions Inc* 500 3,469 ----------- 25,444 ----------- DEPARTMENT STORES -- 0.3% - -------------------------------------------------------------------------------- Dillard's, Inc. 1,600 18,900 The Neiman Marcus Group, Inc. 600 21,338 ----------- 40,238 ----------- DISCOUNT STORES -- 0.1% - -------------------------------------------------------------------------------- 99 Cents Only Stores* 200 5,475 ShopKo Stores, Inc. 800 4,000 ----------- 9,475 ----------- DRUGSTORE CHAINS -- 0.2% - -------------------------------------------------------------------------------- Duane Reade Inc* 400 12,225 Longs Drug Stores Corp 600 14,475 ----------- 26,700 ----------- ELECTRIC UTILITIES -- 2.9% - -------------------------------------------------------------------------------- ALLETE 1,100 27,293 Avista Corp 800 16,400 Black Hills Corp 500 22,375 CH Energy Group, Inc. 300 13,425 Cleco Corp 400 21,900 Conectiv 1,300 26,080 El Paso Electric Co 1,100 14,520 Hawaiian Elec Industries, Inc. 500 18,594 IDACORP, Inc. 500 24,530 Kansas City Power & Light Co 900 24,694 Madison Gas and Electric Co 259 5,860 NorthWestern Corp 600 13,875 OGE Energy Corp 1,100 26,880 Otter Tail Power Co 500 13,875 Public Service Co 600 16,088 RGS Energy Group Inc 500 16,219 Sierra Pacific Resources 1,300 20,880 The Empire District Electric Co 500 13,156 UIL Holdings Corp 200 9,950 Unisource Energy Corp 600 11,287 WPS Resources Corp 400 14,725 Western Resources, Inc. 1,100 27,293 ----------- 399,899 ----------- ELECTRICAL PRODUCTS -- 0.8% - -------------------------------------------------------------------------------- American Superconductor Corp 300 8,569 Baldor Electric Co 369 7,795 Belden Inc. 500 12,688 C&D Technologies, Inc. 400 17,275 Cable Design Technologies Corp* 700 11,769 Catalytica Energy Systems, Inc.* 133 2,287 Franklin Electric Co., Inc. 66 4,521 Littelfuse, Inc.* 400 11,450 MagneTek, Inc.* 284 3,692 National Service Industries, Inc. 700 17,981 Rayovac Corp* 500 7,094 Valence Technology, Inc.* 700 6,519 ----------- 111,640 ----------- ELECTRONIC COMPONENTS -- 1.4% - -------------------------------------------------------------------------------- ACT Manufacturing, Inc. 200 3,150 AXT, Inc. 300 9,919 Anaren Microwave, Inc. 400 26,875 Artesyn Technologies, Inc. 500 7,938 Benchmark Electronics, Inc. 400 9,025 CTS Corp 500 18,219 California Amplifier, Inc.* 300 2,775 Hutchinson Technology Inc* 600 8,250 Lightpath Technologies, Inc.* 200 2,775 MEMC Electronic Materials, Inc.* 700 6,781 Methode Electronic, Inc. 600 13,763 Park Electrochemical Corp 217 6,659 Plexus Corp* 600 18,234 Power Integrations, Inc.* 600 6,900 SIPEX Corp* 400 9,575 Superconductor Technologies Inc.* 300 1,088 11 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- Technitrol, Inc. 400 $ 16,450 Three-Five Systems, Inc.* 400 7,200 Viasystems Group, Inc.* 800 6,650 Vicor Corp* 400 12,150 ----------- 194,376 ----------- ELECTRONIC EQUIPMENT/INSTRUMENTS -- 0.7% - -------------------------------------------------------------------------------- Adept Technology, Inc. 200 2,900 Kronos Inc* 300 9,280 NYFIX, Inc.* 400 9,675 Paxar Corp* 900 9,169 Radiant Systems, Inc.* 257 5,269 Robotic Vision System, Inc.* 800 2,200 SeaChange International, Inc.* 400 8,125 Sensormatic Electronics Corp* 1,300 26,080 UNOVA, Inc.* 1,200 4,350 Wave Systems Corp* 800 3,600 Zygo Corp* 200 5,656 Zomax Inc* 500 2,281 ----------- 88,585 ----------- ELECTRONIC PRODUCTION EQUIPMENT -- 1.9% - -------------------------------------------------------------------------------- ATMI, Inc. 500 9,750 Advanced Energy Industries, Inc. 200 4,500 Asyst Technologies, Inc. 600 8,063 Brooks Automation, Inc.* 300 8,419 Cohu, Inc. 500 6,969 Cymer, Inc.* 500 12,867 Electro Scientific Industries, Inc.* 500 14,000 Electroglas, Inc. 500 7,656 EMCORE Corp* 400 18,800 FEI Co* 300 6,825 FSI International, Inc.* 600 5,025 Helix Technology Corp 400 9,469 Keithley Instruments, Inc. 200 8,613 Kulicke and Soffa Industries, Inc.* 800 9,000 LTX Corp* 800 10,363 Mentor Graphics Corp* 1,100 30,180 Photon Dynamics, Inc.* 300 6,750 Photronics, Inc.* 500 11,719 PRI Automation, Inc.* 400 7,500 Silicon Valley Group, Inc.* 600 17,250 Speedfam-IPEC, Inc.* 500 3,030 Ultratech Stepper, Inc.* 600 15,525 Varian Semiconductor Equipment Associates, Inc.* 50 11,875 Veeco Instruments Inc* 400 16,050 ----------- 260,198 ----------- ELECTRONICS DISTRIBUTORS -- 0.3% - -------------------------------------------------------------------------------- Anixter International Inc. 400 8,650 Black Box Corp* 300 14,494 Kent Electronics Corp* 500 8,250 MCSi, Inc.* 300 6,413 Pioneer-Standard Electronics, Inc. 800 8,800 ----------- 46,607 ----------- ELECTRONICS/APPLIANCE STORES -- 0.1% - -------------------------------------------------------------------------------- InterTan, Inc.* 700 8,138 Tweeter Home Entertainment Group, Inc.* 300 3,656 ----------- 11,794 ----------- ELECTRONICS/APPLIANCE -- 0.2% - -------------------------------------------------------------------------------- Harman International Industries, Inc 600 21,900 Polaroid Corp 800 4,650 Universal Electronics Inc* 400 6,175 ----------- 32,725 ----------- ENGINEERING & CONSTRUCTION -- 0.4% - -------------------------------------------------------------------------------- Granite Construction Inc 295 8,537 Insituform Technologies, Inc.* 400 15,950 Jacobs Engineering Group Inc* 400 18,475 Washington Group International, Inc.* 800 6,550 ----------- 49,512 ----------- ENVIRONMENTAL SERVICES -- 0.3% - -------------------------------------------------------------------------------- Newpark Resources, Inc.* 1,500 14,344 Tetra Tech, Inc.* 600 19,125 Waste Connections, Inc.* 306 10,117 ----------- 43,586 ----------- FINANCE/RENTAL/LEASING -- 1.5% - -------------------------------------------------------------------------------- Aaron Rents, Inc. 274 3,853 Advanta Corp. 800 7,050 Allied Capital Corp 1,000 20,875 American Capital Strategies, Ltd. 600 15,113 AmeriCredit Corp. 1,200 32,700 Avis Group Holdings, Inc. 400 13,025 Charter Municipal Mortgage Acceptance Co 323 4,340 CompuCredit Corp* 200 3,625 Dollar Thrifty Automotive Group, Inc.* 500 9,375 12 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- FINANCIAL/RENTAL/LEASING -- CONT'D - -------------------------------------------------------------------------------- Doral Financial Corp 700 $ 16,930 Metris Companies Inc 1,000 26,313 NextCard, Inc.* 1,100 8,800 Rent-Way, Inc.* 500 2,219 Ryder System, Inc. 1,000 16,625 United Rentals, Inc.* 600 8,063 XTRA Corp* 300 14,400 ----------- 203,306 ----------- FINANCIAL CONGLOMERATES -- 0.4% - -------------------------------------------------------------------------------- Leucadia National Corp 600 21,263 Liberty Financial Companies ,Inc 214 9,536 StanCorp Financial Group, Inc. 500 23,875 ----------- 54,674 ----------- FINANCIAL PUBLISHING/SERVICES -- 0.3% - -------------------------------------------------------------------------------- Advent Software, Inc. 400 16,025 BARRA, Inc. 300 14,138 FactSet Research Systems Inc 400 14,828 ----------- 44,991 ----------- FOOD DISTRIBUTORS -- 0.2% - -------------------------------------------------------------------------------- Fleming Companies, Inc. 700 8,269 Performance Food Group Co 300 15,380 ----------- 23,649 ----------- FOOD RETAIL -- 0.3% - -------------------------------------------------------------------------------- Casey's General Stores, Inc. 1,000 14,938 Ruddick Corp 471 5,387 Whole Foods Market, Inc.* 400 24,450 ----------- 44,775 ----------- FOOD: MAJOR DIVERSIFIED -- 0.1% - -------------------------------------------------------------------------------- Del Monte Foods Co* 813 5,894 Dole Food Co 800 13,100 ----------- 18,994 ----------- FOOD: MEAT/FISH/DAIRY -- 0.6% - -------------------------------------------------------------------------------- Dean Foods Co 600 18,413 Dreyer's Grand Ice Cream, Inc. 248 7,998 Michael Foods, Inc. 197 5,935 Smithfield Foods, Inc.* 900 27,360 Suiza Foods Corp* 400 19,200 ----------- 78,906 ----------- FOOD: SPECIALTY/CANDY -- 0.6% - -------------------------------------------------------------------------------- American Italian Pasta Co 282 $ 7,561 Hain Celestial Group, Inc.* 500 16,250 Interstate Bakeries Corp 600 8,438 Lance, Inc. 394 4,987 Neose Technologies, Inc.* 300 9,900 Ralcorp Holdings, Inc.* 439 7,189 The Earthgrains Co 800 14,800 The J. M. Smucker Co 500 13,975 ----------- 83,100 ----------- FOREST DISTRIBUTORS -- 0.3% - -------------------------------------------------------------------------------- Deltic Timber Corp 159 3,796 Louisiana-Pacific Corp 1,900 19,238 Rayonier Inc 400 15,925 ----------- 38,959 ----------- GAS DISTRIBUTORS -- 2.1% - -------------------------------------------------------------------------------- AGL Resources Inc. 700 15,443 Atmos Energy Corp 600 14,625 Cascade Nat Gas Corp 169 3,179 Energen Corp 500 16,093 Laclede Gas Co 500 11,688 MDU Resources Group, Inc. 900 29,250 New Jersey Research Corp 300 12,975 Northwest Natural Gas Co 391 10,362 NUI Corp 300 9,656 ONEOK, Inc. 500 24,063 Peoples Energy Corp 553 24,747 Piedmont Natural Gas Company, Inc. 400 15,275 SEMCO Energy, Inc. 278 4,326 South Jersey Industries, Inc. 400 11,900 Southern Union Co 600 15,900 Southwest Gas Corp 600 13,125 UGI Corp 419 10,606 Vectren Corp 900 23,063 WGL Holdings, Inc. 600 18,263 ----------- 284,539 ----------- HOME FURNISHINGS -- 0.8% - -------------------------------------------------------------------------------- Ethan Allen Interiors Inc 700 23,450 Furniture Brands International, Inc.* 900 18,956 La-Z-Boy Inc 1,100 17,325 Libbey Inc 400 12,150 Mohawk Industries, Inc.* 700 19,163 Tupperware Corp 900 18,394 Westpoint Stevens Inc 700 5,243 ----------- 114,681 ----------- 13 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- HOME BUILDING -- 1.9% - -------------------------------------------------------------------------------- Centex Corp 900 $ 33,806 Clayton Homes, Inc. 1,700 19,550 Del Webb Corp* 400 11,700 D.R.Horton, Inc. 872 21,310 Fairfield Communities, Inc.* 657 9,239 Fleetwood Enterprises, Inc. 900 9,450 Kaufman and Broad Home Corp 800 26,950 Lennar Corp 700 25,375 M.D.C. Holdings, Inc. 500 16,475 NVR, Inc.* 200 24,720 Pulte Corp 500 21,094 Standard Pacific Corp 369 8,625 The Ryland Group, Inc. 201 8,190 Toll Brothers, Inc.* 400 16,350 ----------- 252,834 ----------- HOSPITAL/NURSING MANAGEMENT -- 1.1% - -------------------------------------------------------------------------------- Beverly Enterprises, Inc. 2,200 18,013 Lifepoint Hospitals, Inc.* 500 25,063 Manor Care, Inc.* 1,400 28,875 Orthodontic Centers of America, Inc.* 600 18,750 Province Healthcare Co* 450 17,719 Quorum Health Group, Inc.* 1,200 18,900 Sunrise Assisted Living, Inc.* 287 7,175 Triad Hospitals, Inc.* 600 19,538 ----------- 154,033 ----------- HOTELS/RESORTS/CRUISELINES -- 0.3% - -------------------------------------------------------------------------------- Boca Resorts, Inc.* 425 6,109 Choice Hotels International, Inc.* 1,200 16,425 Extended Stay America, Inc. 1,200 15,420 Prime Hospitality Corp* 700 8,138 ----------- 46,092 ----------- HOUSEHOLD/PERSONAL CARE -- 0.5% - -------------------------------------------------------------------------------- Alberto- Culver Co 600 25,688 Carter-Wallace, Inc. 400 13,350 Church & Dwight Co., Inc. 800 17,800 The Dial Corp 1,500 16,500 ----------- 73,338 ----------- INDUSTRIAL MACHINERY -- 1.2% - -------------------------------------------------------------------------------- Flowserve Corp* 700 14,963 Graco Inc 400 16,550 IDEX Corp 500 16,563 Kennametal Inc 500 14,563 Lincoln Electric Holdings, Inc. 700 13,738 Milacron Inc 700 11,243 Nordson Corp 500 12,750 Presstek, Inc.* 700 7,350 Regal-Beloit Corp 600 10,236 Roper Industries, Inc. 600 19,838 Tecumseh Products Co 300 12,581 Tennant Co 142 6,816 ----------- 157,191 ----------- INDUSTRIAL SPECIALTIES -- 1.3% - -------------------------------------------------------------------------------- Brady Corp 400 13,525 Buckeye Technologies, Inc.* 500 7,030 CUNO Inc* 300 8,044 Cabot Microelectronics Corp* 400 20,775 Donaldson Company, Inc. 700 19,469 Ferro Corp 600 13,800 H.B. Fuller Co 300 11,836 Ionics, Inc* 400 11,350 RPM, Inc. 1,700 14,556 Rogers Corp* 234 9,609 Symyx Technologies* 400 14,400 The Valspar Corp 600 19,308 UCAR International Inc* 900 8,775 Wd-40 Co 500 9,719 ----------- 182,196 ----------- INFORMATION TECHNOLOGY SERVICES -- 0.6% - -------------------------------------------------------------------------------- CACI International Inc* 152 3,498 CIBER. Inc.* 1,100 5,363 Documentum, Inc.* 600 29,813 J.D. Edwards & Company* 900 16,030 Perot Systems Corp* 1,200 11,025 SAGA SYSTEMS, Inc.* 700 8,006 Systems & Computer Technology Corp* 800 9,850 ----------- 83,585 ----------- INSURANCE BROKERS/SERVICES -- 0.7% - -------------------------------------------------------------------------------- Arthur J. Gallagher & Co 600 38,175 Brown & Brown 400 14,000 Copart, Inc.* 700 15,050 Crawford & Co 900 10,463 Hilb, Rogal and Hamilton Co 300 11,963 ----------- 89,651 ----------- INTEGRATED OIL -- 0.1% - -------------------------------------------------------------------------------- Pure Resources, Inc.* 900 18,225 ----------- INTERNET RETAIL -- 0.0% - -------------------------------------------------------------------------------- eToys Inc* 1,300 244 ----------- 14 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- INTERNET SOFTWARE/SERVICES -- 1.5% - -------------------------------------------------------------------------------- About.com, Inc. 300 $ 8,080 Accrue Software, Inc. 500 1,250 Allaire Corp 400 2,013 Ask Jeeves, Inc. 400 975 Broadbase Software, Inc.* 600 3,750 Clarus Corp* 300 2,100 CyberSource Corp* 400 950 Digital Island* 1,100 4,469 Digital Insight Corp* 400 7,225 eLoyalty Corp* 1,000 6,469 F5 Networks, Inc.* 300 2,850 Globix Corp* 400 1,100 GoTo. Com, Inc.* 600 4,388 Interliant Inc* 900 2,869 internet. Com Corp* 300 1,780 Intertrust Technologies Corp* 1,200 4,050 InterWorld Corp* 500 250 Interwoven, Inc.* 600 39,563 IntraNet Solutions, Inc. 259 13,209 Jupiter Media Metrix, Inc.* 500 4,656 Keynote Systems, Inc.* 300 4,256 LookSmart, Ltd.* 900 2,194 Mail.Com, Inc.* 1,000 719 MicroStrategy Inc* 500 4,750 NBC Internet, Inc.* 1,000 3,500 Netegrity, Inc.* 400 21,750 Open Market, Inc.* 800 875 Packeteer, Inc.* 300 3,712 Retek Inc* 745 18,159 Secure Computing Corp* 500 4,938 SonicWALL, Inc.* 400 6,500 StarMedia Network, Inc.* 1,200 2,269 Tumbleweed Communications Corp* 200 3,422 WatchGuard Technologies, Inc.* 200 6,325 WebTrends Corp* 300 8,680 WorldGate Communications, Inc.* 300 1,144 ZixIt Corp 300 2,625 ----------- 207,814 ----------- INVESTMENT BANKS/BROKERS -- 1.3% - -------------------------------------------------------------------------------- Dain Rauscher Corp 200 18,938 Investment Technology Group, Inc. 500 20,875 Investors Financial Services Corp 500 43,000 Jefferies Group, Inc. 500 15,625 LaBranche & Co Inc* 700 21,394 Morgan Keegan, Inc. 500 13,250 Raymond James Financial, Inc. 700 24,413 Southwest Secs Group, Inc. 300 7,763 Tucker Anthony Sutro Corp 400 9,825 Wit Soundview Group, Inc.* 1,600 5,750 ----------- 180,833 ----------- INVESTMENT MANAGERS -- 0.8% - -------------------------------------------------------------------------------- Acacia Research Corp 400 7,125 Blackrock, Inc.* 400 16,800 Affiliated Managers Group, Inc. 400 21,950 Eaton Vance Corp 1,000 32,250 Phoenix Investment Partners, Ltd. 900 14,119 The John Nuveen Co 200 11,500 ----------- 103,744 ----------- LIFE/HEALTH INSURANCE -- 0.2% - -------------------------------------------------------------------------------- American National Insurance Co 200 14,600 Delphi Financial Group, Inc.* 231 8,894 ----------- 23,494 ----------- MAJOR TELECOMMUNICATIONS -- 0.0% - -------------------------------------------------------------------------------- Ntelos Inc 300 5,288 Primus Telecommunications Group, Inc.* 600 1,388 ----------- 6,676 ----------- MANAGED HEALTH CARE -- 1.3% - -------------------------------------------------------------------------------- AmeriPath, Inc. 344 8,600 Caremark Rx, Inc.* 3,300 44,756 Coventry Helath Care, Inc.* 1,100 29,356 Health Net Inc* 1,600 41,900 Humana Inc* 2,600 39,650 Mid Atlantic Medical Services, Inc.* 800 15,850 ----------- 180,112 ----------- MARINE SHIPPING -- 0.4% - -------------------------------------------------------------------------------- Alexander & Baldwin, Inc. 700 18,375 Kirby Corp 500 10,500 Overseas Shipholding Group, Inc. 500 11,469 SEACOR SMIT Inc* 300 15,788 ----------- 56,132 ----------- 15 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- MEDICAL DISTRIBUTORS -- 1.2% - -------------------------------------------------------------------------------- AmeriSource Health Corp 800 $ 40,400 Bergen Brunswig Corp 2,200 34,826 Bindley Westn Industries, Inc. 500 20,781 Henry Schein, Inc.* 500 17,313 Owens & Minor, Inc. 700 12,425 PSS World Medical, Inc.* 1,600 8,000 Priority Healthcare Corp* 350 14,284 Syncor International Corp* 300 10,913 ----------- 158,942 ----------- MEDICAL SPECIALTIES -- 2.8% - -------------------------------------------------------------------------------- ABIOMED, Inc. 400 9,700 Arrow International, Inc. 174 6,555 ArthroCare Corp 300 5,850 ATS Medical, Inc. 600 8,512 Biosite Diagnostics Inc 200 8,088 Cerus Corp* 200 15,050 Coherent, Inc.* 400 13,000 CryoLife, Inc.* 237 7,169 Cyberonics, Inc.* 300 6,975 Datascope Corp 300 10,275 Diagnostic Products Corp 200 10,925 Digene Corp* 200 8,938 Edwards Lifesciences Corp* 1,000 17,750 Haemonetics Corp* 500 15,438 I-STAT Corp* 500 13,219 INAMED Corp* 300 6,130 Inhale Therapeutic Systems, Inc.* 500 25,250 Invacare Corp 500 17,125 K-V Pharmaceutical Co* 450 10,913 Mentor Corp 328 6,396 Molecular Devices Corp* 300 20,530 Novoste Corp* 300 8,250 ResMed Inc* 500 19,938 Respironics, Inc* 700 19,950 STERIS Corp* 1,400 22,575 Sunrise Technologies International, Inc.* 900 1,602 The Cooper Companies, Inc. 300 11,962 Varian Medical Systems, Inc. 500 33,969 VISX, Inc.* 900 9,393 Zoll Med Corp* 138 4,839 ----------- 376,266 ----------- MEDICAL/NURSING SERVICES -- 1.0% - -------------------------------------------------------------------------------- Apria Healthcare Group Inc. 700 20,825 Cyber-Care, Inc.* 900 1,913 DaVita, Inc.* 1,500 25,688 Hooper Holmes, Inc. 1,100 12,166 Lincare Holdings Inc* 700 39,944 RehabCare Group, Inc.* 199 10,224 Renal Care Group, Inc.* 800 21,938 ----------- 132,698 ----------- METAL FABRICATION -- 1.1% - -------------------------------------------------------------------------------- Harsco Corp 600 14,813 Kaydon Corp 600 14,925 Maverick Tube Corp* 300 6,788 Mueller Industries, Inc.* 600 16,088 Precision Castparts Corp 800 33,650 SPS Technologies, Inc.* 300 16,444 The Shaw Group Inc* 600 30,000 The Timken Co 800 12,100 ----------- 144,808 ----------- MISCELLANEOUS COMMERCIAL SERVICES -- 1.7% - -------------------------------------------------------------------------------- ABM Industries Inc 400 12,250 Answerthink Inc. 700 2,538 Bright Horizons Family Solutions, Inc.* 400 10,450 Dendrite Internationl, Inc.* 600 13,425 DiamondCluster Internationl, Inc.* 300 9,150 Exchange Applications, Inc.* 500 608 F. Y. I. Inc* 300 11,063 Fair, Issac and Co, Inc 300 15,300 Forrester Research, Inc.* 200 10,013 G & K Services, Inc. 500 14,063 Gartner Group, Inc.* 1,400 9,660 iXL Enterprises, Inc.* 1,200 1,200 IKON Office Solutions, Inc. 3,100 7,750 Identix Inc* 700 5,495 Internet Pictures Corp* 1,200 1,162 Learning Tree International ,Inc.* 200 9,900 MAXIMUS, Inc.* 178 6,219 NCO Group, Inc.* 299 9,082 Pittston Brink's Group 1,000 19,875 ProBusiness Services, Inc.* 400 10,625 PurchasePro.Com, Inc.* 400 7,000 Sodexho Marriott Services, Inc. 600 13,275 Sylvan Learning Systems, Inc.* 700 10,369 The Corporate Executive Board Co* 400 15,905 The Profit Recovery Group International, Inc.* 1,000 6,375 Ventro Corp* 400 400 ----------- 233,152 ----------- 16 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- MISCELLANEOUS MANUFACTURING -- 1.3% - -------------------------------------------------------------------------------- AMETEK, Inc. 600 $ 15,563 Dionex Corp* 500 17,250 Federal Signal Corp 800 15,700 Lancaster Colony Corp 600 16,838 Mettler-Toledo International Inc* 600 32,625 Teleflex Inc 600 26,512 Tredegar Corp 500 8,719 Trinity Industries, Inc. 700 17,500 U. S. Industries, Inc. 1,400 11,200 Varian Inc* 500 16,938 ----------- 178,845 ----------- MOVIES/ENTERTAINMENT -- 0.1% - -------------------------------------------------------------------------------- Gaylord Entmt Co* 500 10,438 SportsLine.com, Inc.* 500 2,656 TiVo Inc* 400 2,150 ----------- 15,244 ----------- MULTI-LINE INSURANCE -- 0.1% - -------------------------------------------------------------------------------- Horace Mann Educators Corp 800 17,100 ----------- OFFICE EQUIPMENT/SUPPLIES -- 0.2% - -------------------------------------------------------------------------------- HON INDUSTRIES Inc 900 22,950 Kimball International, Inc. 700 10,150 ----------- 33,100 ----------- OIL & GAS PIPELINES -- 0.1% - -------------------------------------------------------------------------------- Midcoast Energy Resources, Inc. 173 3,774 Western Gas Resources, Inc. 400 13,475 ----------- 17,249 ----------- OIL & GAS PRODUCTION -- 2.5% - -------------------------------------------------------------------------------- Tom Brown, Inc.* 600 19,725 Barrett Resources Corp 500 28,406 Cabot Oil & Gas Corp 500 15,594 Chesapeake Energy Corp 1,900 19,238 Cross Timbers Oil Co 1,200 33,300 Evergreen Resources, Inc.* 300 11,588 Forest Oil Corp* 350 12,906 H S Resources, Inc.* 300 12,712 Louis Dreyfus Natural Gas Corp* 400 18,325 Mitchell Energy & Development Corp 400 24,500 Pioneer Natural Resources Co 1,700 33,469 Plains Resources Inc* 245 5,175 Pogo Producing Co 700 21,788 St. Mary Land & Exploration Co 600 19,988 Stone Energy Corp* 300 19,365 Swift Energy Co* 400 15,050 Unit Corp* 700 13,255 Vintage Petroleum, Inc. 800 17,200 ----------- 341,584 ----------- OIL REFINING/MARKETING -- 0.3% - -------------------------------------------------------------------------------- Frontier Oil Corp 1,400 9,625 Pennzoil-Quaker State Co 1,600 20,600 Syntroleum Corp* 700 11,900 ----------- 42,125 ----------- OILFIELD SERVICES/EQUIPMENT -- 0.8% - -------------------------------------------------------------------------------- Cal Dive International, Inc.* 400 10,650 Input/Output, Inc.* 1,100 11,206 Key Energy Services, Inc.* 1,600 16,700 Oceaneering International, Inc.* 323 6,278 Offshore Logistics, Inc. 600 12,928 Superior Energy Services Inc* 1,100 12,650 UTI Energy Corp* 600 19,725 Veritas DGC Inc* 500 16,150 ----------- 106,287 ----------- OTHER CONSUMER SERVICES -- 0.7% - -------------------------------------------------------------------------------- Bally Total Fitness Holdings Corp 500 16,938 Career Education Corp* 400 15,650 Chemed Corp 300 10,088 Edison Schools Inc* 300 9,450 Education Management Corp* 400 14,300 Rollins, Inc. 262 5,256 Service Corp* 4,900 8,575 Sotheby's Holdings, Inc.* 800 18,550 ----------- 98,807 ----------- OTHER CONSUMER SPECIALTIES -- 0.1% - -------------------------------------------------------------------------------- Mathews International Corp 300 9,469 The Boyds Collection, Ltd.* 1,100 10,243 ----------- 19,712 ----------- OTHER METALS/MINERALS -- 0.3% - -------------------------------------------------------------------------------- Brush Engineered Materials Inc 500 10,094 Minerals Technologies Inc 300 10,256 17 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- Southern Peru Copper Corp 800 $ 10,300 USEC Inc 2,500 10,780 ----------- 41,430 ----------- PACKAGED SOFTWARE -- 2.7% - -------------------------------------------------------------------------------- Actuate Corp 900 17,213 AremisSoft Corp 162 6,915 Aspen Technology, Inc. 500 16,625 Avant! Corp 900 16,481 Concord Communications, Inc.* 400 3,500 Convera Corp* 300 5,325 FileNET Corp* 700 19,075 Great Plains Software, Inc.* 199 9,365 HNC Software Inc* 500 14,844 Hyperion Solutions Corp* 600 9,263 Informatica Corp* 800 31,650 Inprise Corp* 1,600 8,850 Legato Systems, Inc.* 1,700 12,644 Manugistics Group, Inc.* 800 45,600 MapInfo Corp* 215 10,159 Mercator Software, Inc.* 500 2,688 MetaSolv, Inc.* 200 1,825 NetIQ Corp* 400 34,950 New Era of Networks, Inc.* 500 2,938 Nuance Communications Inc* 100 4,313 ONYX Software Corp* 400 4,400 Phoenix Technology Ltd* 600 8,091 Progress Software Corp* 800 11,550 Puma Technology, Inc.* 600 2,494 Remedy Corp* 500 8,281 SERENA Software, Inc.* 300 10,270 SPSS Inc* 400 8,825 Structural Dynamics Research Corp* 900 9,000 Transaction Systems Architects, Inc.* 700 8,094 Verity, Inc.* 600 14,438 ----------- 359,666 ----------- PERSONNEL SERVICES -- 0.5% - -------------------------------------------------------------------------------- Administaff, Inc. 400 10,880 Heidrick & Struggles International, Inc.* 300 12,619 Kelly Services, Inc. 265 6,261 Korn / Ferry International* 600 12,750 Modis Professional Services, Inc.* 1,800 7,425 On Assignment, Inc.* 400 11,400 Spherion Corp* 1,100 12,444 ----------- 73,779 ----------- PHARMACEUTICALS: GENERIC -- 0.3% - -------------------------------------------------------------------------------- Alpharma Inc. 400 17,550 Barr Laboratories, Inc. 300 21,881 ----------- 39,431 ----------- PHARMACEUTICALS: OTHER -- 0.9% - -------------------------------------------------------------------------------- Alliance Pharmaceutical Corp. 900 7,763 Aviron 300 20,044 Cell Pathways, Inc.* 400 1,900 Cell Therapeutics, Inc.* 400 18,025 Connetics Corp* 600 2,738 Matrix Pharmaceutical, Inc.* 600 10,275 Medicis Pharmaceutical Corp* 500 29,563 Noven Pharmaceuticals, Inc.* 300 11,213 Perrigo Co* 1,500 12,422 United Therapeutics Corp* 200 2,950 ----------- 116,893 ----------- PRECIOUS METALS -- 0.3% - -------------------------------------------------------------------------------- Freeport-Mcmoran Copper & Gold, Inc.* 2,200 18,838 Stillwater Mining Co* 700 27,545 ----------- 46,383 ----------- PROPERTY/CASUALTY INSURANCE -- 1.0% - -------------------------------------------------------------------------------- Alfa Corp 700 12,863 Alleghany Corp 100 20,550 Argonaut Group, Inc. 600 12,600 Harleysville Group Inc 206 6,026 HCC Insurance Holdings, Inc. 700 18,856 Mercury General Corp 400 17,550 Ohio Casualty Corp 1,400 14,000 Selective Ins Group, Inc. 405 9,820 The Commerce Group, Inc. 389 10,573 W. R. Berkley Corp 300 14,156 ----------- 136,994 ----------- PUBLISHING: BOOKS/MAGAZINES -- 0.7% - -------------------------------------------------------------------------------- Houghton Mifflin Co 400 18,550 John Wiley & Son, Inc. 800 17,200 Meredith Corp 600 19,313 Penton Media, Inc. 400 10,750 Playboy Enterprises, Inc.* 700 6,956 Scholastic Corp* 200 17,725 ----------- 90,494 ----------- PUBLISHING: NEWSPAPERS -- 0.6% - -------------------------------------------------------------------------------- Hollinger International Inc 600 9,525 Journal Register Co* 800 12,850 18 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- PUBLISHING: NEWSPAPERS -- CONT'D - -------------------------------------------------------------------------------- Lee Enterprises, Inc. 700 $ 20,869 Media General, Inc. 300 10,920 Pulitzer Inc 200 9,370 The McClatchy Co 400 17,050 ----------- 80,584 ----------- PULP & PAPER -- 0.4% - -------------------------------------------------------------------------------- Longview Fibre Co 1,000 13,500 P. H. Glatfelter Co 900 11,205 Potlatch Corp 400 13,425 Wausau-Mosinee Paper Corp 1,300 13,163 ----------- 51,293 ----------- RAILROADS -- 0.1% - -------------------------------------------------------------------------------- Wisconsin Central Transportation Corp* 900 13,556 ----------- REAL ESTATE DEVELOPMENT -- 0.5% - -------------------------------------------------------------------------------- Catellus Development Corp* 1,600 28,000 Forest City Enterprises, Inc. 300 11,760 Jones Lang LaSalle Inc* 800 11,100 LNR Property Corp 500 11,000 Security Cap Group Inc* 600 12,038 ----------- 73,898 ----------- REAL ESTATE INVESTMENT TRUST -- 6.3% - -------------------------------------------------------------------------------- Alexandria Real Estate Equities, Inc. 300 11,156 American Industrial Properties REIT 277 3,393 Arden Realty, Inc. 934 23,467 Bedford Property Investors, Inc. 600 12,150 Boykin Lodging Co 269 2,287 Brandywine Realty Trust 700 14,481 BRE Properties, Inc. 600 19,013 Burnham Pacific Properties, Inc. 496 2,294 Cabot Industrial Trust 700 13,431 Camden Property Trust 500 16,750 Capital Automotive REIT 328 4,531 Capstead Mortgage Corp 271 2,947 CBL & Associates Properties, Inc. 388 9,821 CenterPoint Properties Corp 300 14,175 Charles E. Smith Residential Realty, Inc. 300 14,100 Chateau Communities, Inc. 333 10,136 Chelsea Property Group, Inc. 300 11,063 Colonial Properties Trust 340 8,861 Commercial Net Lease Realty 471 4,798 Cornerstone Realty Income Trust, Inc. 603 6,369 Cousins Properties, Inc. 600 16,763 Developers Diversified Realty Corp 900 11,981 Eastgroup Properties, Inc. 245 5,482 Entertainment Properties Trust 234 2,574 Equity Inns Inc 569 3,521 Essex Property Trust, Inc. 300 16,425 Federal Realty Investment Trust 500 9,500 FelCor Lodging Trust Inc 600 14,363 First Industrial Realty Trust, Inc. 606 20,604 First Washington Realty Trust, Inc. 130 3,356 Franchise Finance Corp 884 20,608 Gables Residential Trust 361 10,108 Glenborough Realty Trust 600 10,425 Glimcher Realty Trust 800 10,000 Great Lakes REIT, Inc. 261 4,535 Health Care Property Investors, Inc. 741 22,137 Health Care REIT, Inc. 444 7,215 Healthcare Realty Trust, Inc. 500 10,625 Highwoods Properties, Inc. 700 17,413 Home Properties New York, Inc. 400 11,175 Hospitality Properties Trust 793 17,942 HRPT Properties Trust 2,300 17,394 IndyMac Bancorp, Inc.* 1,000 29,500 Innkeepers Usa Trust 532 5,885 IRT Property Co 489 3,973 JDN Realty Corp 1,100 11,619 Kilroy Realty Corp 500 14,281 Koger Equity 700 10,894 LaSalle Hotel Properties 167 2,536 Lexington Corporate Properties Trust 266 3,142 Manufactured Home Communities, Inc. 283 8,207 Meditrust Co* 2,248 5,761 MeriStar Hospitality Corp 500 9,844 Mid-America Apartment Communities, Inc. 400 9,025 National Golf Properties, Inc. 199 4,092 Nationwide Health Properties, Inc. 700 9,013 New Plan Excel Realty Trust 1,373 18,021 Pacific Gulf Properties, Inc. 400 2,450 19 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- Pan Pacific Retail Properties, Inc. 305 $ 6,805 Parkway Properties, Inc. 153 4,542 Pennsylvania Real Estate Investment Trust 192 3,672 Prentiss Properties Trust 500 13,469 Prime Group Realty Trust 146 2,099 PS Business Parks, Inc. 500 13,900 Realty Income Corp 414 10,298 Reckson Assocs Realty Corp 800 20,050 Regency Realty Corp 500 11,844 RFS Hotel Investors, Inc. 377 4,925 Saul Centers, Inc. 168 3,129 Shurgard Storage Centers, Inc. 500 12,219 SL Green Realty Corp 500 14,000 Sovran Self Storage, Inc. 186 3,697 Storage USA, Inc. 400 12,700 Summit Properties Inc 386 10,036 Sun Communities, Inc. 300 10,050 Tanger Factory Outlet Centers, Inc. 81 1,848 The Macerich Co 500 9,594 Town & Country Trust 246 4,751 United Dominion Realty Trust, Inc. 1,200 12,975 Washington Real Estate Investment Trust 700 16,538 Weingarten Realty Investors 400 17,500 Westfield America, Inc. 453 6,540 Wyndham International, Inc.* 4,800 8,400 ----------- 853,193 ----------- RECREATIONAL PRODUCTS -- 0.7% - -------------------------------------------------------------------------------- Callaway Golf Co 1,300 24,213 Concord Camera Corp* 500 8,250 JAKKS Pacific, Inc.* 500 4,563 Polaris Industries Inc 500 19,875 Sturm, Ruger & Co, Inc. 300 2,831 THQ Inc* 500 12,188 Take-Two Interactive Software, Inc.* 700 8,050 The Topps Company, Inc.* 659 6,055 WMS Industries Inc 360 7,245 ----------- 93,270 ----------- REGIONAL BANKS -- 6.0% - -------------------------------------------------------------------------------- Alabama National Bancorp 128 2,896 AMCORE Financial, Inc. 600 12,413 BancorpSouth, Inc. 1,400 17,063 Bank of Granite Corp 400 9,300 Cathay Bancorp, Inc. 200 11,800 Century South Bank, Inc. 174 5,862 Chittenden Corp 500 15,156 Citizens Banking Corp 800 23,250 Commerce Bancorp, Inc. 493 33,709 Community First Bankshares, Inc. 800 15,100 Corus Bankshares, Inc. 143 7,076 CPB Inc 123 3,429 Cullen Frost Bankers, Inc. 700 29,269 East West Bancorp, Inc. 349 8,703 F&M Bancorp 173 3,568 F&M National Corp 500 13,063 F. N. B. Corp 338 7,098 Farmers Capital Bank Corp 97 2,680 First BanCorp 319 7,536 First Charter Corp 700 10,413 First Citizens BancShares, Inc. 91 7,348 First Commonwealth Financial Corp 1,000 10,000 First Financial Bancorp 546 9,282 First Financial Bankshares, Inc. 300 9,431 First Financial Corp 103 3,290 First Merchants Corp 183 4,152 First Midwest Bancorp, Inc. 600 17,250 Frontier Financial Corp 260 6,516 Fulton Financial Corp 1,100 25,369 GBC Bancorp 168 6,447 Greater Bay Bancorp 600 24,600 Harleysville National Corp 135 4,683 Hudson United Bancorp 770 16,122 Imperial Bancorp* 600 15,750 Integra Bank Corp 500 12,781 International Bancshares Corp 400 13,650 Merchants New York Bancorp, Inc. 292 7,318 MidAmerica Bancorp 412 9,373 Mid-State Bancshares 300 10,650 National Penn Bancshares, Inc. 291 5,875 NBT Bancorp Inc 361 5,280 Omega Financial Corp 135 3,645 Oriental Financial Group Inc 178 2,370 Pacific Cap Bancorp New 500 14,063 Park National Corp 100 8,969 Provident Bankshares Corp 700 14,613 Provident Financial Group, Inc. 400 15,000 Republic Bancorp Inc 1,430 15,462 S&T Bancorp, Inc. 419 9,060 Sandy Spring Bancorp, Inc. 146 3,322 Seacoast Financial Services Corp 391 4,692 Silicon Valley Bancshares 600 20,738 Sky Financial Group, Inc. 1,320 22,110 Southwest Bancorp* 500 21,469 Sterling Bancshares, Inc. 700 13,825 20 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- REGIONAL BANKS -- CONT'D - -------------------------------------------------------------------------------- Susquehanna Bancshares, Inc. 700 $ 11,550 Texas Regional Bancshares, Inc. 440 14,300 The Colonial BancGroup, Inc. 1,500 16,125 The South Financial Group, Inc. 900 11,925 The Trust Company 600 7,538 TrustCo Bank Corp 1,150 14,015 Trustmark Corp 900 18,900 UCBH Holdings, Inc. 147 6,854 UMB Financial Corp 249 9,306 United Bankshares, Inc. 600 12,750 United National Bancorp 600 11,512 WesBanco, Inc. 287 6,745 Westamerica Bancorp 600 25,800 Whitney Holdings Corp 400 14,525 ----------- 815,734 ----------- RESTAURANTS -- 1.2% - -------------------------------------------------------------------------------- Applebee's International, Inc. 500 15,718 Bob Evans Farms, Inc. 700 14,918 CBRL Group, Inc. 1,100 20,006 CEC Entertainment Inc* 500 17,063 IHOP Corp* 500 10,844 Jack In The Box Inc* 700 20,606 Papa John's International, Inc.* 400 8,900 RARE Hospitality International, Inc.* 252 5,623 Ruby Tuesday, Inc. 1,200 18,300 Sonic Corp* 600 13,988 The Cheesecake Factory Inc* 500 19,188 ----------- 165,154 ----------- SAVINGS BANKS -- 2.4% - -------------------------------------------------------------------------------- American Financial Holdings, Inc. 600 12,375 Andover Bancorp, Inc. 103 3,545 Astoria Financial Corp 600 32,588 Bank United Corp. 505 34,435 Bay View Capital Corp 1,000 6,250 BSB Bancorp, Inc. 600 7,903 Capitol Federal Financial 527 8,827 Commercial Federal Corp 900 17,494 Dime Community BancShares 178 4,495 Downey Financial Corp 300 16,500 First Federal Capital Corp 229 3,320 First Financial Holdings, Inc. 205 4,036 First Indiana Corp 143 3,360 First Sentinel Bancorp Inc 529 6,084 FirstFed Financial Corp 264 8,530 Harbor Fl Bancshares, Inc. 352 5,258 Independence Community Bank Corp 1,000 15,938 MAF Bancorp, Inc. 359 10,209 New York Cmnty Bancorp Inc 252 9,260 OceanFirst Financial Corp 177 4,359 People's Bank 428 11,075 Republic Sec Financial Corp 770 5,558 Richmond County Financial Corp 600 15,675 Roslyn Bancorp, Inc. 900 24,580 Staten Island Bancorp, Inc. 500 10,688 United Community Financial Corp 525 3,642 Washington Federal, Inc. 811 23,063 Webster Financial Corp 700 19,818 ----------- 328,865 ----------- SEMICONDUCTORS -- 1.1% - -------------------------------------------------------------------------------- Actel Corp 400 9,675 Alliance Semiconductor Corp 500 5,650 ANADIGICS, Inc. 500 8,188 C-Cube Microsystems Inc* 800 9,850 Cirrus Logic, Inc.* 900 16,875 Elantec Semiconductor, Inc.* 300 8,325 ESS Technology, Inc.* 600 3,075 Exar Corp* 600 18,590 General Semiconductor, Inc. 700 4,375 Integrated Silicon Solution, Inc.* 500 7,188 Microsemi Corp* 200 5,563 MIPS Technologies, Inc.* 600 16,013 Oak Technology, Inc.* 700 6,081 Pericom Semiconductor Corp* 400 7,400 QuickLogic Corp* 500 3,469 Silicon Image, Inc.* 500 2,719 SONICblue Inc* 1,700 7,013 Zoran Corp* 300 4,650 ----------- 144,699 ----------- SERVICES TO THE HEALTH INDUSTRY -- 2.2% - -------------------------------------------------------------------------------- Accredo Health, Inc 200 10,038 Advance Paradigm, Inc. 400 18,200 Albany Molecular Research, Inc. 300 18,488 Allscripts, Inc. 400 3,738 Cerner Corp* 500 23,125 Covance Inc* 1,100 11,825 Eclipsys Corp* 800 19,600 21 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- IDX Systems Corp* 235 $ 5,875 IMPATH Inc* 300 19,950 Laboratory Corp* 300 52,800 Morrison Management Specialists, Inc. 201 7,017 Omnicare, Inc. 1,500 32,438 PAREXEL International Corp* 900 9,730 Pharmaceutical Product Development, Inc.* 400 19,875 Pharmacopeia, Inc.* 400 8,725 Professional Detailing, Inc.* 64 6,769 Stericycle, Inc. 213 8,120 The TriZetto Group, Inc.* 324 5,407 US Oncology, Inc.* 1,800 11,363 ----------- 293,083 ----------- SPECIALTY INSURANCE -- 0.8% - -------------------------------------------------------------------------------- Enhance Financial Services Group Inc 425 6,560 Fidelity National Financial, Inc. 900 33,244 LandAmerica Financial Group, Inc. 156 6,308 Markel Corp* 100 18,100 Pre-Paid Legal Services, Inc.* 400 10,200 The First American Corp 900 29,588 Triad Guaranty Inc* 209 6,922 ----------- 110,922 ----------- SPECIALTY STORES -- 1.3% - -------------------------------------------------------------------------------- Barnes & Noble, Inc. 900 23,850 Borders Group, Inc.* 1,400 16,363 Companiest Plus, Inc.* 400 11,750 Linens 'n Things, Inc.* 700 19,338 Michaels Stores, Inc.* 500 13,250 O'Reilly Automotive, Inc.* 800 21,400 OfficeMax, Inc.* 2,300 6,613 PETsMART, Inc.* 2,400 6,900 Pier 1 Imports, Inc. 1,600 16,500 Regis Corp 800 11,600 Rent-A-Center, Inc.* 300 10,350 Zale Corp* 600 17,438 ----------- 175,352 ----------- SPECIALTY TELECOMMUNICATIONS -- 0.7% - -------------------------------------------------------------------------------- Adelphia Business Solutions, Inc. 600 2,550 Allied Riser Communications Corp 1,200 2,438 Clarent Corp* 400 4,525 Commonwealth Telephone Enterprises, Inc. 300 10,500 CT Communications, Inc. 400 5,625 CTC Communications Group, Inc.* 400 1,850 General Communication, Inc.* 1,300 9,100 Golden Telecom, Inc.* 300 1,538 IDT Corp* 500 10,188 Illuminet Holdings, Inc. 400 9,175 Intermedia Communications Inc* 900 6,468 International FiberCom, Inc.* 500 2,468 ITC DeltaCom, Inc.* 1,000 5,390 Mpower Communications Corp* 800 4,100 North Pittsburgh Systems, Inc. 700 7,700 Rhythms Net Connections Inc* 1,500 1,688 TALK.Com, Inc.* 1,500 2,155 Teligent, Inc.* 600 1,162 Terremark Worldwide, Inc. 2,900 2,175 Viatel, Inc.* 1,000 3,718 ----------- 94,513 ----------- STEEL -- 0.7% - -------------------------------------------------------------------------------- AK Steel Holding Corp. 1,500 13,125 Bethlehem Steel Corp 2,900 5,075 Carpenter Technology Corp 300 10,500 Cleveland-Cliffs Inc 400 8,625 Lone Star Technologies, Inc.* 400 15,400 Quanex Corp 500 10,062 Reliance Steel & Aluminum Co 308 7,622 Steel Dynamics, Inc.* 900 9,900 Worthington Industries, Inc. 1,200 9,674 ----------- 89,983 ----------- TELECOMMUNICATIONS EQUIPMENT -- 0.9% - -------------------------------------------------------------------------------- Adaptive Broadband Corp 700 4,288 Allen Telecom Inc. 600 10,763 Brooktrout Inc* 300 2,840 Carrier Access Corp* 200 1,800 C-COR.net Corp* 600 5,830 Celeritek, Inc.* 200 7,625 DDi Corp* 198 5,395 Glenayre Technologies, Inc. 1,200 4,237 InterDigital Communications Corp* 900 4,865 InterVoice-Brite, Inc.* 700 5,075 Metricom, Inc.* 400 4,025 Natural Microsystems Corp* 500 4,937 22 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- CONT'D - -------------------------------------------------------------------------------- Netro Corp* 500 $ 3,469 Osicom Technologies, Inc.* 200 3,210 P-Com, Inc.* 1,600 4,900 Plantronics, Inc.* 800 37,600 Tollgrade Communications, Inc.* 200 7,300 ViaSat, Inc.* 400 5,250 Westell Technologies, Inc.* 500 1,530 World Access, Inc.* 1,400 3,368 ----------- 128,307 ----------- TEXTILES -- 0.2% - -------------------------------------------------------------------------------- Springs Industries, Inc. 202 6,552 Unifi, Inc.* 1,100 9,830 Wellman, Inc. 800 11,300 ----------- 27,682 ----------- TOBACCO -- 0.2% - -------------------------------------------------------------------------------- Universal Corp 600 21,000 - -------------------------------------------------------------------------------- TOOLS & HARDWARE -- 0.4% - -------------------------------------------------------------------------------- Briggs & Stratton Corp 400 17,750 Metromedia International Group, Inc.* 2,300 5,980 Snap-On Inc 900 25,088 The Toro Co 177 6,492 ----------- 55,310 ----------- TRUCKING -- 0.8% - -------------------------------------------------------------------------------- American Freightways Corp 10 278 Arnold Industries, Inc. 600 10,800 CNF Inc 800 27,050 Forward Air Corp* 300 11,193 Landstar System, Inc.* 136 7,540 Swift Transportation Inc* 800 15,850 USFreightways Corp 500 15,038 Werner Enterprises, Inc. 434 7,377 Yellow Corp* 700 14,251 ----------- 109,377 ----------- TRUCKS/CONSTRUCTION/FARM MACHINERY -- 0.8% - -------------------------------------------------------------------------------- AGCO Corp 1,200 14,550 Cummins Engine Co 700 26,556 JLG Industries, Inc. 900 9,563 Oshkosh Truck Corp 300 13,200 Stewart & Stevenson Services, Inc. 700 15,892 Terex Corp 600 9,712 The Manitowoc Company, Inc. 500 14,500 Wabash National Corp 900 7,762 ----------- 111,735 ----------- WATER UTILITIES -- 0.2% - -------------------------------------------------------------------------------- American States Water Co 153 5,642 California Water Service Group 400 10,800 Philadelphia Suburban Corp 625 15,312 ----------- 31,754 ----------- WHOLESALE DISTRIBUTORS -- 0.4% - -------------------------------------------------------------------------------- Applied Industrial Technologies, Inc. 312 6,415 Fisher Scientific International Inc 618 22,789 Hughes Supply, Inc. 500 8,970 SCP Pool Corp* 300 9,018 United Stationers Inc 500 12,000 ----------- 59,192 ----------- WIRELESS TELECOMMUNICATIONS -- 0.5% - -------------------------------------------------------------------------------- AirGate PCS, Inc. 200 7,100 Leap Wireless International, Inc.* 400 10,000 Metrocall, Inc.* 1,500 703 Motient Corp* 800 3,200 Price Communications Corp* 1,000 16,813 Rural Celluar Corp* 200 5,925 SBA Communications Corp* 400 16,425 WebLink Wireless, Inc.* 1,100 3,780 ----------- 63,946 ----------- TOTAL COMMON STOCKS (Identified Cost $14,870,850) 13,568,144 ----------- SHORT-TERM OBLIGATION AT AMORTIZED COST -- 0.5% - -------------------------------------------------------------------------------- Federated Prime Cash Obligation 6.50% due 1/02/01 69,789 ----------- TOTAL INVESTMENTS (Identified Cost $14,940,639) 100.1% 13,637,933 OTHER ASSETS, LESS LIABILITIES (0.1) (11,431) ----- ----------- NET ASSETS 100.0% $13,626,502 ===== =========== * Non-income producing security See notes to financial statements 23 CITI SMALL CAP INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $14,940,639) $ 13,637,933 Cash 45,088 Receivable for investments sold 19,120 Dividends receivable 16,849 Receivable for fund shares sold 2,035 Interest receivable 300 Receivable from the Manager 96,033 - -------------------------------------------------------------------------------- Total assets 13,817,358 - -------------------------------------------------------------------------------- LIABILITIES: Payable for shares of beneficial interest repurchased 97,329 Payable for investments purchased 23,931 Accrued expenses and other liabilities 69,596 - -------------------------------------------------------------------------------- Total liabilities 190,856 - -------------------------------------------------------------------------------- NET ASSETS $ 13,626,502 ================================================================================ NET ASSETS CONSIST OF: Paid-in capital $ 14,938,489 Unrealized depreciation (1,302,706) Accumulated net realized loss on investments (36,660) Undistributed net investment income 27,379 - -------------------------------------------------------------------------------- Total $ 13,626,502 ================================================================================ COMPUTATION OF SMITH BARNEY SHARES: Net Asset Value, offering price and redemption price per share ($294,110/32,105 shares outstanding) $9.16 ================================================================================ COMPUTATION OF CITI SHARES: Net Asset Value, offering price and redemption price per share ($13,332,392/1,461,604 shares outstanding) $9.12 ================================================================================ See notes to financial statements 24 CITI SMALL CAP INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Dividend income (net of foreign withholding tax of $58) $ 73,379 Interest income 11,032 - -------------------------------------------------------------------------------- $ 84,411 - -------------------------------------------------------------------------------- EXPENSES: Management fees (Note 2) 13,302 Distribution fee Smith Barney Shares (Note 3) 114 Custody and fund accounting fees 47,561 Legal fees 23,280 Audit fees 16,000 Shareholder reports 12,740 Transfer agent fees 7,584 Registration 3,958 Trustees fees 1,300 Other 5,993 - -------------------------------------------------------------------------------- Total expenses 131,832 Less: expenses assumed by the Manager (Note 7) (96,033) Less: aggregate amount waived by the Manager (Note 2) (11,085) - -------------------------------------------------------------------------------- Net expenses 24,714 - -------------------------------------------------------------------------------- Net investment income 59,697 - -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss from investment transactions (36,660) Unrealized depreciation (1,302,706) - -------------------------------------------------------------------------------- Net realized and unrealized loss on investments (1,339,366) - -------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(1,279,669) ================================================================================ See notes to financial statements 25 CITI SMALL CAP INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment income $ 59,697 Net realized loss (36,660) Unrealized depreciation (1,302,706) - -------------------------------------------------------------------------------- Net decrease in net assets resulting from operations (1,279,669) - -------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (Smith Barney shares) (838) Net investment income (Citi shares) (31,480) - -------------------------------------------------------------------------------- Decrease in net assets from distribution to shareholders (32,318) - -------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 6): SMITH BARNEY SHARES* Net proceeds from sale of shares 388,543 Net asset value of shares issued to shareholders from reinvestment of distributions 397 Cost of shares repurchased (97,329) - -------------------------------------------------------------------------------- Total Smith Barney Shares 291,611 - -------------------------------------------------------------------------------- CITI SHARES** Net proceeds from sale of shares 15,000,444 Net asset value of shares issued to shareholders from reinvestment of dividends 31,479 Cost of shares repurchased (385,045) - -------------------------------------------------------------------------------- Total Citi Shares 14,646,878 - -------------------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 14,938,489 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 13,626,502 - -------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period (undistributed net investment income of $27,379) $ 13,626,502 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. See notes to financial statements 26 CITI SMALL CAP INDEX FUND FINANCIAL HIGHLIGHTS CITI SHARES ----------------- FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $ 10.00 - -------------------------------------------------------------------------------- Income From Operations: Net investment income 0.040 Net realized and unrealized loss (0.898) - -------------------------------------------------------------------------------- Total from operations (0.858) - -------------------------------------------------------------------------------- Less Distributions From: Net investment loss (0.022) Net realized gain -- - -------------------------------------------------------------------------------- Total distributions (0.022) - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 9.12 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $ 13,332 Ratio of expenses to average net assets 0.55%* Ratio of net investment loss to average net assets 1.35%* Portfolio turnover 9% Total return (8.57)%** Note: If Agents of the Fund had not voluntarily agreed to waive all of their fees for the period, and the Manager had not voluntarily assumed expenses, the net investment income per share and the ratios would have been as follows: Net investment loss per share $ (0.32) RATIOS: Expenses to average net assets 2.97%* Net investment loss to average net assets (1.07)%* ================================================================================ * Annualized ** Not Annualized See notes to financial statements 27 CITI SMALL CAP INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi Small Cap Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund offers two classes of shares: the Smith Barney Shares, which commenced operations on September 11, 2000, and the Citi Shares, which commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are in conformity with generally accepted accounting principles and are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities exchanges or reported through the NASDAQ system are valued at last sales prices. Unlisted securities or listed securities for which last sale prices are not available are valued at last quoted bid prices. Debt securities (other than short-term obligations maturing in sixty days or less), are valued on the basis of valuations furnished by pricing services approved by the Board of Trustees which take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations, maturity in sixty days or less, are valued at amortized cost, which constitues fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2000, the Fund, for federal income tax purposes, had a capital loss carryover of $17,590, which will expire on December 31, 2008. Such capital loss carryover will reduce the Fund's taxable income arising from future net realized gain on investment transactions, if any, to the extent permitted by the Internal Revenue code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. 28 CITI SMALL CAP INDEX FUND NOTES TO FINANCIAL STATEMENTS D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F. OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.30% of the Fund's average daily net assets. SSBC has delegated the daily management of the Fund to State Street Bank and Trust Company, which will act as a subadviser through its State Street Global Advisors division. The management fees paid to SSBC amounted to $13,302, of which $11,085 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. acts as the Fund distributor. Salomon Smith Barney Inc. ("SSB"), is a subsidiary of Salomon Smith Barney Holdings Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDS is responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $7,584 to CFTC. Pursuant to a Distribution Plan, the Fund pays a service fee with respect to Smith Barney Shares shares calculated at an annual rate of 0.20% of the average daily net assets. The Service fee amounted to $114 for the period ended December 31, 2000. 29 CITI SMALL CAP INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) 4. PURCHASE AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $16,211,368 and $1,291,188, respectively, for the year ended December 31, 2000. 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $ 14,941,446 ================================================================================ Gross unrealized appreciation $ 1,632,594 Gross unrealized depreciation (2,925,982) - -------------------------------------------------------------------------------- Net unrealized depreciation $ (1,293,388) ================================================================================ 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional Shares of Beneficial Interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ SMITH BARNEY SHARES* Shares sold 42,445 Shares issued to shareholders from reinvestment of distributions 47 Shares repurchased (10,387) - -------------------------------------------------------------------------------- Net increase 32,105 ================================================================================ CITI SHARES** Shares sold 1,500,049 Shares issued to shareholders from reinvestment of dividends 3,761 Shares repurchased (42,206) - -------------------------------------------------------------------------------- Net increase 1,461,604 ================================================================================ ** September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the expenses of the Fund for the year ended December 31, 2000, which amounted to $96,033. 30 CITI SMALL CAP INDEX FUND INDEPENDENT AUDITORS' REPORT TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF THE CITI SMALL CAP INDEX FUND We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi Small Cap Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the custodian. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi Small Cap Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 31 THIS PAGE INTENTIONALLY LEFT BLANK. TRUSTEES AND OFFICERS Elliot J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon*, PRESIDENT Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi Small Cap Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi Small Cap Index Fund. (C) 2001 Citicorp [RECYCLE LOGO] Printed on recycled paper FD02215 2/01 ANNUAL REPORT DECEMBER 31, 2000 CITI U.S. 1000 INDEX SHARES A CLASS OF SHARES OF CITI U.S. 1000 INDEX FUND -------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE -------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 4 - -------------------------------------------------------------------------------- Fund Performance 5 - -------------------------------------------------------------------------------- Portfolio Highlights 6 - -------------------------------------------------------------------------------- Portfolio of Investments 7 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 20 - -------------------------------------------------------------------------------- Statement of Operations 21 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 22 - -------------------------------------------------------------------------------- Financial Highlights 23 - -------------------------------------------------------------------------------- Notes to Financial Statements 24 - -------------------------------------------------------------------------------- Independent Auditors' Report 27 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS [PHOTO OMITTED] Dear Shareholder: We are pleased to present the annual report for the Citi(SM) U.S. 1000 Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the appropriate sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Russell 1000(R) Index. The Russell 1000 Index measures the performance of the 1,000 largest U.S. public companies based on total market capitalization. Thank you for your investment in the Citi U.S. 1000 Index Shares, a class of shares of the Citi U.S. 1000 Index Fund. Sincerely, /s/ Heath B. McLendon Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from inception on September 5, 2000 through December 31, 2000, CitiIndex Shares produced a total return of negative 12.41%. In comparison, the Russell 1000 Index (The "Index") returned negative 12.81% over the same period. While the Fund outperformed the Index during this period, we want to point out that this is unusual. Over the long term, the Fund aims to achieve returns that replicate those of the Index. However, since the Fund has fees and expenses which the Index does not the Fund's performance may slightly lag that of the Index. Investors in index funds such as this Fund should remember that the performance of the Fund is intended to correspond to the performance of its Index in good and bad markets over the short and long term. TO A LARGE DEGREE, THE PERFORMANCE OF THE RUSSELL 1000 INDEX OVER THE PAST YEAR REFLECTED BROADER TRENDS IN THE U.S. ECONOMY. When the U.S. economy was growing robustly during the first half of 2000, the stock market also generally grew. The market leaders early in this period were the growth(1) stocks that many investors expected would benefit much from a strong economy. However, the Federal Reserve Board (the "Fed") moved toward a more restrictive monetary policy during the first six months of 2000, raising short-term interest rates three times for a total increase of 1%, in an effort to constrain economic growth and forestall long-dormant inflationary pressures. THE FED'S MONETARY POLICIES APPARENTLY WERE EFFECTIVE, BECAUSE THE SECOND HALF OF 2000 SAW AN ECONOMIC SLOWDOWN IN THE U.S. With these slowing economic conditions, many investors sold growth stocks amid growing concerns that a slower U.S. economy might adversely affect corporate earnings. Investor sentiment shifted instead to long-neglected value(2) stocks that some believed were selling at more reasonable prices relative to their earnings. THESE SHIFTS IN ECONOMIC GROWTH, MONETARY POLICY AND INVESTOR SENTIMENT MADE 2000 A HIGHLY VOLATILE YEAR FOR THE U.S. STOCK MARKET, INCLUDING THE LARGE-CAPITALIZATION AND MID-CAPITALIZATION STOCKS THAT COMPRISE THE INDEX. In fact, performance was widely divergent between the top 500 stocks (large capitalization stocks) and bottom 500 stocks (mid capitalization stocks) in the Index, with mid-cap stocks providing better overall returns. Some suspect that many investors, in their search for share price appreciation, turned away from the largest, best-known and most highly-valued companies and toward smaller, lesser-known companies. PERHAPS ONE OF THE MOST NOTABLE STOCK MARKET TRENDS OF 2000 WAS THE SHARP DECLINE IN STOCK PRICES AMONG TECHNOLOGY AND TELECOMMUNICATIONS COMPANIES THAT WERE PREVIOUSLY STOCK MARKET LEADERS. After five years of producing annualized gains of more than 20%, the technology-laden Nasdaq Composite Index (which shares some components with the Russell 1000 Index) fell nearly 50% between its March 2000 high and its December 2000 low. Many analysts attribute the (1) Growth stocks are shares of companies with the potential for faster-than-average growth within their industries. (2) Value stocks are shares of companies that are considered to be inexpensive relative to their asset values or earning power. 2 technology industry group's weakness to unrestrained investor enthusiasm for companies that they believed would prosper in the "New Economy."(3) During 1999, many investors bid up the prices of such stocks to extremely high valuations and some investment professionals thought this was a speculative bubble just waiting to burst. Among the beneficiaries of this early investor enthusiasm for technology were many Internet-related companies that had yet to earn profits, but were the subject of popular speculation that they might one day become industry leaders. THE ENTHUSIASM FOR TECHNOLOGY STOCKS CONTINUED INTO THE FIRST QUARTER OF 2000, WHILE OTHER AREAS OF THE STOCK MARKET LANGUISHED. For example, some value-oriented industry groups, such as healthcare, energy and consumer stocks, generally declined in January, February and the first half of March 2000 because of a general lack of investor interest. By the end of the first quarter, rising short-term interest rates had put pressure on corporate profitability. This led to a series of earnings disappointments by companies in a range of industries that continued throughout the year. This new environment of slower growth hit the technology sector particularly hard. Investors who had given little scrutiny to such "old school" fundamentals as price to earnings ratios suddenly became concerned that technology stock valuations had risen too far, too fast. Investors were quick to sell what they deemed to be overvalued technology stocks, which fell sharply in April 2000. When it later appeared that the U.S. economy was slowing and inflation was likely to remain subdued, some investors shifted assets to stocks that tend to do well in a slower growth economy, including financial services companies and healthcare providers. In addition, investors favored energy stocks because of the positive effects on corporate earnings from rising crude oil prices. DESPITE A SUMMER RALLY, TECHNOLOGY STOCKS AGAIN DECLINED IN NOVEMBER AND DECEMBER 2000, TRIGGERING A "FLIGHT TO QUALITY" THAT BENEFITED MAINLY HIGH-QUALITY BONDS AND RELATIVELY DEFENSIVE, VALUE-ORIENTED STOCKS. Indeed, by the end of December 2000, some beaten-down technology stocks had reached valuations that made them attractive to some value-oriented investors. On the other hand, such as traditional value-oriented sectors continued to attract more capital, benefiting consumer and healthcare stocks. Financial shares ended the year on a particularly strong note when the Fed hinted that it might cut rates in 2001. (3) The New Economy represents those companies in the technology, telecommunications, and Internet sectors. 3 FUND FACTS FUND OBJECTIVE The Fund's goal is to provide investment results that, before fees and expenses, correspond to the performance of the Russell 1000 Index. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Paid semi-annually, if any SUBADVISER CAPITAL GAINS State Street Bank Distributed annually, if any and Trust Company Through its State Street Global Advisor division NET ASSETS AS OF 12/31/00 INDEX Citi Shares o Russell 1000 Index $12.8 million 4 FUND PERFORMANCE TOTAL RETURNS SINCE 9/5/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* - -------------------------------------------------------------------------------- Citi Shares (12.41)% Russell 1000 Index (12.81)% * Not Annualized GROWTH OF $10,000 INVESTED IN THE CITI SHARES VS RUSSELL 1000 INDEX SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) - DECEMBER 31, 2000. [The table below represents a line chart in the printed piece.] Russell 1000 Index Citi Shares ----- ----------- 9/5/00 10000 10000 9/30/00 9599 9610 10/31/00 9483 9480 11/30/00 8615 8680 12/31/00 8719 8759 A $10,000 investment in the Citi Shares class of the Fund made on inception date would have been $8,759 (as of 12/31/00). The graph shows how the performance of the Citi Shares compares to its benchmark, the Index, over the same period. The graph assumes all dividends and distributions are reinvested at Net Asset Value. Note: All Fund performance numbers represent past performance and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. The Russell 1000(R) Index is a trademark/service mark of the Frank Russell Company. Russell(TM) is a trademark of the Frank Russell Company. The Fund is not sponsored, endorsed, sold or promoted by the sponsor of the Index, and the sponsor of the Index is not in any way affiliated with the Fund. The sponsor of the Index makes no representation or warranty, implied or express, regarding the advisability of investing in the Fund. 5 PORTFOLIO HIGHLIGHTS ================================================================================ TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS - -------------------------------------------------------------------------------- General Electric Co., Industrial Conglomerates 3.97% - -------------------------------------------------------------------------------- Exxon Mobil Corp., Integrated Oil 2.52% - -------------------------------------------------------------------------------- Pfizer Inc., Pharmaceuticals: Major 2.43% - -------------------------------------------------------------------------------- Cisco Systems Inc., Computer Communications 2.29% - -------------------------------------------------------------------------------- Citigroup Inc., Financial Conglomerates 2.14% - -------------------------------------------------------------------------------- Merck & Co. Inc., Pharmaceuticals: Major 1.80% - -------------------------------------------------------------------------------- Intel Corp., Semiconductors 1.68% - -------------------------------------------------------------------------------- American International Group Inc., Multi-Line Insurance 1.65% - -------------------------------------------------------------------------------- Microsoft Corp., Packaged Software 1.44% - -------------------------------------------------------------------------------- SBC Communications Inc., Major Telecommunications 1.35% - -------------------------------------------------------------------------------- 6 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK -- 99.6% - -------------------------------------------------------------------------------- ADVERTISING/MARKETING SERVICES -- 0.4% - -------------------------------------------------------------------------------- Catalina Marketing Corp* 49 $ 1,908 DoubleClick Inc* 100 1,100 Dun & Bradstreet Corp* 88 2,277 Getty Images Inc* 40 1,280 Interpublic Group of Companies Inc 335 14,258 Lamar Advertising Co* 52 2,007 Omnicom Group Inc 200 16,575 TMP Worldwide Inc* 66 3,630 True North Communications Inc 51 2,167 Valassis Communications Inc 100 3,156 ----------- 48,358 ----------- AEROSPACE & DEFENSE -- 1.2% - -------------------------------------------------------------------------------- Boeing Co 966 63,756 General Dynamics Corp 168 13,104 General Motors Corp 583 29,697 Goodrich (B.F.) Co 100 3,637 L 3 Communications Holding Corp 34 2,618 Litton Industries Inc 36 2,833 Lockheed Martin Corp 400 13,580 Northrop Grumman Corp 73 6,059 Raytheon Co-Class B 400 12,425 Textron Inc 130 6,045 Titan Corp* 100 1,625 ----------- 155,379 ----------- AGRICULTURAL COMMODITIES/MILLING -- 0.1% - -------------------------------------------------------------------------------- Archer-Daniels-Midland Co 700 10,500 ----------- AIR FREIGHT/COURIERS -- 0.2% - -------------------------------------------------------------------------------- C.H. Robinson Worldwide Inc 92 2,892 Expeditores International Washington Inc 49 2,631 FedEx Corp* 300 11,988 United Parcel Service Inc 100 5,881 ----------- 23,392 ----------- AIRLINES -- 0.3% - -------------------------------------------------------------------------------- AMR Corp 200 7,838 Continental Airlines Inc* 38 1,962 Delta Air Lines Inc 134 6,725 Southwest Airlines Co 546 18,307 UAL Corp 100 3,894 US Airways Group Inc 100 4,056 ----------- 42,782 ----------- ALTERNATIVE POWER GENERATION -- 0.2% - -------------------------------------------------------------------------------- AES Corp 338 18,717 Calpine Corp* 285 12,843 ----------- 31,560 ----------- ALUMINUM -- 0.2% - -------------------------------------------------------------------------------- Alcoa Inc 941 31,524 ----------- APPAREL/FOOTWEAR -- 0.2% - -------------------------------------------------------------------------------- Cintas Corp 129 6,861 Jones Apparel Group Inc* 100 3,219 Liz Claiborne Inc 53 2,206 NIKE Inc 100 5,581 VF Corp 100 3,624 ----------- 21,491 ----------- APPAREL/FOOTWEAR RETAIL -- 0.3% - -------------------------------------------------------------------------------- Gap Inc 600 15,300 Intimate Brands Inc 100 1,500 Limited Inc 300 5,119 Nordstrom Inc 100 1,819 Ross Stores Inc 100 1,687 TJX Companies Inc 300 8,325 ----------- 33,750 ----------- AUTO PARTS: OEM -- 0.2% - -------------------------------------------------------------------------------- Autoliv Inc 100 1,594 Dana Corp 200 3,062 Delphi Automotive System 600 6,750 Eaton Corp 72 5,413 Gentex Corp* 100 1,862 Johnson Controls Inc 100 5,200 TRW Inc 100 3,875 Visteon Corp 100 1,150 ----------- 28,906 ----------- AUTOMOTIVE AFTERMARKET -- 0.1% - -------------------------------------------------------------------------------- Goodyear Tire & Rubber Co 200 4,598 SPX Corp 34 3,678 ----------- 8,276 ----------- BEVERAGES: ALCOHOLIC -- 0.4% - -------------------------------------------------------------------------------- Anheuser-Busch Cos Inc 981 44,636 Brown-Forman Corp -- Cl B 48 3,192 ----------- 47,828 ----------- BEVERAGES: NON-ALCOHOLIC -- 1.7% - -------------------------------------------------------------------------------- Coca-Cola Co 2,179 132,783 Coca-Cola Enterprises Inc 300 5,700 Pepsi Bottling Group Inc 100 3,994 7 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- BEVERAGES: NON-ALCOHOLIC -- CONT'D - -------------------------------------------------------------------------------- PepsiCo Inc 1,570 $ 77,813 Whitman Corp* 100 1,637 ----------- 221,927 ----------- BIOTECHNOLOGY -- 1.8% - -------------------------------------------------------------------------------- Abgenix Inc* 68 4,016 Affymetrix Inc* 42 3,126 Alkermes Inc* 100 3,138 Amgen Inc* 1,118 71,482 Applera Corp-Applied Biosystems 228 21,446 Biogen Inc* 151 9,069 Celgene Corp* 100 3,250 Cephalon Inc* 44 2,786 Chiron Corp* 100 4,450 COR Therapeutics Inc* 50 1,759 Genentech Inc* 235 19,153 Genzyme Corp* 100 8,994 Gilead Sciences Inc* 48 3,981 Human Genome Sciences Inc* 131 9,080 ICOS Corporation* 45 2,337 IDEC Pharmaceuticals Corp 35 6,635 ImClone Systems Inc* 100 4,400 Immunex Corp* 253 10,278 Incyte Genomics Inc* 100 2,487 Medarex Inc* 100 4,075 MedImmune Inc* 229 10,920 Millennium Pharmaceuticals* 200 12,375 Protein Design Labs Inc* 47 4,083 Techne Corp* 45 1,623 Vertex Pharmaceuticals Inc* 60 4,290 ----------- 229,233 ----------- BROADCASTING -- 0.4% - -------------------------------------------------------------------------------- Chris-Craft Industries Inc* 18 1,197 Clear Channel Communications* 523 25,333 Hispanic Broadcasting Corp* 100 2,550 Infinity Broadcasting Corp--Cl A* 340 9,499 Radio One Inc--Cl A* 100 1,069 Univision Communications Inc* 200 8,187 USA Networks Inc* 100 1,944 Westwood One Inc 100 1,931 ----------- 51,710 ----------- BUILDING PRODUCTS -- 0.1% - -------------------------------------------------------------------------------- American Standard Co Inc* 100 4,931 Masco Corp 500 12,844 ----------- 17,775 ----------- CABLE/SATELLITE TV -- 0.8% - -------------------------------------------------------------------------------- Adelphia Communications Corp--Cl A* 100 5,163 AT&T Corp-Liberty Media* 2,805 38,043 Cablevision Systems Corp--Cl A* 100 8,494 Charter Communications Inc--Cl A* 100 2,269 Comcast Corp* 973 40,623 Cox Communications Inc-Cl A* 147 6,845 Echostar Communications Corp* 100 2,275 UnitedGlobalCom Inc--Cl A* 100 1,362 ----------- 105,074 ----------- CASINOS/GAMING -- 0.1% - -------------------------------------------------------------------------------- Harrah's Entertainment Inc* 100 2,638 Mandalay Resort Group* 100 2,194 MGM Mirage Inc 100 2,819 Park Place Entertainment Corp* 300 3,581 ----------- 11,232 ----------- CATALOG/SPECIALTY DISTRIBUTION -- 0.0% - -------------------------------------------------------------------------------- CDW Computer Centers Inc* 51 1,422 ----------- CHEMICALS: AGRICULTURAL -- 0.0% - -------------------------------------------------------------------------------- IMC Global Inc 100 1,556 ----------- CHEMICALS: MAJOR DIVERSIFIED -- 0.7% - -------------------------------------------------------------------------------- Dow Chemical Co 738 27,029 Du Pont (E.I.) De Nemours & Co 1,048 50,632 Eastman Chemical Co 100 4,875 Hercules Inc 100 1,906 Rohm and Haas Co 100 3,631 Union Carbide Corp 131 7,049 ----------- 95,122 ----------- CHEMICALS: SPECIALTY -- 0.2% - -------------------------------------------------------------------------------- Air Products & Chemicals Inc 249 10,209 Cabot Corp 100 2,638 Engelhard Corp 100 2,037 FMC Corp 27 1,936 Lyondell Chemical Co 100 1,531 Praxair Inc 200 8,875 Sigma-Aldrich 100 3,931 ----------- 31,157 ----------- COAL -- 0.0% - -------------------------------------------------------------------------------- Massey Energy Company 100 1,275 ----------- 8 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- COMMERCIAL PRINTING/FORMS -- 0.1% - -------------------------------------------------------------------------------- Deluxe Corp 100 $ 2,527 Donnelley (R.R.) & Sons Co 100 2,700 ----------- 5,227 ----------- COMPUTER COMMUNICATIONS -- 2.9% - -------------------------------------------------------------------------------- 3Com Corp 400 3,400 Adaptec Inc* 100 1,025 Avaya Inc* 303 3,125 Brocade Communications Systems Inc* 240 22,035 Cabletron Systems Inc* 200 3,013 Cisco Systems Inc* 7,790 297,967 Emulex Corp* 74 5,915 Extreme Networks Inc* 49 1,917 Finisar Corp* 100 2,900 Foundry Networks Inc* 100 1,500 Juniper Networks Inc* 224 28,238 Redback Networks Inc* 116 4,756 ----------- 375,791 ----------- COMPUTER PERIPHERALS -- 1.6% - -------------------------------------------------------------------------------- Eletronics For Imaging Inc* 100 1,394 EMC Corp 2,371 157,672 Jack Henry & Associates Inc 33 2,050 Lexmark International Inc* 141 6,248 Network Appliance Inc* 344 22,081 QLogic Corp* 100 7,700 Quantum Corp-DLT & Storage* 200 2,662 Symbol Technologies Inc 159 5,724 ----------- 205,531 ----------- COMPUTER PROCESSING HARDWARE -- 3.2% - -------------------------------------------------------------------------------- Apple Computer Inc 400 5,950 Compaq Computer Corp 1,800 27,090 Dell Computer Corp* 2,393 41,728 Gateway Inc* 200 3,598 Hewlett-Packard Co 1,798 56,749 International Business Machines Corp 1,908 162,180 NCR Corp * 100 4,912 Palm Inc* 600 16,987 Sun Microsystems Inc* 3,500 97,562 ----------- 416,756 ----------- CONSTRUCTION MATERIALS -- 0.1% - -------------------------------------------------------------------------------- Martin Marietta Materials Inc 48 2,030 Vulcan Materials Co 100 4,787 ----------- 6,817 ----------- CONTAINERS/PACKAGING -- 0.1% - -------------------------------------------------------------------------------- Bemis Co Inc 100 3,356 Crown Cork & Seal Co Inc 100 744 Owens-Illinois Inc* 200 1,137 Sealed Air Corp* 100 3,050 Smurfit-Stone Container Corp* 100 1,494 Sonoco Products Co 100 2,162 Temple-Inland Inc 46 2,467 ----------- 14,410 ----------- CONTRACT DRILLING -- 0.4% - -------------------------------------------------------------------------------- Diamond Offshore Drilling Inc 100 4,000 ENSCO International Inc 200 6,813 Global Marine Inc 200 5,675 Helmerich & Payne Inc 100 4,388 Marine Drilling Cos Inc* 100 2,675 Nabors Industries Inc* 143 8,458 Noble Drilling Corp* 146 6,342 Pride International Inc* 100 2,462 R&B Falcon Corp* 200 4,588 Rowan Companies Inc 100 2,700 ----------- 48,101 ----------- DATA PROCESSING SERVICES -- 0.8% - -------------------------------------------------------------------------------- Acxiom Corp* 100 3,894 Affiliated Computer Services Inc* 39 2,367 Automatic Data Processing Inc 686 43,432 Bisys Group Inc* 62 3,232 Ceridian Corp 100 1,994 CSG Systems International Inc* 54 2,535 DST Systems Inc* 75 5,025 First Data Corp 441 23,235 Fiserv Inc 135 6,404 Paychex Inc 337 16,387 ----------- 108,505 ----------- DEPARTMENT STORES -- 0.4% - -------------------------------------------------------------------------------- Federated Dept Stores Inc* 200 7,000 J.C. Penney Company Inc 300 3,262 Kohl's Corp 326 19,886 May Department Stores Co 300 9,825 Saks Incorporated* 200 2,000 Sears Roebuck & Co 300 10,425 ----------- 52,398 ----------- DISCOUNT STORES -- 1.7% - -------------------------------------------------------------------------------- BJ's Wholesales Club Inc* 100 3,838 Consolidated Stores Corp* 100 1,063 Costco Wholesales Corp 500 19,969 9 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- DISCOUNT STORES -- CONT'D - -------------------------------------------------------------------------------- Dollar General Corp 200 $ 3,775 Dollar Tree Stores Inc* 100 2,450 Family Dollar Stores Inc 200 4,288 KMart Corp 500 2,656 Target Corp 982 31,669 Wal-Mart Stores Inc 2,967 157,622 ----------- 227,330 ----------- DRUGSTORE CHAINS -- 0.6% - -------------------------------------------------------------------------------- CVS Corp 426 25,533 Rite Aid Corp 400 950 Walgreen Co 1,102 46,077 ----------- 72,560 ----------- ELECTRIC UTILITIES -- 2.5% - -------------------------------------------------------------------------------- Allegheny Energy Inc 100 4,819 Alliant Energy Corp 100 3,188 Ameren Corp 149 6,900 American Electric Power Inc 349 16,229 Cinergy Corp 200 7,025 CMS Energy Corp 100 3,169 Consolidated Edison Inc 200 7,700 Constellation Energy Group 153 6,895 Dominion Resources Inc 243 16,281 DPL Inc 140 4,646 DQE Inc 100 3,275 DTE Energy Co 146 5,685 Duke Energy Corp 400 34,100 Edison International 400 6,250 Energy East Corp 100 1,969 Entergy Corp 239 10,113 Exelon Corp 346 24,293 First Energy Corp 248 7,828 FPL Group Inc 200 14,350 GPU Inc 100 3,681 IPALCO Enterprises Inc 100 2,419 Montana Power Co 100 2,075 Niagara Mohawk Holdings Inc 200 3,337 NiSource Inc 219 6,734 Northeast Utilities 200 4,850 NSTAR 100 4,287 PG&E Corporation 400 8,000 Pinnacle West Capital Corp 100 4,762 Potomac Electric Power Co 100 2,471 PPL Corporation 148 6,688 Progress Energy Inc 221 10,870 Public Service Enterprise Group 233 11,330 Puget Energy Inc 100 2,781 Reliant Energy Inc 250 10,828 SCANA Corp 100 2,956 Southern Co 700 23,275 TECO Energy Inc 100 3,237 TXU Corporation 300 13,294 UtiliCorp United Inc 100 3,100 Wisconsin Energy Corp 100 2,256 Xcel Energy Inc 400 11,625 ----------- 329,571 ----------- ELECTRICAL PRODUCTS -- 0.5% - -------------------------------------------------------------------------------- American Power Conversion Corp* 200 2,475 Cooper Industries Inc 100 4,594 Emerson Electric Co 464 36,569 Energizer Holdings Inc* 100 2,138 Hubbell Inc--Cl B 100 2,650 Jabil Circuit Inc* 100 2,537 Molex Inc 143 5,077 Power-One Inc* 53 2,084 Thomas & Betts Corp 100 1,619 ----------- 59,743 ----------- ELECTRONIC COMPONENTS -- 0.4% - -------------------------------------------------------------------------------- Amphenol Corp--Cl A* 42 1,646 Cree Inc* 66 2,345 KEMET Corp* 100 1,512 Kopin Corp 100 1,106 NVIDIACorp* 50 1,638 Rambus Inc * 100 3,613 SanDisk Corp* 53 1,471 Sanmina Corp* 156 11,953 Sawtek Inc* 27 1,247 Solectron Corp* 600 20,340 Vishay Intertechnology Inc* 100 1,512 ----------- 48,383 ----------- ELECTRONIC EQUIPMENT/INSTRUMENTS -- 0.8% - -------------------------------------------------------------------------------- Agilent Technologies Inc* 493 26,992 Diebold Inc 100 3,338 JDS Uniphase Corp* 856 35,685 Macrovision Corp* 39 2,887 Newport Corp 33 2,594 PerkinElmer Inc 50 5,250 Rockwell International Corp 157 7,477 SCI Systems Inc* 200 5,275 Tektronix Inc 90 3,032 Waters Corporation* 141 11,773 Xerox Corp 700 3,237 ----------- 107,540 ----------- ELECTRONIC PRODUCTION EQUIPMENT -- 0.5% - -------------------------------------------------------------------------------- Amkor Technology Inc* 100 1,552 Applied Materials Inc* 878 33,529 Credence Systems Corp* 100 2,300 KLA-Tencor Corp* 200 6,738 Lam Research Corp* 100 1,450 Novellus Systems Inc* 143 5,139 10 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- ELECTRONIC PRODUCTION EQUIPMENT -- CONT'D - -------------------------------------------------------------------------------- Synopsys Inc* 58 $ 2,751 Teradyne Inc* 200 7,450 ----------- 60,909 ----------- ELECTRONICS DISTRIBUTORS -- 0.1% - -------------------------------------------------------------------------------- Arrow Electronics Inc 100 2,863 Avnet Inc 100 2,150 Ingram Micro Inc--Cl A* 100 1,125 Safeguard Scientifics Inc* 100 662 Tech Data Corp* 100 2,705 ----------- 9,505 ----------- ELECTRONICS/APPLIANCE STORES -- 0.1% - -------------------------------------------------------------------------------- Best Buy Co Inc* 200 5,913 Circuit City Stores Inc 200 2,300 Radio Shack Corp 200 8,562 ----------- 16,775 ----------- ELECTRONICS/APPLIANCES -- 0.1% - -------------------------------------------------------------------------------- Dycom Industries Inc* 46 1,653 Fluor Corp* 100 3,306 Maytag Corp 100 3,231 Spectrasite Holdings Inc* 100 1,325 Whirlpool Corp 100 4,769 ----------- 14,284 ----------- ENVIRONMENTAL SERVICES -- 0.2% - -------------------------------------------------------------------------------- Allied Waste Industries Inc* 200 2,913 Republic Services Inc* 200 3,437 Waste Management Inc 700 19,425 ----------- 25,775 ----------- FINANCE/RENTAL/LEASING -- 2.0% - -------------------------------------------------------------------------------- Capital One Financial Corp 200 13,162 CIT Group Inc--Cl A 200 4,025 Comdisco Inc 100 1,144 Countrywide Credit Industries Inc 100 5,025 Fannie Mae 1,108 96,119 Freddie Mac 754 51,932 GATX Corp 49 2,444 Household International Inc 500 27,500 MBNA Corp 800 29,550 Providian Financial Corp 292 16,790 ----------- USA Education Inc 168 11,424 ----------- 259,115 ----------- FINANCIAL CONGLOMERATES -- 2.8% - -------------------------------------------------------------------------------- American Express Co 1,446 79,440 Citigroup Inc 5,466 279,108 Conseco Inc 300 3,956 John Hancock Financial Services 100 3,763 ----------- 366,267 ----------- FINANCIAL PUBLISHING/SERVICES -- 0.3% - -------------------------------------------------------------------------------- Aether Systems Inc* 23 900 Equifax Inc 144 4,131 McGraw-Hill Companies Inc 200 11,725 Moody's Corp 200 5,138 SEI Investments Company 41 4,592 SunGard Data Systems Inc* 143 6,739 ----------- 33,225 ----------- FOOD DISTRIBUTORS -- 0.2% - -------------------------------------------------------------------------------- SUPERVALU INC 100 1,387 Sysco Corp 728 21,840 ----------- 23,227 ----------- FOOD RETAIL -- 0.5% - -------------------------------------------------------------------------------- Albertson' s Inc 300 7,950 Delhaize America Inc 100 1,800 Kroger Co 900 24,356 Safeway Inc* 500 31,250 Winn-Dixie Stores Inc 100 1,937 ----------- 67,293 ----------- FOOD: MAJOR DIVERSIFIED -- 0.7% - -------------------------------------------------------------------------------- Adolph Coors Co-Cl B 39 3,132 Campbell Soup Co 300 10,388 General Mills Inc 300 13,369 Heinz (H.J.) Co 354 16,793 Kellogg Co 200 5,250 Quaker Oats Co 143 13,925 Ralston Purina Group 300 7,837 Sara Lee Corp 900 22,106 ----------- 92,800 ----------- FOOD: MEAT/FISH/DAIRY -- 0.2% - -------------------------------------------------------------------------------- ConAgra Foods Inc 600 15,600 Hormel Foods Corp 100 1,863 IBP Inc 100 2,675 Tyson Foods Inc 100 1,275 ----------- 21,413 ----------- FOOD: SPECIALTY/CANDY -- 0.2% - -------------------------------------------------------------------------------- Flowers Industries Inc 100 1,575 Hershey Foods Corp 100 6,438 McCormick & Co Inc 100 3,606 Tootsie Roll Industries Inc 37 1,704 William Wrigley Jr. Co 100 9,581 ----------- 22,904 ----------- 11 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- FOREST PRODUCTS -- 0.2% - -------------------------------------------------------------------------------- Georgia-Pacific Corp 252 $ 7,843 Plum Creek Timber Company Inc 100 2,600 Weyerhaeuser Co 231 11,723 ----------- 22,166 ----------- GAS DISTRIBUTORS -- 0.2% - -------------------------------------------------------------------------------- Equitable Resources Inc 35 2,336 KeySpan Corp 146 6,187 Kinder Morgan Inc 100 5,219 MCN Energy Group Inc 100 2,769 National Fuel Gas Co 43 2,706 NICOR Inc 50 2,159 Questar Corp 100 3,006 Sempra Energy 200 4,650 ----------- 29,032 ----------- HOME FURNISHINGS -- 0.1% - -------------------------------------------------------------------------------- Leggett & Platt Inc 200 3,787 Newell Rubbermaid Inc 300 6,825 Shaw Industries Inc 100 1,894 ----------- 12,506 ----------- HOME IMPROVEMENT CHAINS -- 1.0% - -------------------------------------------------------------------------------- Fastenal Co 30 1,646 Home Depot Inc 2,518 115,041 Lowe's Companies 351 15,619 ----------- 132,306 ----------- HOSPITAL/NURSING MANAGEMENT -- 0.4% - -------------------------------------------------------------------------------- HCA-The Healthcare Co 578 25,438 Health Management Associates Inc* 300 6,225 Tenet Healthcare Corp* 343 15,242 Universal Health Services--Cl B 26 2,905 ----------- 49,810 ----------- HOTELS/RESORTS/CRUISELINES -- 0.2% - -------------------------------------------------------------------------------- Hilton Hotels Corp 400 4,200 Marriott International Inc 200 8,450 Starwood Hotels & Resorts Worldwide Inc 200 7,050 ----------- 19,700 ----------- HOUSEHOLD/PERSONAL CARE -- 2.0% - -------------------------------------------------------------------------------- Avon Products Inc 243 11,634 Clorox Co 241 8,556 Colgate-Palmolive Co 623 40,215 Estee Lauder Cos Inc-Cl A 100 4,381 Gillette Co 1,145 41,363 International Flavors & Fragrances 100 2,031 Kimberly-Clark Corp 581 41,071 Procter & Gamble Co 1,418 111,224 ----------- 260,475 ----------- INDUSTRIAL CONGLOMERATES -- 5.0% - -------------------------------------------------------------------------------- General Electric Co 10,775 516,527 Honeywell International Inc 867 41,020 Minnesota Minning & Manufacturing Co 429 51,695 United Technologies Corp 476 37,425 ----------- 646,667 ----------- INDUSTRIAL MACHINERY -- 0.2% - -------------------------------------------------------------------------------- Illinois Tool Works Inc 251 14,950 Ingersoll-Rand Co 155 6,491 Parker-Hannifin Corp 100 4,412 ----------- 25,853 ----------- INDUSTRIAL SPECIALTIES -- 0.2% - -------------------------------------------------------------------------------- Ecolab Inc 100 4,319 Millipore Corp 47 2,961 PPG Industries Inc 200 9,262 Sherwin-Williams Co 200 5,263 ----------- 21,805 ----------- INFORMATION TECHNOLOGY SERVICES -- 0.5% - -------------------------------------------------------------------------------- Citrix Systems Inc* 200 4,500 Computer Sciences Corp* 163 9,800 Electronic Data Systems Corp 440 25,410 Infonet Services Corp* 100 500 Keane Inc 100 975 marchFIRST Inc* 200 300 National Instruments Corp* 30 1,457 PeopleSoft Inc* 234 8,702 Reynolds & Reynolds-Cl A 100 2,025 RSA Security Inc* 41 2,168 Sapient Corpporation* 100 1,194 Unisys Corp 300 4,387 Wind River Systems Inc* 100 3,412 ----------- 64,830 ----------- INSURANCE BROKERS/SERVICES -- 0.4% - -------------------------------------------------------------------------------- Aon Corp 249 8,528 ChoicePoint Inc* 44 2,885 Marsh & Mclennan Cos Inc 295 34,515 ----------- 45,928 ----------- 12 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- INTEGRATED OIL -- 3.7% - -------------------------------------------------------------------------------- Amerada Hess Corp 100 $ 7,306 Chevron Corp 698 58,937 Conoco Inc-Cl B 700 20,256 Exxon Mobil Corp 3,780 328,624 Murphy Oil Corp 49 2,961 Phillips Petroleum Co 232 13,195 Texaco Inc 598 37,151 Unocal Corp 248 9,594 ----------- 478,024 ----------- INTERNET RETAIL -- 0.0% - -------------------------------------------------------------------------------- Amazon.Com Inc* 200 3,113 Webvan Group Inc* 200 94 ----------- 3,207 ----------- INTERNET SOFTWARE/SERVICES -- 0.8% - -------------------------------------------------------------------------------- Agile Software Corp* 27 1,333 Akamai Technologies Inc* 47 990 Ariba Inc* 169 9,063 Art Technology Group Inc* 100 3,056 At Home Corp-Ser A* 200 1,106 BEA Systems Inc* 400 26,925 BroadVision Inc* 200 2,363 CMGI Inc* 200 1,119 CNET Networks Inc* 100 1,598 Commerce One Inc* 200 5,062 Critical Path Inc* 50 1,538 Earthlink Inc* 100 503 Exodus Communications Inc* 500 10,000 InfoSpace Inc* 200 1,769 Inktomi Corp* 100 1,788 Internap Network Services Corp* 100 725 Internet Capital Group Inc* 200 656 Internet Security Systems Inc* 29 2,275 Kana Communications Inc* 100 1,150 Liberate Technologies Inc* 100 1,362 Openwave Systems Inc* 75 3,595 Portal Software Inc* 100 784 PSINet Inc* 200 144 RealNetworks Inc* 100 869 S1 Corporation* 100 525 VeriSign Inc* 200 14,837 VerticalNet Inc* 100 666 Vignette Corporation* 200 3,600 Vitria Technology Inc* 100 775 WebMethods Inc* 15 1,334 Yahoo! Inc* 300 9,052 ----------- 110,562 ----------- INVESTMENT BANKS/BROKERS -- 2.0% - -------------------------------------------------------------------------------- Ameritrade Holding Corp--Cl A* 100 700 Bear Stearns Cos Inc 100 5,069 Charles Schwab Corp 1,172 33,256 E.Piphany Inc* 72 3,883 Edwards (A.G.) Inc 100 4,744 Goldman Sachs Group Inc 200 21,387 Knight-Ridder Inc 100 5,688 Legg Mason Inc 100 5,450 Lehman Brothers Holdings Inc 248 16,771 Merrill Lynch & Co 876 59,732 Morgan Stanley Dean Witter & Co 1,239 98,191 ----------- 254,871 ----------- INVESTMENT MANAGERS -- 0.2% - -------------------------------------------------------------------------------- Federated Investers Inc--Cl B 100 2,913 Franklin Resources Inc 200 7,620 Neuberger Berman Inc 41 3,324 Stilwell Financial Inc 242 9,544 T.Rowe Price Group Inc 100 4,227 Waddell & Reed Financial Inc 100 3,762 ----------- 31,390 ----------- LIFE/HEALTH INSURANCE -- 0.7% - -------------------------------------------------------------------------------- AFLAC Inc 289 20,862 American General Corp 273 22,250 Jefferson-Pilot Corp 100 7,475 Lincoln National Corp 200 9,463 MetLife Inc 300 10,500 MONY Group Inc 48 2,373 Protective Life Corp 100 3,225 Torchmark Corp 137 5,266 Unumprovident Corp 200 5,375 ----------- 86,789 ----------- MAJOR BANKS -- 4.9% - -------------------------------------------------------------------------------- Bank of America Corp 1,788 82,025 Bank of New York Inc 803 44,316 Bank One Corp 1,257 46,038 BB&T Corp 400 14,925 Chase &Co 1,591 93,182 Comerica Inc 160 9,500 First Union Corp 1,065 29,620 FleetBoston Financial Corp 998 37,487 Huntington Bancshares 300 4,856 KeyCorp 500 14,000 Mellon Financial Corp 531 26,119 National City Corp 622 17,882 PNC Financial Services Group 300 21,919 13 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- MAJOR BANKS -- CONT'D - -------------------------------------------------------------------------------- Popular Inc 148 $ 3,894 SouthTrust Corp 200 8,138 State Street Corp 176 21,861 Summit Bancorp 200 7,637 SunTrust Banks Inc 263 16,569 U.S. Bancorp 800 23,350 UnionBanCal Corp 100 2,406 Wachovia Corp 200 11,625 Wells Fargo & Company 1,865 103,857 ----------- 641,206 ----------- MAJOR TELECOMMUNICATIONS -- 4.4% - -------------------------------------------------------------------------------- Alltel Corp 340 21,229 AT&T Corp 4,084 70,704 Bellsouth Corp 2,031 83,144 Broadwing Inc* 200 4,563 NTL Incorporated* 300 7,181 RCN Corporation* 100 631 SBC Communications Inc 3,681 175,768 Sprint Corp 724 14,706 Verizon Communications Inc 2,958 148,270 WorldCom Inc* 3,131 44,030 ----------- 570,226 ----------- MANAGED HEALTH CARE -- 0.5% - -------------------------------------------------------------------------------- Aetna Inc* 144 5,913 CIGNA Corp 167 22,094 First Health Group Corp* 49 2,282 Oxford Health Plans Inc* 100 3,950 Trigon Healthcare Inc* 41 3,190 UnitedHealth Group Inc 356 21,849 Wellpoint Health Networks Inc* 64 7,376 ----------- 66,654 ----------- MARINE SHIPPING -- 0.0% - -------------------------------------------------------------------------------- Tidewater Inc 57 2,529 ----------- MEDIA CONGLOMERATES -- 1.4% - -------------------------------------------------------------------------------- Disney Walt Co 2,267 65,601 Fox Entertainment Group Inc* 100 1,788 Time Warner Inc 1,190 62,166 Viacom Inc-Cl B* 1,166 54,510 ----------- 184,065 ----------- MEDICAL DISTRIBUTORS -- 0.3% - -------------------------------------------------------------------------------- Andrx Group* 41 2,373 Cardinal Health Inc 300 29,888 McKesson HBOC Inc 300 10,767 Patterson Dental Co* 100 3,388 ----------- 46,416 ----------- MEDICAL SPECIALTIES -- 1.5% - -------------------------------------------------------------------------------- Alza Corp* 200 8,500 Apogent Technologies Inc* 100 2,050 Applera Corp-Celera Genomics* 100 3,594 Bard (C.R.) Inc 52 2,421 Bausch & Lomb Inc 51 2,062 Baxter International Inc 318 28,083 Beckman Coulter Inc. 60 2,516 Becton Dickinson & Co 300 10,388 Biomet Inc 200 7,938 Boston Scientific Corp* 300 4,106 Cytyc Corporation* 41 2,565 DENTSPLY International Inc 48 1,878 Guidant Corp 334 18,015 Hillenbrand Industries Inc 49 2,523 Medtronic Inc 1,304 78,729 MiniMed Inc* 46 1,933 Pall Corp 100 2,131 St Jude Medical Inc 100 6,144 Stryker Corp 147 7,437 Sybron Dental Specialties* 33 557 ----------- 193,570 ----------- MEDICAL/NURSING SERVICES -- 0.0% - -------------------------------------------------------------------------------- HEALTHSOUTH Corp* 400 6,525 ----------- MISCELLANEOUS COMMERCIAL SERVICES -- 0.2% - -------------------------------------------------------------------------------- CheckFree Corp* 54 2,295 Concord EFS Inc* 234 10,281 Galileo International Inc 100 2,000 Iron Mountain Inc* 40 1,485 Nova Corp* 100 1,994 Sabre Holdings Corp* 141 6,080 Viad Corp 100 2,300 ----------- 26,435 ----------- MISCELLANEOUS MANUFACTURING -- 0.0% - -------------------------------------------------------------------------------- Crane Co 100 2,844 Danaher Corp 100 6,838 Dover Corp 200 8,113 ITT Industries Inc 100 3,875 Pentair Inc 100 2,419 Thermo Electron Corp* 300 8,925 ----------- 33,014 ----------- MOTOR VEHICLES -- 0.6% - -------------------------------------------------------------------------------- Ford Motor Co 1,985 46,523 General Motors Corp--Cl H 750 17,250 Harley-Davidson Inc 330 13,117 ----------- 76,890 ----------- 14 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- MOVIES/ENTERTAINMENT -- 0.0% - -------------------------------------------------------------------------------- International Speedway Corp--Cl A 30 $ 1,140 Six Flags Inc 100 1,719 ----------- 2,859 ----------- MULTI-LINE INSURANCE -- 1.8% - -------------------------------------------------------------------------------- American International Group Inc 2,185 215,359 Hartford Financial Services Group 245 17,303 SAFECO Corp 100 3,287 Unitrin Inc 49 1,991 ----------- 237,940 ----------- OFFICE EQUIPMENT/SUPPLIES -- 0.2% - -------------------------------------------------------------------------------- Avery Dennison Corp 100 5,488 Herman Miller Inc 100 2,875 Pitney Bowes Inc 300 9,937 Steelcase Inc-Cl A 100 1,388 ----------- 19,688 ----------- OIL & GAS PIPELINES -- 1.0% - -------------------------------------------------------------------------------- Coastal Corp 200 17,663 Dynegy Inc--Cl A 247 13,847 El Paso Energy Corp 237 16,975 Enron Corp 803 66,749 Williams Cos Inc 500 19,969 ----------- 135,203 ----------- OIL & GAS PRODUCTION -- 0.6% - -------------------------------------------------------------------------------- Anadarko Petroleum Corp 254 18,054 Apache Corp 123 8,618 Burlington Resources Inc 234 11,817 Devon Energy Corporation 100 6,097 EOG Resources Inc 100 5,469 Kerr-McGee Corp 100 6,694 Newfield Exploration Co* 44 2,087 Noble Affiliates Inc 100 4,600 Occidental Petroleum Corp 400 9,700 Ocean Energy Inc* 200 3,475 ----------- 76,611 ----------- OIL REFINING/MARKETING -- 0.2% - -------------------------------------------------------------------------------- Ashland Inc 100 3,589 Sunoco Inc 100 3,369 Tosco Corp 200 6,787 Ultramar Diamond Shamrock Corp 100 3,087 USX-Marathon Group 300 8,325 Valero Energy Corp 100 3,719 28,876 OILFIELD SERVICES/EQUIPMENT -- 0.5% - -------------------------------------------------------------------------------- Baker Hughes Inc 300 12,469 BJ Services Co* 100 6,888 Cooper Cameron Corp* 55 3,633 Global Industries Ltd* 100 1,369 Grant Prideco Inc* 100 2,194 Halliburton Co 500 18,125 Hanover Compressor Co* 100 4,456 National-Oilwell Inc* 100 3,869 Smith International Inc 52 3,877 Varco International Inc* 100 2,175 Weatherford International Inc* 100 4,725 ----------- 63,780 ----------- OTHER CONSUMER SERVICES -- 0.9% - -------------------------------------------------------------------------------- America Online Inc* 2,537 88,288 Apollo Group Inc--Cl A* 100 4,919 Block H & R Inc 100 4,138 Cendant Corp* 800 7,700 DeVry Inc* 100 3,775 eBay Inc* 134 4,422 HomeStore.Com Inc* 100 2,012 Priceline.Com Inc* 100 131 ServiceMaster Company 300 3,450 ----------- 118,835 ----------- OTHER CONSUMER SPECIALTIES -- 0.1% - -------------------------------------------------------------------------------- Fortune Brands Inc 200 6,000 ----------- OTHER METALS/MINERALS -- 0.0% - -------------------------------------------------------------------------------- Phelps Dodge Corp 100 5,581 ----------- PACKAGED SOFTWARE -- 3.8% - -------------------------------------------------------------------------------- Adobe Systems Inc. 246 14,314 Aspect Communications Inc* 100 805 Autodesk Inc 100 2,694 BMC Software Inc* 300 4,200 Cadence Design Systems Inc* 300 8,250 Computer Associats International Inc 500 9,750 Compuware Corp* 300 1,875 E*Trade Group Inc* 200 1,475 I2 Technologies Inc* 200 10,875 Informix Corp* 300 891 Intuit Inc* 200 7,887 Macromedia Inc* 54 3,281 Mercury Interactive Corp* 100 9,025 Micromuse Inc* 76 4,587 Microsoft Corp* 4,327 187,684 Networks Associatss Inc* 200 837 Novell Inc* 400 2,087 Oracle Corp* 4,626 134,443 15 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- PACKAGED SOFTWARE -- CONT'D - -------------------------------------------------------------------------------- Parametric Technology Corp* 300 $ 4,031 Peregrine Systems Inc* 200 3,950 Rational Software Corp* 200 7,788 Red Hat Inc* 100 625 Siebel Systems Inc* 375 25,359 Sybase Inc* 100 1,981 Symantec Corp* 100 3,337 TIBCO Software Inc* 139 6,663 VERITAS Software Corp* 419 36,662 ----------- 495,356 ----------- PERSONNEL SERVICES -- 0.1% - -------------------------------------------------------------------------------- Manpower Inc 100 3,800 Robert Half International Inc 200 5,300 ----------- 9,100 ----------- PHARMACEUTICALS: GENERIC -- 0.1% - -------------------------------------------------------------------------------- ICN Pharmaceuticals Inc 100 3,069 IVAX Corp 142 5,439 Mylan Laboratories Inc 100 2,519 Watson Pharmaceuticals Inc* 100 5,119 ----------- 16,146 ----------- PHARMACEUTICALS: MAJOR -- 10.1% - -------------------------------------------------------------------------------- Abbott Laboratories 1,682 81,472 American Home Products Corp 1,425 90,559 Bristol-Myers Squibb Co 2,126 157,191 Johnson & Johnson 1,511 158,749 Lilly (Eli) & Co 1,030 95,854 Merck & Co Inc 2,508 234,811 Pfizer Inc 6,865 315,790 Pharmacia Corporation 1,402 85,522 Schering-Plough Corp 1,590 90,232 ----------- 1,310,180 ----------- PHARMACEUTICALS: OTHER -- 0.3% - -------------------------------------------------------------------------------- Allergan Inc 143 13,844 Forest Laboratories Inc* 100 13,288 King Pharmaceuticals Inc* 137 7,081 Sepracor Inc* 71 5,689 ----------- 39,902 ----------- PRECIOUS METALS -- 0.0% - -------------------------------------------------------------------------------- Homestake Minning Co 300 1,256 Newmont Minning Corp 200 3,412 ----------- 4,668 ----------- PROPERTY/CASUALTY INSURANCE -- 0.7% - -------------------------------------------------------------------------------- Allmerica Financial Corp 54 3,915 Allstate Corp 795 34,632 Chubb Corp 179 15,483 Cincinnati Financial Corp 200 7,913 Erie Indemnity Co 100 2,981 Loews Corp 67 6,939 Old Republic International Corp 100 3,200 Progressive Corp 55 5,699 St Paul Companies Inc 235 12,763 Transatlantic Holdings Inc 19 2,012 ----------- 95,537 ----------- PUBLISHING: BOOKS/MAGAZINES -- 0.1% - -------------------------------------------------------------------------------- Harcourt General Inc 100 5,720 PRIMEDIA Inc* 200 2,387 Reader's Digest Association Inc--Cl A 100 3,912 ----------- 12,019 ----------- PUBLISHING: NEWSPAPERS -- 0.3% - -------------------------------------------------------------------------------- Belo (A.H.) Corp 100 1,600 Dow Jones & Co Inc 46 2,605 E.W. Scripps Co--Cl A 29 1,823 Gannett Co 300 18,919 Knight Trading Group Inc* 100 1,394 New York Times Co--Cl A 200 8,012 Tribune Co 200 8,450 Washington Post Co--Cl B 4 2,467 ----------- 45,270 ----------- PULP & PAPER -- 0.3% - -------------------------------------------------------------------------------- Boise Cascade Corp 100 3,363 Bowater Inc 51 2,875 Georgia-Pacific Timber Group 100 2,994 International Paper Co 500 20,406 Mead Corp 100 3,138 Westvaco Corp 100 2,919 Willamette Industries Inc 100 4,694 ----------- 40,389 ----------- RAILROADS -- 0.3% - -------------------------------------------------------------------------------- Burlington Northern Santa Fe Corp 400 11,325 CSX Corp 200 5,187 Kansas City Southern Industries Inc 100 1,013 Norfolk Southern Corp 400 5,325 Union Pacific Corp 253 12,840 ----------- 35,690 ----------- 16 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS -- 0.6% - -------------------------------------------------------------------------------- AMB Property Corp 100 2,581 Apartment Investment & Management Co 100 4,994 Archstone Communities Trust 100 2,575 Avalonbay Communities Inc 100 5,013 Boston Properties Inc 100 4,350 CarrAmerica Realty Corp 100 3,131 Crescent Real Estate Equities 100 2,225 Duke-Weeks Realty Corp 100 2,462 Equity Office Propertys Trust 300 9,787 Equity Residential Propertys Trust 143 7,910 General Growth Properties Inc 100 3,619 Host Marriott Corp 200 2,587 iStar Financial Inc 100 1,969 Kimco Realty Corp 50 2,209 Liberty Property Trust 100 2,856 Mack-Cali Realty Corp 100 2,856 Post Properties Inc 43 1,615 ProLogis Trust 100 2,225 Public Storage Inc 100 2,431 Rouse Co 100 2,550 Simon Property Group Inc 100 2,400 Spieker Properties Inc 60 3,008 Vornado Realty Trust 100 3,831 ----------- 79,184 ----------- RECREATIONAL PRODUCTS -- 0.3% - -------------------------------------------------------------------------------- Brunswick Corp 100 1,644 Eastman Kodak Co 300 11,813 Electronic Arts Inc* 144 6,138 Hasbro Inc 200 2,125 International Game Technology 100 4,800 Mattel Inc 500 7,220 ----------- 33,740 ----------- REGIONAL BANKS -- 1.3% - -------------------------------------------------------------------------------- Amsouth Bancorporation 400 6,100 Associatsiated Banc-Corp 100 3,038 BancWest Corp 100 2,613 Banknorth Group Inc 200 3,988 Centura Banks Inc 43 2,075 City National Corp 44 1,708 Commerce Bancshares Inc 105 4,463 Compass Bancshares Inc 100 2,388 Fifth Third Bancorp 400 23,900 First Tennessee National Corp 100 2,894 First Virginia Bank Inc 47 2,256 Firstar Corp 1,000 23,250 FirstMerit Corp 100 2,673 Hibernia Corp-Cl A 200 2,550 M&T Bank Corp 100 6,800 Marshall & Ilsley Corp 100 5,083 Mercantile Bankshares Corp 100 4,319 National Commerce Bancorporation 200 4,950 North Fork Bancorporation Inc 200 4,912 Northern Trust Corp 227 18,515 Old Kent Financial Corp 149 6,519 Old National Bancorp Ind 100 2,994 Pacific Century Financial Corp 100 1,769 Regions Financial Corp 200 5,463 Synovus Financial Corp 300 8,081 TCF Financial Corp 100 4,456 Union Planters Corp 147 5,255 Valley National Bancorp 100 3,331 Wilmington Trust Corporation 35 2,172 Zions Bancorporation 100 6,244 ----------- 174,759 ----------- RESTAURANTS -- 0.6% - -------------------------------------------------------------------------------- Brinker International Inc* 100 4,225 Darden Restaurants Inc 100 2,287 McDonald's Corporation 1,426 48,484 Outback Steakhouse Inc* 100 2,588 Starbucks Corp* 200 8,850 Tricon Global Restaurants Inc* 200 6,600 Wendy's International Inc 100 2,625 ----------- 75,659 ----------- SAVINGS BANKS -- 0.5% - -------------------------------------------------------------------------------- Charter One Financial Inc 210 6,064 Dime Bancorp Inc 100 2,956 Golden State Bancorp Inc 100 3,144 Golden West Financial Corp 139 9,383 GreenPoint Financial Corp 100 4,094 Hudson City Bancorp Inc 100 2,025 Sovereign Bancorp Inc 200 1,625 Washington Mutual Inc 586 31,095 ----------- 60,386 ----------- SEMICONDUCTORS -- 4.0% - -------------------------------------------------------------------------------- Advanced Micro Devices Inc* 300 4,144 Alpha Industries Inc. 40 1,480 Altera Corp* 400 10,525 Analog Devices Inc* 389 19,912 Applied Micro Circuits Corp* 260 19,512 Atmel Corp* 400 4,650 17 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- SEMICONDUCTORS -- CONT'D - -------------------------------------------------------------------------------- Broadcom Corp--Cl A* 147 $ 12,348 Conexant Systems Inc* 249 3,828 Cypress Semiconductor Corp* 100 1,969 Dallas Semiconductor Corp 100 2,563 Fairchild Semiconductor International--Cl A* 100 1,444 GlobeSpan Inc* 37 1,018 Integrated Device Technology Inc* 100 3,312 Intel Corp 7,283 218,945 International Rectifier Corp* 100 3,000 Lattice Semiconductor Corp* 100 1,838 Linear Technology Corp 344 15,910 LSI Logic Corp* 300 5,127 Maxim Integrated Products Inc* 300 14,344 Micrel Inc* 100 3,369 Microchip Technology Inc* 150 3,291 Micron Technology Inc 500 17,750 National Semiconductor Corp* 200 4,025 PMC-Sierra Inc* 164 12,894 SDL Inc* 81 12,003 Semtech Corp* 100 2,206 Silicon StorageTechnology Inc* 100 1,181 Texas Instruments Inc 1,881 89,112 TranSwitch Corp* 100 3,912 TriQuint Semiconductor Inc* 100 4,369 Vitesse Semiconductor Corp* 200 11,063 Xilinx Inc* 300 13,837 ----------- 524,881 ----------- SERVICES TO THE HEALTH INDUSTRY -- 0.1% - -------------------------------------------------------------------------------- Express Scripts Inc--Cl A* 23 2,352 IMS Health Inc 300 8,100 Quest Diagnostics Inc* 32 4,544 Quintiles Transnational Corp* 100 2,094 WebMD Corporation* 300 2,381 ----------- 19,471 ----------- SPECIALTY INSURANCE -- 0.2% - -------------------------------------------------------------------------------- Ambac Financial Group Inc 98 5,685 MBIA Inc 100 7,412 MGIC Investment Corp 100 6,744 PMI Group Inc 33 2,234 Radian Group Inc 38 2,852 ----------- 24,927 ----------- SPECIALTY STORES -- 0.2% - -------------------------------------------------------------------------------- Autonation Inc * 400 2,400 Autozone Inc* 100 2,850 Bed Bath & Beyond Inc* 300 6,713 Office Depot Inc 300 2,137 Staples Inc* 500 5,906 Tiffany & Co 148 4,680 Toys "R" Us Inc* 200 3,337 ----------- 28,023 ----------- SPECIALTY TELECOMMUNICATIONS -- 0.7% - -------------------------------------------------------------------------------- Allegiance Telecom Inc* 100 2,227 CenturyTel Inc 144 5,148 Citizens Communications Co 300 3,937 Covad Communications Group Inc* 200 331 Global TeleSystems Inc* 200 163 Level 3 Communications Inc* 300 9,844 McLeoduUSA Inc* 400 5,650 Metromedia Fiber Network Inc* 400 4,050 NorthPoint Communications Group* 100 34 PanAmSat Corp* 31 1,075 Qwest Communications International Inc* 1,107 45,387 Telephone & Data Systems Inc 53 4,770 Time Warner Telecom Inc* 56 3,553 Winstar Communications Inc* 100 1,169 XO Communications Inc* 400 7,125 ----------- 94,463 ----------- STEEL -- 0.1% - -------------------------------------------------------------------------------- Allegheny Technologies Inc 100 1,588 Nucor Corp 100 3,969 USX-U.S. Steel Group 100 1,800 ----------- 7,357 ----------- TELECOMMUNICATIONS EQUIPMENT -- 2.5% - -------------------------------------------------------------------------------- ADC Telecommunications Inc* 800 14,500 Advanced Fibre Communications* 100 1,806 American Tower Corp--Cl A 200 7,575 Andrew Corp* 100 2,175 CIENA Corp* 300 24,375 Commscope Inc* 100 1,656 Comverse Technology Inc* 168 18,249 Corning Inc 961 50,753 DMC Stratex Networks Inc* 100 1,500 Harmonic Inc* 100 569 18 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- CONT'D - -------------------------------------------------------------------------------- Harris Corp 100 $ 3,062 Lucent Technologies Inc 3,631 49,019 Motorola Inc 2,375 48,094 Polycom Inc* 50 1,609 Powerwave Technologies Inc* 48 2,808 QUALCOMM Inc* 727 59,750 RF Micro Devices Inc* 100 2,744 Scientific-Atlanta Inc 200 6,512 Sycamore Networks Inc* 100 3,725 Tekelec * 49 1,470 Tellabs Inc* 373 21,074 ----------- 323,025 ----------- TOBACCO -- 0.9% - -------------------------------------------------------------------------------- Philip Morris Companies Inc 2,449 107,756 RJ Reynolds Tobacco Holdings Inc 100 4,875 UST Inc 200 5,612 ----------- 118,243 ----------- TOOLS & HARDWARE -- 0.1% - -------------------------------------------------------------------------------- Black & Decker Corp 100 3,925 Stanley Works 100 3,119 ----------- 7,044 ----------- TRUCKS/CONSTRUCTION/FARM MACHINERY -- 0.3% - -------------------------------------------------------------------------------- Caterpillar Inc 353 16,701 Deere & Co 240 10,995 Navistar International Corp 100 2,619 PACCAR Inc 100 4,925 ----------- 35,240 ----------- WATER UTILITIES -- 0.0% - -------------------------------------------------------------------------------- American Water Works Inc 100 2,938 ----------- WHOLESALE DISTRIBUTORS -- 0.1% - -------------------------------------------------------------------------------- Genuine Parts Co 200 5,238 Grainger (W.W.) Inc 100 3,650 ----------- 8,888 ----------- WIRELESS TELECOMMUNICATIONS -- 0.5% - -------------------------------------------------------------------------------- AT&T Wireless Group* 400 6,925 Crown Castle International Corp* 100 2,706 Nextel Communications Inc* 500 12,375 Powertel Inc* 29 1,796 Sprint Corp (PCS Group)* 600 12,262 Triton PCS Holdings Inc--Cl A* 39 1,324 VoiceStream Wireless Corp* 248 24,955 Western Wireless Corp 100 3,919 ----------- 66,262 ----------- TOTAL COMMON STOCKS (Identified Cost $14,815,902) 12,970,955 ----------- SHORT-TERM OBLIGATION AT AMORTIZED COST -- 0.0% - -------------------------------------------------------------------------------- Federated Prime Cash Obligation 6.50% due 1/01/01 (Identified Cost $162) 162 ----------- TOTAL INVESTMENTS (Identified Cost $14,816,064) 99.6% 12,971,117 OTHER ASSETS, LESS LIABILITIES 0.4 48,291 ----- ----------- NET ASSETS 100.0% $13,019,408 ===== =========== * Non-income producing securities See notes to financial statements 19 CITI U.S. 1000 INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $14,816,064) $12,971,117 Cash 10,904 Receivable for shares of beneficial interest sold 11,193 Dividend receivable 11,126 Interest receivable 897 Receivable from the Manager 89,312 - -------------------------------------------------------------------------------- Total assets 13,094,549 - -------------------------------------------------------------------------------- LIABILITIES: Accrued expenses and other liabilities 75,141 - -------------------------------------------------------------------------------- NET ASSETS $13,019,408 ================================================================================ NET ASSETS CONSIST OF: Paid-in capital $14,980,346 Accumulated net realized loss on investments (117,803) Unrealized depreciation of investments (1,844,947) Undistributed net investment income 1,812 - -------------------------------------------------------------------------------- Total $13,019,408 ================================================================================ COMPUTATION OF SMITH BARNEY SHARES: Net Asset Value, offering price and redemption priceper share ($230,837/26,354 shares outstanding) $8.76 ================================================================================ COMPUTATION OF CITI SHARES: Net Asset Value, offering price and redemption price per share ($12,788,571/1,465,261 shares outstanding) $8.73 ================================================================================ See notes to financial statements 20 CITI U.S. 1000 INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Dividend $ 50,407 Interest 10,948 - -------------------------------------------------------------------------------- $ 61,355 - -------------------------------------------------------------------------------- EXPENSES: Management fees (Note 2) $ 11,313 Service fees Smith Barney Shares (Note 3) 253 Custody and fund accounting fees 42,325 Legal fees 23,280 Audit fees 16,000 Shareholder reports 11,907 Transfer agent fees 5,066 Registration fees 3,969 Trustee fees 1,300 Miscellaneous 6,032 - -------------------------------------------------------------------------------- Total expenses 121,445 Less: aggregate amounts waived by Manager (Note 2) (9,050) Less: expenses assumed by the Manager (Note 7) (89,312) - -------------------------------------------------------------------------------- Net expenses 23,083 - -------------------------------------------------------------------------------- Net investment income $ 38,272 - -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss from investment transactions (113,498) Unrealized depreciation (1,844,947) - -------------------------------------------------------------------------------- Net realized and unrealized loss on investments (1,958,445) - -------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(1,920,173) ================================================================================ See notes to financial statements 21 CITI U.S. 1000 INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment income $ 38,272 Net realized loss from investments (113,498) Unrealized appreciation (depreciation) of investments (1,844,947) - -------------------------------------------------------------------------------- Net decrease in net assets resulting from operations (1,920,173) - -------------------------------------------------------------------------------- DIVIDENDS DECLARED TO SHAREHOLDERS FROM: Net investment income (Smith Barney Shares) (35,896) Net realized gain (Smith Barney Shares) (4,247) Net investment income (Citi Shares) (528) Net realized gain (Citi Shares) (94) - -------------------------------------------------------------------------------- Decrease in net assets from distribution to shareholders (40,765) - -------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 6): SMITH BARNEY SHARES* Net proceeds from sale of shares 1,179,002 Net asset value of shares issued to shareholders from reinvestment of dividends 622 Cost of shares repurchased (879,371) - -------------------------------------------------------------------------------- Total Smith Barney shares 300,253 - -------------------------------------------------------------------------------- CITI SHARES** Net proceeds from sale of shares 15,000,321 Net asset value of shares issued to shareholders from reinvestment of dividends 40,143 Cost of shares repurchased (360,371) - -------------------------------------------------------------------------------- Total Citi Shares 14,680,093 - -------------------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 14,980,346 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 13,019,408 - -------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period (including undistributed net investment income of $1,812) $ 13,019,408 ================================================================================ * September 11, 2000 (Commencement of operations) to December 31, 2000. ** September 5, 2000 (Commencement of operations) to December 31, 2000. See notes to financial statements 22 CITI U.S. 1000 INDEX FUND FINANCIAL HIGHLIGHTS CITI SHARES ----------------- FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $ 10.00 - -------------------------------------------------------------------------------- Income From Operations: Net investment income 0.026 Net realized and unrealized loss on investments (1.268) - -------------------------------------------------------------------------------- Total from operations (1.242) - -------------------------------------------------------------------------------- Less Dividends From: Net investment income (0.025) Net realized gain (0.003) - -------------------------------------------------------------------------------- Total from distributions (0.028) - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 8.73 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $12,789 Ratio of expenses to average net assets 0.50%* Ratio of net investment income to average net assets 0.85%* Portfolio turnover 7% Total return (12.41)%** Note: If Agents of the Fund had not voluntarily agreed to waive all or a portion of their fees for the period indicated and the expenses were not reduced for fees paid indirectly, the net investment income per share and the ratios would have been as follows: Net investment loss income per share $(0.039) RATIOS: Expenses to average net assets 2.66%* Net investment loss to average net assets (1.31)%* ================================================================================ * Annualized ** Not Annualized See notes to financial statements 23 CITI U.S. 1000 INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi U.S. 1000 Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund offers two classes of shares. The Smith Barney Shares, which commenced operations on September 11, 2000, and the Citi Shares, which commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities exchanges or reported through the NASDAQ system are valued at last sale prices. Unlisted securities or listed securities for which last sale prices are not available are valued at last quoted bid prices. Debt securities (other than short-term obligations maturing in sixty days or less), are valued on the basis of valuations furnished by pricing services approved by the Board of Trustees which take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations, maturing in sixty days or less, are valued at amortized costs which constitute fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. Income Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. For the period ended December 31, 24 CITI U.S. 1000 INDEX FUND NOTES TO FINANCIAL STATEMENTS 2000, the Fund reclassified $36 from undistributed net investment income to accumulated net realized loss on investments. E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.25% of the Fund's average daily net assets. SSBC has delegated the daily management of the Fund to State Street Bank and Trust Company, which will act as a Subadviser through its State Street Global Advisors division (the "Subadviser"). The management fees paid to SSBC amounted to $11,313, of which $9,050 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. acts as the Fund distributor. Salomon Smith Barney Inc. ("SSB"), is a subsidiary of SSBH, as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives account fees and asset-based fees that vary according to the account size and type of account. BFDS is responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $5,066 to CFTC. Pursuant to a Distribution Plan, the Fund pays a service fee with respect to Smith Barney Shares calculated at an annual rate of 0.20% of the average daily net assets. The Service Fee amounted to $253 for the period ended December 31, 2000. 25 CITI U.S. 1000 INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $15,951,844 and $1,011,896, respectively, for the year ended December 31, 2000. 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $ 14,923,220 ================================================================================ Gross unrealized appreciation $ 1,010,335 Gross unrealized depreciation (2,962,438) - -------------------------------------------------------------------------------- Net unrealized depreciation $ (1,952,103) ================================================================================ 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ SMITH BARNEY SHARES* Shares sold 126,959 Shares issued to shareholders from reinvestment of distributions 74 Shares repurchased (100,679) - -------------------------------------------------------------------------------- Net increase 26,354 ================================================================================ CITI SHARES** Shares sold 1,500,034 Shares issued to shareholders from reinvestment of distributions 4,813 Shares repurchased (39,586) - -------------------------------------------------------------------------------- Net increase 1,465,261 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the unwaived expenses of the Fund for the year ended December 31, 2000, which amounted to $89,312. 26 CITI U.S. 1000 INDEX FUND INDEPENDENT AUDITORS' REPORT To the Shareholders and Board of Trustees of the Citi U.S. 1000 Index Fund We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi U.S. 1000 Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the Custodian. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi U.S. 1000 Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 27 THIS PAGE INTENTIONALLY LEFT BLANK. TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon, PRESIDENT* Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi U.S. 1000 Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi U.S. 1000 Index Fund. (C) 2001 Citicorp [RECYCLE LOGO] Printed on recycled paper FD02219 2/01 ANNUAL REPORT DECEMBER 31, 2000 CITI GLOBAL TITANS INDEX SHARES A CLASS OF SHARES OF CITI GLOBAL TITANS INDEX FUND [CitiFunds Logo] -------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE -------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 4 - -------------------------------------------------------------------------------- Fund Performance 5 - -------------------------------------------------------------------------------- Portfolio Highlights 6 - -------------------------------------------------------------------------------- Portfolio of Investments 7 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 9 - -------------------------------------------------------------------------------- Statement of Operations 10 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 11 - -------------------------------------------------------------------------------- Financial Highlights 12 - -------------------------------------------------------------------------------- Notes to Financial Statements 13 - -------------------------------------------------------------------------------- Independent Auditors' Report 17 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS [PHOTO OMITTED] Dear Shareholder: We are pleased to present the annual report for the Citi(SM) Global Titans Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Dow Jones Global Titans Index(SM). The Dow Jones Global Titans Index consists of securities of 50 companies and includes some of the world's most well known and well-established blue-chip companies. Thank you for your investment in the Citi Global Titans Index Shares, a class of shares of the Citi Global Titans Index Fund. Sincerely, /s/ Heath B. McLendon Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from inception on September 5, 2000 through December 31, 2000, Citi Global Titans Index Shares produced a total return of negative 14.40%. In comparison, the Dow Jones Global Titans Index (the "Index") returned negative 15.76% over the same period. While we are pleased to have outperformed the Index during this period, we want to point out that this is unusual. Over the long term, we expect the Fund's returns to slightly lag those of the Index's returns, since the Fund has fees and expenses which the Index does not. Investors in index funds such as this Fund should remember that the performance of the Fund is intended to correspond to the performance of the Index in good and bad markets, over the short and long term. TO A LARGE DEGREE, THE PERFORMANCE OF THE DOW JONES GLOBAL TITANS INDEX OVER THE PAST YEAR REFLECTED BROADER TRENDS IN THE GLOBAL ECONOMY. The economies of the world's developed markets--especially the United States and with the notable exception of Japan--grew robustly during the first half of 2000. Accordingly, many global stocks rose, especially those of growth-oriented companies. However, the U.S. Federal Reserve Board (the "Fed") and other nations' central banks continued to move toward more restrictive monetary policies during the first six months of 2000 an effort to slow economic growth and forestall long-dormant inflationary pressures. THE U.S. ECONOMY'S GROWTH RATE GENERALLY OUTPACED THAT OF OTHER GLOBAL REGIONS DURING THE FIRST HALF OF 2000. Partly as a result of differences in growth rates, the value of the U.S. dollar rose relative to many other foreign currencies, including the Euro.(1) This caused the value of many European investments to erode in U.S. dollar terms for U.S. residents. The second half of 2000 was characterized by an economic slowdown in many global markets, including the United States. With these slowing economic conditions, many investors sold growth(2) stocks amid concerns that a slower economy might adversely affect corporate earnings. For their part, central banks throughout the world generally held interest rates steady throughout the second half of the year. THESE SHIFTS IN ECONOMIC GROWTH, MONETARY POLICY AND INVESTOR SENTIMENT MADE 2000 A HIGHLY VOLATILE AND CHALLENGING YEAR FOR LARGE MULTI-NATIONAL COMPANIES. Perhaps the most notable global stock market trend of 2000 was the sharp decline in prices for shares of companies in the technology and telecommunications industries. Many analysts attributed their popularity to unrestrained investor enthusiasm for companies that they believed would prosper in the "New Economy."(3) Many companies that comprise the Dow Jones Global Titans Index were negatively impacted by this trend thereby negatively impacting the Fund's performance. - ------------ (1) The euro is the single currency of the European Monetary Union that was adopted by Belgium, Germany, Spain, France, Ireland, Italy, Luxembourg, the Netherlands, Austria, Portugal and Finland on January 1, 1999. (2) Growth stocks are shares of companies with the potential for faster-than-average growth within their industries. (3) The New Economy represents those companies in the technology, telecommunications, and Internet sectors. 2 THE PRICES OF MANY TECHNOLOGY STOCKS FELL IN 2000 PRIMARILY AS A RESULT OF A COMBINATION OF THE EXTREMELY HIGH VALUATIONS AND SLOWING GROWTH. Among the early beneficiaries of investor enthusiasm for the technology sector were many Internet-related companies that had yet to earn a profit, but were the subject of popular speculation that they might one day grow into industry leaders. The enthusiasm for technology stocks grew during the first quarter of 2000, while other sectors of the stock market languished. For example, many value(4)-oriented stocks--such as large pharmaceuticals, oil and food and beverage stocks--generally declined in January, February and the first half of March 2000 because of lackluster investor interest. By the end of the first quarter, rising short-term interest rates had put pressure on corporate profitability. This led to a series of earnings disappointments by companies in a range of industries that continued throughout the year. This new environment of slower growth hit the technology sector particularly hard. Investors who had given little scrutiny to such old-school fundamentals as price-to-earnings ratios suddenly became concerned that technology stock valuations had risen too far, too fast. Investors were quick to sell what they deemed to be overvalued technology stocks, which fell sharply in April 2000. When it later appeared that the U.S. economy was slowing and inflation was likely to remain subdued, investors shifted some of their assets to stocks that have performed well historically in a slower economy, including healthcare providers. In addition, investors favored energy stocks because of the positive effects on earnings of high crude oil prices. Despite a summer rally, growth stocks again declined overall in November and December, triggering a "flight to quality" that benefited mainly high-quality bonds and relatively defensive, value-oriented stocks. Indeed, by the end of December 2000, many technology stocks were trading at all-time lows and had reached valuations that made them attractive to some value-oriented investors. On the other hand, shares of financial services companies ended the year on a particularly strong note when the Fed hinted that it might cut rates in 2001. The moderation in U.S. growth has intensified heading into the new year. The sharp fourth-quarter sell-off in many equities has undermined consumer confidence and raised financing hurdles for business investment. Key areas of business and consumer spending have slowed sharply, triggering a pullback in manufacturing that could further undermine confidence. Fed policy has reversed course quickly, with evidence that inflation risks have faded. Yet the risk to leading global companies remains serious. We have some reservations about the earnings strength of certain segments of the economy, especially technology, basic materials and other cyclicals, whose earnings traditionally bottom-out much later in the economic cycle. - ------------ (4) Value stocks are shares that are considered to be inexpensive relative to their asset values or earning power. 3 FUND FACTS FUND OBJECTIVE The Fund's goal is to provide investment results that, before fees and expenses, correspond to the performance of the Dow Jones Global Titans Index. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Paid semi-annually, if any SUBADVISER CAPITAL GAINS State Street Bank & Trust Company Distributed annually, if any through its State Street Global Advisors division NET ASSETS AS OF 12/31/00 INDEX Citi Shares Dow Jones Global Titans Index $4.2 million 4 FUND PERFORMANCE TOTAL RETURNS SINCE 9/5/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* ================================================================================ Citi Shares (14.40)% Dow Jones Global Titans Index (15.76)% *Not annualized GROWTH OF $10,000 INVESTED IN THE CITI SHARES VS. DOW JONES GLOBAL TITANS INDEX SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATION) - DECEMBER 31, 2000. Dow Jones Global Titans Index Citi Shares ----- ----------- 9/5/00 10000 10000 9/30/00 9174.91 9350 10/31/00 9298.96 9470 11/30/00 8601.33 8750 12/31/00 8423.83 8560 A $10,000 investment in the Citi Share class of the Fund made on its inception date would have been $8,560 for Citi Shares (as of 12/31/00). The graph shows how the performance of the Citi Shares compares to the Index, its benchmark over the same period. The graph assumes all dividends and distributions are reinvested at Net Asset Value. Note: All Fund performance numbers represent past performance and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. "Dow Jones" and "Dow Jones Global Titans Index(SM)" are service marks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by SSB Citi Fund Management LLC. The Fund is based on the Dow Jones Global Titans Index(SM), is not sponsored, endorsed, sold or promoted by Dow Jones, and Dow Jones makes no representation regarding the advisability of investing in the Fund. 5 PORTFOLIO HIGHLIGHTS TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS General Electric Co., Industrial Conglomerates 8.07% - -------------------------------------------------------------------------------- Exxon Mobil Corp., Integrated Oil 5.13% - -------------------------------------------------------------------------------- Cisco Systems, Inc., Computer Communications 4.56% - -------------------------------------------------------------------------------- Citigroup Inc., Financial Conglomerates 4.37% - -------------------------------------------------------------------------------- Vodafone Group Plc, ADRs, Wireless Telecommunications 3.74% - -------------------------------------------------------------------------------- Merck & Co., Inc., Pharmaceuticals: Major 3.67% - -------------------------------------------------------------------------------- Nokia Corp., Telecommunications Equipment 3.47% - -------------------------------------------------------------------------------- Microsoft Corp., Packaged Software 3.35% - -------------------------------------------------------------------------------- American International Group, Multi-Line Insurance 3.35% - -------------------------------------------------------------------------------- Intel Corp., Semiconductors 3.24% - -------------------------------------------------------------------------------- PORTFOLIO DIVERSIFICATION AS OF DECEMBER 31, 2000 [Data below represents a pie chart in the printed piece] Tobacco 2% Wireless Telecommunications 4% Beverages: Non-Alcoholic 2% Computer Communications 5% Computer Processing Hardware 3% Discount Stores 2% Electronics/Appliances 1% Financial Conglomerates 10% Food: Major Diversified 2% Household/Personal Care 2% Industrial Conglomerates 9% Integrated Oil 10% Investment Banks/Brokers 2% Major Banks 4% Major Telecommunications 10% Media Conglomerates 1% Motor Vehicles 4% Multi-Line Insurance 5% Oil Refining/Marketing 2% Packaged Software 3% Pharmaceuticals: Major 9% Semiconductors 3% *Short-Term 1% Telecommunications Equipment 4% *Includes cash and net other assets. 6 CITI GLOBAL TITANS INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCKS -- 99.4% - -------------------------------------------------------------------------------- BEVERAGES: NON ALCOHOLIC -- 2.2% - -------------------------------------------------------------------------------- Coca Cola Co. 1,539 $ 93,783 ----------- COMPUTER COMMUNICATIONS -- 4.6% - -------------------------------------------------------------------------------- Cisco Systems Inc. 5,080 194,310 ----------- COMPUTERS PROCESSING HARDWARE -- 3.4% - -------------------------------------------------------------------------------- Hewlett Packard Co. 1,200 37,875 International BusinessMachines Corp. 1,273 108,205 ----------- 146,080 ----------- DISCOUNT STORES -- 2.5% - -------------------------------------------------------------------------------- Wal Mart Stores Inc. 2,000 106,250 ----------- ELECTRONICS/APPLIANCES -- 1.0% - -------------------------------------------------------------------------------- Sony Corp. 600 41,850 ----------- FINANCIAL CONGLOMERATES -- 9.7% - -------------------------------------------------------------------------------- Citigroup Inc. 3,640 185,868 HSBC Holdings plc, ADRs 1,263 92,957 Ing Groep NV, ADRs 600 48,075 JP Morgan Chase & Co. 942 42,802 Lloyds TSB Group Plc 4,000 42,347 ----------- 412,049 ----------- FOOD: MAJOR DIVERSIFIED -- 1.6% - -------------------------------------------------------------------------------- Nestle SA 30 69,961 ----------- HOUSEHOLD/PERSONAL CARE -- 1.8% - -------------------------------------------------------------------------------- Procter & Gamble Co. 943 73,967 ----------- INDUSTRIAL CONGLOMERATES -- 9.3% - -------------------------------------------------------------------------------- General Electric Co. 7,166 343,520 Siemens AG, ADRs 400 52,284 ----------- 395,804 ----------- INTEGRATED OIL -- 10.4% - -------------------------------------------------------------------------------- BP Amoco plc 2,732 130,794 Exxon Mobil Corp. 2,514 218,561 Royal Dutch Petroleum Co. 1,551 93,932 ----------- 443,287 ----------- INVESTMENT BANKS/BROKERS -- 1.5% - -------------------------------------------------------------------------------- Morgan Stanley Dean Witter& Co. 819 64,906 ----------- OIL REFINING/MARKETING -- 1.8% - -------------------------------------------------------------------------------- Total Fina SA, ADRs 1,066 77,485 ----------- MAJOR BANKS -- 4.1% - -------------------------------------------------------------------------------- Bank America Corp. 1,200 55,050 Bank Tokyo MitsubishiLtd., ADRs 3,300 31,969 Credit Suisse FirstBoston Corp. 185 35,153 UBS AG 311 50,817 ----------- 172,989 ----------- MAJOR TELECOMMUNICATIONS -- 10.3% - -------------------------------------------------------------------------------- AT&T Corp. 2,700 46,744 Bellsouth Corp. 1,350 55,266 British Telecommunications plc., ADRs 474 41,120 Deutsche Telekom AG, ADRs 900 26,325 France Telecom SA, ADRs 287 24,592 SBC Communications Inc. 2,448 116,892 Verizon CommunicationsInc 1,952 97,844 Worldcom Inc. 2,082 29,278 ----------- 438,061 ----------- MEDIA CONGLOMERATES -- 1.0% - -------------------------------------------------------------------------------- The Walt Disney Co. 1,500 43,406 ----------- MOTOR VEHICLES -- 3.7% - -------------------------------------------------------------------------------- Daimler-Chrysler AG 600 24,720 Ford Motor Co. 1,320 30,937 General Motors Corp. 400 20,375 Toyota Motor Co. 1,285 80,891 ----------- 156,923 ----------- MULTI-LINE INSURANCE -- 5.1% - -------------------------------------------------------------------------------- Allianz Aktiengesellschaft, ADRs 1,034 38,775 American International Group 1,445 142,423 Axa SA, ADRs 464 33,321 ----------- 214,519 ----------- PACKAGED SOFTWARE -- 3.4% - -------------------------------------------------------------------------------- Microsoft Corp. 3,285 142,487 ----------- PHARMACEUTICALS: MAJOR -- 9.2% - -------------------------------------------------------------------------------- Johnson & Johnson Inc. 951 99,914 Merck & Co. , Inc. 1,668 156,166 Novartis AG, ADRs 1,899 84,980 Roche Holdings AG 5 50,929 ----------- 391,989 ----------- 7 CITI GLOBAL TITANS INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- SEMICONDUCTORS -- 3.2% - -------------------------------------------------------------------------------- Intel Corp. 4,587 $ 137,897 ----------- TELECOMMUNICATIONS EQUIPMENT -- 4.2% - -------------------------------------------------------------------------------- Lucent Technologies Inc. 2,400 32,400 Nokia Corp. 3,400 147,900 ----------- 180,300 ----------- TOBACCO -- 1.7% - -------------------------------------------------------------------------------- Phillip Morris Companies Inc. 1,629 71,676 ----------- WIRELESS TELECOMMUNICATIONS -- 3.7% - -------------------------------------------------------------------------------- Vodafone Group Plc, ADRs 4,451 159,400 ----------- TOTAL COMMON STOCKS (Identified Cost $4,933,123) 4,229,379 ----------- SHORT-TERM OBLIGATIONS AT AMORTIZED COST -- 0.0% - -------------------------------------------------------------------------------- Federated Prime Cash Obligation Fund 4.58% due 1/02/01 (Identified Cost $707) 707 ----------- TOTAL INVESTMENTS (Identified Cost $4,933,830) 99.4% $ 4,230,086 OTHER ASSETS, LESS LIABILITIES 0.6 27,036 ----- ----------- NET ASSETS 100.0% $ 4,257,122 ===== =========== * Non-income producing security ADRs -- American Depository Receipts See notes to financial statements 8 CITI GLOBAL TITANS INDEX FUND STATEMENTOFASSETSAND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $4,933,830) $4,230,086 Foreign currency, at value (Cost, $89) 92 Cash 679 Dividends receivable 4,361 Receivable for shares of beneficial interest sold 3,000 Interest receivable 38 Receivable from the Manager 84,218 - -------------------------------------------------------------------------------- Total assets 4,322,474 - -------------------------------------------------------------------------------- LIABILITIES: Accrued expenses and other liabilities 65,352 - -------------------------------------------------------------------------------- NET ASSETS $4,257,122 ================================================================================ NET ASSETS CONSIST OF: Paid-in capital $4,981,376 Unrealized depreciation of investments (703,741) Accumulated net realized loss on investments (22,649) Undistributed net investment income 2,136 - -------------------------------------------------------------------------------- Total $4,257,122 ================================================================================ COMPUTATION OF SMITH BARNEY SHARES: Net Asset Value, offering price and redemption price per share($17,039/1,985 shares outstanding) $8.58 ================================================================================ COMPUTATION OF CITI SHARES: Net Asset Value and offering price and redemption price per share($4,240,083/495,554 shares outstanding) $8.56 ================================================================================ See notes to financial statements 9 CITI GLOBAL TITANS INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Dividend Income (net of foreign withholding tax of $414) $ 15,584 Interest Income 6,044 - -------------------------------------------------------------------------------- $ 21,628 - -------------------------------------------------------------------------------- EXPENSES: Management fees (Note 2) $ 5,145 Distribution fees Smith Barney Index Shares (Note 3) 12 Custody and fund accounting fees 24,602 Legal fees 23,280 Audit fees 16,000 Shareholder reports 12,740 Licensing fees 10,000 Transfer agent fees 7,572 Registration fees 1,319 Trustees fees 1,300 Other 5,734 - -------------------------------------------------------------------------------- Total expenses 107,704 Less: expenses assumed by the Manager (Note 7) (84,218) Less: aggregate amount waived by the Manager (Note 2) (4,557) - -------------------------------------------------------------------------------- Net expenses 18,929 - -------------------------------------------------------------------------------- Net investment income 2,699 - -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss from investment transactions (23,212) Unrealized depreciation (703,741) - -------------------------------------------------------------------------------- Net realized and unrealized loss on investments (726,953) - -------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(724,254) ================================================================================ See notes to financial statements 10 CITI GLOBAL TITANS INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment income $ 2,699 Net realized loss on investment transactions (23,212) Unrealized depreciation (703,741) - -------------------------------------------------------------------------------- Net decrease in net assets resulting from operations (724,254) - -------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5): SMITH BARNEY SHARES* Net proceeds from sale of shares 42,685 Net asset value of shares issued to shareholders from reinvestment of dividends -- Cost of shares repurchased (21,714) - -------------------------------------------------------------------------------- Total Smith Barney Shares 20,971 - -------------------------------------------------------------------------------- CITI SHARES** Net proceeds from sale of shares 5,000,295 Net asset value of shares issued to shareholders from reinvestment of dividends -- Cost of shares repurchased (39,890) - -------------------------------------------------------------------------------- Total Citi Shares 4,960,405 - -------------------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 4,981,376 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 4,257,122 - -------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period (including undistributed net investment income of $2,699) $ 4,257,122 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. See notes to financial statements 11 CITI GLOBAL TITANS INDEX FUND FINANCIAL HIGHLIGHTS CITI SHARES ----------------- FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $ 10.00 - -------------------------------------------------------------------------------- Income From Operations: Net investment income 0.010 Net realized and unrealized loss on investments (1.450) - -------------------------------------------------------------------------------- Total from operations (1.440) - -------------------------------------------------------------------------------- Less Dividends From: Net investment income -- Net realized gains on investments -- - -------------------------------------------------------------------------------- Total distributions -- - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 8.56 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $ 4,240 Ratio of expenses to average net assets 1.29%+ Ratio of net investment income to average net assets 0.22%* Portfolio turnover 8% Total return (14.40)%** Note: If Agents of the Fund had not voluntarily agreed to waive all or a portion of their fees for the period, the expenses were not reduced for fees paid indirectly, the Manager had not voluntarily assumed expenses, the net investment income per share and the ratios would have been as follows: Net investment loss per share $(0.172) RATIOS: Expenses to average net assets 7.32%* Net investment loss to average net assets (5.81)%* ================================================================================ * Annualized ** Not annualized See notes to financial statements 12 CITI GLOBAL TITANS INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi Global Titans Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund offers two classes of shares: the Smith Barney Shares, which commenced operations on September 11, 2000, and the Citi Shares, which commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities in the portfolio are valued at the last sale price on the exchange on which they are primarily traded, or at the quoted bid price for securities in which there were no sales during the day or for unlisted securities not reported on the NASDAQ system. Securities listed on a foreign exchange are valued at the last quoted sale price available. Short-term obligations maturing in sixty days or less, are valued at amortized cost, which constitutes fair value as determined by the Trustees. Portfolio securities for which there are no such quotations of valuations are valued at fair value as determined in good faith by or at the direction of the Trustees. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the New York Stock Exchange and may also take place on days which the New York Stock Exchange is closed. If events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time of Fund valuation, such securities will be valued at fair value in accordance with procedures established by and under the general supervision of the Trustees. B. FOREIGN CURRENCY TRANSLATION The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Translation of foreign currency includes net exchange gains and losses, disposition of foreign currency and the difference between the amount of investment income, expenses and foreign taxes withheld recorded and the actual amount received or paid. 13 CITI GLOBAL TITANS INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) C. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into forward foreign currency exchange contracts ("contracts") in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of portfolio securities denominated in a particular currency. The Fund could be exposed to risks if the counter-parties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. D. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. E. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2000, the Fund, for federal income tax purposes, had a capital loss carryover of $6,543 which will expire on December 31, 2008. Such capital loss carryover will reduce the Fund's taxable income arising from future net realized gain on investment transactions, if any, to the extent permitted by the Internal Revenue code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. F. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. For the period ended December 31, 2000, the Fund reclassified $563 from net investment income to accumulated net realized loss on investments. G. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. 14 CITI GLOBAL TITANS INDEX FUND NOTES TO FINANCIAL STATEMENTS H. OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.35% of the average daily net assets. SSBChas delegated the daily management of the Fund to State Street Bank and Trust Company, which will act as subadviser through its State Street Global Advisors division. The management fees paid amounted to $5,145, of which $4,557 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officers who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. acts as the Funds distributor. Salomon Smith Barney Inc. ("SSB"), is a subsidiary of Salomon Smith Barney Holding Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDSis responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $12,611 to CFTC. Pursuant to a Distribution Plan, the Fund pays a service fee with respect to Smith Barney Shares calculated at an annual rate of 0.20% of the average daily net assets. The Service Fee amounted to $12 for the period ended December 31, 2000. 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $5,324,220 and $368,448, respectively, for the year ended December 31, 2000. 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $4,949,936 ================================================================================ Gross unrealized appreciation $ 199,556 Gross unrealized depreciation (919,403) - -------------------------------------------------------------------------------- Net unrealized depreciation $ (719,847) ================================================================================ 15 CITI GLOBAL TITANS INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ SMITH BARNEY SHARES* Shares sold 4,525 Shares issued to shareholders from reinvestment of distributions -- Shares repurchased (2,540) - -------------------------------------------------------------------------------- Smith Barney net increase 1,985 ================================================================================ CITI SHARES** Shares sold 500,031 Shares issued to shareholders from reinvestment of distributions -- Shares repurchased (4,477) - -------------------------------------------------------------------------------- Citi net increase 495,554 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the unwaived expenses of the Fund for the year ended December 31, 2000, which amounted to $84,218. 16 CITI GLOBAL TITANS INDEX FUND INDEPENDENT AUDITORS' REPORT To the Shareholders and Board of Trustees of the Citi Global Titans Index Fund We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi Global Titans Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the custodian. 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 Citi Global Titans Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 17 THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon*, PRESIDENT Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi Global Titans Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi Global Titans Index Fund. (C) 2001 Citicorp [RECYCLE LOGO] Printed on recycled paper FD02217 2/01 ANNUAL REPORT DECEMBER 31, 2000 CITI U.S. BOND INDEX SHARES A CLASS OF SHARES OF CITI U.S. BOND INDEX FUND [CitiFunds Logo] -------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE -------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 4 - -------------------------------------------------------------------------------- Portfolio Highlights 4 - -------------------------------------------------------------------------------- Fund Performance 5 - -------------------------------------------------------------------------------- Portfolio of Investments 6 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 11 - -------------------------------------------------------------------------------- Statement of Operations 12 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 13 - -------------------------------------------------------------------------------- Financial Highlights 14 - -------------------------------------------------------------------------------- Notes to Financial Statements 15 - -------------------------------------------------------------------------------- Independent Auditors' Report 18 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS [PHOTO OMITTED] Dear Shareholder: We are pleased to present the annual report for the Citi(SM) U.S. Bond Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Lehman Brothers Aggregate Bond Index (Lehman Bond Index). The Lehman Bond Index measures the total universe of the public investment-grade fixed income securities in the U.S., including government, corporate, mortgage-backed, asset-backed, and international U.S. dollar-denominated bonds, all with maturities of over one year. Thank you for your investment in the Citi U.S. Bond Index Shares, a class of shares of the Citi U.S. Bond Index Fund. Sincerely, /s/ Heath B. McLendon Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from inception on September 5, 2000 through December 31, 2000, Citi U.S. Bond Index Shares produced a total return of 4.68%. In comparison, the Lehman Brothers Aggregate Bond Index (the "Index") returned 4.50% over the same period. While the Fund outperformed the Index during this period, we want to point out that this is unusual. Over the long term, the Fund aims to achieve returns that replicate those of the Index. However, since the Fund has fees and expenses which the Index does not, the Fund's performance may slightly lag that of the Index. Investors in index funds such as this should remember that the performance of the Fund is intended to correspond to the performance of the Index in good and bad markets, over the short and long term. THE U.S. ECONOMY GREW ROBUSTLY DURING THE FIRST SIX MONTHS OF 2000. In response, the Federal Reserve Board (the "Fed") raised short-term interest rates three times during the first half of 2000, for a total increase during the reporting period of 1.00%. Most areas of the U.S. bond market -- with the notable exception of U.S. Treasury securities -- languished in this environment because of concerns regarding a possible inflation, which has the potential of eroding the value of bond's future principal and interest payments. By contrast, during the second half of the year, most areas of the bond market benefited when signs of an economic slow-down caused interest rates to decline. Economic growth fell from a 5.6% annualized rate in the second quarter of 2000 to just 2.2% in the third quarter, the weakest performance in four years. With inflation perceived by many to be no longer a serious threat, high-quality bond prices rose overall. THE U.S BOND MARKET GENERALLY ENJOYED A SOLID YEAR IN 2000. In addition to benefiting from slower economic growth later in the year, U.S Treasury and agency securities responded positively early in the year to supply-and-demand factors. High-quality corporate bonds, mortgage-backed securities, asset-backed securities and U.S. dollar-denominated foreign government bonds also provided relatively attractive returns. Investment-grade corporate bonds had a relatively volatile and difficult year, primarily because of credit concerns related to a declining stock market and a slower economy. What factors enabled U.S. Treasury securities to perform well during the reporting period? During the first quarter of 2000, the federal government announced that it would buy back $30 billion of long-term U.S. Treasury bonds and would borrow less in the future, leading to a decrease in the supply of U.S. Treasury securities. Yet, at the same time, demand rose from domestic and international investors seeking to protect wealth derived from the strong economy. In addition, when inflation concerns began to adversely affect the stock market in the spring, additional demand was created as investors engaged in a "flight to quality," shifting assets from stock to relatively safe havens in the bond market. These influences caused long-term U.S. Treasury bond yields to fall below those of shorter-term bonds, resulting in a condition known as an INVERTED YIELD CURVE. 2 This condition persisted until late in the year, when hints that the Fed might begin to reduce interest rates caused short-term yields to decline, essentially "catching up" to their long-term counterparts. U.S. government agency securities were significantly influenced by political events early in the year. Certain government officials questioned the investment policies of FNMA ("Fannie Mae") and FHLMC ("Freddie Mac"), causing the prices of these agencies' securities -- which are indirect obligations to the U.S. government -- to fall temporarily. These troubles caused many investors to shift assets into GNMA securities, which are direct government obligations, which enhanced the performance of GNMAs. However, Fannie Mae and Freddie Mac securities subsequently rallied strongly as political concerns abated. Strong real estate markets boosted the performance of non-agency mortgage-backed securities as well, including commercial mortgage-backed securities, and certain asset-backed securities. Although corporate bonds represented the worst-performing market sector of 2000, generally those rated single-A or above fared relatively well, while triple-B credits did relatively poorly. On one hand, investors tended to shy away from corporate debt as the economy weakened. On the other hand, corporate bond yields were quite high compared to government bond yields, attracting interest from institutional investors and individuals seeking high levels of current income. The popular question these days is how long the current slowdown will last and how much the Fed will have to cut rates to stimulate a turnaround in the economy. The pace and extent of the rate cuts should be major factors that determine how much lower rates can go. In the aftermath of the rather aggressive Fed rate cuts totalling 100 basis points early in 2001, we expect ultimately a low federal funds rate of about 5% in this easing cycle. We also expect that yields will decline even more from current levels. With respect to corporate bonds, we think the Fed will need to continue to lower rates aggressively in order to maintain confidence among corporate bond investors. The broad mix of financial conditions, especially as reflected in equities and credit spreads, will be a key indication of how soon a recovery can begin. At present, financial conditions are improving only haltingly and are, on balance, considerably tighter than normal, suggesting that economic activity will be sluggish into midyear. We therefore expect the bond market to perform well through midyear, while the risks of possibly higher inflation from strong economic growth may begin to negatively impact the bond market in the latter half of 2001. 3 FUND FACTS FUND OBJECTIVE The Fund's goal is to provide investment results that, before fees and expenses, correspond to the performance of the Lehman Brothers Aggregate Bond Index. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Paid monthly, if any SUBADVISER CAPITAL GAINS State Street Bank & Trust Company Distributed annually, if any through its State Street Global Advisors division NET ASSETS AS OF 12/31/00 INDEX Citi Shares Lehman Brothers Aggregate $20.9 million Bond Index PORTFOLIO HIGHLIGHTS PORTFOLIO DIVERSIFICATION AS OF DECEMBER 31, 2000 [Data below represents a pie chart in the printed piece] *Short-Term 2% Domestic Corporations 18% Mortgage Backed Securities/Passthroughs 26% Government National Mortgage Association 7% Yankee Bonds 2% United States Treasury Bonds 11% United States Treasury Notes 15% United States Agency Obligations 19% * Includes cash and net other assets 4 FUND PERFORMANCE TOTAL RETURNS SINCE 9/5/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* ================================================================================ Citi Shares 4.68% Lehman Brothers Aggregate Bond Index 4.50% * Not Annualized GROWTH OF $10,000 INVESTED IN THE CITI SHARES VS. LEHMAN BROTHERS AGGREGATE BOND INDEX SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) - DECEMBER 31, 2000. [The table below represents a line chart in the printed piece.] Lehman Brothers Aggregate Bond Index Citi Shares ----- ----------- 9/5/00 10000 10000 9/30/00 10027 10036.2 10/31/00 10093.2 10103.6 11/30/00 10258.7 10268.2 12/31/00 10449.5 10468.4 A $10,000 investment in the Citi Share class of the Fund made on inception date would have been $10,468 (as of 12/31/00). The graph shows how the performance of the Citi Shares compares to the Index, its benchmark, over the same period. The graph assumes all dividends and distributions are reinvested at Net Asset Value. All Fund performance numbers represent past performance and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. "Lehman Brothers Aggregate Bond Index"(SM) is a trademark of Lehman Brothers. The Fund is not sponsored, endorsed, sold or promoted by the Index, and the Index is not in any way affiliated with the Fund. The sponsor of the Index makes no representation or warranty, implied or express, regarding the advisability of investing in the Fund. 5 CITI U.S. BOND INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 PRINCIPAL AMOUNT ISSUER (000'S OMITTED) VALUE - -------------------------------------------------------------------------------- FIXED INCOME -- 120.3% - -------------------------------------------------------------------------------- CORPORATE BONDS -- 17.9 - -------------------------------------------------------------------------------- Abn Amro Bank 7.25% due 5/31/05 30 $ 31,045 AT&T Corp., 5.625% due 3/15/04 20 19,065 6.00% due 3/15/09 15 13,417 6.50% due 3/15/29 30 23,978 Abbey National Plc 6.69% due 10/17/05 15 15,184 Abitibi Consolidated Inc. 8.85% due 8/01/30 10 9,536 Alcoa Inc. 7.375% due 8/01/10 5 5,278 All State Corp. 7.20% due 12/01/09 25 25,803 Anheuser Busch Cos Inc. 7.10% due 6/15/07 25 25,700 Archer Daniels Midland Co. 7.50% due 3/15/27 20 19,650 Associates Corp. 5.75% due 11/01/03 30 29,630 6.25% due 11/01/08 15 14,535 Atlantic Richfield Co. 5.55% due 4/15/03 20 19,878 BSCH Issuances Ltd 7.625% due 9/14/10 5 5,021 Bank Of America 7.80% due 2/15/10 30 31,221 Bank New York Inc. 6.50% due 12/01/03 10 10,087 Bank One Corp. 7.625% due 8/01/05 20 20,712 7.875% due 8/01/10 30 31,251 Bankamerica Corp. 6.625% due 6/15/04 40 40,351 Bear Stearns Cos Inc. 7.625% due 2/01/05 20 20,717 7.80% due 8/15/07 25 25,827 Bellsouth Capital Funding Corp. 7.75% due 2/15/10 20 21,182 7.875% due 2/15/30 5 5,156 British Telecommunications 7.625% due 12/15/05 10 10,117 Burlington Northern Corp. 6.75% due 3/15/29 25 22,510 Chase Manhattan Corp . 7.875% due 6/15/10 20 21,248 Chrysler Corp. 7.45% due 3/01/27 5 4,448 Cit Group Inc. 7.125% due 10/15/04 30 29,985 Citigroup Inc. 5.80% due 3/15/04 40 39,554 6.20% due 3/15/09 15 14,566 Coastal Corp. 7.75% due 6/15/10 10 10,571 Coca Cola Enterprises Inc. 6.95% due 11/15/26 25 24,342 Comcast Cable Communications 8.375% due 5/01/07 15 16,273 Conagra Inc. 8.25% due 9/15/30 5 5,478 Conoco Inc. 6.95% due 4/15/29 20 19,486 Cox Communications Inc. 6.875% due 6/15/05 15 15,128 Daimler Chrysler 7.20% due 9/1/09 20 19,116 6.90% due 9/1/04 25 24,623 Delta Air Lines Inc. 7.90% due 12/15/09 10 9,577 7.57% due 5/18/12 30 31,501 Deutsche Bank Financial Inc. 6.70% due 12/13/06 15 15,114 Deutsche Telekom International 7.75% due 6/15/05 20 20,346 8.00% due 6/15/10 10 10,157 8.25% due 6/15/30 10 9,824 Diageo Capital Plc 6.625% due 6/24/04 20 20,185 Disney Walt Co. 7.30% due 2/8/05 25 26,208 Dominion Res Inc. 7.625% due 7/15/05 25 26,102 Dow Chemical Co. 7.375% due 11/01/29 10 10,011 Du Pont E I De Nemours & Co. 6.875% due 10/15/09 30 30,877 Duke Cap Corp. 7.25% due 10/01/04 25 25,591 Dynegy Inc. 7.45% due 7/15/06 25 25,502 Edison International 6.875% due 9/15/04 20 16,323 El Paso Energy Corp. 6.75% due 5/15/09 10 9,897 Emerson Elec Co. 7.875% due 6/01/05 15 16,083 Enersis S A 7.40% due 12/01/16 5 4,508 Enron Corp. 7.375% due 5/15/19 10 10,101 6 CITI U.S. BOND INDEX FUND PORTFOLIO PORTFOLIO OF INVESTMENTS December 31, 2000 PRINCIPAL AMOUNT ISSUER (000'S OMITTED) VALUE - -------------------------------------------------------------------------------- CORPORATE BONDS -- CONT'D - -------------------------------------------------------------------------------- Eop Oper Ltd Partnership 7.375% due 11/15/03 30 $ 30,486 7.75% due 11/15/07 20 20,504 Federated Dept Stores Inc Del 6.90% due 4/01/29 10 7,975 First Union Corp. 7.55% due 8/18/05 75 77,345 Fleetboston Financial Corp. 7.25% due 9/15/05 20 20,567 Ford Motor Co. 6.375% due 2/01/29 5 4,044 7.45% due 7/16/31 45 41,650 Ford Motor Credit Co. 5.75% due 2/23/04 40 38,962 6.70% due 7/16/04 30 29,983 7.375% due 10/28/09 30 29,924 7.50% due 6/15/03 50 51,157 7.875% due 6/15/10 30 30,860 GTE Corp. 6.94% due 4/15/28 35 32,120 General Electric Capital Corp. 6.80% due 11/01/05 25 25,851 7.00% due 2/03/03 60 61,412 7.375% due 1/19/10 20 21,592 General Motors Acceptance Corp. 5.85% due 1/14/09 40 36,659 6.85% due 6/17/04 40 40,170 Georgia-Pacific Corp. 7.75% due 11/15/29 10 8,107 Goldman Sachs Group Inc. 7.625% due 8/17/05 25 26,067 Heller Financial Inc. 7.875% due 5/15/03 25 25,641 Hewlett Packard Co. 7.15% due 6/15/05 10 10,299 Honeywell International Inc. 7.50% due 3/01/10 10 10,837 Household Finance Corp. 6.00% due 5/01/04 20 19,638 7.875% due 3/01/07 25 26,271 8.00% due 5/09/05 25 26,216 International Business Machines 6.50% due 1/15/28 5 4,556 International Paper Co. 8.00% due 7/08/03 50 51,873 8.125% due 7/08/05 20 20,765 Koninklijke Kpn 8.375% due 10/01/30 5 4,575 7.00% due 5/01/18 5 4,685 8.05% due 2/01/10 25 26,546 Lehman Bros Holdings 7.75% due 1/15/05 40 41,422 Lockheed Martin Corp. 7.875% due 3/15/23 20 19,215 8.50% due 12/01/29 10 11,317 Lucent Technologies Inc. 6.45% due 3/15/29 10 6,734 MTR Corp. Ltd 7.50% due 11/08/10 25 25,943 Marconi Plc 7.75% due 9/15/10 10 9,597 8.375% due 9/15/30 5 4,553 Martin Marietta Corp. 6.50% due 4/15/03 10 10,003 MBNA America Bank 7.75% due 9/15/05 10 10,220 Merrill Lynch & Co Inc. 6.00% due 2/12/03 50 49,816 6.375% due 10/15/08 15 14,659 6.875% due 11/15/18 5 4,694 Mid American Funding Llc 6.927% due 3/01/29 5 4,513 Morgan J P & Co Inc. 5.75% due 2/25/04 25 24,600 Morgan Stanley Group Inc. 5.625% due 1/20/04 50 49,064 Motorola Inc. 6.50% due 11/15/28 10 8,406 Nabisco Inc. 7.05% due 7/15/07 50 49,180 Nationsbank Corp. 6.80% due 3/15/28 10 8,664 News American Holdings Inc. 9.25% due 2/01/13 10 10,713 8.00% due 10/17/16 10 9,038 News American Inc. 7.625% due 11/30/28 5 4,286 Niagara Mohawk Power Corp. 7.75% due 10/01/08 10 10,403 Nisource Finance Corp. 7.50% due 11/15/03 50 50,731 7.625% due 11/15/05 150 154,620 Norfolk Southern Corp. 7.80% due 5/15/27 30 30,609 Norsk Hydro A S 7.25% due 9/23/27 10 9,754 Occidental Petroleum Corp. 7.375% due 11/15/08 10 10,276 7 CITI U.S. BOND INDEX FUND PORTFOLIO PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 PRINCIPAL AMOUNT ISSUER (000'S OMITTED) VALUE - -------------------------------------------------------------------------------- CORPORATE BONDS -- CONT'D - -------------------------------------------------------------------------------- Pacific Gas & Elecectric Co. 8.375% due 5/01/2025 15 $ 13,074 7.375% due 11/01/05 10 8,344 Pepsi Bottling Group Inc. 7.00% due 3/01/29 10 9,863 Petroleum Geo Svcs 7.125% due 3/30/28 5 4,069 Philip Morris Cos Inc. 7.00% due 7/15/05 35 34,952 Phillips Petroleum Co. 7.00% due 3/30/29 10 9,536 8.50% due 5/25/05 10 10,819 8.75% due 5/25/10 20 22,885 PPG Industries Inc. 7.05% due 8/15/09 20 19,481 Procter & Gamble Co. 6.60% due 12/15/04 25 25,674 Qwest Capital Funding Inc. 7.75% due 8/15/06 40 41,673 Raytheon Co. 6.50% due 7/15/05 20 19,900 6.55% due 3/15/10 25 24,388 5.70% due 11/01/03 10 9,758 Rohm & Haas Co. 7.40% due 7/15/09 10 10,246 Royal Kpn Nv 8.00% due 10/01/10 5 4,831 7.50% due 10/01/05 5 4,832 Safeway Inc. 6.05% due 11/15/03 20 19,827 7.50% due 9/15/09 10 10,445 Southern Ca Edison Co. 7.20% due 11/03/03 25 21,288 Sprint Cap Corp. 6.875% due 11/15/28 20 16,172 6.90% due 5/01/19 10 8,394 Suntrust Banks Inc. 6.125% due 2/15/04 20 19,825 7.75% due 5/01/10 10 10,489 Telefonica Europe Bv 7.35% due 9/15/05 20 20,205 7.75% due 9/15/10 25 25,315 8.25% due 9/15/30 5 4,992 Texaco Cap Inc. 5.50% due 1/15/09 15 14,305 Time Warner Inc. 6.625% due 5/15/29 25 22,396 8.11% due 8/15/06 80 85,638 9.125% due 1/15/13 20 23,246 Tosco Corp. 8.125% due 2/15/30 15 16,138 TXU Eastern Funding Co. 6.45% due 5/15/25 15 14,594 Tyco Intl Group 6.375% due 6/15/05 20 19,932 6.875% due 1/15/29 5 4,628 U S West Capital Funding Inc. 6.875% due 7/15/28 10 8,832 U.S. West Communications Inc. 7.20% due 11/01/04 25 25,422 Unilever Capital Corp. 6.875% due 11/01/05 60 61,945 Union Pacific Corp. 6.625% due 2/01/29 10 8,967 Union Pacific Resource Group Inc. 7.95% due 4/15/29 10 10,681 United Airlines Pass-Thru 7.186% due 4/01/11 15 15,299 United Technologies Corp. 7.125% due 11/15/10 10 10,552 7.50% due 9/15/29 10 10,663 U.S. Airways Passthru Trusts 7.89% due 3/01/19 10 10,430 Valero Energy Corp New 8.75% due 6/15/30 5 5,518 Verizon Global Funding Corp. 6.75% due 12/01/05 10 10,100 7.25% due 12/01/10 10 10,209 7.75% due 12/01/30 5 5,124 Viacom Inc. 7.75% due 6/01/05 50 51,901 7.875% due 7/30/30 25 25,617 Vodafone Airtouch Plc 7.75% due 2/15/10 20 20,697 Wachovia Corp. 6.875% due 10/15/03 50 50,638 Wal Mart Stores Inc. 6.875% due 8/10/09 60 62,615 7.55% due 2/15/30 20 22,146 Wells Fargo &Co 7.25% due 8/24/05 15 15,558 7.55% due 6/21/10 20 21,206 7.00% due 11/1/05 10 10,271 Weyerhaeuser Co. 6.95% due 10/01/27 10 8,638 Williams Cos Inc. 7.625% due 7/15/19 20 19,790 Worldcom Inc. 6.40% due 8/15/05 40 38,510 8.25% due 5/15/10 15 15,527 ----------- 3,758,953 ----------- 8 CITI U.S. BOND INDEX FUND PORTFOLIO PORTFOLIO OF INVESTMENTS December 31, 2000 PRINCIPAL AMOUNT ISSUER (000'S OMITTED) VALUE - -------------------------------------------------------------------------------- MORTGAGE OBLIGATIONS -- 33.4% - -------------------------------------------------------------------------------- MORTGAGE BACKED SECURITIES/PASSTHROUGHS -- 25.8% - -------------------------------------------------------------------------------- Federal Express Corp.Trust 6.72% due 1/15/22 10 $ 9,796 Federal Home Loan Mortgage Corp. 7.50% due TBA 2,300 2,335,213 Federal National Mortgage Association 6.50% due TBA 2,100 2,071,125 6.00% due 2/01/15 495 488,434 7.00% due 9/01/15 495 500,243 ----------- 5,404,811 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 7.6% - -------------------------------------------------------------------------------- 6.00% due 1/15/29 569 551,674 6.00% due 5/15/29 121 117,269 8.00% due 9/15/30 607 622,887 8.00% due 11/15/30 293 300,646 ----------- 1,592,476 ----------- Total Mortgage Obligations 6,997,287 ----------- YANKEE BONDS -- 2.6% - -------------------------------------------------------------------------------- British Telecommunications 8.125% due 12/15/10 10 10,110 Canadian National Royal Co 6.90% due 7/15/28 20 18,693 Canada Government 6.375% due 11/30/04 35 35,781 Chile Republic 6.875% due 4/28/09 5 4,863 Italy Republic 6.875% due 9/27/23 20 20,659 Italy Republic 7.25% due 2/07/05 40 42,123 Korea Republic 8.875% due 4/15/08 20 21,539 Malaysia 8.75% due 6/01/09 10 10,851 Manitoba Prov Cda 7.50% due 2/22/10 20 21,916 Mexico United Mexican Sts 9.875% due 1/15/07 35 37,013 Mexico United Mexican Sts 11.375% due 9/15/16 30 35,010 Mexico United Mexican Sts 11.50% due 5/15/26 5 6,088 Ontario Province of Canada 6.00% due 2/21/06 50 50,119 Peoples Republic of China 7.30% due 12/15/08 10 10,286 Quebec Province Canada 5.75% due 2/15/09 15 14,442 Quebec Province of Canada 7.50% due 9/15/29 35 37,352 Asian Development Bank 7.50% due 5/31/05 50 53,083 Inter-American Development Bank 7.375% due 1/15/10 30 32,775 International Bank For Recon & Development 5.625% due 3/17/03 50 49,947 7.625% due 1/19/23 20 22,373 ----------- 535,023 ----------- UNITED STATES GOVERNMENT AND OTHER GOVERNMENT OBLIGATIONS -- 44.5% - -------------------------------------------------------------------------------- UNITED STATES TREASURY BONDS -- 11.0% - -------------------------------------------------------------------------------- 10.375% due 11/15/12 100 128,562 12.00% due 8/15/13 100 141,281 11.75% due 11/15/14 50 72,430 11.25% due 2/15/15 100 156,344 7.25% due 5/15/16 150 176,438 8.75% due 5/15/17 100 134,312 9.125% due 5/15/18 100 139,531 8.125% due 8/15/19 100 129,266 8.75% due 5/15/20 125 171,719 8.125% due 5/15/21 150 195,703 7.25% due 8/15/22 100 120,562 6.25% due 8/15/23 100 108,156 7.50% due 11/15/24 50 62,429 6.875% due 8/15/25 75 87,738 6.75% due 8/15/26 100 115,719 6.375% due 8/15/27 100 110,750 6.125% due 8/15/29 186 202,305 6.25% due 5/15/30 50 55,781 ----------- 2,309,026 ----------- UNITED STATES TREASURY NOTES -- 14.7% - -------------------------------------------------------------------------------- 6.25% due 2/28/02 300 302,625 6.125% due 8/31/02 385 390,113 6.00% due 9/30/02 450 455,697 5.50% due 2/28/03 350 352,569 5.25% due 8/15/03 300 300,936 5.875% due 2/15/04 270 275,527 7.25% due 8/15/04 235 251,229 6.75% due 5/15/05 75 79,898 5.625% due 2/15/06 165 168,841 7.00% due 7/15/06 100 108,844 9 CITI U.S. BOND INDEX FUND PORTFOLIO PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 PRINCIPAL AMOUNT ISSUER (000'S OMITTED) VALUE - -------------------------------------------------------------------------------- UNITED STATES TREASURY NOTES -- CONT'D - -------------------------------------------------------------------------------- 6.25% due 2/15/07 50 $ 52,781 6.125% due 8/15/07 85 89,502 5.50% due 2/15/08 90 91,631 4.75% due 11/15/08 120 116,681 5.75% due 8/15/10 40 41,919 ----------- 3,078,793 ----------- UNITED STATES AGENCY OBLIGATIONS -- 18.8% - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 7.00% due 7/15/05 100 104,937 7.00% due 3/15/10 300 320,952 7.375% due 5/15/03 500 519,295 ----------- 945,184 ----------- Federal National Mortgage Association 5.125% due 2/13/04 250 246,250 5.75% due 6/15/05 700 700,658 6.25% due 3/17/04 100 99,391 6.625% due 4/15/02 350 353,938 6.63% due 3/20/08 35 34,595 7.08% due 11/17/03 200 200,468 7.125% due 9/19/05 200 203,344 7.125% due 3/15/07 350 373,625 7.125% due 6/15/10 500 540,470 7.25% due 5/15/30 200 227,624 ----------- 2,980,363 ----------- Israel St 7.75% due 3/15/10 5 5,161 ----------- 3,930,708 ----------- SHORT-TERM OBLIGATIONS AT AMORTIZED COST -- 21.9% - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Discount Note 5.10% due 1/02/01 4,400 $ 4,399,377 Federated Prime Cash Obligation Fund 6.45% due 1/02/01 181 181,410 ----- ----------- TOTAL SHORT-TERM OBLIGATIONS (Identified Cost $4,580,787) 4,580,787 ----------- TOTAL INVESTMENTS (Identified Cost $24,745,362) 120.3% 25,190,577 OTHER ASSETS, LESS LIABILITIES (20.3) (4,249,157) ----- ----------- NET ASSETS 100.0% $20,941,420 ===== =========== See notes to financial statements 10 CITI U.S. BOND INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $24,745,362) $25,190,577 Cash 2,301 Interest receivable 254,525 Receivable from the Manager 78,971 - -------------------------------------------------------------------------------- Total assets 25,526,374 - -------------------------------------------------------------------------------- LIABILITIES: Payable for investments purchased 4,514,187 Accrued expenses and other liabilities 70,767 - -------------------------------------------------------------------------------- Total liabilities 4,584,954 - -------------------------------------------------------------------------------- NET ASSETS $20,941,420 ================================================================================ NET ASSETS CONSIST OF: Paid-in capital $20,410,618 Unrealized appreciation 445,215 Accumulated net realized gain on investments 85,126 Undistributed net investment income 461 - -------------------------------------------------------------------------------- Total $20,941,420 ================================================================================ COMPUTATION OF SMITH BARNEY SHARES: Net Asset Value, offering price and redemption price per share($37,328/3,617 shares outstanding) $10.32 ================================================================================ COMPUTATION OF CITI SHARES: Net Asset Value, offering price and redemption price per share($20,904,092/2,037,082 shares outstanding) $10.26 ================================================================================ See notes to financial statements 11 CITI U.S. BOND INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Interest Income $ 418,974 EXPENSES: Management fees (Note 2) $ 9,745 Distribution fees Smith Barney Index Shares (Note 3) 10 Custody and fund accounting fees 31,540 Legal fees 22,080 Audit fees 16,000 Shareholder reports 12,740 Transfer agent fees 6,599 Registration fees 5,408 Trustees fees 1,300 Other 6,247 - -------------------------------------------------------------------------------- Total expenses 111,669 Less: expenses assumed by the Manager (Note 7) (78,971) Less: aggregate amount waived by the Manager (Note 2) (6,496) - -------------------------------------------------------------------------------- Net expenses 26,202 - -------------------------------------------------------------------------------- Net investment income 392,772 - -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS: Net realized gain from investment transactions 103,557 Unrealized appreciation 445,215 - -------------------------------------------------------------------------------- Net realized and unrealized gain 548,772 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 941,544 ================================================================================ See notes to financial statements 12 CITI U.S. BOND INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment income $ 392,772 Net realized gain on investment transactions 103,557 Unrealized appreciation 445,215 - -------------------------------------------------------------------------------- Net increase in net assets resulting from operations 941,544 - -------------------------------------------------------------------------------- DIVIDENDS DECLARED TO SHAREHOLDERS FROM: Net investment income Smith Barney Shares (305) Net realized gains Smith Barney Shares (33) Net investment income Citi Shares (392,006) Net realized gains Citi Shares (18,398) - -------------------------------------------------------------------------------- Decrease in net assets from distributions to shareholders (410,742) - -------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 6): SMITH BARNEY SHARES* Net proceeds from sale of shares 38,356 Net asset value of shares issued to shareholders from reinvestment of dividends 74 Cost of shares repurchased (2,006) - -------------------------------------------------------------------------------- Total Smith Barney Shares 36,424 - -------------------------------------------------------------------------------- CITI SHARES** Net proceeds from sale of shares 20,000,221 Net asset value of shares issued to shareholders from reinvestment of dividends 410,401 Cost of shares repurchased (36,428) - -------------------------------------------------------------------------------- Total Citi Shares 20,374,194 - -------------------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 20,410,618 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 20,941,420 - -------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period (including undistributed net investment income of $461) $20,941,420 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Comment of Operations) to December 31, 2000. See notes to financial statements 13 CITI U.S. BOND INDEX FUND FINANCIAL HIGHLIGHTS CITI SHARE ----------------- FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $ 10.00 - -------------------------------------------------------------------------------- Income From Operations: Net investment income 0.195 Net realized and unrealized gain on investments 0.269 - -------------------------------------------------------------------------------- Total from operations 0.464 - -------------------------------------------------------------------------------- Less Dividends From: Net investment income (0.195) Net realized gains on investments (0.009) - -------------------------------------------------------------------------------- Total distributions (0.204) - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 10.26 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $20,904 Ratio of expenses to average net assets 0.40%* Ratio of net investment income to average net assets 6.05%* Portfolio turnover 141% Total return 4.68%** Note: If Agents of the Fund had not voluntarily agreed to waive all or a portion of their fees for the period, the expenses were not reduced for fees paid indirectly, the Manager had not voluntarily assumed expenses, the net investment income per share and the ratios would have been as follows: Net investment income per share $ 0.153 RATIOS: Expenses to average net assets 1.72%* Net investment income to average net assets 4.73%* ================================================================================ * Annualized ** Not annualized See notes to financial statements 14 CITI U.S. BOND INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi U.S. Bond Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund offers two classes of shares: the Smith Barney Shares, which commenced operations on September 11, 2000 and the Citi Shares, which commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC("SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY Debt securities (other than short-term obligations maturing in sixty days or less), are valued on the basis of valuations furnished by pricing services approved by the Board of Trustees which take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations, maturing in sixty days or less, are valued at amortized cost, which constitutes fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of 15 CITI U.S. BOND INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F. OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.15% of the Fund's average daily net assets. SSBC has delegated the daily management of the Fund to State Street Bank and Trust Company, which will act as a subadviser through its State Street Global Advisors division. The management fees paid to SSBC amounted to $9,745, of which $6,496 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION Salomon Smith Barney Inc. acts as the Fund distributor. Salomon Smith Barney Inc. ("SSB") is a subsidiary of Salomon Smith Barney Holdings Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDS is responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $12,634 to CFTC. Pursuant to a Distribution Plan, the Fund pays a service fee with respect to Smith Barney shares calculated at an annual rate of 0.20% of the average daily net assets. The Service Fee amounted to $10 for the period ended December 31, 2000. 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $28,690,109 and $48,778,358, respectively, for the year ended December 31, 2000. 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $24,746,965 ================================================================================ Gross unrealized appreciation $ 467,126 Gross unrealized depreciation (23,514) - -------------------------------------------------------------------------------- Net unrealized appreciation $ 443,612 ================================================================================ 16 CITI U.S. BOND INDEX FUND NOTES TO FINANCIAL STATEMENTS 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ SMITH BARNEY SHARES* Shares sold 3,808 Shares issued to shareholders from reinvestment of distributions 7 Shares repurchased (198) - -------------------------------------------------------------------------------- Net increase 3,617 ================================================================================ CITI SHARES** Shares sold 2,000,022 Shares issued to shareholders from reinvestment of dividends 40,604 Shares repurchased (3,544) - -------------------------------------------------------------------------------- Net increase 2,037,082 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the unwaived expenses of the Fund for the year ended December 31, 2000, which amounted to $78,971. 17 CITI U.S. BOND INDEX FUND INDEPENDENT AUDITORS' REPORT TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF THE CITI U.S. BOND INDEX FUND: We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi U.S. Bond Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the custodian. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi U.S. Bond Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 18 THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon*, PRESIDENT Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi U.S. Bond Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi U.S. Bond Index Fund. (C) 2001 Citicorp [RECYCLE LOGO] Printed on recycled paper FD02213 2/01 ANNUAL REPORT DECEMBER 31, 2000 CITI FINANCIAL SERVICES INDEX FUND [CitiFunds Logo] -------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE -------------------------------------------------------------------------- TABLE OF CONTENTS CITI FINANCIAL SERVICES INDEX FUND Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 4 - -------------------------------------------------------------------------------- Portfolio Highlights 5 - -------------------------------------------------------------------------------- Fund Performance 6 - -------------------------------------------------------------------------------- Portfolio of Investments 7 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 11 - -------------------------------------------------------------------------------- Statement of Operations 11 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 12 - -------------------------------------------------------------------------------- Financial Highlights 12 - -------------------------------------------------------------------------------- Notes to Financial Statements 13 - -------------------------------------------------------------------------------- Independent Auditors' Report 16 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS Dear Shareholder: [PHOTO OMITTED] We are pleased to present the annual report for the Citi(SM) Financial Services Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Goldman Sachs Sector Index - Financials (GSSI Financials Index). The GSSI Financials Index is an index of common stocks traded on the New York Stock Exchange, the American Stock Exchange or The Nasdaq Stock Market that is designed to measure the performance of companies in the financial services sector. The Index includes the stocks of domestic and foreign companies with a range of market capitalizations, including small and medium market capitalization companies with market capitalizations under $5 billion. Thank you for your investment in the Citi Financial Services Index Fund. Sincerely, /s/ Heath B. McLendon Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from the Fund's inception on September 5, 2000 through December 31, 2000, the Fund produced a total return of 7.98%. In comparison, the GSSI Financials Index returned 8.43% for the same period. We attribute any difference in returns to the effects of the Fund expenses and portfolio transaction fees. Investors in index funds such as this Fund should remember that the performance of the Fund is intended to correspond to the performance of its index in good and bad markets, over the short and long term. TO A LARGE DEGREE, THE PERFORMANCE OF FINANCIAL SERVICES STOCKS OVER THE PAST YEAR REFLECTED TRENDS IN THE U.S. ECONOMY. While the U.S. economy grew robustly during the first quarter of 2000, stock market leadership was limited primarily to growth(1) stocks that investors expected would benefit most from a strong economy. These included technology and telecommunications stocks. Most other industry groups, such as financial services firms, generally lagged the technology leaders. At the same time, however, the Federal Reserve Board (the "Fed") continued to move toward a more restrictive monetary policy during the first six months of 2000, raising short-term interest rates three times in an effort to constrain economic growth and forestall long-dormant inflationary pressures. Higher interest rates also dampened the performance of financial services companies and, hence, the Fund during the first quarter of 2000. THE FED'S MONETARY POLICIES APPARENTLY WERE EFFECTIVE BECAUSE THE SECOND HALF OF 2000 WAS CHARACTERIZED BY AN ECONOMIC SLOWDOWN IN THE U.S. The Fed then held interest rates steady throughout the second half of 2000. With this as a backdrop, many investors sold growth-oriented stocks amid concerns that a slower economy might adversely affect corporate earnings. Investor sentiment shifted to long-neglected value(2) stocks -- including financial services companies -- that they believed were selling at more reasonable prices relative to their earnings. DURING THE SECOND QUARTER OF 2000, MANY FINANCIAL SERVICES STOCKS CAME BACK INTO FAVOR WITH INVESTORS. First, technology shares fell sharply after investors became concerned that their valuations had risen too far in too short a period of time. As technology shares fell, many investors shifted their assets to more reasonably valued areas of the market, including the financial services sector, leading to the recovery of many companies' share prices. In the third quarter of 2000, when it became apparent that the economy was slowing and the Fed's interest rate hikes might be near an end, financial services stocks continued to rally. Insurance companies did particularly well, led higher by property and casualty insurers. Brokerage firms and fee-based asset managers benefited from competitive valuations and robust activity in the financial markets. Finance companies saw their stocks rise as concerns about further interest rate hikes abated. Real estate investment trusts (REITs) increased in price during the period largely due to improved prospects and healthy dividend payments. On the other hand, banks overall provided relatively anemic gains, held back by concerns regarding potential loan defaults in a slowing economy. (1) Growth stocks are shares of companies with the potential for faster-than-average growth within their industries. (2) Value stocks are the shares of companies that are considered to be inexpensive relative to their asset values or earning power. 2 Finally, in the fourth quarter of 2000, financial services stocks suffered along with the rest of the stock market when uncertainty about the magnitude of the economic slowdown made investors more cautious. On average, financial shares gave up a portion -- but not all -- of their previous gains, despite hints in December that the Fed was prepared to begin lowering interest rates in 2001 if the economy continued to slow. In our view, the current U.S. economic slowdown is the first inventory correction of the New Economy, which is likely to be characterized by a rapid adjustment of both economic activity and policy. Aggressive Fed easing is aimed at countering needlessly restrictive financial conditions and promoting an early return to strong economic growth, probably in the second half of 2001. In the near term, prices of riskier assets (including equities and high-yielding debt) will depend on how investors negotiate the path between profit deterioration and improving liquidity conditions. And while no guarantees can be given, we think financial stocks stand to benefit in the latter half of 2001 because of lower rates and a generally favorable inflation picture. 3 FUND FACTS FUND OBJECTIVE To provide investment result that, before fees and expenses, correspond to the performance of the Goldman Sachs Sector Index - Financials. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Paid annually, if any SUBADVISER CAPITAL GAINS State Street Bank and Trust Distributed annually, if any Company through its State Street Global Advisors division COMMENCEMENT OF OPERATIONS INDEX September 5, 2000 o Goldman Sachs Sector Index - Financials NET ASSETS AS OF 12/31/00 $5.4 million 4 PORTFOLIO HIGHLIGHTS TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS - -------------------------------------------------------------------------------- American International Group Inc., Multi-Line Insurance 5.27% - -------------------------------------------------------------------------------- Citigroup Inc., Financial Conglomerates 4.85% - -------------------------------------------------------------------------------- Wells Fargo & Company, Major Banks 3.96% - -------------------------------------------------------------------------------- Berkshire Hathaway Inc. Cl. A, Property/Casualty Insurance 3.95% - -------------------------------------------------------------------------------- Federal National Mortgage Association, Finance/Rental/Leasing 3.70% - -------------------------------------------------------------------------------- Morgan Stanley Dean Witter & Co., Investment Banks/Brokers 3.52% - -------------------------------------------------------------------------------- Bank of America Corp., Major Banks 3.14% - -------------------------------------------------------------------------------- American Express Company, Financial Conglomerates 3.00% - -------------------------------------------------------------------------------- Chase & Co., Financial Conglomerates 2.33% - -------------------------------------------------------------------------------- Merrill Lynch & Co. Inc., Investment Banks/Brokers 2.15% - -------------------------------------------------------------------------------- PORTFOLIO DIVERSIFICATION AS OF DECEMBER 31, 2000 [Data below represents a pie chart in the printed piece] * Short-Term 2% Specialty Insurance 2% inance/Rental/Leasing 10% Financial Conglomerates 12% Insurance Brokers/Services 2% Investment Banks/Brokers 11% Investment Managers 2% Life/Health Insurance 4% Major Banks 25% Multi-Line Insurance 6% Property/Casualty Insurance 9% Real Estate Development 1% Real Estate Investment Trusts 4% Regional Banks 7% Savings Banks 3% *Includes cash and net other assets 5 FUND PERFORMANCE TOTAL RETURNS SINCE 9/5/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* - -------------------------------------------------------------------------------- Citi Financial Services Index Fund 7.98% Goldman Sachs Sector Index--Financials 8.43% * Not Annualized GROWTH OF A $10,000 INVESTMENT [The table below represents a line chart in the printed piece.] Citi Financial Goldman Sachs Services Sector Index-- Index Fund Financials ---------- ---------- 9/5/00 10000 10000 9/30/00 10340 10338.8 10/31/00 10270 10271.6 11/30/00 9760 9768.29 12/31/00 10798.1 10830.1 A $10,000 investment in the Fund made on its inception date would have been $10,798, (as of 12/31/00). The graph shows how this compares to its benchmark over the same period. The graph assumes all dividends and distributions are reinvested at Net Asset Value. Notes: All Fund performance numbers represent past performance, and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. "GSSI" and "Goldman Sachs Sector Indices" are trademarks of Goldman Sachs & Co. and have been licensed for use by SSB Citi Fund Management LLC for use in connection with the Fund. The Fund is not sponsored, endorsed, sold, or promoted by Goldman, Sachs & Co. or any of its affiliates. Neither Goldman, Sachs & Co. nor any of its affiliates make any representation regarding the advisability of investing in the Fund. 6 CITI FINANCIAL SERVICES INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK -- 98.0% - -------------------------------------------------------------------------------- FINANCE/RENTAL/LEASING -- 10.4% - -------------------------------------------------------------------------------- Allied Capital Corp. 200 $ 4,175 AmeriCredit Corp.* 200 5,450 Capital One Financial Corp. 400 26,325 CIT Group Inc. 600 12,075 CompuCredit Corp.* 100 1,813 Countrywide Credit Industries Inc. 300 15,075 Federal Home Loan Mortgage Corp. 1,552 106,894 Federal National Mortgage Association 2,300 199,525 FINOVA Group Inc.* 100 94 Heller Financial Inc. 100 3,069 Household Internationl Inc. 1,050 57,750 MBNA Corp. 1,800 66,487 Metris Companies Inc. 100 2,631 NextCard Inc.* 100 800 Providian Financial Corp. 600 34,500 USA Education Inc. 348 23,664 ----------- 560,327 ----------- FINANCIAL CONGLOMERATES -- 11.5% - -------------------------------------------------------------------------------- American Express Company 2,948 161,956 Chase & Co. 2,767 125,725 Citigroup Inc. 5,128 261,848 Conseco Inc. 700 9,231 John Hancock Financial Services Inc. 700 26,338 Leucadia National Corp. 100 3,544 Liberty Financial Companies Inc. 100 4,456 StanCorp Financial Group Inc. 100 4,775 Sun Life Financial Services of Canada 900 23,963 ----------- 621,836 ----------- FINANCIAL PUBLISHING/SERVICES -- 0.2% - -------------------------------------------------------------------------------- SEI Investments Company 100 11,200 ----------- INSURANCE BROKERS/SERVICES -- 1.8% - -------------------------------------------------------------------------------- Aon Corp. 600 20,550 Arthur J. Gallagher & Co. 100 6,362 Marsh & McLennan Companies Inc. 600 70,200 Mutual Risk Management Ltd. 100 1,519 ----------- 98,631 ----------- INVESTMENT BANKS/BROKERS -- 10.9% - -------------------------------------------------------------------------------- A.G. Edwards Inc. 200 9,487 Ameritrade Holding Corp.* 300 2,100 Bear Stearns Companies Inc. 200 10,137 Charles Schwab Corp. 3,000 85,125 Goldman Sachs Group Inc. 1,000 106,937 Investment Technology Group Inc. 100 4,175 Investors Financial Services Corp. 65 5,590 Knight Trading Group Inc.* 300 4,181 Legg Mason Inc. 100 5,450 Lehman Brothers Holdings Inc. 543 36,720 Merrill Lynch & Co. Inc. 1,700 115,919 Morgan Stanley Dean Witter & Co. 2,400 190,200 Raymond James Financial Inc. 100 3,488 TD Waterhouse Group Inc.* 800 10,600 Wit Soundview Group Inc.* 200 719 ----------- 590,828 ----------- INVESTMENT MANAGERS -- 1.5% - -------------------------------------------------------------------------------- Affiliated Managers Group Inc.* 50 2,744 Eaton Vance Corp. 79 2,548 Federated Investors Inc. 300 8,738 Franklin Resources Inc. 500 19,050 Neuberger Berman Inc. 100 8,106 Stilwell Financial Inc. 500 19,719 T. Rowe Price Group Inc. 300 12,680 Waddell & Reed Financial Inc. Cl. A 100 3,763 Waddell & Reed Financial Inc. Cl. B 100 3,750 ----------- 81,098 ----------- LIFE/HEALTH INSURANCE -- 4.2% - -------------------------------------------------------------------------------- AFLAC Inc. 600 43,313 American General Corp. 551 44,906 American National Insurance Company 59 4,307 Great American Financial Resources Inc. 100 1,912 Jefferson-Pilot Corp. 200 14,950 Lincoln National Corp. 400 18,925 Metlife Inc. 1,700 59,500 MONY Group Inc. 100 4,944 Protective Life Corp. 100 3,225 7 CITI FINANCIAL SERVICES INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- LIFE/HEALTH INSURANCE -- CONT'D - -------------------------------------------------------------------------------- Reinsurance Group of America Inc. 100 $ 3,550 Torchmark Corp. 300 11,531 UnumProvident Corp. 500 13,438 ----------- 224,501 ----------- MAJOR BANKS -- 25.0% - -------------------------------------------------------------------------------- Bank of America Corp. 3,700 169,738 Bank of Montreal 600 31,613 Bank of New York 1,650 91,059 Bank One Corp. 2,578 94,419 BB&T Corp. 900 33,581 Canadian Imperial Bank of Commerce 900 28,181 Comerica 350 20,781 First Union Corp. 2,200 61,188 FleetBoston Financial Corp. 2,000 75,125 Huntington Bancshares 500 8,094 J.P. Morgan & Co. Inc. 360 59,580 KeyCorp 1,000 28,000 Mellon Financial Corp. 1,100 54,106 National City Corp. 1,300 37,375 PNC Financial Services Group 649 47,418 Popular Inc. 300 7,894 Royal Bank of Canada 1,300 44,037 SouthTrust Corp. 400 16,275 State Street Corporation 357 44,343 Summit Bancorp 400 15,275 SunTrust Banks Inc. 700 44,100 Toronto-Dominion Bank 1,400 40,600 UnionBanCal Corp. 400 9,625 U.S. Bancorp 1,700 49,619 Wachovia Corp. 451 26,214 Wells Fargo & Company 3,842 213,951 ----------- 1,352,191 ----------- MULTI-LINE INSURANCE -- 6.4% - -------------------------------------------------------------------------------- American International Group Inc. 2,887 284,550 Hartford Financial Services Group Inc. 500 35,312 Horace Mann Educators Corp. 100 2,137 Nationwide Financial Services Inc. 100 4,750 SAFECO Corp. 300 9,863 Unitrin Inc. 200 8,125 ----------- 344,737 ----------- OTHER CONSUMER SERVICES -- 0.2% - -------------------------------------------------------------------------------- H&R Block Inc. 200 8,275 Harbor Global Company Ltd.* 20 100 ----------- 8,375 ----------- PROPERTY/CASUALTY INSURANCE -- 9.1% - -------------------------------------------------------------------------------- 21St Century Insurance Group 200 2,850 ACE Ltd. 500 21,219 Alleghany Corp. 17 3,493 Allmerica Financial Corp. 100 7,250 Allstate Corp. 1,666 72,575 American Financial Group Inc. 100 2,656 Berkshire Hathaway Inc. Cl. A* 3 213,000 Chubb Corp. 400 34,600 Cincinnati Financial Corp. 400 15,825 Commerce Group Inc. 100 2,718 Erie Indemnity Company 100 2,981 Everest Re Group Ltd. 100 7,162 HCC Insurance Holdings Inc. 100 2,694 Loews Corp. 200 20,713 Mercury General Corp. 100 4,388 Ohio Casualty Corp. 100 1,000 Old Republic International Corp. 300 9,600 PartnerRe Ltd. 100 6,100 Progressive Corp. 163 16,891 RenaissanceRe Holdings Ltd. 43 3,367 St. Paul Companies Inc. 500 27,156 Transatlantic Holdings Inc. 100 10,588 W.R. Berkley Corp. 100 4,719 ----------- 493,545 ----------- REAL ESTATE DEVELOPMENT -- 0.2% - -------------------------------------------------------------------------------- Catellus Development Corp.* 200 3,500 Newhall Land & Farming Co. 100 2,325 Security Capital Group Inc.* 100 2,006 Trizec Hahn Corp. 300 4,538 ----------- 12,369 ----------- REAL ESTATE INVESTMENTS TRUST -- 4.1% - -------------------------------------------------------------------------------- AMB Property Corp. 200 5,162 Apartment Investment & Management Co. 150 7,491 Archstone Communities Trust 300 7,725 Arden Realty Inc. 100 2,512 8 CITI FINANCIAL SERVICES INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- REAL ESTATE INVESTMENTS TRUST -- CONT'D - -------------------------------------------------------------------------------- Avalonbay Communities Inc. 148 $ 7,418 Boston Properties Inc. 152 6,612 BRE Properties Inc. 100 3,169 Camden Property Trust 100 3,350 CarrAmerica Realty Corp. 100 3,131 Cousins Properties Inc. 150 4,191 Crescent Real Estate Equities Co. 300 6,675 Developers Diversified Realty Corp. 100 1,331 Duke-Weeks Realty Corp. 300 7,387 Equity Office Properties Trust 700 22,837 Equity Residential Property Trust 300 16,594 Federal Realty Investment Trust 100 1,900 FelCor Lodging Trust Inc. 100 2,394 First Industrial Realty Trust Inc. 100 3,400 Franchise Finance Corp. 100 2,331 General Growth Properties Inc. 100 3,619 Health Care Property Investors Inc. 100 2,987 Highwoods Properties Inc. 100 2,487 Hospitality Properties Trust 100 2,262 Host Marriott Corp. 500 6,469 HRPT Properties Trust 300 2,269 IndyMac Bancorp Inc.* 200 5,900 Kimco Realty Corp. 100 4,419 Liberty Property Trust 100 2,856 Mack-Cali Realty Corp. 100 2,856 Nationwide Health Properties Inc. 100 1,288 New Plan Excel Realty Trust 200 2,625 Post Properties Inc. 100 3,756 Prentiss Properties Trust 100 2,694 ProLogis Trust 400 8,900 Public Storage Inc. 300 7,294 Rouse Co. 200 5,100 Simon Property Group Inc. 400 9,600 Spieker Properties Inc. 145 7,268 Storage USA Inc. 100 3,175 United Dominion Realty Trust Inc. 200 2,163 Vornado Realty Trust 200 7,663 Weingarten Realty Investors 100 4,375 Westfield America Inc. 200 2,887 ----------- 220,522 ----------- REGIONAL BANKS -- 7.6% - -------------------------------------------------------------------------------- AmSouth Bancorp 900 13,725 Associated Banc Corp. 200 6,075 BancorpSouth Inc. 100 1,219 BancWest Corp. 200 5,225 Banknorth Group Inc. 200 3,988 Centura Banks Inc. 100 4,825 Citizens Banking Corp. 100 2,906 City National Corp. 100 3,881 Colonial BancGroup Inc. 200 2,150 Commerce Bancorp Inc. 100 6,838 Commerce Bancshares Inc. 105 4,463 Community First Bankshares Inc. 100 1,888 Compass Bancshares Inc. 300 7,163 Credicorp Ltd. 200 1,200 Cullen/Frost Bankers Inc. 100 4,181 Fifth Third Bancorp 1,000 59,750 Fifth Tennessee National Corp. 300 8,681 First Virginia Banks Inc. 100 4,800 Firstar Corp. 2,100 48,825 FirstMerit Corp. 200 5,347 Fulton Financial Corp. 200 4,613 Hibernia Corp. 300 3,825 Hudson United Bancorp 110 2,303 Imperial Bancorp* 100 2,625 M&T Bank Corporation 237 16,116 Marshall & Ilsley Corp. 200 10,166 Mercantile Bankshares Corp. 200 8,637 National Commerce Bancorp 400 9,900 North Fork Bancorporation Inc. 400 9,825 Northern Trust Corp. 500 40,781 Old Kent Financial Corp. 300 13,125 Old National Bancorp 100 2,994 Pacific Century Financial Corp. 200 3,537 Provident Financial Group Inc. 100 3,750 Regions Financial Corp. 500 13,656 Silicon Valley Bancshares 100 3,456 Synovus Financial Corp. 600 16,163 TCF Financial Corp. 200 8,912 Trustmark Corp. 100 2,100 Union Planters Corp. 300 10,725 Valley National Bancorp 100 3,331 Westamerica Bancorporation 100 4,300 Wilmington Trust Corp. 100 6,206 Zions Bancorp 200 12,487 ----------- 410,663 ----------- SAVINGS BANKS -- 3.1% - -------------------------------------------------------------------------------- Astoria Financial Corp. 100 5,431 Bank United Corp. 100 6,819 Capitol Federal Financial 200 3,350 9 CITI FINANCIAL SERVICES INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- SAVINGS BANKS -- CONT'D - -------------------------------------------------------------------------------- Charter One Financial Inc. 525 $ 15,159 Commercial Federal Corp. 100 1,944 Dime Bancorp Inc. 200 5,913 Golden State Bancorp Inc. 300 9,431 Golden West Financial Corp. 351 23,693 GreenPoint Financial Corp. 200 8,188 Hudson City Bancorp Inc. 200 4,050 Independence Community Bank Corp. 100 1,594 People's Bank 100 2,587 Roslyn Bancorp Inc. 100 2,731 Sovereign Bancorp Inc. 500 4,062 Washington Federal Inc. 100 2,844 Washington Mutual Inc. 1,200 63,675 Webster Financial Corp. 100 2,831 ----------- 164,302 ----------- SPECIALTY INSURANCE -- 1.8% - -------------------------------------------------------------------------------- Ambac Financial Group Inc. 234 13,645 Enhance Financial Services Group Inc. 100 1,544 Fidelity National Financial Inc. 100 3,694 First American Financial Corp. 100 3,287 Markel Corp.* 16 2,896 MBIA Inc. 200 14,825 MGIC Investment Corp. 237 15,983 PMI Group Inc. 100 6,769 Radian Group Inc. 100 7,506 XL Capital Ltd. 300 26,213 ----------- 96,362 ----------- TOTAL COMMON STOCK (Identified Cost $4,905,249) 5,291,487 ----------- SHORT-TERM OBLIGATIONS AT AMORTIZED COST--0.1% - -------------------------------------------------------------------------------- Federated Prime Cash Obligation 4.58% due 1/02/01 (Identified Cost $2,261) $ 2,261 ---------- TOTAL INVESTMENTS (Identified Cost $4,907,510) 98.1% 5,293,748 OTHER ASSETS, LESS LIABILITIES 1.9 104,652 ----- ---------- NET ASSETS 100.0% $5,398,400 ===== ========== * Non-income producing security. See notes to financial statements. 10 CITI FINANCIAL SERVICES INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $4,907,510) $5,293,748 Cash 25,929 Receivable for securities sold 61,553 Dividends and interest receivable 6,191 Receivable from the Manager 75,289 - -------------------------------------------------------------------------------- Total assets 5,462,710 - -------------------------------------------------------------------------------- LIABILITIES: Accrued expenses and other liabilities 64,310 - -------------------------------------------------------------------------------- NET ASSETS $5,398,400 ================================================================================ NET ASSETS CONSIST OF: Paid-in capital $5,013,474 Unrealized appreciation 386,245 Accumulated net realized loss on investments (1,627) Undistributed net investment income 308 - -------------------------------------------------------------------------------- Total $5,398,400 ================================================================================ COMPUTATION OF: Net Asset Value, offering price and redemption fee per share ($5,398,400/501,327 shares outstanding) $10.77 ================================================================================ CITI FINANCIAL SERVICES INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Dividend income (Net of foreign withholding tax of $228) $ 30,633 Interest income 3,254 - -------------------------------------------------------------------------------- $ 33,887 - -------------------------------------------------------------------------------- EXPENSES: Management fees (Note 2) $ 8,010 Custody and fund accounting fees 28,151 Legal fees 22,080 Audit fees 16,000 Shareholder reports 12,740 Licensing fees 10,000 Transfer agent fees 3,525 Registration fees 1,328 Trustee fees 1,300 Other 1,482 - -------------------------------------------------------------------------------- Total expenses 104,616 Less: expenses assumed by the Manager (Note 7) (75,289) Less: aggregate amount waived by the Manager (Note 2) (7,209) - -------------------------------------------------------------------------------- Net expenses 22,118 - -------------------------------------------------------------------------------- Net investment income 11,769 - -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS: Unrealized appreciation 386,245 Net realized gain on investment transactions 184 - -------------------------------------------------------------------------------- Net realized and unrealized gain on investments: 386,429 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $398,198 ================================================================================ See notes to financial statements 11 CITI FINANCIAL SERVICES INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 - -------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS: Net investment income $ 11,769 Unrealized appreciation of investments 386,245 Net realized gain on investment transactions 184 - -------------------------------------------------------------------------------- Net increase in net assets resulting from operations 398,198 - -------------------------------------------------------------------------------- DIVIDENDS DECLARED TO SHAREHOLDERS FROM: Net investment income (11,172) Net realized gain (2,100) - -------------------------------------------------------------------------------- Decrease in net assets from distributions to shareholders (13,272) - -------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5): Net proceeds from sale of shares 5,000,284 Net asset value of shares issued to shareholders for reinvestment of dividends 13,271 Cost of shares reacquired (81) - -------------------------------------------------------------------------------- Net increase in net assets from transactions in share of beneficial interest 5,013,474 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 5,398,400 - -------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period (including undistributed net investment income of $308) $5,398,400 ================================================================================ FINANCIAL HIGHLIGHTS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $ 10.00 - -------------------------------------------------------------------------------- Income From Operations: Net investment loss 0.023 Net realized and unrealized gain 0.773 - -------------------------------------------------------------------------------- Total from operations 0.796 - -------------------------------------------------------------------------------- Less Dividends From: Net investment income (0.022) Net realized gain (0.004) - -------------------------------------------------------------------------------- Total distributions (0.026) - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 10.77 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $ 5,398 Ratio of expenses to average net assets 1.38%* Ratio of net investment income to average net assets 0.73%* Portfolio turnover 5% Total return 7.98%** Note: If Agents of the Fund had not voluntarily waived a portion of their fees and assumed Fund expenses for the periods indicated, the net investment loss per share and the ratios would have been as follows: Net investment loss per share $ (0.141) RATIOS: Expenses to average net assets 6.53%* Net investment loss to average net assets (4.42)%* ================================================================================ * Annualized ** Not annualized See notes to financial statements 12 CITI FINANCIAL SERVICES INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi Financial Services Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities exchanges or reported through the NASDAQ system are valued at last sale prices. Unlisted securities or listed securities for which last sales prices are not available are valued at last quoted bid prices. Debt securities (other than short-term obligations maturing in sixty days or less) are valued on the basis of valuations furnished by pricing services approved by the Board of Trustees which take into account appropriate factors such as institutional sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations, maturing in sixty days or less, are valued at amortized cost, which constitutes fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains. For the period ended December 31, 2000, The Fund reclassified $289 from undistributed net investment income to accumulated realized loss. 13 CITI FINANCIAL SERVICES INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F. OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.50% of the Fund's average daily net assets. SSBC has delegated the daily management of the Fund to State Street Bank and Trust Company which will act as subadviser through its State Street Global Advisors division. The management fees paid amounted to $8,010, of which $7,209 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any trustee or any other officers who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. ("SSB") acts as the Fund's distributor. Salomon Smith Barney Inc. ("SSB"), is a subsidiary of Salomon Smith Barney Holdings Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDS is responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $5,065 to CFTC. 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $5,149,212 and $231,824, respectively, for the year ended December 31, 2000. 14 CITI FINANCIAL SERVICES INDEX FUND NOTES TO FINANCIAL STATEMENTS 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $4,916,255 ================================================================================ Gross unrealized appreciation $ 643,283 Gross unrealized depreciation (265,783) - -------------------------------------------------------------------------------- Net unrealized appreciation $ 377,500 ================================================================================ 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Shares sold 500,029 Shares issued to shareholders from reinvestment of distributions 1,306 Shares repurchased (8) - -------------------------------------------------------------------------------- Net increase 501,327 ================================================================================ 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the unwaived expenses of the Fund for the year ended December 31, 2000, which amounted to $75,289. 15 CITI FINANCIAL SERVICES INDEX FUND INDEPENDENT AUDITORS' REPORT TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF THE CITI FINANCIAL SERVICES INDEX FUND We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi Financial Services Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the custodian. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi Financial Services Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 16 TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon,* PRESIDENT Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi Financial Services Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi Financial Services Index Fund. (C) 2001 Citicorp [RECYCLE LOGO] Printed on recycled paper FD02210 2/01 ANNUAL REPORT DECEMBER 31, 2000 CITI HEALTH SCIENCES INDEX FUND [CitiFunds Logo] -------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE -------------------------------------------------------------------------- TABLE OF CONTENTS CITI HEALTH SCIENCES INDEX FUND Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 4 - -------------------------------------------------------------------------------- Portfolio Highlights 5 - -------------------------------------------------------------------------------- Fund Performance 6 - -------------------------------------------------------------------------------- Portfolio of Investments 7 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 9 - -------------------------------------------------------------------------------- Statement of Operations 10 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 11 - -------------------------------------------------------------------------------- Financial Highlights 12 - -------------------------------------------------------------------------------- Notes to Financial Statements 13 - -------------------------------------------------------------------------------- Independent Auditors' Report 16 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS [PHOTO OMITTED] Dear Shareholder: We are pleased to present the annual report for the Citi(SM) Health Sciences Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Goldman Sachs Sector Index - Healthcare (GSSI Healthcare Index). The GSSI Healthcare Index consists of publicly traded common stocks in the health sciences sector. The Index includes, among others, stocks issued by providers of healthcare-related services including long-term care and hospital facilities, healthcare management organizations and continuing care services, as well as researchers, manufacturers and distributors of pharmaceuticals, drugs and related sciences, and medical supplies, instruments and products. Thank you for your investment in the Citi Health Sciences Index Fund. Sincerely, /s/ Heath B. McLendon Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from the Fund's inception on September 5, 2000 through December 31, 2000, the Fund produced a total return of 14.00%. In comparison, the GSSI Healthcare Index returned 14.73% over the same period. We attribute any difference in returns to the effects of the Fund expenses and portfolio transaction fees. Investors in index funds such as this Fund should remember that the performance of the Fund is intended to correspond to the performance of this sector in good and bad markets, over the short and long term. To a large degree, the performance of healthcare services stocks during 2000 reflected trends in the U.S. economy. When the economy was growing robustly during the first quarter of 2000, stock market leadership was primarily limited to growth(1) stocks that investors hoped would benefit most from a strong economy, including technology firms, telecommunications companies and, in the health sciences area, biotechnology companies. Most other industry groups, including the remaining business categories within the health sciences sector, lagged the technology leaders. At the same time, the Federal Reserve Board (the "Fed") continued to move toward a more restrictive monetary policy during the first six months of 2000, raising short-term interest rates three times in an effort to constrain economic growth and forestall long-dormant inflationary pressures. FOLLOWING THE FED'S TIGHTENING, MANY INVESTORS BECAME CONVINCED THAT THE ECONOMY WAS SLOWING AND THAT INTEREST RATE HIKES MIGHT BE NEAR AN END. Indeed, as it turned out, the Fed held interest rates steady throughout the second half of the year. In this new environment, investors sold growth-oriented stocks -- including biotechnology shares -- amid concerns that a slower economy might adversely affect corporate earnings. Investor sentiment shifted instead to other areas of the market, including traditional healthcare companies, which appeared to be selling at more reasonable prices relative to earnings. During the first quarter of 2000, stock market leadership was primarily limited to growth stocks that investors expected would benefit most from a strong economy, including technology, telecommunications and biotechnology shares. Most other industry groups continued to lag the technology leaders, and many financial services companies saw their stock prices fall amid renewed worries about higher interest rates and inflationary pressures in a potentially overheated economy. During the second quarter of 2000, many traditional healthcare stocks moved back into favor among investors. First, technology and biotechnology shares fell sharply after investors became concerned that their valuations had risen too far, too fast. As technology shares fell, many investors shifted their assets to other areas of the market that showed positive -- if unspectacular -- growth and more attractive valuations, including traditional healthcare companies, causing stock prices in this sector to recover. (1) Growth stocks are shares of companies with the potential for faster-than- average growth within their industries. 2 In the third quarter of 2000, when it became apparent that the economy was slowing and the Fed's interest rate hikes might be near an end, healthcare stocks continued to rally. This had a positive effect on the performance of the Index and thus, the Fund. Medical delivery service companies did particularly well as business fundamentals improved and investors recognized the benefits of steady earnings in a highly volatile market. Many companies that manufacture medical equipment also prospered in this slower growth environment. Biotechnology companies, however, remained weak overall. Finally, in the fourth quarter of 2000, many health sciences stocks suffered along with the rest of the market when uncertainty about the magnitude of the economic slowdown made investors more cautious. On average, healthcare shares gave up a relatively small portion of their previous gains. The Fed's two 50-basis point cuts thus far in 2001 may signal a turn in global interest rates, and therefore, the equity market cycle. While the unpleasant phase of high rates and falling growth projections may be over, it may be several months before the equity cycle "sweet spot"--marked by falling rates and rising growth forecasts--is reached. In our view, the Fed's rate cuts do not ensure that recession will be avoided, but may help to prevent a prolonged recession. And while no assurances can be made, because of a generally favorable regulatory climate in Washington, D.C. and promising new drugs in the pipeline for many major pharmaceutical and biotechnology companies, we think that health sciences stocks in general should perform relatively well in 2001. 3 FUND FACTS FUND OBJECTIVE The Fund's goal is to provide investment results that, before fees and expenses, correspond to the performance of the Goldman Sachs Sector Index -- Healthcare. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Declared annually, if any SUBADVISER CAPITAL GAINS State Street Bank & Trust Company Distributed annually, if any through its State Street Global Advisors division COMMENCEMENT OF OPERATIONS INDEX September 5, 2000 Goldman Sachs Sector Index -- Healthcare NET ASSETS AS OF 12/31/00 $5.7 million 4 PORTFOLIO HIGHLIGHTS TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS Merck & Co., Inc., Pharmaceuticals (Major) 9.13% - -------------------------------------------------------------------------------- Brystol-Myers Squibb Co., Pharmaceuticals (Major) 8.56% - -------------------------------------------------------------------------------- Johnson & Johnson, Pharmaceuticals (Major) 7.45% - -------------------------------------------------------------------------------- Pfizer Inc., Pharmaceuticals (Major) 6.72% - -------------------------------------------------------------------------------- Eli Lilly & Co., Pharmaceuticals (Major) 6.15% - -------------------------------------------------------------------------------- Schering-Plough Corp., Pharmaceuticals (Major) 4.88% - -------------------------------------------------------------------------------- American Home Products Corp., Pharmaceuticals (Major) 4.85% - -------------------------------------------------------------------------------- Pharmacia Corp., Pharmaceuticals (Major) 4.53% - -------------------------------------------------------------------------------- Abbott Laboratories, Pharmaceuticals (Major) 4.42% - -------------------------------------------------------------------------------- Medtronic, Inc., Medical Specialties 4.24% - -------------------------------------------------------------------------------- PORTFOLIO DIVERSIFICATION AS OF DECEMBER 31, 2000 [Data below represents a pie chart in the printed piece] * Short-Term 1% Services to the Health Industry 1% Pharmaceuticals 60% Medical/Nursing Services 1% Medical Specialties 12% Medical Distributors 3% Managed Health Care 4% Hospital/Nursing Management 3% Electronic Equipment & Instruments 1% Biotechnology 14% * Includes cash and net other assets 5 FUND PERFORMANCE TOTAL RETURNS SINCE 9/5/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* ================================================================================ Citi Health Sciences Index Fund 14.00% Goldman Sachs Sector Index - Healthcare 14.73% * Not Annualized GROWTH OF A $10,000 INVESTMENT [The table below represents a line chart in the printed piece.] Citi Goldman Sachs Health Sciences Sector Index-- Index Fund Healthcare 9/5/00 10000 10000 9/30/00 10630 10661 10/31/00 10890 10918 11/30/00 11020 11072.3 12/31/00 11400 11473.1 A $10,000 investment in the Fund made on its inception date would have been $11,400 (as of 12/31/00). The graph shows how this compares to its benchmark over the same period. The graph assumes all dividends and distributions are reinvested at Net Asset Value. Notes: All Fund performance numbers represent past performance, and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. "GSSI" and "Goldman Sachs Sector Indices" are treademarks of Goldman Sachs &Co. and have been licensed for use by SSB Citi Fund Management LLC for use in connection with the Fund. The Fund is not sponsored, endorsed, sold, or promoted by Goldman, Sachs & Co. or any of its affiliates. Neither Goldman, Sachs & Co. nor any of its affiliates make any representation regarding the advisability of investing in the Fund. 6 CITI HEALTH SCIENCES INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK -- 99.2% - -------------------------------------------------------------------------------- BIOTECHNOLOGY --14.6% - -------------------------------------------------------------------------------- Abgenix, Inc.* 300 $ 17,719 Aclara Biosciences Inc.* 100 1,088 Affymetrix, Inc.* 200 14,888 Alkermes, Inc.* 200 6,275 Amgen Inc.* 3,400 217,387 Applera Corp.*-- Celera Genomics Group 200 7,187 Aurora Biosciences Corp.* 100 3,143 Biochem Pharma Inc.* 300 9,600 Biogen, Inc.* 500 30,031 Celgene Corp.* 200 6,500 Cephalon, Inc.* 100 6,331 Chiron Corp.* 600 26,700 COR Therapeutics, Inc.* 200 7,037 CuraGen Corp.* 100 2,731 Enzo Biochem, Inc.* 100 2,487 Enzon, Inc.* 100 6,206 Exelixis, Inc.* 100 1,462 Genentech, Inc.* 1,741 141,891 Genzyme Corp.* 300 26,981 Gilead Sciences, Inc.* 100 8,294 Human Genome Sciences, Inc.* 364 25,230 ICOS Corp.* 200 10,387 IDEC Pharmaceuticals Corp.* 148 28,055 ImClone Systems Inc.* 200 8,800 Immunex Corp.* 1,700 69,063 Invitrogen Corp.* 160 13,820 Lexicon Genetics Inc. 200 3,325 Maxygen Inc.* 100 2,450 Medarex, Inc.* 200 8,150 MedImmune, Inc.* 700 33,381 Millennium Pharmaceuticals, Inc. * 600 37,125 Myriad Genetics, Inc.* 70 5,792 Protein Design Labs, Inc.* 100 8,687 QLT Inc.* 200 5,600 Techne Corp.* 137 4,941 Tularik Inc.* 200 5,888 Vertex Pharmaceuticals Inc. 200 14,300 ----------- 828,932 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.6% - -------------------------------------------------------------------------------- Waters Corp.* 400 33,400 ----------- HOSPITAL/NURSING MANAGEMENT -- 2.8% - -------------------------------------------------------------------------------- HCA-The Healthcare Co. 1,800 $ 79,218 Health Management Associates, Inc.* 800 16,600 Manor Care, Inc.* 300 6,187 Quorum Health Group, Inc.* 200 3,150 Tenet Healthcare Corp.* 1,000 44,438 Universal Health Services, Inc. 100 11,175 ----------- 160,768 ----------- MANAGED HEALTH CARE -- 4.1% - -------------------------------------------------------------------------------- Aetna Inc.* 500 20,531 Caremark Rx, Inc.* 600 8,138 CIGNA Corp. 543 71,839 First Health Group Corp.* 200 9,313 Health Net Inc.* 400 10,475 Humana Inc.* 500 7,625 Oxford Health Plans, Inc. 300 11,850 PacifiCare Health Systems, Inc.* 100 1,500 Trigon Healthcare, Inc.* 100 7,781 UnitedHealth Group Inc. 1,000 61,375 Wellpoint Health Networks Inc.* 200 23,050 ----------- 233,477 ----------- MEDICAL DISTRIBUTORS -- 2.8% - -------------------------------------------------------------------------------- AmeriSource Health Corp.* 200 10,100 Andrx Corp.* 200 11,575 Bergen Brunswig Corp. 400 6,331 Cardinal Health, Inc. 900 89,662 McKesson HBOC, Inc. 1,000 35,890 Patterson Dental Co.* 200 6,775 ----------- 160,333 ----------- MEDICAL SPECIALTIES -- 12.1% - -------------------------------------------------------------------------------- ALZA Corp.* 600 25,500 Apogent Technologies Inc.* 400 8,200 Applera Corp.*-- Applied Biosystems Group 700 65,844 Bausch & Lomb Inc. 200 8,088 Baxter International Inc. 1,000 88,313 Beckman Coulter, Inc. 200 8,387 Becton, Dickinson & Co. 800 27,700 Biomet, Inc. 600 23,812 Boston Scientific Corp.* 1,300 17,794 C.R. Bard, Inc. 200 9,313 Coherent, Inc.* 100 3,250 Cytyc Corp.* 100 6,256 7 CITI HEALTH SCIENCES INDEX FUND PORTFOLIO OF INVESTMENTS(Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- MEDICAL SPECIALTIES -- CONT'D - -------------------------------------------------------------------------------- DENTSPLY International Inc. 200 $ 7,825 Guidant Corp.* 1,000 53,938 Hillenbrand Industries, Inc. 200 10,300 Inhale Therapeutic Systems, Inc.* 100 5,050 Medtronic, Inc. 4,000 241,500 MiniMed, Inc.* 200 8,406 Qiagen N.V.* 500 17,297 St. Jude Medical, Inc. 300 18,431 Stryker Corp. 651 32,934 VISX Inc.* 200 2,088 ----------- 690,226 ----------- MEDICAL/NURSING SERVICES -- 0.5% - -------------------------------------------------------------------------------- HEALTHSOUTH Corp.* 1,200 19,575 Lincare Holdings Inc.* 200 11,413 ----------- 30,988 ----------- PHARMACEUTICALS (GENERIC) -- 1.1% - -------------------------------------------------------------------------------- Barr Laboratories, Inc.* 100 7,294 ICN Pharmaceuticals, Inc. 300 9,206 IVAX Corp. 500 19,150 Mylan Laboratories Inc. 400 10,075 Watson Pharmaceuticals, Inc.* 300 15,356 ----------- 61,081 ----------- PHARMACEUTICALS (MAJOR) -- 56.7% - -------------------------------------------------------------------------------- Abbott Laboratories 5,200 251,875 American Home Products Corp. 4,351 276,506 Brystol-Myers Squibb Co. 6,600 487,988 Eli Lilly & Co. 3,768 350,660 Johnson & Johnson 4,044 424,873 Merck & Co., Inc. 5,561 520,649 Pfizer Inc. 8,326 382,996 Pharmacia Corp. 4,235 258,335 Schering-Plough Corp. 4,900 278,075 ----------- 3,231,957 ----------- PHARMACEUTICALS (OTHER) -- 2.6% - -------------------------------------------------------------------------------- Allergan, Inc. 400 38,725 Biovail Corp.* 400 15,536 Forest Laboratories, Inc.* 300 39,863 King Pharmaceuticals, Inc.* 553 28,583 Medicis Pharmaceutical Corp.* 100 5,913 Sepracor, Inc.* 200 16,025 United Therapeutics Corp.* 100 1,475 ----------- 146,120 ----------- SERVICES TO THE HEALTH INDUSTRY -- 1.3% - -------------------------------------------------------------------------------- Cybear Group * 29 11 Express Scripts, Inc.* 100 10,225 IMS Health Inc. 1,000 27,000 MedQuist Inc.* 100 1,600 Omnicare, Inc. 300 6,488 Quest Diagnostics Inc.* 148 21,016 Quintiles Transnational Corp.* 400 8,375 ----------- 74,715 ----------- TOTAL COMMON STOCKS (Identified Cost $4,956,913) 5,651,997 ----------- SHORT-TERM OBLIGATIONS -- 0.0% - -------------------------------------------------------------------------------- Federated Prime Cash Obligation Fund 401 ----------- TOTAL INVESTMENTS (Identified Cost $4,957,314) 99.2% 5,652,398 OTHER ASSETS, LESS LIABILITIES 0.8 47,852 ----- ----------- NET ASSETS 100.0% $ 5,700,250 ===== =========== *Non-income producing security See notes to financial statements 8 CITI HEALTH SCIENCES INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $4,957,314) $5,652,398 Cash 37,133 Dividend receivable 3,563 Interest receivable 2 Receivable from the Manager 71,435 - -------------------------------------------------------------------------------- Total assets 5,764,531 - -------------------------------------------------------------------------------- LIABILITIES: Accrued expenses and other liabilities 64,281 - -------------------------------------------------------------------------------- NET ASSETS $5,700,250 ================================================================================ NET ASSETS CONSIST OF: Paid-in capital $5,002,239 Unrealized appreciation 695,084 Accumulated net realized gain on investments 2,927 - -------------------------------------------------------------------------------- Total $5,700,250 ================================================================================ COMPUTATION OF: Net Asset Value, offering price and redemption fee per share ($5,700,250/500,206 shares outstanding) $11.40 ================================================================================ See notes to financial statements 9 CITI HEALTH SCIENCES INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Dividends $ 12,264 Interest 3,668 - -------------------------------------------------------------------------------- $ 15,932 - -------------------------------------------------------------------------------- EXPENSES: Management fees (Note 2) $ 8,552 Custody and fund accounting fees 25,059 Legal fees 22,080 Audit fees 16,000 Shareholder reports 12,740 Licensing fees 10,000 Transfer agent fees 3,524 Registration fees 1,325 Trustee fees 1,300 Miscellaneous 1,483 - -------------------------------------------------------------------------------- Total expenses 102,063 Less: aggregate amounts waived by the Manager (Note 2) (7,697) Less: expenses assumed by the Manager (Note 7) (71,435) - -------------------------------------------------------------------------------- Net expenses 22,931 - -------------------------------------------------------------------------------- Net investment (loss) (6,999) - -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions 9,926 Net unrealized appreciation 695,084 - -------------------------------------------------------------------------------- Net realized and unrealized gain on investments 705,010 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $698,011 ================================================================================ See notes to financial statements 10 CITI HEALTH SCIENCES INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment loss $ (6,999) Net realized gain from investment transactions 9,926 Unrealized appreciation (depreciation) of investments 695,084 - -------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations 698,011 - -------------------------------------------------------------------------------- DIVIDENDS DECLARED TO SHAREHOLDERS FROM: Net investment income -- - -------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5): Net proceeds from sale of shares 5,002,279 Net asset value of shares issued to shareholders from reinvestment of dividends -- Cost of shares repurchased (40) - -------------------------------------------------------------------------------- Net decrease in net assets from transactions in shares of beneficial interest 5,002,239 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 5,700,250 - -------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period $ 5,700,250 ================================================================================ See notes to financial statements 11 CITI HEALTH SCIENCES INDEX FUND FINANCIAL HIGHLIGHTS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $10.00 - -------------------------------------------------------------------------------- Income From Operations: Net investment loss (0.014) Net realized and unrealized gain on investments 1.414 - -------------------------------------------------------------------------------- Total from operations 1.400 - -------------------------------------------------------------------------------- Less Dividends From: Net investment income -- - -------------------------------------------------------------------------------- Net Asset Value, end of period $11.40 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $5,700 Ratio of expenses to average net assets 1.34%* Ratio of net investment loss to average net assets (0.41)%* Portfolio turnover 2% Total return 14.00%** Note: If Agents of the Fund had not voluntarily agreed to waive all of their fees for the period, and the Manager had not voluntarily assumed expenses, the net investment income per share and the ratios would have been as follows: Net investment loss per share $(0.172) RATIOS: Expenses to average net assets 5.97%** Net investment loss to average net assets (5.04)% ================================================================================ * Annualized ** Not annualized See notes to financial statements 12 CITI HEALTH SCIENCES INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi Health Sciences Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities exchanges or reported through the NASDAQ system are valued at last sale prices. Unlisted securities or listed securities for which last sale prices are not available are valued at last quoted bid prices. Debt securities (other than short-term obligations maturing in sixty days or less), are valued on the basis of valuations furnished by pricing services approved the the Board of Trustees which take into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations, maturing in sixty days or less, are valued at amortized cost, which constitutes fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. For the period ended December 31, 2000, the Fund reclassified $6,999 from accumulated realized gains on investment to undistributed net investment loss. 13 CITI HEALTH SCIENCES INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F. OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.50% of the Fund's average daily net assets. SSBChas delegated the daily management of the Fund to State Street Bank and Trust Company which will act as a subadviser through its State Street Global Advisors division. The management fees paid amounted to $8,552, of which $7,697 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officers who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. ("SSB") acts as the Fund's distributor. Salomon Smith Barney Inc. ("SSB") is a subsidiary of Salomon Smith Barney Holding Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDSis responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $5,065 to CFTC. 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than U.S. Government securities and short-term obligations, aggregated $5,034,527 and $87,540, respectively. 14 CITI HEALTH SCIENCES INDEX FUND NOTES TO FINANCIAL STATEMENTS 5. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Shares sold 500,210 Shares issued to shareholders from reinvestment of distributions -- Shares repurchased (4) - -------------------------------------------------------------------------------- Net increase 500,206 ================================================================================ 6. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $4,957,314 ================================================================================ Gross unrealized appreciation $ 927,863 Gross unrealized depreciation (232,779) - -------------------------------------------------------------------------------- Net unrealized appreciation $ 695,084 ================================================================================ 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the expenses of the Fund for the period ended December 31, 2000, which amounted to $71,435 to maintain a voluntary expense limitation of 0.75% of average daily net assets. This voluntary expense limitation may be discontinued at any time. 15 CITI HEALTH SCIENCES INDEX FUND INDEPENDENT AUDITORS' REPORT TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF THE CITI HEALTH SCIENCES INDEX FUND We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi Health Sciences Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the custodian. 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 Citi Health Sciences Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 16 TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren PRESIDENT Heath B. McLendon* SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi Health Sciences Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi Health Sciences Index Fund. (C) 2001 Citicorp [RECYCLE LOGO] Printed on recycled paper FD02208 2/01 ANNUAL REPORT DECEMBER 31, 2000 CITI TECHNOLOGY INDEX FUND [CitiFunds Logo] -------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE -------------------------------------------------------------------------- TABLE OF CONTENTS CITI TECHNOLOGY INDEX FUND Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 3 - -------------------------------------------------------------------------------- Portfolio Highlights 4 - -------------------------------------------------------------------------------- Fund Performance 5 - -------------------------------------------------------------------------------- Portfolio of Investments 6 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 9 - -------------------------------------------------------------------------------- Statement of Operations 10 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 11 - -------------------------------------------------------------------------------- Financial Highlights 12 - -------------------------------------------------------------------------------- Notes to Financial Statements 13 - -------------------------------------------------------------------------------- Independent Auditors' Report 16 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS Dear Shareholder: [PHOTO OF HEATH B. MCLENDON HERE]] We are pleased to present the annual report for the Citi(SM) Technology Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Goldman Sachs Technology (GSTI(TM) Composite) Index. The GSTI Composite Index is an index of common stocks traded on the New York Stock Exchange, the American Stock Exchange or the Nasdaq Stock Market that is designed to measure the performance of companies in the technology sector. Included in the Index, among others, are producers of sophisticated devices related to the fields of computers, electronics, networking and Internet services; producers of computers and Internet software; consultants for information technology; and providers of computer services. Thank you for your investment in the Citi Technology Index Fund. Sincerely, /s/ Heath B. McLendon Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from the Fund's inception on September 5, 2000 through December 31, 2000, the Fund returned a negative 44.30%. In comparison, the Goldman Sachs Technology Index returned a negative 44.48% for the same period. We attribute any difference in returns to the effects of the Fund expenses and transaction fees. Investors in index funds such as this Fund and should remember that the performance of the Fund is intended to correspond to the performance of its index in good and bad markets, over the short and long term. WHEN THE ECONOMY WAS GROWING ROBUSTLY DURING THE FIRST HALF OF 2000, STOCK MARKET LEADERS DURING THE EARLY PART OF THE REPORTING PERIOD INCLUDED MANY OF THE STOCKS THAT COMPRISE THE GSTI COMPOSITE INDEX. These advances were relatively short-lived, however. Partly because of the market's advance and its effect on consumer spending, the Federal Reserve Board (the "Fed") continued to move toward a more restrictive monetary policy, raising short-term interest rates three times during the first half of the year in an effort to constrain economic growth and forestall long-dormant inflationary pressures. THE FED'S MONETARY POLICIES APPARENTLY WERE EFFECTIVE, BECAUSE THE SECOND HALF OF 2000 WAS CHARACTERIZED BY AN ECONOMIC SLOWDOWN IN THE U.S. In this new economic environment, investor sentiment changed dramatically. Investors sold technology stocks amid concerns that a slower economy might adversely affect corporate earnings. For its part, the Fed held interest rates steady throughout the second half of 2000. Although these shifts in economic growth, monetary policy and investor sentiment made 2000 a highly volatile and challenging year for technology stocks in general, the Fund exhibited substantially less volatility than other technology-laden indices such as the Nasdaq Composite Index. This is because the GSTI Composite Index includes some of the larger, more liquid technology companies. NONETHELESS, THE MOST NOTABLE STOCK MARKET TREND OF 2000 ACROSS ALL STOCK EXCHANGES AND CAPITALIZATION RANGES WAS THE SHARP DECLINE IN TECHNOLOGY SHARES. Many investment professionals attribute the technology industry group's weakness to unrestrained investor enthusiasm for companies that they believed would prosper in the "New Economy."(1) During 1999, many investors bid up the prices of such stocks to extremely high valuations. Among the beneficiaries of this early enthusiasm were many Internet-related companies that had yet to earn a profit, but were the subject of popular speculation that they might one day grow into industry leaders. The enthusiasm for technology stocks continued into the first quarter of 2000. By the end of the first quarter, rising short-term interest rates had put pressure on corporate profitability, leading to a series of earnings disappointments by companies in a range of industries that continued throughout the year. This new environment of slower growth hit the technology sector particularly hard. Investors who had given little scrutiny to such old school fundamentals as price to earnings ratios suddenly became concerned that technology stock valuations had risen too far, too fast. (1) The New Economy represents those companies in the technology, telecommunications, and Internet sectors. 2 Investors were quick to sell what they deemed to be overvalued technology stocks, the prices of which fell sharply in April 2000. Despite a subsequent summer rally during which the GSTI Composite Index hit its high for the year, the prices of technology stocks generally declined from September 30, 2000 through December 31, 2000, triggering a "flight to quality" that mainly benefited high-quality bonds and relatively defensive, value-oriented stocks. Indeed, by the end of December, many technology stocks, trading at all-time lows, had reached valuations that made them attractive to some value-oriented investors. Technology suffered immensely at the close of 2000, yet signs are beginning to emerge that the worst may be over for the tech-laden Nasdaq Composite Index. The telecommunications industry is approaching a crucial point. Until now, telecommunications companies were burdened with heavy fixed costs. But at this point, costs appear to be moderating while demand has firmed and pricing has recovered. These developments should benefit the better telecommunications players' return on investment and may help to ease investors' concerns about a "glut" of supply. However, we think the halcyon days of technology may be over for the foreseeable future and greater competition and slower corporate spending on information technology will certainly act as a drag on the Nasdaq in the first part of 2001. However, we expect technology to rebound in the latter part of 2001 as the Fed's rate cuts work their way through the economy. FUND FACTS FUND OBJECTIVE The Fund's goal is to provide investment results that, before fees and expenses, correspond to the performance of the Goldman Sachs Technology (GSTI(TM) Composite) Index. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Declared annually, if any SUBADVISER CAPITAL GAINS State Street Bank & Trust Company Distributed annually, if any through its State Street Global Advisors division COMMENCEMENT OF OPERATIONS INDEX September 5, 2000 Goldman Sachs Technology (GSTI(TM) Composite) Index NET ASSETS AS OF 12/31/00 $2.8 million 3 PORTFOLIO HIGHLIGHTS TOP TEN HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS Cisco Systems, Inc., Computer Communications 8.54% - -------------------------------------------------------------------------------- Microsoft Corp., Packaged Software 7.32% - -------------------------------------------------------------------------------- Intel Corp., Semiconductors 6.29% - -------------------------------------------------------------------------------- Oracle Corp., Packaged Software 5.24% - -------------------------------------------------------------------------------- International Business Machines Corp., Computer Processing Hardware 4.79% - -------------------------------------------------------------------------------- EMC Corp., Computer Peripherals 4.53% - -------------------------------------------------------------------------------- Nortel Networks Corp., Telecommunications Equipment 3.11% - -------------------------------------------------------------------------------- Sun Microsysems Inc., Computer Processing Hardware 2.80% - -------------------------------------------------------------------------------- Texas Instruments Inc., Semiconductors 2.55% - -------------------------------------------------------------------------------- American Online Inc., Other Consumer Services 2.50% - -------------------------------------------------------------------------------- PORTFOLIO DIVERSIFICATION AS OF DECEMBER 31, 2000 [Data below represents a pie chart in the printed piece] *Short-Term 1% Telecommunications Equipment 13% Semiconductors 17% Packaged Software 19% Other Consumer Services 3% Internet Software Services 4% Information Technology Services 2% Electronic Production Equipment 2% Electronic Equipment/Instruments 1% Miscellaneous Commercial Services 1% Electronic Components 2% Data Processing Services 4% Computer Processing Hardware 13% Computer Peripherals 6% Computer Communications 12% * Includes cash and net other assets 4 FUND PERFORMANCE TOTAL RETURNS SINCE 9/5/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* ================================================================================ Citi Technology Index Fund (44.30)% Goldman Sachs Technology (GSTI(TM) Composite) Index (44.48)% * Not Annualized GROWTH OF A $10,000 INVESTMENT [The table below represents a line chart in the printed piece.] Goldman Sachs Technology Citi (GSTI(TM) Composite) Technology Index Index Fund 9/5/00 10000 10000 9/30/00 8519.81 8550 10/31/00 7876.32 7890 11/20/00 6072.64 6100 12/31/00 5552.22 5570 A $10,000 investment in the Fund made on its inception date would have been $5,570 (as of 12/31/00). The graph shows how this compares to its benchmark over the same period. The graph assumes all dividends and distributions are reinvested at Net Asset Value. Notes: All Fund performance numbers represent past performance, and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. "GSTI", "GSTI Composite Index", "Goldman Sachs Technology Index", "GSSI" and "Goldman Sachs Sector Indices" are trademarks of Goldman Sachs & Co. and have been licensed for use by SSB Citi Fund Management LLC for use in connection with the Fund. The Fund is not sponsored, endorsed, sold, or promoted by Goldman, Sachs & Co. or any of its affiliates. Neither Goldman, Sachs & Co. nor any of its affiliates make any representation regarding the advisability of investing in the Fund. 5 CITI TECHNOLOGY INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUERS SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK -- 99.0% - -------------------------------------------------------------------------------- ADVERTISING/MARKETING SERVICES -- 0.0% - -------------------------------------------------------------------------------- Doubleclick Inc.* 100 $ 1,100 ----------- COMMERCIAL PRINTING/FORMS -- 0.1% - -------------------------------------------------------------------------------- Deluxe Corp. 100 2,527 ----------- COMPUTER COMMUNICATIONS-- 11.4% - -------------------------------------------------------------------------------- Adaptec, Inc.* 100 1,025 Brocade Communication Systems, Inc.* 200 18,363 Cabletron Systems, Inc.* 200 3,013 Cisco Systems, Inc.* 6,219 237,877 Emulex Corp.* 64 5,116 Extreme Networks, Inc.* 100 3,912 Finisar Corp.* 100 2,900 Foundry Networks, Inc.* 100 1,500 Juniper Networks, Inc.* 278 35,045 MRV Communications, Inc.* 100 1,338 Redback Networks Inc.* 100 4,100 3COM Corp.* 300 2,550 ----------- 316,739 ----------- COMPUTER PERIPHERALS -- 5.8% - -------------------------------------------------------------------------------- Creative Technology, Ltd.* 100 1,113 EMC Corp.* 1,900 126,350 Lexmark International, Inc.* 100 4,431 Network Appliance, Inc.* 300 19,256 Qlogic Corp.* 67 5,159 Quantum Corp.* 100 1,331 Symbol Technologies Inc. 100 3,600 ----------- 161,240 ----------- COMPUTER PROCESSING HARDWARE -- 12.7% - -------------------------------------------------------------------------------- Apple Computer, Co.* 300 4,463 Compaq Computer Corp. 1,500 22,575 Dell Computer Corp.* 2,300 40,106 Gateway, Inc.* 300 5,397 Hewlett-Packard Co. 1,800 56,813 International Business Machines Corp. 1,570 133,450 Palm, Inc.* 500 14,156 Sun Microsystems Inc.* 2,800 78,050 ----------- 355,010 ----------- DATA PROCESSING SERVICES-- 3.9% - -------------------------------------------------------------------------------- Acxiom Corp.* 100 3,894 Affiliated Computer Services, Inc.* 41 2,488 Amdocs Limited* 200 13,250 Automatic Data Processing, Inc. 556 35,202 Bisys Group, Inc.* 49 2,554 Ceridian Corp. 100 1,994 CSG Systems International, Inc.* 46 2,159 DST Systems, Inc.* 112 7,504 First Data Corp. 400 21,075 Fiserv, Inc.* 100 4,744 Paychex, Inc. 300 14,588 ----------- 109,452 ----------- ELECTRICAL PRODUCTS -- 0.2% - -------------------------------------------------------------------------------- American Power Conversion Corp.* 200 2,475 Power-One, Inc.* 100 3,931 ----------- 6,406 ----------- ELECTRONIC COMPONENTS-- 2.0% - -------------------------------------------------------------------------------- Cree, Inc.* 59 2,096 Flextronics International Ltd.* 300 8,550 Jabil Circuit, Inc.* 200 5,075 Nvidia Corp.* 100 3,277 Rambus Inc.* 100 3,613 SanDisk Corp.* 100 2,775 Sanmina Corp.* 148 11,340 Solectron Corp.* 500 16,950 Vishay Intertechnology Inc.* 100 1,513 ----------- 55,189 ----------- ELECTRONIC EQUIPMENT/INSTRUMENTS -- 1.4% - -------------------------------------------------------------------------------- JDS Uniphase Corp.* 661 27,555 Macrovision Corp.* 36 2,665 PerkinElmer, Inc. 44 4,620 SCI Systems, Inc.* 100 2,638 ----------- 37,478 ----------- ELECTRONIC PRODUCTION EQUIPMENT -- 2.4% - -------------------------------------------------------------------------------- Amkor Technology, Inc.* 100 1,552 Applied Materials, Inc.* 700 26,731 ASM Lithography Holdings N.V.* 400 9,025 Celestica Inc.* 100 5,425 KLA-Tencor Corp.* 200 6,738 LAM Research Corp.* 100 1,450 Novellus Systems, Inc.* 100 3,594 Synopsys Inc.* 100 4,744 Teradyne, Inc.* 200 7,450 ----------- 66,709 ----------- ELECTRONICS DISTRIBUTORS -- 0.2% - -------------------------------------------------------------------------------- Arrow Electronics, Inc. 100 2,862 Avnet, Inc. 100 2,150 Safeguard Scientifics Inc.* 100 662 ----------- 5,674 ----------- 6 CITI TECHNOLOGY INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUERS SHARES VALUE - -------------------------------------------------------------------------------- FINANCIAL PUBLISHING/SERVICES -- 0.2% - -------------------------------------------------------------------------------- Sungard Data Systems Inc.* 100 $ 4,712 ----------- INFORMATION TECHNOLOGY SERVICES -- 2.0% - -------------------------------------------------------------------------------- Citrix Systems, Inc.* 200 4,500 Computer Sciences Corp.* 150 9,019 Electronic Data Systems Corp. 400 23,100 J.D. Edwards & Co.* 100 1,781 Keane, Inc. 100 975 Marchfirst Inc.* 100 150 National Instruments Corp.* 45 2,185 Peoplesoft, Inc. * 200 7,438 Sapient Corp.* 100 1,194 Unisys Corp.* 300 4,387 ----------- 54,729 ----------- INTERNET RETAIL -- 0.2% - -------------------------------------------------------------------------------- Amazon.com, Inc.* 300 4,669 ----------- INTERNET SOFTWARE/SERVICES -- 4.1% - -------------------------------------------------------------------------------- Akamai Technologies, Inc.* 100 2,106 Ariba Inc.* 200 10,725 Art Technology Group, Inc.* 100 3,056 At Home Corp.* 300 1,659 BEA Systems, Inc.* 332 22,348 Broadvision, Inc.* 200 2,363 CMGI Inc.* 300 1,678 CNET Networks, Inc.* 100 1,598 Commerce One, Inc.* 100 2,531 Critical Path, Inc.* 100 3,075 Digital Island* 100 406 Earthlink, Inc.* 100 503 Exodus Communications, Inc.* 400 8,000 InfoSpace Inc.* 200 1,769 Inktomi Corp.* 100 1,788 Internap Network Services Corp.* 100 725 Internet Capital Group, Inc.* 200 656 Internet Security Systems, Inc.* 37 2,902 Interwoven, Inc.* 43 2,835 Kana Communications, Inc.* 100 1,150 Openwave Systems Inc.* 100 4,794 Portal Software, Inc.* 100 784 Psinet Inc.* 100 72 Quest Software, Inc.* 100 2,806 RealNetworks, Inc.* 100 869 Scient Corp.* 100 325 Usinternetworking, Inc.* 100 500 VeriSign Inc.* 171 12,686 VerticalNet, Inc.* 100 666 Vignette Corp.* 200 3,600 Vitria Technology Inc.* 100 775 Yahoo! Inc.* 500 15,086 ----------- 114,836 ----------- INVESTMENT BANKS/BROKERS -- 0.1% - -------------------------------------------------------------------------------- E*Trade Group, Inc.* 200 1,475 ----------- MISCELLANEOUS COMMERCIAL SERVICES-- 0.6% - -------------------------------------------------------------------------------- Checkfree Corp.* 51 2,167 Concord EFS, Inc.* 200 8,787 Nova Corp.* 100 1,994 Sabre Holdings Corp.* 100 4,312 ----------- 17,260 ----------- OTHER CONSUMER SERVICES -- 2.7% - -------------------------------------------------------------------------------- America Online Inc.* 2,000 69,600 Ebay, Inc.* 200 6,600 Priceline.com, Inc.* 100 131 ----------- 76,331 ----------- PACKAGED SOFTWARE -- 18.7% - -------------------------------------------------------------------------------- Adobe Systems Inc. 200 11,637 BMC Software, Inc.* 200 2,800 Cadence Design Systems, Inc.* 200 5,500 Check Point Software Technologies Ltd.* 136 18,165 Cognos, Inc.* 100 1,881 Computer Association International, Inc. 500 9,750 Compuware Corp.* 300 1,875 E Piphany, Inc.* 43 2,319 I2 Technologies, Inc.* 284 15,443 Intuit Co.* 200 7,888 Lernout & Hauspie Speech Products Co.* 100 77 Macromedia, Inc.* 46 2,794 Mercury Interactive Corp.* 70 6,317 Micromuse Inc.* 62 3,742 Microsoft Corp.* 4,700 203,863 Networks Associations, Inc.* 100 419 Novell, Inc.* 300 1,566 Oracle Corp.* 5,029 146,155 Parametric Technology Corp.* 200 2,687 Peregrine Systems, Inc.* 100 1,975 Rational Software Corp.* 200 7,788 Red Hat, Inc.* 100 625 Siebel Systems Inc.* 356 24,075 Symantec Corp.* 100 3,337 Tibco Software Inc.* 200 9,587 7 CITI TECHNOLOGY INDEX FUND (Continued) PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUERS SHARES VALUE - -------------------------------------------------------------------------------- VERITAS Software Corp.* 335 $ 29,312 ----------- 521,577 ----------- RECREATIONAL PRODUCTS -- 0.1% - -------------------------------------------------------------------------------- Electronic Arts Inc.* 100 4,263 ----------- SEMICONDUCTORS -- 16.9% - -------------------------------------------------------------------------------- Advanced Micro Devices Inc.* 300 4,144 Altera Corp.* 400 10,525 Analog Devices, Inc.* 300 15,356 Applied Micro Circuits Corp.* 200 15,009 Atmel Corp.* 400 4,650 Broadcom Corp.* 100 8,400 Conexant Systems, Inc.* 200 3,075 Cypress Semiconductor Corp.* 100 1,969 Dallas Semiconductor Corp. 100 2,563 Fairchild Semiconductor Corp.* 100 1,444 GlobeSpan, Inc.* 100 2,750 Integrated Device Technology, Co.* 100 3,313 Intel Corp. 5,828 175,204 International Rectifier Corp.* 100 3,000 Lattice Semicondutor Corp.* 100 1,837 Linear Technology Corp. 300 13,875 LSI Logic Corp.* 300 5,127 Maxim Integrated Products, Inc.* 250 11,953 Micrel, Inc.* 100 3,369 Microchip Technology Inc.* 150 3,291 Micron Technology, Inc.* 500 17,750 National Semiconductor Corp.* 200 4,025 PMC-Sierra, Inc.* 130 10,221 SDL Inc.* 68 10,077 STmicroelectronics NV 800 34,250 Texas Instruments Inc. 1,500 71,062 Transwitch Corp.* 100 3,913 Triquint Semicondutor Inc.* 100 4,369 Vitesse Semicondutor Corp.* 200 11,062 Xilinx Inc.* 300 13,837 ----------- 471,420 ----------- SERVICES TO THE HEALTH INDUSTRY-- 0.1% - -------------------------------------------------------------------------------- WEB MD Corp.* 200 1,587 ----------- TELECOMMUNICATIONS EQUIPMENT -- 13.1% - -------------------------------------------------------------------------------- ADC Telecommunications Inc.* 600 $ 10,875 Advanced Fibre Communications, Inc.* 100 1,806 American Tower Corp. 100 3,788 Andrew Corp.* 100 2,175 Avanex Corp.* 57 3,395 Ciena Corp.* 251 20,394 Comverse Technology, Inc.* 139 15,099 Corning Inc. 700 36,969 ECI Telecom Ltd. 100 1,398 Lucent Technologies Inc. 2,900 39,150 Motorola, Inc. 1,900 38,475 New Focus, Inc.* 100 3,475 Nortel Networks Corp. 2,700 86,569 ONI Systems Corp.* 100 3,956 Polycom, Inc.* 100 3,219 Qualcomm Inc.* 661 54,326 RF Micro Devices, Inc.* 100 2,744 Scientific Atlanta Inc. 100 3,256 Sonus Networks Inc.* 200 5,050 Sycamore Networks, Inc.* 200 7,450 Tellabs Inc.* 363 20,509 Terayon Communication Systems Inc.* 100 406 Turnstone Systems Inc.* 100 744 ----------- 365,228 ----------- WIRELESS TELECOMMUNICATIONS -- 0.1% - -------------------------------------------------------------------------------- Crown Castle International Corp.* 100 2,706 ----------- TOTAL COMMON STOCKS (Identified Cost $4,927,849) 2,758,317 ----------- SHORT-TERM OBLIGATIONS AT AMORTIZED COST-- 0.0% - -------------------------------------------------------------------------------- Federated Prime Cash Obligation 981 981 ----------- TOTAL INVESTMENTS (Identified Cost $4,928,830) 99.0% 2,759,298 OTHER ASSETS, LESS LIABILITIES 1.0 27,562 ----- ----------- NET ASSETS 100.0% $ 2,786,860 ===== =========== * Non-income producing security See notes to financial statements 8 CITI TECHNOLOGY INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $4,928,830) $2,759,298 Cash 24,075 Receivable for Investments sold 11,577 Dividends receivable 355 Interest receivable 5 Receivable from the Manager 76,752 - -------------------------------------------------------------------------------- Total assets 2,872,062 - -------------------------------------------------------------------------------- LIABILITIES: Payable for investments purchased 21,170 Accrued expenses and other liabilities 64,032 - -------------------------------------------------------------------------------- Total liabilities 85,202 - -------------------------------------------------------------------------------- NET ASSETS $2,786,860 ================================================================================ NET ASSETS CONSIST OF: Paid-in capital $4,987,982 Unrealized depreciation (2,169,532) Accumulated net realized loss on investments (31,590) - -------------------------------------------------------------------------------- Total $2,786,860 ================================================================================ COMPUTATION OF: Net Asset Value, offering price and redemption fee per share ($2,786,860/500,371 shares outstanding) $5.57 ================================================================================ See notes to financial statements 9 CITI TECHNOLOGY INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Interest $ 3,606 Dividends 1,337 - -------------------------------------------------------------------------------- $ 4,943 - -------------------------------------------------------------------------------- EXPENSES: Management fees (Note 2) $ 6,055 Custody and fund accounting fees 26,949 Legal fees 22,080 Auditing fees 16,000 Licensing fees 10,000 Shareholder reports 12,740 Transfer agent fees 3,523 Registration fees 1,325 Trustee fees 1,300 Miscellaneous 1,411 - -------------------------------------------------------------------------------- Total expenses 101,383 Less: aggregate amounts waived by the Manager (Note 2) (5,449) Less: expenses assumed by the Manager (Note 7) (76,752) - -------------------------------------------------------------------------------- Net expenses 19,182 - -------------------------------------------------------------------------------- Net investment loss (14,239) - -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss on investment transactions (31,590) Net unrealized depreciation (2,169,532) - -------------------------------------------------------------------------------- Net realized and unrealized loss on investments (2,201,122) - -------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(2,215,361) ================================================================================ See notes to financial statements 10 CITI TECHNOLOGY INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment loss $ (14,239) Net realized loss from investment transactions (31,590) Unrealized (depreciation) of investments (2,169,532) - -------------------------------------------------------------------------------- Net (decrease) in net assets resulting from operations (2,215,361) - -------------------------------------------------------------------------------- DIVIDENDS DECLARED TO SHAREHOLDERS FROM: Net investment income -- - -------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5): Net proceeds from sale of shares 5,002,230 Net asset value of shares issued to shareholders from reinvestment of dividends -- Cost of shares repurchased (9) - -------------------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 5,002,221 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 2,786,860 - -------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period $ 2,786,860 ================================================================================ See notes to financial statements 11 CITI TECHNOLOGY INDEX FUND FINANCIAL HIGHLIGHTS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $ 10.00 - -------------------------------------------------------------------------------- Income From Operations: Net investment loss (0.028) Net realized and unrealized gain (loss) on investments (4.402) - -------------------------------------------------------------------------------- Total from operations (4.430) - -------------------------------------------------------------------------------- Less Dividends From: Net investment income -- - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 5.57 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $ 2,787 Ratio of expenses to average net assets 1.58%* Ratio of net investment loss to average net assets (1.18)%* Portfolio turnover 3% Total return (44.30)%** Note: If Agents of the Fund had not voluntarily agreed to waive all of their fees for the period, and the Manager had not voluntarily assumed expenses, the net investment income per share and the ratios would have been as follows: Net investment income per share $(0.193) RATIOS: Expenses to average net assets 8.37%* Net investment loss to average net assets (7.97)%* ================================================================================ * Annualized ** Not annualized See notes to financial statements 12 CITI TECHNOLOGY INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi Technology Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities exchanges or reported through the NASDAQ system are valued at last sale prices. Debt securities (other than short-term obligations maturing in 60 days or less), are valued on the basis of valuations furnished by pricing services approved by the Board of Trustees which take into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations maturing in 60 days or less, are valued at amortized cost, which constitutes fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2000, the Fund, for federal income tax purposes, had a capital loss carryover of $1,503 which will expire on December 31, 2008. Such capital loss carryover will reduce the Fund's taxable income arising from future net realized gain on investment transactions, if any, to the extent permitted by the Internal Revenue code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of cap- 13 CITI TECHNOLOGY INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) ital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains. For the period ended December 31, 2000 the Fund reclassified $14,239 from paid-in-capital to accumulated net invest- ment loss. E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F. OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.50% of the Fund's average daily net assets. SSBC has delegated the daily management of the Fund to State Street Bank and Trust Company which will act as a Subadviser through its State Street Global Advisors division (the "Subadviser"). The management fees paid amounted to $6,055, of which $5,449 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officers who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. acts as the Fund's distributor. Salomon Smith Barney Inc. ("SSB") is subsidiary of Salomon Smith Barney Holding Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDS is responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $5,054 to CFTC. 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than U.S. Government securities and short-term obligations, aggregated $5,079,738 and $120,300, respectively. 14 CITI TECHNOLOGY INDEX FUND NOTES TO FINANCIAL STATEMENTS 5. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional Shares of Beneficial Interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Shares sold 500,372 Shares issued to shareholders from reinvestment of distributions-- Shares repurchased (1) - -------------------------------------------------------------------------------- Net increase 500,371 ================================================================================ 6. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $ 4,928,994 ================================================================================ Gross unrealized appreciation $ 39,838 Gross unrealized depreciation (2,209,534) - -------------------------------------------------------------------------------- Net unrealized depreciation $(2,169,696) ================================================================================ 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the expenses of the Fund for the year ended December 31, 2000, which amounted to $76,752 to maintain a voluntary expense limitation of 0.75% of average daily net assets. This voluntary expense limitation may be discontinued at any time. 15 CITI TECHNOLOGY INDEX FUND INDEPENDENT AUDITORS' REPORT TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF THE CITI TECHNOLOGY INDEX FUND We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi Technology Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the custodian. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi Technology Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 16 TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren PRESIDENT Heath B. McLendon* SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi Technology Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi Technology Index Fund. (C) 2001 Citicorp [RECYCLE LOGO] Printed on recycled paper FD02209 2/01 ANNUAL REPORT DECEMBER 31, 2000 SMITH BARNEY NASDAQ-100 INDEX SHARES A CLASS OF SHARES OF CITI NASDAQ-100 INDEX FUND [Citifunds logo] ---------------- INDEX SERIES - -------------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE - -------------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 4 - -------------------------------------------------------------------------------- Fund Performance 5 - -------------------------------------------------------------------------------- Portfolio Highlights 6 - -------------------------------------------------------------------------------- Portfolio of Investments 7 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 10 - -------------------------------------------------------------------------------- Statement of Operations 10 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 11 - -------------------------------------------------------------------------------- Financial Highlights 12 - -------------------------------------------------------------------------------- Notes to Financial Statements 13 - -------------------------------------------------------------------------------- Independent Auditors' Report 16 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS Dear Shareholder: [PHOTO OMITTED] We are pleased to present the annual report for the Citi(SM) Nasdaq-100 Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000, can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Nasdaq-100 Index(R). The Nasdaq-100 Index includes the largest (based on market capitalization) and most active non-financial domestic and international stocks listed on The Nasdaq Stock Market. Thank you for your investment in the Smith Barney Nasdaq-100 Index Shares, a class of shares of the Citi Nasdaq-100 Index Fund. Sincerely, /s/ Heath B. McLendon Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from inception on September 11, 2000 through December 31, 2000, Smith Barney Nasdaq-100 Index Shares produced a total return of a negative 35.66%. In comparison, the Nasdaq-100 Index (the "Index") returned a negative 36.82% over the same period. While we are pleased to have outperformed the Index during this period, we want to point out that this is unusual. Over the long term, the Fund aims to achieve returns that replicate those of the Index. However, since the Fund has fees and expenses which the Index does not, the Fund's performance may slightly lag that of the Index. Investors in index funds such as this Fund should remember that the performance of the Fund is intended to correspond to the performance of the Index in good and bad markets over the short and long term. WITH THE U.S. ECONOMY GROWING ROBUSTLY DURING THE FIRST QUARTER OF 2000, MANY STOCK MARKET LEADERS AT THAT TIME COMPRISED THE NASDAQ-100 INDEX. These advances, however, were relatively short-lived. Partly because of the stock market's advance and the positive effect of rising wealth levels on consumer spending, the Federal Reserve Board (the "Fed") moved toward a more restrictive monetary policy. The Fed raised short-term interest rates three times during the first half of 2000 in an effort to constrain economic growth and forestall long-dormant inflationary pressures. THE FED'S POLICIES WERE APPARENTLY EFFECTIVE, BECAUSE THE SECOND HALF OF 2000 WAS CHARACTERIZED BY AN ECONOMIC SLOWDOWN IN THE U.S. With these slowing economic conditions, investor sentiment changed dramatically and many investors sold technology and other growth(i) stocks amid concerns that a slower U.S. economy would adversely affect corporate earnings. Investor sentiment shifted to long-neglected value(ii) stocks, which generally have low representation in the Nasdaq-100 Index. For its part, the Fed held interest rates steady during the second half of the year. These sudden shifts in economic growth, monetary policy and investor sentiment made 2000 a highly volatile year for the technology stocks that comprise a significant portion of the Nasdaq-100 Index. In September, the many stocks that comprise the Index endured a significant sell-off due to investors' flight from the technology sector. Technology issues declined by nearly 40% as investors feared a slowing economy and weak earnings growth. The Fund performed slightly better than the benchmark over this period as a result of cash held to facilitate shareholder activity. The performance of the Fund was volatile due to the extreme price fluctuations of stocks in the Index. PERHAPS THE MOST NOTABLE STOCK MARKET TREND OF 2000 ACROSS ALL SECTORS AND CAPITALIZATION RANGES WAS THE SHARP DECLINE IN STOCK PRICES AMONG TECHNOLOGY, TELECOMMUNICATIONS AND OTHER GROWTH-ORIENTED INDUSTRY GROUPS. After five years of producing attractive annualized gains, the technology-laden Nasdaq-100 Index fell more than 50% between its March 2000 high and its December 2000 low. - ----------------------------- (i) Growth stocks are shares of companies with the potential for faster-than-average growth within their industries. (ii) Value stocks are shares of companies that are considered to be inexpensive relative to their asset values or earning power. 2 Many analysts attribute the technology industry group's weakness to unrestrained investor enthusiasm for companies that they believed would prosper in the "New Economy."(iii) Throughout 1999, many investors had bid up the prices of such stocks to extremely high valuations. Among the beneficiaries of investors' enthusiasm for the technology sector were many Internet-related companies that had yet to earn a profit, but were the subject of popular speculation that they might one day grow into industry leaders. Investor enthusiasm for technology stocks continued into the first quarter of 2000, with the Nasdaq-100 Index reaching a record high on March 24, 2000. At the same time, value-oriented industry groups--such as small-cap healthcare, energy and consumer stocks that generally are not part of the Nasdaq-100 Index--declined in January, February and the first half of March 2000, due in large part to a general lack of investor interest. By the end of the first quarter, rising short-term interest rates had put pressure on corporate profitability. This led to a series of earnings disappointments by companies in a range of industries that continued throughout the year. This new environment of slower growth hit the technology sector particularly hard. Investors who had given little scrutiny to such "old school" fundamentals as price to earnings ratios suddenly became concerned that technology stock valuations had risen too far, too fast. Investors were quick to sell what they deemed to be overvalued technology stocks, which fell sharply in April 2000. DESPITE A SUMMER RALLY, TECHNOLOGY STOCKS AGAIN DECLINED FROM SEPTEMBER THROUGH DECEMBER 2000, TRIGGERING A "FLIGHT TO QUALITY" THAT BENEFITED MAINLY HIGH-QUALITY BONDS AND RELATIVELY DEFENSIVE, VALUE-ORIENTED STOCKS. Indeed, by the end of December 2000, some beaten-down technology stocks had reached valuations that made them attractive to some value-oriented investors. Technology stocks suffered immensely at the close of 2000, yet signs are beginning to emerge that the worst may be over for the tech-laden Nasdaq-100 Index. The telecommunications industry is approaching a crucial point. Until now, telecommunications companies were burdened with heavy fixed costs. But at present, costs appear to be moderating while demand has firmed and pricing has recovered. These developments should benefit the better telecommunications players' return on investment and may help to ease investors' concerns about a "glut" of supply. However, we think the halcyon days of technology may be over for the foreseeable future and greater competition and slower corporate spending on information technology will certainly act as a drag on the Nasdaq-100 Index in the first part of 2001. However, we expect technology to rebound in the latter part of 2001 as the Fed's rate cuts work their way through the economy. - ------------- (iii) The New Economy represents those companies in the technology, telecommunications and Internet sectors. 3 FUND FACTS FUND OBJECTIVE To provide investment results that, before fees and expenses, correspond to the performance of the Nasdaq-100 Index. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Paid semi-annually, if any SUBADVISER CAPITAL GAINS State Street Bank and Trust Distributed annually, if any Company through its State Street Global Advisors division NET ASSETS AS OF 12/31/00 INDEX Smith Barney Shares o Nasdaq-100 Index* $1.1 million * The Nasdaq-100 Index includes the largest (based on market capitalization) and most active non-financial domestic and international stocks listed on The Nasdaq Stock Market. 4 FUND PERFORMANCE TOTAL RETURNS SINCE 9/11/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* - ------------------------------------------------------------------------------- Smith Barney Shares (35.66%) Nasdaq-100 Index (36.82%) * Not Annualized A $10,000 investment in the Smith Barney Share class of the Fund made on inception date would have been $6,434 (as of 12/31/00). The graphs show how the performance of the Smith Barney Shares compares to the index, its benchmark, over the same period. GROWTH OF $10,000 INVESTED IN THE SMITH BARNEY SHARES VS NASDAQ 100- INDEX SEPTEMBER 11, 2000 (COMMENCEMENT OF OPERATIONS)- DECEMBER 31, 2000. [Data below represents line chart in the printed piece] SMITH BARNEY NASDAQ SHARES 100 INDEX ------------ ------------- 09/11/00 10000 10000 09/30/00 9635.04 9632.77 10/31/00 8873.83 8855.41 11/30/00 7132.43 6762.79 12/31/00 6433.79 6318.09 The graph assumes all dividends and distributions are reinvested at Net Asset Value. Note: All Fund performance numbers represent past performance and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. The Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq(R) are trade or service marks of The Nasdaq Stock Market, Inc. (which with its affiliates are the CORPORATIONS) and are licensed for use by SSB Citi Fund Management LLC. The Fund has not been passed on by the Corporations as to their legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. 5 PORTFOLIO HIGHLIGHTS - -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS Cisco Systems, Inc., Computer Communications 6.04% - -------------------------------------------------------------------------------- Qualcomm Inc., Telecommunications Equipment 4.57% - -------------------------------------------------------------------------------- Intel Corp., Semi-Conductors 4.36% - -------------------------------------------------------------------------------- Oracle Corp., Packaged Softwares 4.17% - -------------------------------------------------------------------------------- Sun Microsystems, Inc., Computer Processing Hardware 2.43% - -------------------------------------------------------------------------------- JDS Uniphase Corp., Electronic Equipment & Instruments 2.41% - -------------------------------------------------------------------------------- VERITAS Software Corp., Packaged Softwares 2.15% - -------------------------------------------------------------------------------- Siebel Systems, Inc., Packaged Softwares 2.09% - -------------------------------------------------------------------------------- Amgen Inc., Biotechnology 1.90% - -------------------------------------------------------------------------------- PORTFOLIO DIVERSIFICATION AS OF DECEMBER 31, 2000 [REPRESENTATION OF DATA FROM PIE CHART IN PRINTED PIECE.] Apparel/Footware 1% Biotechnology 9% Cable/Satellite TV 2% Commercial Services & Supplies 1% Computer Communications 8% Computer Peripherals 2% Computer Processing Hardware 5% Data Processing Services 2% Discount Stores 1% Electronic Components 2% Electronic Equipment & Instruments 4% Electronic Production Equipment 1% Internet Software Services 5% Information Technology Services 1% Major Telecommunications 1% Medical Specialities 1% Packaged Software 19% Restaurant 1% Semi-Conductors 14% *Short-Term 4% Specialty Retail 1% Specialty Telecommunciations 2% Telecommunications Equipment 10% Wireless Telecommunications Services 3% * Includes cash and net other assets. 6 CITI NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - ----------------------------------------------------------------------------- COMMON STOCK -- 96.1% - ----------------------------------------------------------------------------- ADVERTISING/MARKETING SERVICES -- 0.4% - ----------------------------------------------------------------------------- TMP Worldwide Inc. 201 $ 11,055 ---------- APPAREL/FOOTWEAR -- 0.7% - ----------------------------------------------------------------------------- Cintas Corp. 400 21,275 ---------- BIOTECHNOLOGY -- 8.8% - ----------------------------------------------------------------------------- Abgenix, Inc.* 150 8,859 Amgen Inc.* 913 58,375 Biogen, Inc.* 351 21,082 Chiron Corp.* 500 22,250 Genzyme Corp.* 200 17,988 Human Genome Sciences Inc. 235 16,288 IDEC Pharmaceuticals Corp. 101 19,145 Immunex Corp.* 1,405 57,078 MedImmune, Inc.* 436 20,792 Millennium Pharmaceuticals, Inc.* 450 27,844 ---------- 269,701 ---------- BROADCASTING -- 0.4% - ----------------------------------------------------------------------------- USA Networks, Inc.* 700 13,606 ---------- CABLE/SATELLITE TV -- 1.9% - ----------------------------------------------------------------------------- Adelphia Communications Corp.* 271 13,990 Comcast Corp. 826 34,486 EchoStar Communications Corp.* 460 10,465 ---------- 58,941 ---------- COMMERCIAL SERVICES & SUPPLIES -- 0.7% - ----------------------------------------------------------------------------- Concord EFS, Inc.* 471 20,695 ---------- COMPUTER COMMUNICATIONS -- 7.8% - ----------------------------------------------------------------------------- Cisco Systems, Inc.* 4,867 186,163 Juniper Networks, Inc.* 396 49,921 3Com Corp.* 400 3,400 ---------- 239,484 ---------- COMPUTERS PERIPHERALS -- 1.8% - ----------------------------------------------------------------------------- Network Appliance, Inc.* 639 41,016 Qlogic Corp.* 180 13,860 ---------- 54,876 ---------- COMPUTER PROCESSING HARDWARE -- 4.8% - ----------------------------------------------------------------------------- Apple Computer, Inc. 876 13,031 Dell Computer Corp.* 1,860 32,434 Palm, Inc.* 1,015 28,737 Sun Microsystems, Inc.* 2,687 74,900 ---------- 149,102 CONSUMER SERVICES -- 0.4% - ----------------------------------------------------------------------------- eBay Inc.* 400 13,200 ---------- CONTAINERS & PACKAGING -- 0.2% - ----------------------------------------------------------------------------- Smurfit-Stone Container Corp. 500 7,469 ---------- DATA PROCESSING SERVICES -- 1.5% - ----------------------------------------------------------------------------- Fiserv, Inc.* 300 14,231 Paychex, Inc. 670 32,579 ---------- 46,810 ---------- DISCOUNT STORES -- 0.6% - ----------------------------------------------------------------------------- Costco Wholesale Corp. 456 18,211 ---------- ELECTRICAL PRODUCTS -- 0.2% - ----------------------------------------------------------------------------- Molex Inc. 200 7,100 ---------- ELECTRONIC COMPONENTS -- 1.6% - ----------------------------------------------------------------------------- Flextronics International Ltd.* 882 25,137 Sanmina Corp.* 300 22,988 ---------- 48,125 ---------- ELECTRONIC EQUIPMENT & INSTRUMENTS -- 3.6% - ----------------------------------------------------------------------------- Gemstar-TV Guide International, Inc.* 830 38,284 JDS Uniphase Corp.* 1,778 74,120 ---------- 112,404 ---------- ELECTRONIC PRODUCTION EQUIPMENT -- 1.5% - ----------------------------------------------------------------------------- Applied Materials, Inc. 810 30,932 KLA-Tencor Corp.* 435 14,654 ---------- 45,586 ---------- INFORMATION TECHNOLOGY SERVICES -- 1.2% - ----------------------------------------------------------------------------- Citrix Systems, Inc.* 425 9,563 Peoplesoft, Inc.* 765 28,448 ---------- 38,011 ---------- INTERNET RETAIL -- 0.2% - ----------------------------------------------------------------------------- Amazon Com Inc. 448 6,972 ---------- 7 CITI NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ----------------------------------------------------------------------------- INTERNET SOFTWARE/SERVICES -- 5.0% - ----------------------------------------------------------------------------- Ariba, Inc.* 447 $ 23,970 At Home Corp.* 600 3,319 BEA Systems, Inc.* 668 44,964 Broadvision, Inc* 600 7,088 CMGI Inc.* 700 3,916 CNET Networks, Inc* 300 4,795 Exodus Communications Inc. 887 17,740 Inktomi Corp. 201 3,593 Real Networks, Inc.* 300 2,606 VeriSign, Inc.* 360 26,708 Yahoo! Inc.* 519 15,659 ---------- 154,358 ---------- MAJOR TELECOMMUNICATIONS -- 0.9% - ----------------------------------------------------------------------------- WorldCom, Inc.* 2,001 28,139 ---------- MEDICAL SPECIALTIES -- 0.6% - ----------------------------------------------------------------------------- Biomet, Inc 464 18,415 ---------- PACKAGED SOFTWARE -- 19.3% - ----------------------------------------------------------------------------- Adobe Systems Inc. 455 26,475 BMC Software, Inc.* 400 5,600 Check Point Software Technologies Ltd.* 295 39,401 Compuware Corp* 500 3,125 Intuit Inc.* 500 19,719 i2 Technologies, Inc. 841 45,729 Mercury Interactive Corp. 166 14,982 Microsoft Corp.* 3,480 150,945 Novell, Inc.* 800 4,175 Oracle Corp.* 4,425 128,602 Parametric Technology Corp.* 715 9,608 Rational Software Corp. 381 14,835 Siebel Systems, Inc.* 954 64,514 VERITAS Software Corp. 758 66,324 ---------- 594,034 ---------- RECREATIONAL PRODUCTS -- 0.4% - ----------------------------------------------------------------------------- Electronic Arts Inc.* 257 10,955 ---------- RESTAURANTS -- 0.7% - ----------------------------------------------------------------------------- Starbucks Corp.* 500 22,125 ---------- SEMI-CONDUCTORS -- 14.4% - ----------------------------------------------------------------------------- Altera Corp.* 1,077 28,339 Applied Micro Circuits Corp.* 663 49,756 Atmel Corp. 700 8,138 Broadcom Corp. 269 22,595 Conexant Systems Inc. 500 7,688 Intel Corp. 4,468 134,319 Linear Technology Corp. 818 37,832 Maxim Integrated Products, Inc.* 769 36,768 Microchip Technology Inc.* 192 4,212 PMC Sierra, Inc.* 341 26,810 SDL, Inc.* 175 25,933 Vitesse Semiconductor Corp.* 376 20,798 Xilinx, Inc.* 845 38,975 ---------- 442,163 ---------- SPECIALTY RETAIL -- 0.8% - ----------------------------------------------------------------------------- Bed Bath & Beyond Inc.* 735 16,445 Staples, Inc.* 600 7,088 ---------- 23,533 ---------- SPECIALTY TELECOMMUNICATIONS -- 2.1% - ----------------------------------------------------------------------------- Level 3 Communications, Inc.* 500 16,406 McLeodUSA Inc.* 921 13,009 Metromedia Fiber Network, Inc.* 1,021 10,338 PanAmSat Corp.* 400 13,875 XO Communications, Inc.* 600 10,688 ---------- 64,316 ---------- TELECOMMUNICATIONS EQUIPMENT -- 10.4% - ----------------------------------------------------------------------------- ADC Telecommunications Inc.* 1,855 33,622 CIENA Corp.* 645 52,406 Comverse Technology, Inc.* 330 35,846 Ericsson AB 2,060 23,046 Qualcomm Inc.* 1,712 140,705 RF Micro Devices, Inc.* 357 9,795 Tellabs, Inc.* 452 25,538 ---------- 320,958 ---------- TRUCKS/CONSTRUCTION/ FARM MACHINERY -- 0.3% - ----------------------------------------------------------------------------- Paccar Inc. 166 8,176 ---------- WIRELESS TELECOMMUNCATION SERVICES -- 2.9% - ----------------------------------------------------------------------------- Nextel Communications Inc. 1,773 43,882 Voicestream Wireless Corp.* 463 46,589 - ----------------------------------------------------------------------------- 90,471 ---------- 8 CITI NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER VALUE - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Identified Cost-- $4,778,984) $2,960,266 ---------- SHORT-TERM OBLIGATIONS -- 0.0% - ----------------------------------------------------------------------------- Federated Prime Cash Obligation Fund 4.58% due 1/02/01 (Identified Cost-- $114) 114 ---------- TOTAL INVESTMENTS (Identified Cost-- $4,779,098) 96.1% 2,960,380 OTHER ASSETS, LESS LIABILITIES 3.9 119,936 ----- ---------- NET ASSETS 100.0% $3,080,316 ===== ========== *Non-income producing security See notes to financial statements 9 CITI NASDAQ-100 INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $4,779,098) $2,960,380 Cash 97,598 Dividend receivable 191 Receivable for fund share sold 21,800 Receivable from the Manager 85,364 - ------------------------------------------------------------------------------ Total assets 3,165,333 - ------------------------------------------------------------------------------ LIABILITIES: Payable for shares of beneficial interest repurchased 20,595 Accrued expenses and other liabilities 64,422 - ------------------------------------------------------------------------------ Total liabilities 85,017 - ------------------------------------------------------------------------------ NET ASSETS $3,080,316 ============================================================================== NET ASSETS CONSIST OF: Paid-in capital $5,133,556 Unrealized depreciation (1,818,718) Accumulated net realized loss on investments (234,522) - ------------------------------------------------------------------------------ Total $3,080,316 ============================================================================== COMPUTATION OF SMITH BARNEY SHARES: Net Asset Value, offering price and redemption price per share ($1,144,340/185,325 shares outstanding) $6.17 ============================================================================== COMPUTATION OF CITI SHARES: Net Asset Value, offering price and redemption price per share ($1,935,976/321,882 shares outstanding) $6.01 ============================================================================== STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ============================================================================== INVESTMENT INCOME (Note 1B): Dividend income $ 454 Interest income 3,912 - ------------------------------------------------------------------------------ $ 4,366 EXPENSES: Management fees (Note 2) 4,236 Distribution fees Smith Barney Shares (Note 3) 394 Custody and fund accounting fees 25,309 Legal fees 22,080 Audit fees 16,000 Shareholder reports 12,740 Licensing fees 10,000 Transfer agent fees 7,573 Registration fees 1,364 Trustees fees 1,300 Other 6,255 - ------------------------------------------------------------------------------ Total expenses 107,251 Less: expense assumed by the Manager (Note 7) (85,364) Less: aggregate amount waived by the Manager (Note 2) (3,671) - ------------------------------------------------------------------------------ Net expenses 18,216 - ------------------------------------------------------------------------------ Net investment loss (13,850) - ------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss from investment transactions (234,522) Unrealized depreciation (1,818,718) - ----------------------------------------------------------------------------- Net realized and unrealized loss on investments (2,053,240) - -------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(2,067,090) ================================================================================ See notes to financial statements 10 CITI NASDAQ-100 INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 - ------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment loss $ (13,850) Net realized loss (234,522) Unrealized depreciation (1,818,718) - ------------------------------------------------------------------------ Net decrease in net assets resulting from operations (2,067,090) - ------------------------------------------------------------------------ TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST: (Note 6): SMITH BARNEY SHARES* Net proceeds from sale of shares 1,534,467 Net asset value of shares issued to shareholders from reinvestment of distributions -- Cost of shares repurchased (71,526) - ----------------------------------------------------------------------- Total Smith Barney Shares 1,462,941 - ----------------------------------------------------------------------- CITI SHARES** Net proceeds from sale of shares 5,011,370 Net asset value of shares issued to shareholders from reinvestment of distributions -- Cost of shares repurchased (1,326,905) - ----------------------------------------------------------------------- Total Citi Shares 3,684,465 - ----------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 5,147,406 - ----------------------------------------------------------------------- NET INCREASE IN NET ASSETS 3,080,316 - ----------------------------------------------------------------------- NET ASSETS: Beginning of period -- - ----------------------------------------------------------------------- End of period $ 3,080,316 ======================================================================= * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. See notes to financial statements 11 CITI NASDAQ-100 INDEX FUND FINANCIAL HIGHLIGHTS SMITH BARNEY SHARES ------------------------- FOR THE PERIOD SEPTEMBER 11, 2000 COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $ 9.59 - -------------------------------------------------------------------------------- Income From Operations: Net investment loss (0.020) Net realized and unrealized loss (3.400) - -------------------------------------------------------------------------------- Total from operations (3.420) - -------------------------------------------------------------------------------- Less Distributions From: Net investment income -- Net realized gain -- - -------------------------------------------------------------------------------- Total distributions -- - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 6.17 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $1,144 Ratio of expenses to average net assets 1.98%* Ratio of net investment loss to average net assets (1.90)%* Portfolio turnover 17% Total return (35.66)%** Note: If Agents of the Fund had not voluntarily agreed to waive all of their fees for the period, and the Manager had not voluntarily assumed expenses, the net investment income per share and the ratios would have been as follows: Net investment loss per share $(0.091) RATIOS: Expenses to average net assets 8.63%* Net investment loss to average net assets (8.56)%* ================================================================================ * Annualized ** Not Annualized See notes to financial statements 12 CITI NASDAQ-100 INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi Nasdaq-100 Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund offers two classes of shares: the Smith Barney Shares, which commenced operations on September 11, 2000, and the Citi Shares, which commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities exchanges or reported through the NASDAQ system are valued at last sale prices. Unlisted securities or listed securities for which last sale prices are not available are valued at last quoted bid prices. Debt securities (other than short-term obligations maturing in sixty days or less), are valued on the basis of valuations furnished by pricing services approved by the Board of Trustees which take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations, maturing in sixty days or less, are valued at amortized cost, which constitutes fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2000, the Fund, for federal income tax purposes, had a capital loss carryover of $6,597, which will expire on December 31, 2008. Such capital loss carryover will reduce the Fund's taxable income arising from future net realized gain on investment transactions, if any, to the extent permitted by the Internal Revenue code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. 13 CITI NASDAQ-100 INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. For the year ended December 31, 2000, the Fund reclassified $13,850 from paid-in-capital to accumulated net investment loss. E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F. OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.30% of the Fund's average daily net assets. SSBChas delegated the daily management of the Fund to State Street Bank and Trust Company, which will act as a Subadviser through its State Street Global Advisors division. The management fees paid to SSBC amounted to $4,236, of which $3,671 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. acts as the Fund distributor. Salomon Smith Barney Inc. ("SSB"), is a subsidiary of Salomon Smith Barney Holding Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDSis responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $12,781 to CFTC. Pursuant to a Distribution Plan, the Fund pays a service fee with respect to Smith Barney Shares calculated at an annual rate of 0.20% of the average daily net assets. The Service Fee amounted to $394 for the period ended December 31, 2000. 14 CITI NASDAQ-100 INDEX FUND NOTES TO FINANCIAL STATEMENTS 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $5,658,173 and $644,668, respectively, for the year ended December 31, 2000. 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $ 4,807,829 ================================================================================ Gross unrealized appreciation $ 87,553 Gross unrealized depreciation (1,935,002) - -------------------------------------------------------------------------------- Net unrealized depreciation $(1,847,449) ================================================================================ 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ SMITH BARNEY SHARES* Shares sold 197,243 Shares issued to shareholders from reinvestment of distributions -- Shares repurchased (11,918) - -------------------------------------------------------------------------------- Net increase 185,325 ================================================================================ CITI SHARES** Shares sold 501,310 Shares issued to shareholders from reinvestment of distributions -- Shares repurchased (179,428) - -------------------------------------------------------------------------------- Net increase 321,882 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the unwaived expenses of the Fund for the year ended December 31, 2000, which amounted to $85,364. 15 CITI NASDAQ-100 INDEX FUND INDEPENDENT AUDITORS' REPORT To the Shareholders and Board of Trustees of the Citi Nasdaq-100 Index Fund We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi Nasdaq-100 Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the Custodian. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi Nasdaq-100 Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 16 TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon, PRESIDENT* Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* *AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi Nasdaq-100 Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi Nasdaq-100 Index Fund. (C)2001 Citicorp [Recycle Logo] Printed on recycled paper FD02212 2/01 ANNUAL REPORT DECEMBER 31, 2000 SMITH BARNEY SMALL CAP INDEX SHARES A CLASS OF SHARES OF CITI SMALL CAP INDEX FUND [Citifunds logo] - -------------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE - -------------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 5 - -------------------------------------------------------------------------------- Fund Performance 6 - -------------------------------------------------------------------------------- Portfolio Highlights 7 - -------------------------------------------------------------------------------- Portfolio of Investments 8 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 24 - -------------------------------------------------------------------------------- Statement of Operations 25 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 26 - -------------------------------------------------------------------------------- Financial Highlights 27 - -------------------------------------------------------------------------------- Notes to Financial Statements 28 - -------------------------------------------------------------------------------- Independent Auditors' Report 31 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS Dear Shareholder: [Photo omitted] We are pleased to present the annual report for the Citi(SM) Small Cap Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Russell 2000(R) Index. The Russell 2000 Index is comprised of the 2,000 smallest companies out of the 3,000 largest U.S. public companies based on total market capitalization. Thank you for your investment in the Smith Barney Small Cap Index Shares, a class of shares of Citi Small Cap Index Fund. Sincerely, /s/ Heath B. McLendon Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from inception on September 11, 2000 through December 31, 2000, Smith Barney Small Cap Index Shares produced a total return of a negative 8.56%. In comparison, the Russell 2000 Index (the "Index") returned a negative 9.86% over the same period. While the Fund outperformed the Index during this period, we want to point out that this is unusual. Over the long term, the Fund aims to achieve returns that replicate those of the Index. However, since the Fund has fees and expenses which the Index does not, the Fund's performance may slightly lag that of the Index. Investors in index funds such as this should remember that the performance of the Fund will reflect the performance of this Index in good and bad markets, over the short and long term. TO A LARGE DEGREE, THE PERFORMANCE OF THE RUSSELL 2000 INDEX OVER THE PAST YEAR REFLECTED BROADER TRENDS IN THE U.S. ECONOMY. When the U.S. economy was growing robustly during the first half of 2000, the growth areas of the small-capitalization stock market also generally grew, and the market leaders were the stocks that many investors expected would benefit most from a strong economy. The Federal Reserve Board (the "Fed") moved toward a more restrictive monetary policy during the first six months of 2000, raising short-term interest rates three times during the period in an effort to constrain economic growth and forestall long-dormant inflationary pressures. THE FED'S MONETARY POLICIES APPARENTLY WERE EFFECTIVE, BECAUSE THE SECOND HALF OF 2000 SAW AN ECONOMIC SLOWDOWN IN THE U.S. With these slowing economic conditions, many investors changed their emphasis and sold growth stocks(1) amid concerns that a slower U.S. economy might adversely affect corporate earnings. Investor sentiment shifted to long-neglected value(2) stocks that many believed were selling at more reasonable prices relative to their earnings and other measures of value. For its part, the Fed held interest rates steady throughout the second half of the year. THESE SHIFTS IN ECONOMIC GROWTH, MONETARY POLICY AND INVESTOR SENTIMENT MADE 2000 A HIGHLY VOLATILE AND CHALLENGING YEAR FOR THE U.S. STOCK MARKET, INCLUDING SMALL-CAPITALIZATION STOCKS. Within the small-capitalization stock market, performance was widely divergent between growth-oriented stocks, such as technology companies and value-oriented stocks, such as energy and healthcare providers. Some suspect that this is mainly because, during the first quarter of 2000, many investors turned away from the most highly valued companies and toward more reasonably valued companies. PERHAPS ONE OF THE MOST NOTABLE STOCK MARKET TRENDS OF 2000 ACROSS ALL CAPITALIZATION RANGES WAS THE SHARP DECLINE IN STOCK PRICES AMONG TECHNOLOGY, TELECOMMUNICATIONS AND OTHER GROWTH-ORIENTED SECTORS. After five years of producing attractive annualized gains of more than 20%, the technology-laden Nasdaq Composite Index (which shares some holdings with the Russell 2000 Index, but also includes stocks that are too large for inclusion in the Index) fell nearly 50% (1) Growth stocks are shares of companies with the potential for faster-than-average growth within their industries. (2) Value stocks are the shares of companies that are considered to be inexpensive relative to their asset values or earning power. 2 between its March 2000 high and its December 2000 low. Many analysts attribute the technology group's weakness to unrestrained investor enthusiasm for companies that they believed would prosper in the "New Economy."(3) During 1999, many investors bid up the prices of such stocks to extremely high valuations. Among the beneficiaries of this early enthusiasm for technology were many small Internet-related companies that had yet to earn profits, but were the subject of popular speculation that they might one day grow into industry leaders. During this period of technology dominance, small-capitalization stocks had higher returns on average than their large-cap counterparts. In addition, within the small-capitalization market, the growth style of investing generally produced higher returns versus the value style. INVESTOR ENTHUSIASM FOR TECHNOLOGY STOCKS CONTINUED INTO THE FIRST QUARTER OF 2000, WITH MANY GROWTH AND TECHNOLOGY SECTOR INDEXES REACHING NEW HIGHS. At the same time, other areas of the small-capitalization stock market languished. For example, value-oriented industry groups, such as small cap healthcare, energy and consumer stocks, generally declined in January, February and the first half of March 2000 because of a general lack of investor interest. By the end of the first quarter, rising short-term interest rates had put pressure on corporate profitability. This led to a series of earnings disappointments by companies in a range of industries that continued throughout the year. This new environment of slower growth hit the technology sector particularly hard. Investors who had given little scrutiny to such "old school" fundamentals as price to earnings ratios suddenly became concerned that technology stock valuations had risen too far, too fast. Yet, from mid-March through the end of 2000, smaller-capitalization stocks overall continued to produce generally higher returns than larger-capitalization stocks. When it later appeared that the economy was slowing and inflation was likely to remain subdued, some investors shifted assets to stocks that tend to do well in a slower growth economy, including previously neglected healthcare, financial services, utility and consumer staples companies. In addition, many investors favored energy stocks because of the positive effects on earnings of high crude oil prices. DESPITE A SUMMER RALLY, TECHNOLOGY STOCKS AGAIN DECLINED IN NOVEMBER AND DECEMBER 2000, TRIGGERING A "FLIGHT TO QUALITY" THAT BENEFITED MAINLY HIGH-QUALITY BONDS AND RELATIVELY DEFENSIVE, VALUE-ORIENTED STOCKS. Indeed, by the end of December, some technology stocks had reached valuations that made them attractive to value-oriented investors. Other market laggards at the time included aluminum, iron and steel manufacturers, long-distance telecommunications firms and retail businesses. On the other hand, the traditional value-oriented sectors continued to attract more capital, especially benefiting the healthcare industry group, which includes pharmaceutical and biotechnology companies, hospitals, generic drug companies (3) The New Economy represents those companies in the technology, telecommunications and Internet sectors. 3 and managed care firms. Financial shares ended the year on a particularly strong note when the Fed hinted that it might cut rates in 2001. We are moderately positive on small-capitalization stocks in the coming year. After a challenging 2000, the outlook for 2001 seems better. For one thing, we think that the market has already priced in many of the foreseeable downside risks--a weak economy, a weaker capital investment environment and slower earnings growth. Moreover, the recent rally in high-yield bonds may be a positive development for small-capitalization stocks. Some small-cap companies may be potential takeover or acquisition targets for larger-sized companies, and improving high-yield market conditions many act as a catalyst for more leveraged buy-outs of small-cap companies. In our view, small-capitalization stocks represent outstanding long-term investment opportunities. The caveat: investors in this area of the market need to be prepared for higher levels of risk and price volatility over the short term. 4 FUND FACTS FUND OBJECTIVE To provide investment results that, before fees and expenses, correspond to the performance of the Russell 2000 Index. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Manager LLC Paid annually, if any SUBADVISER CAPITAL GAINS State Street Bank & Trust Distributed annually, if any Company through its State Street Global Advisors division NET ASSETS AS OF 12/31/00 BENCHMARKS Smith Barney shares Russell 2000 Index $294,110 5 CITI SMALL CAP INDEX FUND FUND PERFORMANCE TOTAL RETURNS SINCE 9/11/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* - -------------------------------------------------------------------------------- Smith Barney Shares (7.63)% Russell 2000 Index (8.96)% * Not Annualized GROWTH OF $10,000 INVESTED IN THE SMITH BARNEY SHARES VS RUSSELL 2000 INDEX SEPTEMBER 11, 2000 (COMMENCEMENT OF OPERATIONS) - DECEMBER 31, 2000. [Data below represents line chart in the printed piece] SMITH BARNEY RUSSELL SHARES 2000 INDEX ------------ ----------- 09/05/00 10000 10000 09/30/00 9740 9683.27 10/31/00 9350 9251.4 11/30/00 8420 8301.28 12/31/00 9237 9014.36 A $10,000 investment in the Smith Barney Share class of the Fund made on inception date would have been $9,237 (as of 12/31/00). The graph shows how the performance of the Smith Barney Shares compares to the Index, its benchmark, over the same period. The graph assumes all dividends and distributions are reinvested at Net Asset Value. Note: All Fund performance numbers represent past performance and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. The Russell 2000(R) Index is a trademark/service mark of the Frank Russell Company. Russell(TM) is a trademark of the Frank Russell Company. The Fund is not sponsored, endorsed, sold or promoted by the sponsor of the Index, and the sponsor of the Index is not in any way affiliated with the Fund. The Sponsor of the Index makes no representation or warranty, implied or express, regarding the advisability of investing in the Fund. 6 PORTFOLIO HIGHLIGHTS TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS Laboratory Corp., Service to the Health Industry 0.4% - -------------------------------------------------------------------------------- Manugistics Group Inc., Package Software 0.3% - -------------------------------------------------------------------------------- Caremark Rx Inc., Managed Health Care 0.3% - -------------------------------------------------------------------------------- Invitrogen Corp., Biotechnology 0.3% - -------------------------------------------------------------------------------- Investors Financial Services Corp., Investment Bank/Brokers 0.3% - -------------------------------------------------------------------------------- Health Net Inc., Managed Health Care 0.3% - -------------------------------------------------------------------------------- Amerisource Health Corp., Medical Distributors 0.3% - -------------------------------------------------------------------------------- Lincare Holdings Inc., Medical/Nursing Services 0.3% - -------------------------------------------------------------------------------- Humana Inc., Managed Health Care 0.3% - -------------------------------------------------------------------------------- Interwoven Inc., Internet Software/Services 0.3% - -------------------------------------------------------------------------------- 7 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCK -- 99.5% - ------------------------------------------------------------------------------ ADVERTISING/MARKETING SERVICES -- 0.6% - ------------------------------------------------------------------------------ 24 / 7 Media, Inc.* 500 $ 266 ACNielson Corp 1,000 36,250 Advo, Inc. 300 13,313 Direct Focus, Inc.* 201 6,746 Grey Global Group Inc 10 6,500 HA-LO Industries, Inc.* 1,900 4,275 LifeMinders, Inc.* 300 1,050 R. H. Donnelley Corp* 600 14,588 Wink Communications, Inc.* 400 2,400 --------- 85,388 --------- AEROSPACE & DEFENSE -- 1.1% - ------------------------------------------------------------------------------ Aeroflex Inc 1,000 28,827 Alliant Techsystems Inc. 150 10,012 Esterline Technologies Corp* 500 13,125 FuelCell Energy, Inc.* 200 13,712 Kaman Corp 700 11,812 Microvision, Inc.* 200 3,500 Newport News Shipbuilding Inc 519 26,987 Primex Technologies, Inc. 144 4,590 REMEC, Inc.* 700 6,738 SBS Technologies, Inc.* 190 5,688 Teledyne Technologies Inc 600 14,175 Trimble Navigation Ltd* 400 9,600 Triumph Group, Inc.* 179 7,339 --------- 156,105 --------- AGRICULTRUAL COMMODITIES/MILLING -- 0.4% - ------------------------------------------------------------------------------ Agribrands International, Inc. 200 10,700 Cadiz Inc* 1,000 8,938 Corn Products International, Inc. 700 20,343 Delta and Pine Land Co 700 14,655 --------- 54,636 --------- AIR FREIGHT & COURIERS -- 0.3% - ------------------------------------------------------------------------------ Airborne, Inc. 900 8,775 Atlas Air, Inc. 300 9,788 Eagle USA Air freight, Inc.* 600 14,363 --------- 32,926 --------- AIRLINES -- 0.5% - ------------------------------------------------------------------------------ AirTran Holdings, Inc. 906 6,569 Alaska Air Group, Inc. 400 11,900 America West Holdings Corp 700 8,969 Atlantic Coast Airlines Holdings, Inc. 261 10,668 Frontier Airlines, Inc.* 277 8,570 SkyWest, Inc. 800 23,000 --------- 69,676 --------- ALTERNATIVE POWER GENERATION -- 0.1% - ------------------------------------------------------------------------------ Ogden Corp* 800 12,300 --------- APPAREL/FOOTWEAR -- 0.8% - ------------------------------------------------------------------------------ Kellwood Co 372 7,859 Nautica Enterprises, Inc.* 440 6,703 Polo Ralph Lauren Corp* 1,000 22,313 Quiksilver, Inc.* 348 6,743 Reebok International Ltd* 800 21,872 Russell Corp 600 9,263 The Timberland Co* 300 20,063 Wolverine World Wide, Inc. 1,000 15,250 --------- 110,066 --------- APPAREL/FOOTWEAR RETAIL -- 1.8% - ------------------------------------------------------------------------------ Abercrombie & Fitch Co. 1,500 30,000 American Eagle Outfitters, Inc. 400 16,900 Ann Taylor Stores Corp 500 12,469 Charming Shoppes, Inc.* 2,200 13,200 Chico's FAS, Inc.* 300 6,263 Claire's Stores, Inc. 700 12,556 Factory 2-U Stores Inc* 200 6,625 Footstar, Inc.* 400 19,800 Genesco Inc* 330 8,064 Pacific Sunwear of California, Inc.* 600 15,375 Payless ShoeSource, Inc.* 400 28,300 The Children's Place Retail Stores, Inc. 400 8,100 The Dress Barn, Inc.* 233 6,757 The Men's Wearhouse, Inc.* 600 16,350 Too Inc* 600 7,500 Venator Group, Inc. 2,200 34,100 --------- 242,359 --------- AUTO PARTS: OEM -- 0.8% - -------------------------------------------------------------------------------- ArvinMeritor, Inc. 1,200 13,650 BorgWarner, Inc. 400 16,000 Delco Remy International, Inc.* 1,200 10,350 Federal-Mogul Corp 1,400 3,238 Lear Corp* 1,100 27,294 Modine Manufacturing Co 500 10,375 Superior Industries International, Inc. 400 12,625 Tower Automotive, Inc.* 900 8,100 --------- 101,632 --------- 8 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ AUTOMOTIVE AFTER MARKET -- 0.5% - ------------------------------------------------------------------------------ Bandag, Inc 176 $ 7,139 Barnes Group Inc. 500 9,938 Carlisle Companies Inc 500 21,469 CLARCOR Inc 500 10,344 Cooper Tire & Rubber Co 1,300 13,813 --------- 62,703 --------- BEVERAGES: ALCOHOLIC -- 0.2% - ------------------------------------------------------------------------------ Constellation Brands, Inc. 200 11,750 The Robert Mondavi Corp* 125 6,766 --------- 18,516 --------- BIOTECHNOLOGY -- 4.1% - ------------------------------------------------------------------------------ Advanced Tissue Sciences, Inc. 1,300 3,941 Alexion Pharmaceuticals, Inc. 200 12,988 Amylin Pharmaceuticals, Inc. 1,000 7,875 Aphton Corp 400 7,200 Aurora Bioscience Corp 300 9,431 AVANT Immunotherapeutics, Inc. 1,000 6,875 Avigen, Inc. 300 6,225 Bio-Technology General Corp. 1,000 7,063 BioCryst Pharmaceuticals, Inc. 300 1,986 Biopure Corp 212 4,240 CV Therapeutics, Inc.* 300 21,225 Cell Genesys, Inc.* 600 13,687 Corixa Corp* 701 19,540 Cubist Pharmaceuticals, Inc.* 400 11,600 CuraGen Corp* 400 10,925 CYTOGEN Corp* 1,300 3,047 DUSA Pharmaceuticals, Inc.* 300 5,044 Emisphere Technologies, Inc.* 300 7,500 Enzon, Inc.* 600 37,238 Enzo Biochem, Inc. 400 9,950 Gene Logic Inc* 400 7,350 Genome Therapeutics Corp* 400 2,788 Genzyme Transgenics Corp* 300 4,294 Geron Corp* 400 6,175 Guilford Pharmaceuticals Inc* 500 9,000 IDEXX Laboratories, Inc.* 600 13,200 ILEX Oncology, Inc.* 500 13,156 ImmunoGen, Inc.* 700 15,004 Immunomedics, Inc.* 500 10,750 Invitrogen Corp* 500 43,184 Isis Pharmaceuticals, Inc.* 900 9,562 Ligand Pharmaceuticals Inc* 1,000 14,000 MGI Pharma, Inc.* 300 4,950 Maxim Pharmaceuticals, Inc.* 400 2,550 Myriad Genetics, Inc.* 300 24,825 NPS Pharmaceuticals, Inc.* 300 14,400 Neurocrine Biosciences, Inc.* 400 13,250 Neurogen Corp* 300 10,538 OSI Pharmaceuticals, Inc.* 400 32,050 Organogenesis Inc* 700 6,293 Pharmacyclics, Inc. 300 10,275 Regeneron Pharmaceuticals, Inc.* 300 10,580 SICOR Inc* 900 12,993 SuperGen, Inc.* 500 6,937 Texas Biotechnology Corp* 800 6,872 Titan Pharmaceuticals, Inc.* 400 14,147 Transkaryotic Therapies, Inc.* 400 14,575 Trimeris, Inc.* 300 16,462 Vical Inc* 400 7,400 --------- 565,140 --------- BROADCASTING -- 0.6% - ------------------------------------------------------------------------------ Citadel Communications Corp* 700 8,400 Paxson Communications Corp* 900 10,744 Sinclair Broadcast Group, Inc.* 1,100 11,034 Sirius Satellite Radio Inc* 600 17,963 The Liberty Corp 300 12,206 United Television, Inc. 100 11,600 Xm Satellite Radio Holdings Inc* 300 4,819 Young Broadcasting Inc* 300 10,045 --------- 86,811 --------- BUILDING PRODUCTS -- 0.4% - ------------------------------------------------------------------------------ Armstrong Holdings, Inc. 900 1,856 Dal-Tile International Inc* 1,200 17,025 Interface, Inc. 701 6,090 Lennox International Inc 700 5,425 Simpson Manufacturing Co., Inc.* 128 6,528 York International Corp 700 21,481 --------- 58,405 --------- CABLE/SATELLITE TV -- 0.2% - ------------------------------------------------------------------------------ ACTV, Inc. 700 2,975 Insight Communications Company, Inc.* 800 18,800 Nucentrix Broadband Networks, Inc.* 400 4,500 --------- 26,275 --------- 9 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ CASINOS/GAMING -- 0.4% - ------------------------------------------------------------------------------ Aztar Corp 700 $ 9,056 Churchill Downs Inc 178 5,307 GTECH Holdings Corp* 600 12,338 Isle Capri Casinos, Inc.* 600 6,375 Pinnacle Entertainment, Inc. 500 6,750 Station Casinos, Inc.* 700 10,456 --------- 50,282 --------- CATALOG/SPECIALTY DISTRIBUTION -- 0.1% - ------------------------------------------------------------------------------ Insight Enterprises, Inc.* 600 10,763 ValueVision International, Inc.* 600 7,575 --------- 18,338 --------- CHEMICALS: AGRICULTURAL -- 0.1% - ------------------------------------------------------------------------------ The Scotts Co* 300 11,081 --------- CHEMICALS: MAJOR DIVERSIFIED -- 0.2% - ------------------------------------------------------------------------------ Solutia Inc 1,700 20,400 --------- CHEMICALS: SPECIALTY -- 1.9% - ------------------------------------------------------------------------------ A. Schulman, Inc. 900 10,350 Airgas, Inc. 794 5,409 Albemarle Corp 400 9,900 Calgon Carbon Corp 1,100 6,256 Cambrex Corp 400 18,100 ChemFirst Inc 400 8,825 Crompton Corp 2,000 21,000 Cytec Industries Inc* 600 23,963 Georgia Gulf Corp 493 8,412 Great Lakes Chemical Corp 700 26,031 Millennium Chemicals Inc 1,100 19,938 NL Industries, Inc. 327 7,930 Olin Corp 700 15,488 OM Group, Inc. 400 21,850 PolyOne Corp 1,508 8,860 Sensient Technologies Corp 800 18,200 The Lubrizol Corp 900 23,175 W.R. Grace & Co* 1,400 4,463 --------- 258,150 --------- COAL -- 0.1% - ------------------------------------------------------------------------------ CONSOL Energy Inc 393 10,979 --------- COMMERCIAL PRINTING/FORMS -- 0.4% - ------------------------------------------------------------------------------ Banta Corp 500 12,710 Bowne & Co, Inc. 1,000 10,563 John H. Harland Co 700 9,888 Wallace Computer Services, Inc. 900 15,300 --------- 48,461 --------- COMPUTER COMMUNICATIONS -- 0.6% - ------------------------------------------------------------------------------ Avocent Corp 700 18,900 Aware, Inc. 300 5,325 Computer Network Technology* 600 17,288 Extended Systems Inc* 100 1,169 MRV Communications, Inc.* 800 10,700 Netopia, Inc.* 300 1,294 PLX Technology, Inc.* 300 2,494 Proxim, Inc.* 400 17,200 Tut Systems, Inc.* 300 2,475 Xircom, Inc.* 500 7,750 --------- 84,595 --------- COMPUTERS & PERIPHERALS -- 1.4% - ------------------------------------------------------------------------------ Advanced Digital Information Corp 1,000 23,000 Avid Technology, Inc. 700 12,786 DSP Group, Inc.* 500 10,523 Imation Corp* 700 10,850 InFocus Corp* 600 8,850 Intergraph Corp* 1,600 9,600 Iomega Corp* 5,000 16,850 Maxtor Corp* 1,400 7,831 Mercury Computer Systems, Inc. 336 15,603 Pinnacle Systems, Inc.* 1,000 7,375 Quantum Corp* 1,600 12,800 Rainbow Technologies, Inc.* 333 5,266 SCM Microsystems, Inc.* 300 9,900 Storage Technology Corp* 1,700 15,300 Western Digital Corp* 2,800 6,825 Zebra Technologies Corp* 400 16,319 --------- 189,678 --------- COMPUTER PROCESSING HARDWARE -- 0.2% - ------------------------------------------------------------------------------ Concurrent Computer Corp* 1,000 5,375 Micron Electronics, Inc.* 800 3,125 RadiSys Corp* 300 7,763 Silicon Graphics, Inc.* 3,700 14,800 --------- 31,063 --------- CONSTRUCTION MATERIALS -- 0.2% - ------------------------------------------------------------------------------ Florida Rock Industries, Inc. 300 11,738 Texas Industries, Inc. 400 12,000 --------- 23,738 --------- CONSUMER SUNDRIES -- 0.2% - ------------------------------------------------------------------------------ American Greetings Corp 1,000 9,438 Blyth, Inc. 600 14,475 Oakley, Inc.* 345 4,658 --------- 28,571 --------- 10 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ CONTAINERS/PACKAGING -- 0.8% - ------------------------------------------------------------------------------ AptarGroup, Inc. 600 $ 17,625 Ball Corp 500 23,031 Greif Bros. Corp 400 11,400 Caraustar Industries, Inc. 600 5,625 Packaging Corp of America* 800 12,900 Pactiv Corp* 2,700 33,413 --------- 103,994 --------- CONTRACT DRILLING -- 0.3% - ------------------------------------------------------------------------------ Grey Wolf, Inc.* 3,100 18,213 Parker Drilling Co* 1,600 8,100 Patterson Energy, Inc.* 500 18,625 --------- 44,938 --------- DATA PROCESSING SERVICES -- 0.2% - ------------------------------------------------------------------------------ National Data Corp 600 21,975 Pegasus Solutions Inc* 500 3,469 --------- 25,444 --------- DEPARTMENT STORES -- 0.3% - ------------------------------------------------------------------------------ Dillard's, Inc. 1,600 18,900 The Neiman Marcus Group, Inc. 600 21,338 --------- 40,238 --------- DISCOUNT STORES -- 0.1% - ------------------------------------------------------------------------------ 99 Cents Only Stores* 200 5,475 ShopKo Stores, Inc. 800 4,000 --------- 9,475 --------- DRUGSTORE CHAINS -- 0.2% - ------------------------------------------------------------------------------ Duane Reade Inc* 400 12,225 Longs Drug Stores Corp 600 14,475 --------- 26,700 --------- ELECTRIC UTILITIES -- 2.9% - ------------------------------------------------------------------------------ ALLETE 1,100 27,293 Avista Corp 800 16,400 Black Hills Corp 500 22,375 CH Energy Group, Inc. 300 13,425 Cleco Corp 400 21,900 Conectiv 1,300 26,080 El Paso Electric Co 1,100 14,520 Hawaiian Elec Industries, Inc. 500 18,594 IDACORP, Inc. 500 24,530 Kansas City Power & Light Co 900 24,694 Madison Gas and Electric Co 259 5,860 NorthWestern Corp 600 13,875 OGE Energy Corp 1,100 26,880 Otter Tail Power Co 500 13,875 Public Service Co 600 16,088 RGS Energy Group Inc 500 16,219 Sierra Pacific Resources 1,300 20,880 The Empire District Electric Co 500 13,156 UIL Holdings Corp 200 9,950 Unisource Energy Corp 600 11,287 WPS Resources Corp 400 14,725 Western Resources, Inc. 1,100 27,293 --------- 399,899 --------- ELECTRICAL PRODUCTS -- 0.8% - ------------------------------------------------------------------------------ American Superconductor Corp 300 8,569 Baldor Electric Co 369 7,795 Belden Inc. 500 12,688 C&D Technologies, Inc. 400 17,275 Cable Design Technologies Corp* 700 11,769 Catalytica Energy Systems, Inc.* 133 2,287 Franklin Electric Co., Inc. 66 4,521 Littelfuse, Inc.* 400 11,450 MagneTek, Inc.* 284 3,692 National Service Industries, Inc. 700 17,981 Rayovac Corp* 500 7,094 Valence Technology, Inc.* 700 6,519 --------- 111,640 --------- ELECTRONIC COMPONENTS -- 1.4% - ------------------------------------------------------------------------------ ACT Manufacturing, Inc. 200 3,150 AXT, Inc. 300 9,919 Anaren Microwave, Inc. 400 26,875 Artesyn Technologies, Inc. 500 7,938 Benchmark Electronics, Inc. 400 9,025 CTS Corp 500 18,219 California Amplifier, Inc.* 300 2,775 Hutchinson Technology Inc* 600 8,250 Lightpath Technologies, Inc.* 200 2,775 MEMC Electronic Materials, Inc.* 700 6,781 Methode Electronic, Inc. 600 13,763 Park Electrochemical Corp 217 6,659 Plexus Corp* 600 18,234 Power Integrations, Inc.* 600 6,900 SIPEX Corp* 400 9,575 Superconductor Technologies Inc.* 300 1,088 11 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ Technitrol, Inc. 400 $ 16,450 Three-Five Systems, Inc.* 400 7,200 Viasystems Group, Inc.* 800 6,650 Vicor Corp* 400 12,150 ------------ 194,376 ------------ ELECTRONIC EQUIPMENT/INSTRUMENTS -- 0.7% - ------------------------------------------------------------------------------ Adept Technology, Inc. 200 2,900 Kronos Inc* 300 9,280 NYFIX, Inc.* 400 9,675 Paxar Corp* 900 9,169 Radiant Systems, Inc.* 257 5,269 Robotic Vision System, Inc.* 800 2,200 SeaChange International, Inc.* 400 8,125 Sensormatic Electronics Corp* 1,300 26,080 UNOVA, Inc.* 1,200 4,350 Wave Systems Corp* 800 3,600 Zygo Corp* 200 5,656 Zomax Inc* 500 2,281 ------------ 88,585 ------------ ELECTRONIC PRODUCTION EQUIPMENT -- 1.9% - ------------------------------------------------------------------------------ ATMI, Inc. 500 9,750 Advanced Energy Industries, Inc. 200 4,500 Asyst Technologies, Inc. 600 8,063 Brooks Automation, Inc.* 300 8,419 Cohu, Inc. 500 6,969 Cymer, Inc.* 500 12,867 Electro Scientific Industries, Inc.* 500 14,000 Electroglas, Inc. 500 7,656 EMCORE Corp* 400 18,800 FEI Co* 300 6,825 FSI International, Inc.* 600 5,025 Helix Technology Corp 400 9,469 Keithley Instruments, Inc. 200 8,613 Kulicke and Soffa Industries, Inc.* 800 9,000 LTX Corp* 800 10,363 Mentor Graphics Corp* 1,100 30,180 Photon Dynamics, Inc.* 300 6,750 Photronics, Inc.* 500 11,719 PRI Automation, Inc.* 400 7,500 Silicon Valley Group, Inc.* 600 17,250 Speedfam-IPEC, Inc.* 500 3,030 Ultratech Stepper, Inc.* 600 15,525 Varian Semiconductor Equipment Associates, Inc.* 500 11,875 Veeco Instruments Inc* 400 16,050 ------------ 260,198 ------------ ELECTRONICS DISTRIBUTORS -- 0.3% - ------------------------------------------------------------------------------ Anixter International Inc. 400 $ 8,650 Black Box Corp* 300 14,494 Kent Electronics Corp* 500 8,250 MCSi, Inc.* 300 6,413 Pioneer-Standard Electronics, Inc. 800 8,800 ------------ 46,607 ------------ ELECTRONICS/APPLIANCE STORES -- 0.1% - ------------------------------------------------------------------------------ InterTan, Inc.* 700 8,138 Tweeter Home Entertainment Group, Inc.* 300 3,656 ------------ 11,794 ------------ ELECTRONICS/APPLIANCE -- 0.2% - ------------------------------------------------------------------------------ Harman International Industries, Inc 600 21,900 Polaroid Corp 800 4,650 Universal Electronics Inc* 400 6,175 ------------ 32,725 ------------ ENGINEERING & CONSTRUCTION -- 0.4% - ------------------------------------------------------------------------------ Granite Construction Inc 295 8,537 Insituform Technologies, Inc.* 400 15,950 Jacobs Engineering Group Inc* 400 18,475 Washington Group International, Inc.* 800 6,550 ------------ 49,512 ------------ ENVIRONMENTAL SERVICES -- 0.3% - ------------------------------------------------------------------------------ Newpark Resources, Inc.* 1,500 14,344 Tetra Tech, Inc.* 600 19,125 Waste Connections, Inc.* 306 10,117 ------------ 43,586 ------------ FINANCE/RENTAL/LEASING -- 1.5% - ------------------------------------------------------------------------------ Aaron Rents, Inc. 274 3,853 Advanta Corp. 800 7,050 Allied Capital Corp 1,000 20,875 American Capital Strategies, Ltd. 600 15,113 AmeriCredit Corp. 1,200 32,700 Avis Group Holdings, Inc. 400 13,025 Charter Municipal Mortgage Acceptance Co 323 4,340 CompuCredit Corp* 200 3,625 Dollar Thrifty Automotive Group, Inc.* 500 9,375 12 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- FINANCIAL/RENTAL/LEASING -- CONT'D - ------------------------------------------------------------------------------ Doral Financial Corp 700 $ 16,930 Metris Companies Inc 1,000 26,313 NextCard, Inc.* 1,100 8,800 Rent-Way, Inc.* 500 2,219 Ryder System, Inc. 1,000 16,625 United Rentals, Inc.* 600 8,063 XTRA Corp* 300 14,400 ------------ 203,306 ------------ FINANCIAL CONGLOMERATES -- 0.4% - ------------------------------------------------------------------------------ Leucadia National Corp 600 21,263 Liberty Financial Companies ,Inc. 214 9,536 StanCorp Financial Group, Inc. 500 23,875 ------------ 54,674 ------------ FINANCIAL PUBLISHING/SERVICES -- 0.3% - ------------------------------------------------------------------------------ Advent Software, Inc. 400 16,025 BARRA, Inc. 300 14,138 FactSet Research Systems Inc 400 14,828 ------------ 44,991 ------------ FOOD DISTRIBUTORS -- 0.2% - ------------------------------------------------------------------------------ Fleming Companies, Inc. 700 8,269 Performance Food Group Co 300 15,380 ------------ 23,649 ------------ FOOD RETAIL -- 0.3% - ------------------------------------------------------------------------------ Casey's General Stores, Inc. 1,000 14,938 Ruddick Corp 471 5,387 Whole Foods Market, Inc.* 400 24,450 ------------ 44,775 ------------ FOOD: MAJOR DIVERSIFIED -- 0.1% - ------------------------------------------------------------------------------ Del Monte Foods Co* 813 5,894 Dole Food Co 800 13,100 ------------ 18,994 ------------ FOOD: MEAT/FISH/DAIRY -- 0.6% - ------------------------------------------------------------------------------ Dean Foods Co 600 18,413 Dreyer's Grand Ice Cream, Inc. 248 7,998 Michael Foods, Inc. 197 5,935 Smithfield Foods, Inc.* 900 27,360 Suiza Foods Corp* 400 19,200 ------------ 78,906 ------------ FOOD: SPECIALTY/CANDY -- 0.6% - ------------------------------------------------------------------------------ American Italian Pasta Co 282 $ 7,561 Hain Celestial Group, Inc.* 500 16,250 Interstate Bakeries Corp 600 8,438 Lance, Inc. 394 4,987 Neose Technologies, Inc.* 300 9,900 Ralcorp Holdings, Inc.* 439 7,189 The Earthgrains Co 800 14,800 The J. M. Smucker Co 500 13,975 ------------ 83,100 ------------ FOREST DISTRIBUTORS -- 0.3% - ------------------------------------------------------------------------------ Deltic Timber Corp 159 3,796 Louisiana-Pacific Corp 1,900 19,238 Rayonier Inc 400 15,925 ------------ 38,959 ------------ GAS DISTRIBUTORS -- 2.1% - ------------------------------------------------------------------------------ AGL Resources Inc. 700 15,443 Atmos Energy Corp 600 14,625 Cascade Nat Gas Corp 169 3,179 Energen Corp 500 16,093 Laclede Gas Co 500 11,688 MDU Resources Group, Inc. 900 29,250 New Jersey Research Corp 300 12,975 Northwest Natural Gas Co 391 10,362 NUI Corp 300 9,656 ONEOK, Inc. 500 24,063 Peoples Energy Corp 553 24,747 Piedmont Natural Gas Company, Inc. 400 15,275 SEMCO Energy, Inc. 278 4,326 South Jersey Industries, Inc. 400 11,900 Southern Union Co 600 15,900 Southwest Gas Corp 600 13,125 UGI Corp 419 10,606 Vectren Corp 900 23,063 WGL Holdings, Inc. 600 18,263 ------------ 284,539 ------------ HOME FURNISHINGS -- 0.8% - ------------------------------------------------------------------------------ Ethan Allen Interiors Inc 700 23,450 Furniture Brands International, Inc.* 900 18,956 La-Z-Boy Inc 1,100 17,325 Libbey Inc 400 12,150 Mohawk Industries, Inc.* 700 19,163 Tupperware Corp 900 18,394 Westpoint Stevens Inc 700 5,243 ------------ 114,681 ------------ 13 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 - ------------------------------------------------------------------------------ ISSUER SHARES VALUE - ------------------------------------------------------------------------------ HOMEBUILDING -- 1.9% - ------------------------------------------------------------------------------ Centex Corp 900 $ 33,806 Clayton Homes, Inc. 1,700 19,550 Del Webb Corp* 400 11,700 D.R.Horton, Inc. 872 21,310 Fairfield Communities, Inc.* 657 9,239 Fleetwood Enterprises, Inc. 900 9,450 Kaufman and Broad Home Corp 800 26,950 Lennar Corp 700 25,375 M.D.C. Holdings, Inc. 500 16,475 NVR, Inc.* 200 24,720 Pulte Corp 500 21,094 Standard Pacific Corp 369 8,625 The Ryland Group, Inc. 201 8,190 Toll Brothers, Inc.* 400 16,350 ------------ 252,834 ------------ HOSPITAL/NURSING MANAGEMENT -- 1.1% - ------------------------------------------------------------------------------ Beverly Enterprises, Inc. 2,200 18,013 Lifepoint Hospitals,Inc.* 500 25,063 Manor Care, Inc.* 1,400 28,875 Orthodontic Centers of America, Inc.* 600 18,750 Province Healthcare Co* 450 17,719 Quorum Health Group, Inc.* 1,200 18,900 Sunrise Assisted Living, Inc.* 287 7,175 Triad Hospitals, Inc.* 600 19,538 ------------ 154,033 ------------ HOTELS/RESORTS/CRUISELINES -- 0.3% - ------------------------------------------------------------------------------ Boca Resorts, Inc.* 425 6,109 Choice Hotels International, Inc.* 1,200 16,425 Extended Stay America, Inc. 1,200 15,420 Prime Hospitality Corp* 700 8,138 ------------ 46,092 ------------ HOUSEHOLD/PERSONAL CARE -- 0.5% - ------------------------------------------------------------------------------ Alberto- Culver Co 600 25,688 Carter-Wallace, Inc. 400 13,350 Church & Dwight Co., Inc. 800 17,800 The Dial Corp 1,500 16,500 ------------ 73,338 ------------ INDUSTRIAL MACHINERY -- 1.2% - ------------------------------------------------------------------------------ Flowserve Corp* 700 14,963 Graco Inc 400 16,550 IDEX Corp 500 16,563 Kennametal Inc 500 14,563 Lincoln Electric Holdings, Inc. 700 13,738 Milacron Inc 700 11,243 Nordson Corp 500 12,750 Presstek, Inc.* 700 7,350 Regal-Beloit Corp 600 10,236 Roper Industries, Inc. 600 19,838 Tecumseh Products Co 300 12,581 ------------ 157,191 ------------ INDUSTRIAL SPECIALTIES -- 1.3% - ------------------------------------------------------------------------------ Brady Corp 400 13,525 Buckeye Technologies, Inc.* 500 7,030 CUNO Inc* 300 8,044 Cabot Microelectronics Corp* 400 20,775 Donaldson Company, Inc. 700 19,469 Ferro Corp 600 13,800 H.B. Fuller Co 300 11,836 Ionics, Inc* 400 11,350 RPM, Inc. 1,700 14,556 Rogers Corp* 234 9,609 Symyx Technologies* 400 14,400 The Valspar Corp 600 19,308 UCAR International Inc* 900 8,775 Wd-40 Co 500 9,719 ------------ 182,196 ------------ INFORMATION TECHNOLOGY SERVICES -- 0.6% - ------------------------------------------------------------------------------ CACI International Inc* 152 3,498 CIBER. Inc.* 1,100 5,363 Documentum, Inc.* 600 29,813 J.D. Edwards & Company* 900 16,030 Perot Systems Corp* 1,200 11,025 SAGA SYSTEMS, Inc.* 700 8,006 Systems & Computer Technology Corp* 800 9,850 ------------ 83,585 ------------ INSURANCE BROKERS/SERVICES -- 0.7% - ------------------------------------------------------------------------------ Arthur J. Gallagher & Co 600 38,175 Brown & Brown 400 14,000 Copart, Inc.* 700 15,050 Crawford & Co 900 10,463 Hilb, Rogal and Hamilton Co 300 11,963 ------------ 89,651 ------------ INTEGRATED OIL -- 0.1% - ------------------------------------------------------------------------------ Pure Resources, Inc.* 900 18,225 ------------ INTERNET RETAIL -- 0.0% - ------------------------------------------------------------------------------ eToys Inc* 1,300 244 ------------ 14 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ INTERNET SOFTWARE/SERVICES -- 1.5% - ------------------------------------------------------------------------------ About.com, Inc. 300 $ 8,080 Accrue Software, Inc. 500 1,250 Allaire Corp 400 2,013 Ask Jeeves, Inc. 400 975 Broadbase Software, Inc.* 600 3,750 Clarus Corp* 300 2,100 CyberSource Corp* 400 950 Digital Island* 1,100 4,469 Digital Insight Corp* 400 7,225 eLoyalty Corp* 1,000 6,469 F5 Networks, Inc.* 300 2,850 Globix Corp* 400 1,100 GoTo. Com, Inc.* 600 4,388 Interliant Inc* 900 2,869 internet. Com Corp* 300 1,780 Intertrust Technologies Corp* 1,200 4,050 InterWorld Corp* 500 250 Interwoven, Inc.* 600 39,563 IntraNet Solutions, Inc. 259 13,209 Jupiter Media Metrix, Inc.* 500 4,656 Keynote Systems, Inc.* 300 4,256 LookSmart, Ltd.* 900 2,194 Mail.Com, Inc.* 1,000 719 MicroStrategy Inc* 500 4,750 NBC Internet, Inc.* 1,000 3,500 Netegrity, Inc.* 400 21,750 Open Market, Inc.* 800 875 Packeteer, Inc.* 300 3,712 Retek Inc* 745 18,159 Secure Computing Corp* 500 4,938 SonicWALL, Inc.* 400 6,500 StarMedia Network, Inc.* 1,200 2,269 Tumbleweed Communications Corp* 200 3,422 WatchGuard Technologies, Inc.* 200 6,325 WebTrends Corp* 300 8,680 WorldGate Communications, Inc.* 300 1,144 ZixIt Corp 300 2,625 ------------ 207,814 ------------ INVESTMENT BANKS/BROKERS -- 1.3% - ------------------------------------------------------------------------------ Dain Rauscher Corp 200 18,938 Investment Technology Group, Inc. 500 20,875 Investors Financial Services Corp 500 43,000 Jefferies Group, Inc. 500 15,625 LaBranche & Co Inc* 700 21,394 Morgan Keegan, Inc. 500 13,250 Raymond James Financial, Inc. 700 24,413 Southwest Secs Group, Inc. 300 7,763 Tucker Anthony Sutro Corp 400 9,825 Wit Soundview Group, Inc.* 1,600 5,750 ------------ 180,833 ------------ INVESTMENT MANAGERS -- 0.8% - ------------------------------------------------------------------------------ Acacia Research Corp 400 7,125 Blackrock, Inc.* 400 16,800 Affiliated Managers Group, Inc. 400 21,950 Eaton Vance Corp 1,000 32,250 Phoenix Investment Partners, Ltd. 900 14,119 The John Nuveen Co 200 11,500 ------------ 103,744 ------------ LIFE/HEALTH INSURANCE -- 0.2% - ------------------------------------------------------------------------------ American National Insurance Co 200 14,600 Delphi Financial Group, Inc.* 231 8,894 ------------ 23,494 ------------ MAJOR TELECOMMUNICATIONS -- 0.0% - ------------------------------------------------------------------------------ Ntelos Inc 300 5,288 Primus Telecommunications Group, Inc.* 600 1,388 ------------ 6,676 ------------ MANAGED HEALTH CARE -- 1.3% - ------------------------------------------------------------------------------ AmeriPath, Inc. 344 8,600 Caremark Rx, Inc.* 3,300 44,756 Coventry Helath Care, Inc.* 1,100 29,356 Health Net Inc* 1,600 41,900 Humana Inc* 2,600 39,650 Mid Atlantic Medical Services, Inc.* 800 15,850 ------------ 180,112 ------------ MARINE SHIPPING -- 0.4% - ------------------------------------------------------------------------------ Alexander & Baldwin, Inc. 700 18,375 Kirby Corp 500 10,500 Overseas Shipholding Group, Inc. 500 11,469 SEACOR SMIT Inc* 300 15,788 ------------ 56,132 ------------ 15 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ MEDICAL DISTRIBUTORS -- 1.2% - ------------------------------------------------------------------------------ AmeriSource Health Corp 800 $ 40,400 Bergen Brunswig Corp 2,200 34,826 Bindley Westn Industries, Inc. 500 20,781 Henry Schein, Inc.* 500 17,313 Owens & Minor, Inc. 700 12,425 PSS World Medical, Inc.* 1,600 8,000 Priority Healthcare Corp* 350 14,284 Syncor International Corp* 300 10,913 ------------ 158,942 ------------ MEDICAL SPECIALTIES -- 2.8% - ------------------------------------------------------------------------------ ABIOMED, Inc. 400 9,700 Arrow International, Inc. 174 6,555 ArthroCare Corp 300 5,850 ATS Medical, Inc. 600 8,512 Biosite Diagnostics Inc 200 8,088 Cerus Corp* 200 15,050 Coherent, Inc.* 400 13,000 CryoLife, Inc.* 237 7,169 Cyberonics, Inc.* 300 6,975 Datascope Corp 300 10,275 Diagnostic Products Corp 200 10,925 Digene Corp* 200 8,938 Edwards Lifesciences Corp* 1,000 17,750 Haemonetics Corp* 500 15,438 I-STAT Corp* 500 13,219 INAMED Corp* 300 6,130 Inhale Therapeutic Systems, Inc.* 500 25,250 Invacare Corp 500 17,125 K-V Pharmaceutical Co* 450 10,913 Mentor Corp 328 6,396 Molecular Devices Corp* 300 20,530 Novoste Corp* 300 8,250 ResMed Inc* 500 19,938 Respironics, Inc* 700 19,950 STERIS Corp* 1,400 22,575 Sunrise Technologies International, Inc.* 900 1,602 The Cooper Companies, Inc. 300 11,962 Varian Medical Systems, Inc. 500 33,969 VISX, Inc.* 900 9,393 Zoll Med Corp* 138 4,839 ------------ 376,266 ------------ MEDICAL/NURSING SERVICES -- 1.0% - ------------------------------------------------------------------------------ Apria Healthcare Group Inc. 700 20,825 Cyber-Care, Inc.* 900 1,913 DaVita, Inc.* 1,500 25,688 Hooper Holmes, Inc. 1,100 12,166 Lincare Holdings Inc* 700 39,944 RehabCare Group, Inc.* 199 10,224 Renal Care Group, Inc.* 800 21,938 ------------ 132,698 ------------ METAL FABRICATION -- 1.1% - ------------------------------------------------------------------------------ Harsco Corp 600 14,813 Kaydon Corp 600 14,925 Maverick Tube Corp* 300 6,788 Mueller Industries, Inc.* 600 16,088 Precision Castparts Corp 800 33,650 SPS Technologies, Inc.* 300 16,444 The Shaw Group Inc* 600 30,000 The Timken Co 800 12,100 ------------ 144,808 ------------ MISCELLANEOUS COMMERCIAL SERVICES -- 1.7% - ------------------------------------------------------------------------------ ABM Industries Inc 400 12,250 Answerthink Inc. 700 2,538 Bright Horizons Family Solutions, Inc.* 400 10,450 Dendrite Internationl, Inc.* 600 13,425 DiamondCluster Internationl, Inc.* 300 9,150 Exchange Applications, Inc.* 500 608 F. Y. I. Inc* 300 11,063 Fair, Issac and Co, Inc 300 15,300 Forrester Research, Inc.* 200 10,013 G & K Services, Inc. 500 14,063 Gartner Group, Inc.* 1,400 9,660 iXL Enterprises, Inc.* 1,200 1,200 IKON Office Solutions, Inc. 3,100 7,750 Identix Inc* 700 5,495 Internet Pictures Corp* 1,200 1,162 Learning Tree International ,Inc.* 200 9,900 MAXIMUS, Inc.* 178 6,219 NCO Group, Inc.* 299 9,082 Pittston Brink's Group 1,000 19,875 ProBusiness Services, Inc.* 400 10,625 PurchasePro.Com, Inc.* 400 7,000 Sodexho Marriott Services, Inc. 600 13,275 Sylvan Learning Systems, Inc.* 700 10,369 The Corporate Executive Board Co* 400 15,905 The Profit Recovery Group International, Inc.* 1,000 6,375 Ventro Corp* 400 400 ------------ 233,152 ------------ 16 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ MISCELLANEOUS MANUFACTURING -- 1.3% - ------------------------------------------------------------------------------ AMETEK, Inc. 600 $ 15,563 Dionex Corp* 500 17,250 Federal Signal Corp 800 15,700 Lancaster Colony Corp 600 16,838 Mettler-Toledo International Inc* 600 32,625 Teleflex Inc 600 26,512 Tredegar Corp 500 8,719 Trinity Industries, Inc. 700 17,500 U. S. Industries, Inc. 1,400 11,200 Varian Inc* 500 16,938 ------------ 178,845 ------------ MOVIES/ENTERTAINMENT -- 0.1% - ------------------------------------------------------------------------------ Gaylord Entmt Co* 500 10,438 SportsLine.com, Inc.* 500 2,656 TiVo Inc* 400 2,150 ------------ 15,244 ------------ MULTI-LINE INSURANCE -- 0.1% - ------------------------------------------------------------------------------ Horace Mann Educators Corp 800 17,100 ------------ OFFICE EQUIPMENT/SUPPLIES -- 0.2% - ------------------------------------------------------------------------------ HON INDUSTRIES Inc 900 22,950 Kimball International, Inc. 700 10,150 ------------ 33,100 ------------ OIL & GAS PIPELINES -- 0.1% - ------------------------------------------------------------------------------ Midcoast Energy Resources, Inc. 173 3,774 Western Gas Resources, Inc. 400 13,475 ------------ 17,249 ------------ OIL & GAS PRODUCTION -- 2.5% - ------------------------------------------------------------------------------ Tom Brown, Inc.* 600 19,725 Barrett Resources Corp 500 28,406 Cabot Oil & Gas Corp 500 15,594 Chesapeake Energy Corp 1,900 19,238 Cross Timbers Oil Co 1,200 33,300 Evergreen Resources, Inc.* 300 11,588 Forest Oil Corp* 350 12,906 H S Resources, Inc.* 300 12,712 Louis Dreyfus Natural Gas Corp* 400 18,325 Mitchell Energy & Development Corp 400 24,500 Pioneer Natural Resources Co 1,700 33,469 Plains Resources Inc* 245 5,175 Pogo Producing Co 700 21,788 St. Mary Land & Exploration Co 600 19,988 Stone Energy Corp* 300 19,365 Swift Energy Co* 400 15,050 Unit Corp* 700 13,255 Vintage Petroleum, Inc. 800 17,200 ------------ 341,584 ------------ OIL REFINING/MARKETING -- 0.3% - ------------------------------------------------------------------------------ Frontier Oil Corp 1,400 9,625 Pennzoil-Quaker State Co 1,600 20,600 Syntroleum Corp* 700 11,900 ------------ 42,125 ------------ OILFIELD SERVICES/EQUIPMENT -- 0.8% - ------------------------------------------------------------------------------ Cal Dive International, Inc.* 400 10,650 Input/Output, Inc.* 1,100 11,206 Key Energy Services, Inc.* 1,600 16,700 Oceaneering International, Inc.* 323 6,278 Offshore Logistics, Inc. 600 12,928 Superior Energy Services Inc* 1,100 12,650 UTI Energy Corp* 600 19,725 Veritas DGC Inc* 500 16,150 ------------ 106,287 ------------ OTHER CONSUMER SERVICES -- 0.7% - ------------------------------------------------------------------------------ Bally Total Fitness Holdings Corp 500 16,938 Career Education Corp* 400 15,650 Chemed Corp 300 10,088 Edison Schools Inc* 300 9,450 Education Management Corp* 400 14,300 Rollins, Inc. 262 5,256 Service Corp* 4,900 8,575 Sotheby's Holdings, Inc.* 800 18,550 ------------ 98,807 ------------ OTHER CONSUMER SPECIALTIES -- 0.1% - ------------------------------------------------------------------------------ Mathews International Corp 300 9,469 The Boyds Collection, Ltd.* 1,100 10,243 ------------ 19,712 ------------ OTHER METALS/MINERALS -- 0.3% - ------------------------------------------------------------------------------ Brush Engineered Materials Inc 500 10,094 Minerals Technologies Inc 300 10,256 17 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ Southern Peru Copper Corp 800 $ 10,300 USEC Inc 2,500 10,780 ------------ 41,430 ------------ PACKAGED SOFTWARE -- 2.7% - ------------------------------------------------------------------------------ Actuate Corp 900 17,213 AremisSoft Corp 162 6,915 Aspen Technology, Inc. 500 16,625 Avant! Corp 900 16,481 Concord Communications, Inc.* 400 3,500 Convera Corp* 300 5,325 FileNET Corp* 700 19,075 Great Plains Software, Inc.* 199 9,365 HNC Software Inc* 500 14,844 Hyperion Solutions Corp* 600 9,263 Informatica Corp* 800 31,650 Inprise Corp* 1,600 8,850 Legato Systems, Inc.* 1,700 12,644 Manugistics Group, Inc.* 800 45,600 MapInfo Corp* 215 10,159 Mercator Software, Inc.* 500 2,688 MetaSolv, Inc.* 200 1,825 NetIQ Corp* 400 34,950 New Era of Networks, Inc.* 500 2,938 Nuance Communications Inc* 100 4,313 ONYX Software Corp* 400 4,400 Phoenix Technology Ltd* 600 8,091 Progress Software Corp* 800 11,550 Puma Technology, Inc.* 600 2,494 Remedy Corp* 500 8,281 SERENA Software, Inc.* 300 10,270 SPSS Inc* 400 8,825 Structural Dynamics Research Corp* 900 9,000 Transaction Systems Architects, Inc.* 700 8,094 Verity, Inc.* 600 14,438 ------------ 359,666 ------------ PERSONNEL SERVICES -- 0.5% - ------------------------------------------------------------------------------ Administaff, Inc. 400 10,880 Heidrick & Struggles International, Inc.* 300 12,619 Kelly Services, Inc. 265 6,261 Korn / Ferry International* 600 12,750 Modis Professional Services, Inc.* 1,800 7,425 On Assignment, Inc.* 400 11,400 Spherion Corp* 1,100 12,444 ------------ 73,779 ------------ PHARMACEUTICALS: GENERIC -- 0.3% - ------------------------------------------------------------------------------ Alpharma Inc. 400 17,550 Barr Laboratories, Inc. 300 21,881 ------------ 39,431 ------------ PHARMACEUTICALS: OTHER -- 0.9% - ------------------------------------------------------------------------------ Alliance Pharmaceutical Corp. 900 7,763 Aviron 300 20,044 Cell Pathways, Inc.* 400 1,900 Cell Therapeutics, Inc.* 400 18,025 Connetics Corp* 600 2,738 Matrix Pharmaceutical, Inc.* 600 10,275 Medicis Pharmaceutical Corp* 500 29,563 Noven Pharmaceuticals, Inc.* 300 11,213 Perrigo Co* 1,500 12,422 United Therapeutics Corp* 200 2,950 ------------ 116,893 ------------ PRECIOUS METALS -- 0.3% - ------------------------------------------------------------------------------ Freeport-Mcmoran Copper & Gold, Inc.* 2,200 18,838 Stillwater Mining Co* 700 27,545 ------------ 46,383 ------------ PROPERTY/CASUALTY INSURANCE -- 1.0% - ------------------------------------------------------------------------------ Alfa Corp 700 12,863 Alleghany Corp 100 20,550 Argonaut Group, Inc. 600 12,600 Harleysville Group Inc 206 6,026 HCC Insurance Holdings, Inc. 700 18,856 Mercury General Corp 400 17,550 Ohio Casualty Corp 1,400 14,000 Selective Ins Group, Inc. 405 9,820 The Commerce Group, Inc. 389 10,573 W. R. Berkley Corp 300 14,156 ------------ 136,994 ------------ PUBLISHING: BOOKS/MAGAZINES -- 0.7% - ------------------------------------------------------------------------------ Houghton Mifflin Co 400 18,550 John Wiley & Son, Inc. 800 17,200 Meredith Corp 600 19,313 Penton Media, Inc. 400 10,750 Playboy Enterprises, Inc.* 700 6,956 Scholastic Corp* 200 17,725 ------------ 90,494 ------------ PUBLISHING: NEWSPAPERS -- 0.6% - ------------------------------------------------------------------------------ Hollinger International Inc 600 9,525 Journal Register Co* 800 12,850 18 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ PUBLISHING: NEWSPAPERS -- CONT'D - ------------------------------------------------------------------------------ Lee Enterprises, Inc. 700 $ 20,869 Media General, Inc. 300 10,920 Pulitzer Inc 200 9,370 The McClatchy Co 400 17,050 ------------ 80,584 ------------ PULP & PAPER -- 0.4% - ------------------------------------------------------------------------------ Longview Fibre Co 1,000 13,500 P. H. Glatfelter Co 900 11,205 Potlatch Corp 400 13,425 Wausau-Mosinee Paper Corp 1,300 13,163 ------------ 51,293 ------------ RAILROADS -- 0.1% - ------------------------------------------------------------------------------ Wisconsin Central Transportation Corp* 900 13,556 ------------ REAL ESTATE DEVELOPMENT -- 0.5% - ------------------------------------------------------------------------------ Catellus Development Corp* 1,600 28,000 Forest City Enterprises, Inc. 300 11,760 Jones Lang LaSalle Inc* 800 11,100 LNR Property Corp 500 11,000 Security Cap Group Inc* 600 12,038 ------------ 73,898 ------------ REAL ESTATE INVESTMENT TRUST -- 6.3% - ------------------------------------------------------------------------------ Alexandria Real Estate Equities, Inc. 300 11,156 American Industrial Properties REIT 277 3,393 Arden Realty, Inc. 934 23,467 Bedford Property Investors, Inc. 600 12,150 Boykin Lodging Co 269 2,287 Brandywine Realty Trust 700 14,481 BRE Properties, Inc. 600 19,013 Burnham Pacific Properties, Inc. 496 2,294 Cabot Industrial Trust 700 13,431 Camden Property Trust 500 16,750 Capital Automotive REIT 328 4,531 Capstead Mortgage Corp 271 2,947 CBL & Associates Properties, Inc. 388 9,821 CenterPoint Properties Corp 300 14,175 Charles E. Smith Residential Realty, Inc. 300 14,100 Chateau Communities, Inc. 333 10,136 Chelsea Property Group, Inc. 300 11,063 Colonial Properties Trust 340 8,861 Commercial Net Lease Realty 471 4,798 Cornerstone Realty Income Trust, Inc. 603 6,369 Cousins Properties, Inc. 600 16,763 Developers Diversified Realty Corp 900 11,981 Eastgroup Properties, Inc. 245 5,482 Entertainment Properties Trust 234 2,574 Equity Inns Inc 569 3,521 Essex Property Trust, Inc. 300 16,425 Federal Realty Investment Trust 500 9,500 FelCor Lodging Trust Inc 600 14,363 First Industrial Realty Trust, Inc. 606 20,604 First Washington Realty Trust, Inc. 130 3,356 Franchise Finance Corp 884 20,608 Gables Residential Trust 361 10,108 Glenborough Realty Trust 600 10,425 Glimcher Realty Trust 800 10,000 Great Lakes REIT, Inc. 261 4,535 Health Care Property Investors, Inc. 741 22,137 Health Care REIT, Inc. 444 7,215 Healthcare Realty Trust, Inc. 500 10,625 Highwoods Properties, Inc. 700 17,413 Home Properties New York, Inc. 400 11,175 Hospitality Properties Trust 793 17,942 HRPT Properties Trust 2,300 17,394 IndyMac Bancorp, Inc.* 1,000 29,500 Innkeepers Usa Trust 532 5,885 IRT Property Co 489 3,973 JDN Realty Corp 1,100 11,619 Kilroy Realty Corp 500 14,281 Koger Equity 700 10,894 LaSalle Hotel Properties 167 2,536 Lexington Corporate Properties Trust 266 3,142 Manufactured Home Communities, Inc. 283 8,207 Meditrust Co* 2,248 5,761 MeriStar Hospitality Corp 500 9,844 Mid-America Apartment Communities, Inc. 400 9,025 National Golf Properties, Inc. 199 4,092 Nationwide Health Properties, Inc. 700 9,013 New Plan Excel Realty Trust 1,373 18,021 Pacific Gulf Properties, Inc. 400 2,450 19 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ Pan Pacific Retail Properties, Inc. 305 $ 6,805 Parkway Properties, Inc. 153 4,542 Pennsylvania Real Estate Investment Trust 192 3,672 Prentiss Properties Trust 500 13,469 Prime Group Realty Trust 146 2,099 PS Business Parks, Inc. 500 13,900 Realty Income Corp 414 10,298 Reckson Assocs Realty Corp 800 20,050 Regency Realty Corp 500 11,844 RFS Hotel Investors, Inc. 377 4,925 Saul Centers, Inc. 168 3,129 Shurgard Storage Centers, Inc. 500 12,219 SL Green Realty Corp 500 14,000 Sovran Self Storage, Inc. 186 3,697 Storage USA, Inc. 400 12,700 Summit Properties Inc 386 10,036 Sun Communities, Inc. 300 10,050 Tanger Factory Outlet Centers, Inc. 81 1,848 The Macerich Co 500 9,594 Town & Country Trust 246 4,751 United Dominion Realty Trust, Inc. 1,200 12,975 Washington Real Estate Investment Trust 700 16,538 Weingarten Realty Investors 400 17,500 Westfield America, Inc. 453 6,540 Wyndham International, Inc.* 4,800 8,400 ------------ 853,193 ------------ RECREATIONAL PRODUCTS -- 0.7% - ------------------------------------------------------------------------------ Callaway Golf Co 1,300 24,213 Concord Camera Corp* 500 8,250 JAKKS Pacific, Inc.* 500 4,563 Polaris Industries Inc 500 19,875 Sturm, Ruger & Co, Inc. 300 2,831 THQ Inc* 500 12,188 Take-Two Interactive Software, Inc.* 700 8,050 The Topps Company, Inc.* 659 6,055 WMS Industries Inc 360 7,245 ------------ 93,270 ------------ REGIONAL BANKS -- 6.0% - ------------------------------------------------------------------------------ Alabama National Bancorp 128 2,896 AMCORE Financial, Inc. 600 12,413 BancorpSouth, Inc. 1,400 17,063 Bank of Granite Corp 400 9,300 Cathay Bancorp, Inc. 200 11,800 Century South Bank, Inc. 174 5,862 Chittenden Corp 500 15,156 Citizens Banking Corp 800 23,250 Commerce Bancorp, Inc. 493 33,709 Community First Bankshares, Inc. 800 15,100 Corus Bankshares, Inc. 143 7,076 CPB Inc 123 3,429 Cullen Frost Bankers, Inc. 700 29,269 East West Bancorp, Inc. 349 8,703 F&M Bancorp 173 3,568 F&M National Corp 500 13,063 F. N. B. Corp 338 7,098 Farmers Capital Bank Corp 97 2,680 First BanCorp 319 7,536 First Charter Corp 700 10,413 First Citizens BancShares, Inc. 91 7,348 First Commonwealth Financial Corp 1,000 10,000 First Financial Bancorp. 546 9,282 First Financial Bankshares, Inc. 300 9,431 First Financial Corp 103 3,290 First Merchants Corp 183 4,152 First Midwest Bancorp, Inc. 600 17,250 Frontier Financial Corp 260 6,516 Fulton Financial Corp 1,100 25,369 GBC Bancorp 168 6,447 Greater Bay Bancorp 600 24,600 Harleysville National Corp 135 4,683 Hudson United Bancorp 770 16,122 Imperial Bancorp* 600 15,750 Integra Bank Corp 500 12,781 International Bancshares Corp 400 13,650 Merchants New York Bancorp, Inc. 292 7,318 MidAmerica Bancorp 412 9,373 Mid-State Bancshares 300 10,650 National Penn Bancshares, Inc. 291 5,875 NBT Bancorp Inc 361 5,280 Omega Financial Corp 135 3,645 Oriental Financial Group Inc 178 2,370 Pacific Cap Bancorp New 500 14,063 Park National Corp 100 8,969 Provident Bankshares Corp 700 14,613 Provident Financial Group, Inc. 400 15,000 Republic Bancorp Inc 1,430 15,462 S&T Bancorp, Inc. 419 9,060 Sandy Spring Bancorp, Inc. 146 3,322 Seacoast Financial Services Corp 391 4,692 Silicon Valley Bancshares 600 20,738 Sky Financial Group, Inc. 1,320 22,110 Southwest Bancorp* 500 21,469 Sterling Bancshares, Inc. 700 13,825 20 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ REGIONAL BANKS -- CONT'D - ------------------------------------------------------------------------------ Susquehanna Bancshares, Inc. 700 $ 11,550 Texas Regional Bancshares, Inc. 440 14,300 The Colonial BancGroup, Inc. 1,500 16,125 The South Financial Group, Inc. 900 11,925 The Trust Company 600 7,538 TrustCo Bank Corp 1,150 14,015 Trustmark Corp 900 18,900 UCBH Holdings, Inc. 147 6,854 UMB Financial Corp 249 9,306 United Bankshares, Inc. 600 12,750 United National Bancorp 600 11,512 WesBanco, Inc. 287 6,745 Westamerica Bancorp 600 25,800 Whitney Holdings Corp 400 14,525 ------------ 815,734 ------------ RESTAURANTS -- 1.2% - ------------------------------------------------------------------------------ Applebee's International, Inc. 500 15,718 Bob Evans Farms, Inc. 700 14,918 CBRL Group, Inc. 1,100 20,006 CEC Entertainment Inc* 500 17,063 IHOP Corp* 500 10,844 Jack In The Box Inc* 700 20,606 Papa John's International, Inc.* 400 8,900 RARE Hospitality International, Inc.* 252 5,623 Ruby Tuesday, Inc. 1,200 18,300 Sonic Corp* 600 13,988 The Cheesecake Factory Inc* 500 19,188 ------------ 165,154 ------------ SAVINGS BANKS -- 2.4% - ------------------------------------------------------------------------------ American Financial Holdings, Inc. 600 12,375 Andover Bancorp, Inc. 103 3,545 Astoria Financial Corp 600 32,588 Bank United Corp. 505 34,435 Bay View Capital Corp 1,000 6,250 BSB Bancorp, Inc. 600 7,903 Capitol Federal Financial 527 8,827 Commercial Federal Corp 900 17,494 Dime Community BancShares 178 4,495 Downey Financial Corp 300 16,500 First Federal Capital Corp 229 3,320 First Financial Holdings, Inc. 205 4,036 First Indiana Corp 143 3,360 First Sentinel Bancorp Inc 529 6,084 FirstFed Financial Corp 264 8,530 Harbor Fl Bancshares, Inc. 352 5,258 Independence Community Bank Corp 1,000 15,938 MAF Bancorp, Inc. 359 10,209 New York Cmnty Bancorp Inc 252 9,260 OceanFirst Financial Corp 177 4,359 People's Bank 428 11,075 Republic Sec Financial Corp 770 5,558 Richmond County Financial Corp 600 15,675 Roslyn Bancorp, Inc. 900 24,580 Staten Island Bancorp, Inc. 500 10,688 United Community Financial Corp 525 3,642 Washington Federal, Inc. 811 23,063 Webster Financial Corp 700 19,818 ------------ 328,865 ------------ SEMICONDUCTORS -- 1.1% - ------------------------------------------------------------------------------ Actel Corp 400 9,675 Alliance Semiconductor Corp 500 5,650 ANADIGICS, Inc. 500 8,188 C-Cube Microsystems Inc* 800 9,850 Cirrus Logic, Inc.* 900 16,875 Elantec Semiconductor, Inc.* 300 8,325 ESS Technology, Inc.* 600 3,075 Exar Corp* 600 18,590 General Semiconductor, Inc. 700 4,375 Integrated Silicon Solution, Inc.* 500 7,188 Microsemi Corp* 200 5,563 MIPS Technologies, Inc.* 600 16,013 Oak Technology, Inc.* 700 6,081 Pericom Semiconductor Corp* 400 7,400 QuickLogic Corp* 500 3,469 Silicon Image, Inc.* 500 2,719 SONICblue Inc* 1,700 7,013 Zoran Corp* 300 4,650 ------------ 144,699 ------------ SERVICES TO THE HEALTH INDUSTRY -- 2.2% - ------------------------------------------------------------------------------ Accredo Health, Inc 200 10,038 Advance Paradigm, Inc. 400 18,200 Albany Molecular Research, Inc. 300 18,488 Allscripts, Inc. 400 3,738 Cerner Corp* 500 23,125 Covance Inc* 1,100 11,825 Eclipsys Corp* 800 19,600 21 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ IDX Systems Corp* 235 $ 5,875 IMPATH Inc* 300 19,950 Laboratory Corp* 300 52,800 Morrison Management Specialists, Inc. 201 7,017 Omnicare, Inc. 1,500 32,438 PAREXEL International Corp* 900 9,730 Pharmaceutical Product Development, Inc.* 400 19,875 Pharmacopeia, Inc.* 400 8,725 Professional Detailing, Inc.* 64 6,769 Stericycle, Inc. 213 8,120 The TriZetto Group, Inc.* 324 5,407 US Oncology, Inc.* 1,800 11,363 ------------ 293,083 ------------ SPECIALTY INSURANCE -- 0.8% - ------------------------------------------------------------------------------ Enhance Financial Services Group Inc 425 6,560 Fidelity National Financial, Inc. 900 33,244 LandAmerica Financial Group, Inc. 156 6,308 Markel Corp* 100 18,100 Pre-Paid Legal Services, Inc.* 400 10,200 The First American Corp 900 29,588 Triad Guaranty Inc* 209 6,922 ------------ 110,922 ------------ SPECIALTY STORES -- 1.3% - ------------------------------------------------------------------------------ Barnes & Noble, Inc. 900 23,850 Borders Group, Inc.* 1,400 16,363 Companiest Plus, Inc.* 400 11,750 Linens 'n Things, Inc.* 700 19,338 Michaels Stores, Inc.* 500 13,250 O'Reilly Automotive, Inc.* 800 21,400 OfficeMax, Inc.* 2,300 6,613 PETsMART, Inc.* 2,400 6,900 Pier 1 Imports, Inc. 1,600 16,500 Regis Corp 800 11,600 Rent-A-Center, Inc.* 300 10,350 Zale Corp* 600 17,438 ------------ 175,352 ------------ SPECIALTY TELECOMMUNICATIONS -- 0.7% - ------------------------------------------------------------------------------ Adelphia Business Solutions, Inc. 600 2,550 Allied Riser Communctions Corp 1,200 2,438 Clarent Corp* 400 4,525 Commonwealth Telephone Enterprises, Inc. 300 10,500 CT Communications, Inc. 400 5,625 CTC Communications Group, Inc.* 400 1,850 General Communication, Inc.* 1,300 9,100 Golden Telecom, Inc.* 300 1,538 IDT Corp* 500 10,188 Illuminet Holdings, Inc. 400 9,175 Intermedia Communications Inc* 900 6,468 International FiberCom, Inc.* 500 2,468 ITC DeltaCom, Inc.* 1,000 5,390 Mpower Communications Corp* 800 4,100 North Pittsburgh Systems, Inc. 700 7,700 Rhythms NetConnections Inc* 1,500 1,688 TALK.Com, Inc.* 1,500 2,155 Teligent, Inc.* 600 1,162 Terremark Worldwide, Inc. 2,900 2,175 Viatel, Inc.* 1,000 3,718 ------------ 94,513 ------------ STEEL -- 0.7% - ------------------------------------------------------------------------------ AK Steel Holding Corp. 1,500 13,125 Bethlehem Steel Corp 2,900 5,075 Carpenter Technology Corp 300 10,500 Cleveland-Cliffs Inc 400 8,625 Lone Star Technologies, Inc.* 400 15,400 Quanex Corp 500 10,062 Reliance Steel & Aluminum Co 308 7,622 Steel Dynamics, Inc.* 900 9,900 Worthington Industries, Inc. 1,200 9,674 ------------ 89,983 ------------ TELECOMMUNICATIONS EQUIPMENT -- 0.9% - ------------------------------------------------------------------------------ Adaptive Broadband Corp 700 4,288 Allen Telecom Inc. 600 10,763 Brooktrout Inc* 300 2,840 Carrier Access Corp* 200 1,800 C-COR.net Corp* 600 5,830 Celeritek, Inc.* 200 7,625 DDi Corp* 198 5,395 Glenayre Technologies, Inc. 1,200 4,237 InterDigital Communications Corp* 900 4,865 InterVoice-Brite, Inc.* 700 5,075 Metricom, Inc.* 400 4,025 Natural Microsystems Corp* 500 4,937 22 CITI SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ TELECOMMUNICATIONS EQUIPMENT -- CONT'D - ------------------------------------------------------------------------------ Netro Corp* 500 $ 3,469 Osicom Technologies, Inc.* 200 3,210 P-Com, Inc.* 1,600 4,900 Plantronics, Inc.* 800 37,600 Tollgrade Communications, Inc.* 200 7,300 ViaSat, Inc.* 400 5,250 Westell Technologies, Inc.* 500 1,530 World Access, Inc.* 1,400 3,368 ------------ 128,307 ------------ TEXTILES -- 0.2% - ------------------------------------------------------------------------------ Springs Industries, Inc. 202 6,552 Unifi, Inc.* 1,100 9,830 Wellman, Inc. 800 11,300 ------------ 27,682 ------------ TOBACCO -- 0.2% - ------------------------------------------------------------------------------ Universal Corp 600 21,000 ------------ TOOLS & HARDWARE -- 0.4% - ------------------------------------------------------------------------------ Briggs & Stratton Corp 400 17,750 Metromedia International Group, Inc.* 2,300 5,980 Snap-On Inc 900 25,088 The Toro Co 177 6,492 ------------ 55,310 ------------ TRUCKING -- 0.8% - ------------------------------------------------------------------------------ American Freightways Corp 10 278 Arnold Industries, Inc. 600 10,800 CNF Inc 800 27,050 Forward Air Corp* 300 11,193 Landstar System, Inc.* 136 7,540 Swift Transportation Inc* 800 15,850 USFreightways Corp 500 15,038 Werner Enterprises, Inc. 434 7,377 Yellow Corp* 700 14,251 ------------ 109,377 ------------ TRUCKS/CONSTRUCTION/FARM MACHINERY -- 0.8% - ------------------------------------------------------------------------------ AGCO Corp 1,200 14,550 Cummins Engine Co 700 26,556 JLG Industries, Inc. 900 9,563 Oshkosh Truck Corp 300 13,200 Stewart & Stevenson Services, Inc. 700 15,892 Terex Corp 600 9,712 The Manitowoc Company, Inc. 500 14,500 Wabash National Corp 900 7,762 ------------ 111,735 ------------ WATER UTILITIES -- 0.2% - ------------------------------------------------------------------------------ American States Water Co 153 5,642 California Water Service Group 400 10,800 Philadelphia Suburban Corp 625 15,312 ------------ 31,754 ------------ WHOLESALE DISTRIBUTORS -- 0.4% - ------------------------------------------------------------------------------ Applied Industrial Technologies, Inc. 312 6,415 Fisher Scientific International Inc 618 22,789 Hughes Supply, Inc. 500 8,970 SCP Pool Corp* 300 9,018 United Stationers Inc 500 12,000 ------------ 59,192 ------------ WIRELESS TELECOMMUNICATIONS -- 0.5% - ------------------------------------------------------------------------------ AirGate PCS, Inc. 200 7,100 Leap Wireless International, Inc.* 400 10,000 Metrocall, Inc.* 1,500 703 Motient Corp* 800 3,200 Price Communications Corp* 1,000 16,813 Rural Celluar Corp* 200 5,925 SBA Communcations Corp* 400 16,425 WebLink Wireless, Inc.* 1,100 3,780 ------------ 63,946 ------------ TOTAL COMMON STOCKS (Identified Cost $14,870,850) 13,568,144 ------------ SHORT-TERM OBLIGATION AT AMORTIZED COST -- 0.5% - ------------------------------------------------------------------------------ Federated Prime Cash Obligation 6.50% due 1/02/01 69,789 ------------ TOTAL INVESTMENTS (Identified Cost $14,940,639) 100.1% 13,637,933 OTHER ASSETS, LESS LIABILITIES (0.1) (11,431) ------ ------------- NET ASSETS 100.0% $13,626,502 ====== ============== *Non-income producing security See notes to financial statements 23 CITI SMALL CAP INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $14,940,639) $13,637,933 Cash 45,088 Receivable for investments sold 19,120 Dividends receivable 16,849 Receivable for fund shares sold 2,035 Interest receivable 300 Receivable from the Manager 96,033 - ------------------------------------------------------------------------------ Total assets 13,817,358 - ------------------------------------------------------------------------------ LIABILITIES: Payable for shares of beneficial interest repurchased 97,329 Payable for investments purchased 23,931 Accrued expenses and other liabilities 69,596 - ------------------------------------------------------------------------------ Total liabilities 190,856 - ------------------------------------------------------------------------------ NET ASSETS $13,626,502 ============================================================================== NET ASSETS CONSIST OF: Paid-in capital $14,938,489 Unrealized depreciation (1,302,706) Accumulated net realized loss on investments (36,660) Undistributed net investment income 27,379 - ------------------------------------------------------------------------------ Total $13,626,502 ============================================================================== COMPUTATION OF SMITH BARNEY SHARES: Net Asset Value, offering price and redemption price per share ($294,110/32,105 shares outstanding) $9.16 ============================================================================== COMPUTATION OF CITI SHARES: Net Asset Value, offering price and redemption price per share ($13,332,392/1,461,604 shares outstanding) $9.12 ============================================================================== See notes to financial statements 24 CITI SMALL CAP INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Dividend income (net of foreign withholding tax of $58) $ 73,379 Interest income 11,032 - --------------------------------------------------------------------------------------- $ 84,411 - --------------------------------------------------------------------------------------- EXPENSES: Management fees (Note 2) 13,302 Distribution fee Smith Barney Shares (Note 3) 114 Custody and fund accounting fees 47,561 Legal fees 23,280 Audit fees 16,000 Shareholder reports 12,740 Transfer agent fees 7,584 Registration 3,958 Trustees fees 1,300 Other 5,993 - --------------------------------------------------------------------------------------- Total expenses 131,832 Less: expenses assumed by the Manager (Note 7) (96,033) Less: aggregate amount waived by the Manager (Note 2) (11,085) - --------------------------------------------------------------------------------------- Net expenses 24,714 - --------------------------------------------------------------------------------------- Net investment income 59,697 - --------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss from investment transactions (36,660) Unrealized depreciation (1,302,706) - --------------------------------------------------------------------------------------- Net realized and unrealized loss on investments (1,339,366) - --------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(1,279,669) =======================================================================================
See notes to financial statements 25 CITI SMALL CAP INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment income $ 59,697 Net realized loss (36,660) Unrealized depreciation (1,302,706) - -------------------------------------------------------------------------------- Net decrease in net assets resulting from operations (1,279,669) - -------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (Smith Barney shares) (838) Net investment income (Citi shares) (31,480) - ------------------------------------------------------------------------------- Decrease in net assets from distribution to shareholders (32,318) - ------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 6): SMITH BARNEY SHARES* Net proceeds from sale of shares 388,543 Net asset value of shares issued to shareholders from reinvestment of distributions 397 Cost of shares repurchased (97,329) - ------------------------------------------------------------------------------- Total Smith Barney Shares 291,611 - -------------------------------------------------------------------------------- CITI SHARES** Net proceeds from sale of shares 15,000,444 Net asset value of shares issued to shareholders from reinvestment of dividends 31,479 Cost of shares repurchased (385,045) - ------------------------------------------------------------------------------- Total Citi Shares 14,646,878 - -------------------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 14,938,489 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 13,626,502 - ------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period (undistributed net investment income of $27,379) $13,626,502 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. See notes to financial statements 26 CITI SMALL CAP INDEX FUND FINANCIAL HIGHLIGHTS SMITH BARNEY SHARES ------------------- FOR THE PERIOD SEPTEMBER 11, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 - -------------------------------------------------------------------------------- Net Asset Value, beginning of period $ 9.94 - -------------------------------------------------------------------------------- Income From Operations: Net investment income 0.015 Net realized and unrealized loss (0.775) - -------------------------------------------------------------------------------- Total from operations (0.760) - -------------------------------------------------------------------------------- Less Distributions From: Net investment income (0.020) Net realized gain -- - -------------------------------------------------------------------------------- Total Distributions (0.020) - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 9.16 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $ 294 Ratio of expenses to average net assets 0.75%* Ratio of net investment income to average net assets 1.16%* Portfolio turnover 9% Total return (7.63)%** Note: If Agents of the Fund had not voluntarily agreed to waive all of their fees for the period, and the Manager had not voluntarily assumed expenses, the net investment income per share and the ratios would have been as follows: Net investment loss per share $(0.032) RATIOS: Expenses to average net assets 3.31%* Net investment loss to average net assets (1.40)%* ================================================================================ * Annualized ** Not Annualized See notes to financial statements 27 CITI SMALL CAP INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi Small Cap Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund offers two classes of shares:the Smith Barney Shares, which commenced operations on September 11, 2000, and the Citi Shares, which commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are in conformity with generally accepted accounting principles and are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities exchanges or reported through the NASDAQ system are valued at last sales prices. Unlisted securities or listed securities for which last sale prices are not available are valued at last quoted bid prices. Debt securities (other than short-term obligations maturing in sixty days or less), are valued on the basis of valuations furnished by pricing services approved by the Board of Trustees which take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations, maturity in sixty days or less, are valued at amortized cost, which constitues fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2000, the Fund, for federal income tax purposes, had a capital loss carryover of $17,590, which will expire on December 31, 2008. Such capital loss carryover will reduce the Fund's taxable income arising from future net realized gain on investment transactions, if any, to the extent permitted by the Internal Revenue code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. 28 CITI SMALL CAP INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F. OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.30% of the Fund's average daily net assets. SSBC has delegated the daily management of the Fund to State Street Bank and Trust Company, which will act as a subadviser through its State Street Global Advisors division. The management fees paid to SSBCamounted to $13,302, of which $11,085 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. acts as the Fund distributor. Salomon Smith Barney Inc. ("SSB"), is a subsidiary of Salomon Smith Barney Holdings Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDS is responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $7,584 to CFTC. Pursuant to a Distribution Plan, the Fund pays a service fee with respect to Smith Barney Shares calculated at an annual rate of 0.20% of the average daily net assets. The Service fee amounted to $114 for the period ended December 31, 2000. 29 CITI SMALL CAP INDEX FUND NOTES TO FINANCIAL STATEMENTS 4. PURCHASE AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $16,211,368 and $1,291,188, respectively, for the year ended December 31, 2000. 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $14,941,446 ================================================================================ Gross unrealized appreciation $ 1,632,594 Gross unrealized depreciation (2,925,982) - -------------------------------------------------------------------------------- Net unrealized depreciation $(1,293,388) ================================================================================ 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional Shares of Beneficial Interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ SMITH BARNEY SHARES* Shares sold 42,445 Shares issued to shareholders from reinvestment of distributions 47 Shares repurchased (10,387) - -------------------------------------------------------------------------------- Net increase 32,105 ================================================================================ CITI SHARES** Shares sold 1,500,049 Shares issued to shareholders from reinvestment of dividends 3,761 Shares repurchased (42,206) - -------------------------------------------------------------------------------- Net increase 1,461,604 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the expenses of the Fund for the year ended December 31, 2000, which amounted to $96,033. 30 CITI SMALL CAP INDEX FUND INDEPENDENT AUDITORS' REPORT TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF THE CITI SMALL CAP INDEX FUND We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi Small Cap Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the custodian. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi Small Cap Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 31 THIS PAGE INTENTIONALLY LEFT BLANK. TRUSTEES AND OFFICERS Elliot J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon*, PRESIDENT Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi Small Cap Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi Small Cap Index Fund. (C)2001 Citicorp [RECYCLED LOGO] Printed on recycled paper FD02216 2/01 ANNUAL REPORT DECEMBER 31, 2000 SMITH BARNEY U.S. 1000 INDEX SHARES A CLASS OF SHARES OF CITI U.S. 1000 INDEX FUND [CifiFund Logo] --------------- INDEX SERIES - -------------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE - -------------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Our Shareholders 1 - -------------------------------------------------------------------------------- Portfolio Environment and Outlook 2 - -------------------------------------------------------------------------------- Fund Facts 4 - -------------------------------------------------------------------------------- Fund Performance 5 - -------------------------------------------------------------------------------- Portfolio Highlights 6 - -------------------------------------------------------------------------------- Portfolio of Investments 7 - -------------------------------------------------------------------------------- Statement of Assets and Liabilities 20 - -------------------------------------------------------------------------------- Statement of Operations 21 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets 22 - -------------------------------------------------------------------------------- Financial Highlights 23 - -------------------------------------------------------------------------------- Notes to Financial Statements 24 - -------------------------------------------------------------------------------- Independent Auditors' Report 27 - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS [Photo Omitted] Dear Shareholder: We are pleased to present the annual report for the Citi(SM) U.S. 1000 Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the appropriate sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Russell 1000(R) Index. The Russell 1000 Index measures the performance of the 1,000 largest U.S. public companies based on total market capitalization. Thank you for your investment in the Smith Barney U.S. 1000 Index Shares, a class of shares of the Citi U.S. 1000 Index Fund. Sincerely, /s/ Heath B. McLendon - --------------------- Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from inception on September 11, 2000 through December 31, 2000, Smith Barney Shares produced a total return of negative 11.40%. In comparison, the Russell 1000 Index ("the Index") returned negative 11.60% over the same period. While the Fund outperformed the Index during this period, we want to point out that this is unusual. Over the long term, the Fund aims to achieve returns that replicate those of the Index. However, since the Fund has fees and expenses which the Index does not, the Fund's performance may slightly lag that of the Index. Investors in index funds such as this Fund should remember that the performance of the Fund is intended to correspond to the performance of its Index in good and bad markets over the short and long term. TO A LARGE DEGREE, THE PERFORMANCE OF THE RUSSELL 1000 INDEX OVER THE PAST YEAR REFLECTED BROADER TRENDS IN THE U.S. ECONOMY. When the U.S. economy was growing robustly during the first half of 2000, the stock market also generally grew. The market leaders early in this period were the growth(1) stocks that many investors expected would benefit much from a strong economy. However, the Federal Reserve Board (the "Fed") moved toward a more restrictive monetary policy during the first six months of 2000, raising short-term interest rates three times for a total increase of 1%, in an effort to constrain economic growth and forestall long-dormant inflationary pressures. THE FED'S MONETARY POLICIES APPARENTLY WERE EFFECTIVE, BECAUSE THE SECOND HALF OF 2000 SAW AN ECONOMIC SLOWDOWN IN THE U.S. With these slowing economic conditions, many investors sold growth stocks amid growing concerns that a slower U.S. economy might adversely affect corporate earnings. Investor sentiment shifted instead to long-neglected value(2) stocks that some believed were selling at more reasonable prices relative to their earnings. THESE SHIFTS IN ECONOMIC GROWTH, MONETARY POLICY AND INVESTOR SENTIMENT MADE 2000 A HIGHLY VOLATILE YEAR FOR THE U.S. STOCK MARKET, INCLUDING THE LARGE-CAPITALIZATION AND MID-CAPITALIZATION STOCKS THAT COMPRISE THE INDEX. In fact, performance was widely divergent between the top 500 stocks (large capitalization stocks) and bottom 500 stocks (mid capitalization stocks) in the Index, with mid-cap stocks providing better overall returns. Some suspect that many investors, in their search for share price appreciation, turned away from the largest, best-known and most highly-valued companies and toward smaller, lesser-known companies. PERHAPS ONE OF THE MOST NOTABLE STOCK MARKET TRENDS OF 2000 WAS THE SHARP DECLINE IN STOCK PRICES AMONG TECHNOLOGY AND TELECOMMUNICATIONS COMPANIES THAT WERE PREVIOUSLY STOCK MARKET LEADERS. After five years of producing annualized gains of more than 20%, the technology-laden Nasdaq Composite Index (which shares some components with the Russell 1000 Index) fell nearly 50% between its March 2000 high and its December 2000 low. Many analysts attribute the technol- (1) Growth stocks are shares of companies with the potential for faster-than-average growth within their industries. (2) Value stocks are shares of companies that are considered to be inexpensive relative to their asset values or earning power. 2 ogy industry group's weakness to unrestrained investor enthusiasm for companies that they believed would prosper in the "New Economy."(3) During 1999, many investors bid up the prices of such stocks to extremely high valuations and some investment professionals thought this was a speculative bubble just waiting to burst. Among the beneficiaries of this early investor enthusiasm for technology were many Internet-related companies that had yet to earn profits, but were the subject of popular speculation that they might one day become industry leaders. THE ENTHUSIASM FOR TECHNOLOGY STOCKS CONTINUED INTO THE FIRST QUARTER OF 2000, WHILE OTHER AREAS OF THE STOCK MARKET LANGUISHED. For example, some value-oriented industry groups, such as healthcare, energy and consumer stocks, generally declined in January, February and the first half of March 2000 because of a general lack of investor interest. By the end of the first quarter, rising short-term interest rates had put pressure on corporate profitability. This led to a series of earnings disappointments by companies in a range of industries that continued throughout the year. This new environment of slower growth hit the technology sector particularly hard. Investors who had given little scrutiny to such "old school" fundamentals as price to earnings ratios suddenly became concerned that technology stock valuations had risen too far, too fast. Investors were quick to sell what they deemed to be overvalued technology stocks, which fell sharply in April 2000. When it later appeared that the U.S. economy was slowing and inflation was likely to remain subdued, some investors shifted assets to stocks that tend to do well in a slower growth economy, including financial services companies and healthcare providers. In addition, investors favored energy stocks because of the positive effects on corporate earnings from rising crude oil prices. DESPITE A SUMMER RALLY, TECHNOLOGY STOCKS AGAIN DECLINED IN NOVEMBER AND DECEMBER 2000, TRIGGERING A "FLIGHT TO QUALITY" THAT BENEFITED MAINLY HIGH-QUALITY BONDS AND RELATIVELY DEFENSIVE, VALUE-ORIENTED STOCKS. Indeed, by the end of December 2000, some beaten-down technology stocks had reached valuations that made them attractive to some value-oriented investors. On the other hand, such as traditional value-oriented sectors continued to attract more capital, benefiting consumer and healthcare stocks. Financial shares ended the year on a particularly strong note when the Fed hinted that it might cut rates in 2001. (3) The New Economy represents those companies in the technology, telecommunications, and Internet sectors. 3 FUND FACTS FUND OBJECTIVE The Fund's goal is to provide investment results that, before fees and expenses, correspond to the performance of the Russell 1000 Index. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Paid semi-annually, if any SUBADVISER CAPITAL GAINS State Street Bank Distributed annually, if any and Trust Company through its State Street Global Advisor division NET ASSETS AS OF 12/31/00 INDEX Smith Barney Shares o Russell 1000 Index $230,837 4 FUND PERFORMANCE TOTAL RETURNS SINCE ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* - ------------------------------------------------------------------------------- Smith Barney Shares (11.40)% Russell 1000 Index (11.60)% * Not Annualized GROWTH OF $10,000 INVESTED IN THE SMITH BARNEY SHARES VS. RUSSELL 1000 INDEX SEPTEMBER 11, 2000 (COMMENCEMENT OF OPERATIONS) - DECEMBER 31, 2000. [Data below represents line chart in the printed piece] Smith Barney Russell 1000 Shares Index ------------ ------------ 09/11/00 10000 10000 09/30/00 9738 9732 10/31/00 9617 9614 11/30/00 8799 9735 12/31/00 8860 8840 A $10,000 investment in the Smith Barney Share class of the Fund made on inception date would have been $8,860 (as of 12/31/00). The graph shows how the performance compares to the Index, its benchmark, over the same period. The graph assumes all dividends and distributions are reinvested at Net Asset Value. Note: All Fund performance numbers represent past performance and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. The Russell 1000(R) Index is a trademark/service mark of the Frank Russell Company. Russell(TM) is a trademark of the Frank Russell Company. The Fund is not sponsored, endorsed, sold or promoted by the sponsor of the Index, and the sponsor of the Index is not in any way affiliated with the Fund. The sponsor of the Index makes no representation or warranty, implied or express, regarding the advisability of investing in the Fund. 5 PORTFOLIO HIGHLIGHTS ================================================================================ TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS - -------------------------------------------------------------------------------- General Electric Co., Industrial Conglomerates 3.97% - -------------------------------------------------------------------------------- Exxon Mobil Corp., Integrated Oil 2.52% - -------------------------------------------------------------------------------- Pfizer Inc., Pharmaceuticals: Major 2.43% - -------------------------------------------------------------------------------- Cisco Systems Inc., Computer Communications 2.29% - -------------------------------------------------------------------------------- Citigroup Inc., Financial Conglomerates 2.14% - -------------------------------------------------------------------------------- Merck & Co. Inc., Pharmaceuticals: Major 1.80% - -------------------------------------------------------------------------------- Intel Corp., Semiconductors 1.68% - -------------------------------------------------------------------------------- American International Group Inc., Multi-Line Insurance 1.65% - -------------------------------------------------------------------------------- Microsoft Corp., Packaged Software 1.44% - -------------------------------------------------------------------------------- SBC Communications Inc., Major Telecommunications 1.35% - -------------------------------------------------------------------------------- 6 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCK -- 99.6% - ------------------------------------------------------------------------------ ADVERTISING/MARKETING SERVICES -- 0.4% - ------------------------------------------------------------------------------ Catalina Marketing Corp* 49 $ 1,908 DoubleClick Inc* 100 1,100 Dun & Bradstreet Corp* 88 2,277 Getty Images Inc* 40 1,280 Interpublic Group of Companies Inc 335 14,258 Lamar Advertising Co* 52 2,007 Omnicom Group Inc 200 16,575 TMP Worldwide Inc* 66 3,630 True North Communications Inc 51 2,167 Valassis Communications Inc 100 3,156 --------- 48,358 --------- AEROSPACE & DEFENSE -- 1.2% - ------------------------------------------------------------------------------ Boeing Co 966 63,756 General Dynamics Corp 168 13,104 General Motors Corp 583 29,697 Goodrich (B.F.) Co 100 3,637 L 3 Communications Holding Corp 34 2,618 Litton Industries Inc 36 2,833 Lockheed Martin Corp 400 13,580 Northrop Grumman Corp 73 6,059 Raytheon Co-Class B 400 12,425 Textron Inc 130 6,045 Titan Corp* 100 1,625 --------- 155,379 --------- AGRICULTURAL COMMODITIES/MILLING -- 0.1% - ------------------------------------------------------------------------------ Archer-Daniels-Midland Co 700 10,500 --------- AIR FREIGHT/COURIERS -- 0.2% - ------------------------------------------------------------------------------ C.H. Robinson Worldwide Inc 92 2,892 Expeditores International Washington Inc 49 2,631 FedEx Corp* 300 11,988 United Parcel Service Inc 100 5,881 --------- 23,392 --------- AIRLINES -- 0.3% - ------------------------------------------------------------------------------ AMR Corp 200 7,838 Continental Airlines Inc* 38 1,962 Delta Air Lines Inc 134 6,725 Southwest Airlines Co 546 18,307 UAL Corp 100 3,894 US Airways Group Inc 100 4,056 --------- 42,782 --------- ALTERNATIVE POWER GENERATION -- 0.2% - ------------------------------------------------------------------------------ AES Corp 338 18,717 Calpine Corp* 285 12,843 --------- 31,560 --------- ALUMINUM -- 0.2% - ------------------------------------------------------------------------------ Alcoa Inc 941 31,524 --------- APPAREL/FOOTWEAR -- 0.2% - ------------------------------------------------------------------------------ Cintas Corp 129 6,861 Jones Apparel Group Inc* 100 3,219 Liz Claiborne Inc 53 2,206 NIKE Inc 100 5,581 VF Corp 100 3,624 --------- 21,491 --------- APPAREL/FOOTWEAR RETAIL -- 0.3% - ------------------------------------------------------------------------------ Gap Inc 600 15,300 Intimate Brands Inc 100 1,500 Limited Inc 300 5,119 Nordstrom Inc 100 1,819 Ross Stores Inc 100 1,687 TJX Copanies Inc 300 8,325 --------- 33,750 --------- AUTO PARTS: OEM -- 0.2% - ------------------------------------------------------------------------------ Autoliv Inc 100 1,594 Dana Corp 200 3,062 Delphi Automotive System 600 6,750 Eaton Corp 72 5,413 Gentex Corp* 100 1,862 Johnson Controls Inc 100 5,200 TRW Inc 100 3,875 Visteon Corp 100 1,150 --------- 28,906 --------- AUTOMOTIVE AFTERMARKET -- 0.1% - ------------------------------------------------------------------------------ Goodyear Tire & Rubber Co 200 4,598 SPX Corp 34 3,678 --------- 8,276 --------- BEVERAGES: ALCOHOLIC -- 0.4% - ------------------------------------------------------------------------------ Anheuser-Busch Cos Inc 981 44,636 Brown-Forman Corp -- Cl B 48 3,192 --------- 47,828 --------- BEVERAGES: NON-ALCOHOLIC -- 1.7% - ------------------------------------------------------------------------------ Coca-Cola Co 2,179 132,783 Coca-Cola Enterprises Inc 300 5,700 Pepsi Bottling Group Inc 100 3,994 7 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ BEVERAGES: NON-ALCOHOLIC -- CONT'D - ------------------------------------------------------------------------------ PepsiCo Inc 1,570 $ 77,813 Whitman Corp* 100 1,637 --------- 221,927 --------- BIOTECHNOLOGY -- 1.8% - ------------------------------------------------------------------------------ Abgenix Inc* 68 4,016 Affymetrix Inc* 42 3,126 Alkermes Inc* 100 3,138 Amgen Inc* 1,118 71,482 Applera Corp-Applied Biosystems 228 21,446 Biogen Inc* 151 9,069 Celgene Corp* 100 3,250 Cephalon Inc* 44 2,786 Chiron Corp* 100 4,450 COR Therapeutics Inc* 50 1,759 Genentech Inc* 235 19,153 Genzyme Corp* 100 8,994 Gilead Sciences Inc* 48 3,981 Human Genome Sciences Inc* 131 9,080 ICOS Corporation* 45 2,337 IDEC Pharmaceuticals Corp 35 6,635 ImClone Systems Inc* 100 4,400 Immunex Corp* 253 10,278 Incyte Genomics Inc* 100 2,487 Medarex Inc* 100 4,075 MedImmune Inc* 229 10,920 Millennium Pharmaceuticals* 200 12,375 Protein Design Labs Inc* 47 4,083 Techne Corp* 45 1,623 Vertex Pharmaceuticals Inc* 60 4,290 --------- 229,233 --------- BROADCASTING -- 0.4% - ------------------------------------------------------------------------------ Chris-Craft Industries Inc* 18 1,197 Clear Channel Communications* 523 25,333 Hispanic Broadcasting Corp* 100 2,550 Infinity Broadcasting Corp--Cl A* 340 9,499 Radio One Inc--Cl A* 100 1,069 Univision Communications Inc* 200 8,187 USA Networks Inc* 100 1,944 Westwood One Inc 100 1,931 --------- 51,710 --------- BUILDING PRODUCTS -- 0.1% - ------------------------------------------------------------------------------ American Standard Co Inc* 100 4,931 Masco Corp 500 12,844 --------- 17,775 --------- CABLE/SATELLITE TV -- 0.8% - ------------------------------------------------------------------------------ Adelphia Communications Corp--Cl A* 100 5,163 AT&T Corp-Liberty Media* 2,805 38,043 Cablevision Systems Corp--Cl A* 100 8,494 Charter Communications Inc--Cl A* 100 2,269 Comcast Corp* 973 40,623 Cox Communications Inc- Cl A* 147 6,845 Echostar Communications Corp* 100 2,275 UnitedGlobalCom Inc--Cl A* 100 1,362 --------- 105,074 --------- CASINOS/GAMING -- 0.1% - ------------------------------------------------------------------------------ Harrah's Entertainment Inc* 100 2,638 Mandalay Resort Group* 100 2,194 MGM Mirage Inc 100 2,819 Park Place Entertainment Corp* 300 3,581 --------- 11,232 --------- CATALOG/SPECIALTY DISTRIBUTION -- 0.0% - ------------------------------------------------------------------------------ CDW Computer Centers Inc* 51 1,422 --------- CHEMICALS: AGRICULTURAL -- 0.0% - ------------------------------------------------------------------------------ IMC Global Inc 100 1,556 --------- CHEMICALS: MAJOR DIVERSIFIED -- 0.7% - ------------------------------------------------------------------------------ Dow Chemical Co 738 27,029 Du Pont (E.I.) De Nemours & Co 1,048 50,632 Eastman Chemical Co 100 4,875 Hercules Inc 100 1,906 Rohm and Haas Co 100 3,631 Union Carbide Corp 131 7,049 --------- 95,122 --------- CHEMICALS: SPECIALTY -- 0.2% - ------------------------------------------------------------------------------ Air Products & Chemicals Inc 249 10,209 Cabot Corp 100 2,638 Engelhard Corp 100 2,037 FMC Corp 27 1,936 Lyondell Chemical Co 100 1,531 Praxair Inc 200 8,875 Sigma-Aldrich 100 3,931 --------- 31,157 --------- COAL -- 0.0% - ------------------------------------------------------------------------------ Massey Energy Company 100 1,275 --------- 8 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ COMMERCIAL PRINTING/FORMS -- 0.1% - ------------------------------------------------------------------------------ Deluxe Corp 100 $ 2,527 Donnelley (R.R.) & Sons Co 100 2,700 --------- 5,227 --------- COMPUTER COMMUNICATIONS -- 2.9% - ------------------------------------------------------------------------------ 3Com Corp 400 3,400 Adaptec Inc* 100 1,025 Avaya Inc* 303 3,125 Brocade Communications Systems Inc* 240 22,035 Cabletron Systems Inc* 200 3,013 Cisco Systems Inc* 7,790 297,967 Emulex Corp* 74 5,915 Extreme Networks Inc* 49 1,917 Finisar Corp* 100 2,900 Foundry Networks Inc* 100 1,500 Juniper Networks Inc* 224 28,238 Redback Networks Inc* 116 4,756 --------- 375,791 --------- COMPUTER PERIPHERALS -- 1.6% - ------------------------------------------------------------------------------ Eletronics For Imaging Inc* 100 1,394 EMC Corp 2,371 157,672 Jack Henry & Associates Inc 33 2,050 Lexmark International Inc* 141 6,248 Network Appliance Inc* 344 22,081 QLogic Corp* 100 7,700 Quantum Corp-DLT & Storage* 200 2,662 Symbol Technologies Inc 159 5,724 --------- 205,531 --------- COMPUTER PROCESSING HARDWARE -- 3.2% - ------------------------------------------------------------------------------ Apple Computer Inc 400 5,950 Compaq Computer Corp 1,800 27,090 Dell Computer Corp* 2,393 41,728 Gateway Inc* 200 3,598 Hewlett-Packard Co 1,798 56,749 International Business Machines Corp 1,908 162,180 NCR Corp * 100 4,912 Palm Inc* 600 16,987 Sun Microsystems Inc* 3,500 97,562 --------- 416,756 --------- CONSTRUCTION MATERIALS -- 0.1% - ------------------------------------------------------------------------------ Martin Marietta Materials Inc 48 2,030 Vulcan Materials Co 100 4,787 --------- 6,817 --------- CONTAINERS/PACKAGING -- 0.1% - ------------------------------------------------------------------------------ Bemis Co Inc 100 3,356 Crown Cork & Seal Co Inc 100 744 Owens-Illinois Inc* 200 1,137 Sealed Air Corp* 100 3,050 Smurfit-Stone Container Corp* 100 1,494 Sonoco Products Co 100 2,162 Temple-Inland Inc 46 2,467 --------- 14,410 --------- CONTRACT DRILLING -- 0.4% - ------------------------------------------------------------------------------ Diamond Offshore Drilling Inc 100 4,000 ENSCO International Inc 200 6,813 Global Marine Inc 200 5,675 Helmerich & Payne Inc 100 4,388 Marine Drilling Cos Inc* 100 2,675 Nabors Industries Inc* 143 8,458 Noble Drilling Corp* 146 6,342 Pride International Inc* 100 2,462 R&B Falcon Corp* 200 4,588 Rowan Companies Inc 100 2,700 --------- 48,101 --------- DATA PROCESSING SERVICES -- 0.8% - ------------------------------------------------------------------------------ Acxiom Corp* 100 3,894 Affiliated Computer Services Inc* 39 2,367 Automatic Data Processing Inc 686 43,432 Bisys Group Inc* 62 3,232 Ceridian Corp 100 1,994 CSG Systems International Inc* 54 2,535 DST Systems Inc* 75 5,025 First Data Corp 441 23,235 Fiserv Inc 135 6,404 Paychex Inc 337 16,387 --------- 108,505 --------- DEPARTMENT STORES -- 0.4% - ------------------------------------------------------------------------------ Federated Dept Stores Inc* 200 7,000 J.C. Penney Company Inc 300 3,262 Kohl's Corp 326 19,886 May Department Stores Co 300 9,825 Saks Incorporated* 200 2,000 Sears Roebuck & Co 300 10,425 --------- 52,398 --------- DISCOUNT STORES -- 1.7% - ------------------------------------------------------------------------------ BJ's Wholesales Club Inc* 100 3,838 Consolidated Stores Corp* 100 1,063 Costco Wholesales Corp 500 19,969 9 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ DISCOUNT STORES -- CONT'D - ------------------------------------------------------------------------------ Dollar General Corp 200 $ 3,775 Dollar Tree Stores Inc* 100 2,450 Family Dollar Stores Inc 200 4,288 KMart Corp 500 2,656 Target Corp 982 31,669 Wal-Mart Stores Inc 2,967 157,622 --------- 227,330 --------- DRUGSTORE CHAINS -- 0.6% - ------------------------------------------------------------------------------ CVS Corp 426 25,533 Rite Aid Corp 400 950 Walgreen Co 1,102 46,077 --------- 72,560 --------- ELECTRIC UTILITIES -- 2.5% - ------------------------------------------------------------------------------ Allegheny Energy Inc 100 4,819 Alliant Energy Corp 100 3,188 Ameren Corp 149 6,900 American Electric Power Inc 349 16,229 Cinergy Corp 200 7,025 CMS Energy Corp 100 3,169 Consolidated Edison Inc 200 7,700 Constellation Energy Group 153 6,895 Dominion Resources Inc 243 16,281 DPL Inc 140 4,646 DQE Inc 100 3,275 DTE Energy Co 146 5,685 Duke Energy Corp 400 34,100 Edison International 400 6,250 Energy East Corp 100 1,969 Entergy Corp 239 10,113 Exelon Corp 346 24,293 FirstEnergy Corp 248 7,828 FPL Group Inc 200 14,350 GPU Inc 100 3,681 IPALCO Enterprises Inc 100 2,419 Montana Power Co 100 2,075 Niagara Mohawk Holdings Inc 200 3,337 NiSource Inc 219 6,734 Northeast Utilities 200 4,850 NSTAR 100 4,287 PG&E Corporation 400 8,000 Pinnacle West Capital Corp 100 4,762 Potomac Electric Power Co 100 2,471 PPL Corporation 148 6,688 Progress Energy Inc 221 10,870 Public Service Enterprise Group 233 11,330 Puget Energy Inc 100 2,781 Reliant Energy Inc 250 10,828 SCANA Corp 100 2,956 Southern Co 700 23,275 TECO Energy Inc 100 3,237 TXU Corporation 300 13,294 UtiliCorp United Inc 100 3,100 Wisconsin Energy Corp 100 2,256 Xcel Energy Inc 400 11,625 --------- 329,571 --------- ELECTRICAL PRODUCTS -- 0.5% - ------------------------------------------------------------------------------ American Power Conversion Corp* 200 2,475 Cooper Industries Inc 100 4,594 Emerson Electric Co 464 36,569 Energizer Holdings Inc* 100 2,138 Hubbell Inc--Cl B 100 2,650 Jabil Circuit Inc* 100 2,537 Molex Inc 143 5,077 Power-One Inc* 53 2,084 Thomas & Betts Corp 100 1,619 --------- 59,743 --------- ELECTRONIC COMPONENTS -- 0.4% - ------------------------------------------------------------------------------ Amphenol Corp--Cl A* 42 1,646 Cree Inc* 66 2,345 KEMET Corp* 100 1,512 Kopin Corp 100 1,106 NVIDIACorp* 50 1,638 Rambus Inc * 100 3,613 SanDisk Corp* 53 1,471 Sanmina Corp* 156 11,953 Sawtek Inc* 27 1,247 Solectron Corp* 600 20,340 Vishay Intertechnology Inc* 100 1,512 --------- 48,383 --------- ELECTRONIC EQUIPMENT/INSTRUMENTS -- 0.8% - ------------------------------------------------------------------------------ Agilent Technologies Inc* 493 26,992 Diebold Inc 100 3,338 JDS Uniphase Corp* 856 35,685 Macrovision Corp* 39 2,887 Newport Corp 33 2,594 PerkinElmer Inc 50 5,250 Rockwell International Corp 157 7,477 SCI Systems Inc* 200 5,275 Tektronix Inc 90 3,032 Waters Corporation* 141 11,773 Xerox Corp 700 3,237 --------- 107,540 --------- ELECTRONIC PRODUCTION EQUIPMENT -- 0.5% - ------------------------------------------------------------------------------ Amkor Technology Inc* 100 1,552 Applied Materials Inc* 878 33,529 Credence Systems Corp* 100 2,300 KLA-Tencor Corp* 200 6,738 Lam Research Corp* 100 1,450 Novellus Systems Inc* 143 5,139 10 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ ELECTRONIC PRODUCTION EQUIPMENT -- CONT'D - ------------------------------------------------------------------------------ Synopsys Inc* 58 $ 2,751 Teradyne Inc* 200 7,450 --------- 60,909 --------- ELECTRONICS DISTRIBUTORS -- 0.1% - ------------------------------------------------------------------------------ Arrow Electronics Inc 100 2,863 Avnet Inc 100 2,150 Ingram Micro Inc--Cl A* 100 1,125 Safeguard Scientifics Inc* 100 662 Tech Data Corp* 100 2,705 --------- 9,505 --------- ELECTRONICS/APPLIANCE STORES -- 0.1% - ------------------------------------------------------------------------------ Best Buy Co Inc* 200 5,913 Circuit City Stores Inc 200 2,300 RadioShack Corp 200 8,562 --------- 16,775 --------- ELECTRONICS/APPLIANCES -- 0.1% - ------------------------------------------------------------------------------ Dycom Industries Inc* 46 1,653 Fluor Corp* 100 3,306 Maytag Corp 100 3,231 Spectrasite Holdings Inc* 100 1,325 Whirlpool Corp 100 4,769 --------- 14,284 --------- ENVIRONMENTAL SERVICES -- 0.2% - ------------------------------------------------------------------------------ Allied Waste Industries Inc* 200 2,913 Republic Services Inc* 200 3,437 Waste Management Inc 700 19,425 - ------------------------------------------------------------------------------ 25,775 - ------------------------------------------------------------------------------ FINANCE/RENTAL/LEASING -- 2.0% - ------------------------------------------------------------------------------ Capital One Financial Corp 200 13,162 CIT Group Inc--Cl A 200 4,025 Comdisco Inc 100 1,144 Countrywide Credit Industries Inc 100 5,025 Fannie Mae 1,108 96,119 Freddie Mac 754 51,932 GATX Corp 49 2,444 Household International Inc 500 27,500 MBNA Corp 800 29,550 Providian Financial Corp 292 16,790 USA Education Inc 168 11,424 --------- 259,115 --------- FINANCIAL CONGLOMERATES -- 2.8% - ------------------------------------------------------------------------------ American Express Co 1,446 79,440 Citigroup Inc 5,466 279,108 Conseco Inc 300 3,956 John Hancock Financial Services 100 3,763 --------- 366,267 --------- FINANCIAL PUBLISHING/SERVICES -- 0.3% - ------------------------------------------------------------------------------ Aether Systems Inc* 23 900 Equifax Inc 144 4,131 McGraw-Hill Companies Inc 200 11,725 Moody's Corp 200 5,138 SEI Investments Company 41 4,592 SunGard Data Systems Inc* 143 6,739 --------- 33,225 --------- FOOD DISTRIBUTORS -- 0.2% - ------------------------------------------------------------------------------ SUPERVALU INC 100 1,387 Sysco Corp 728 21,840 --------- 23,227 --------- FOOD RETAIL -- 0.5% - ------------------------------------------------------------------------------ Albertson' s Inc 300 7,950 Delhaize America Inc 100 1,800 Kroger Co 900 24,356 Safeway Inc* 500 31,250 Winn-Dixie Stores Inc 100 1,937 --------- 67,293 --------- FOOD: MAJOR DIVERSIFIED -- 0.7% - ------------------------------------------------------------------------------ Adolph Coors Co-Cl B 39 3,132 Campbell Soup Co 300 10,388 General Mills Inc 300 13,369 Heinz (H.J.) Co 354 16,793 Kellogg Co 200 5,250 Quaker Oats Co 143 13,925 Ralston Purina Group 300 7,837 Sara Lee Corp 900 22,106 - ------------------------------------------------------------------------------ 92,800 - ------------------------------------------------------------------------------ FOOD: MEAT/FISH/DAIRY -- 0.2% - ------------------------------------------------------------------------------ ConAgra Foods Inc 600 15,600 Hormel Foods Corp 100 1,863 IBP Inc 100 2,675 Tyson Foods Inc 100 1,275 --------- 21,413 --------- FOOD: SPECIALTY/CANDY -- 0.2% - ------------------------------------------------------------------------------ Flowers Industries Inc 100 1,575 Hershey Foods Corp 100 6,438 McCormick & Co Inc 100 3,606 Tootsie Roll Industries Inc 37 1,704 William Wrigley Jr. Co 100 9,581 --------- 22,904 --------- 11 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ FOREST PRODUCTS -- 0.2% - ----------------------------------------------------------------------------- Georgia-Pacific Corp 252 $ 7,843 Plum Creek Timber Company Inc 100 2,600 Weyerhaeuser Co 231 11,723 --------- 22,166 --------- GAS DISTRIBUTORS -- 0.2% - ------------------------------------------------------------------------------ Equitable Resources Inc 35 2,336 KeySpan Corp 146 6,187 Kinder Morgan Inc 100 5,219 MCN Energy Group Inc 100 2,769 National Fuel Gas Co 43 2,706 NICOR Inc 50 2,159 Questar Corp 100 3,006 Sempra Energy 200 4,650 --------- 29,032 --------- HOME FURNISHINGS -- 0.1% - ------------------------------------------------------------------------------ Leggett & Platt Inc 200 3,787 Newell Rubbermaid Inc 300 6,825 Shaw Industries Inc 100 1,894 --------- 12,506 --------- HOME IMPROVEMENT CHAINS -- 1.0% - ------------------------------------------------------------------------------ Fastenal Co 30 1,646 Home Depot Inc 2,518 115,041 Lowe's Companies 351 15,619 --------- 132,306 --------- HOSPITAL/NURSING MANAGEMENT -- 0.4% - ------------------------------------------------------------------------------ HCA-The Healthcare Co 578 25,438 Health Management Associates Inc* 300 6,225 Tenet Healthcare Corp* 343 15,242 Universal Health Services--Cl B 26 2,905 --------- 49,810 --------- HOTELS/RESORTS/CRUISELINES -- 0.2% - ------------------------------------------------------------------------------ Hilton Hotels Corp 400 4,200 Marriott International Inc 200 8,450 Starwood Hotels & Resorts Worldwide Inc 200 7,050 --------- 19,700 --------- HOUSEHOLD/PERSONAL CARE -- 2.0% - ------------------------------------------------------------------------------ Avon Products Inc 243 11,634 --------- Clorox Co 241 8,556 Colgate-Palmolive Co 623 40,215 Estee Lauder Cos Inc-Cl A 100 4,381 Gillette Co 1,145 41,363 International Flavors & Fragrances 100 2,031 Kimberly-Clark Corp 581 41,071 Procter & Gamble Co 1,418 111,224 --------- 260,475 --------- INDUSTRIAL CONGLOMERATES -- 5.0% - ------------------------------------------------------------------------------ General Electric Co 10,775 516,527 Honeywell International Inc 867 41,020 Minnesota Minning & Manufacturing Co 429 51,695 United Technologies Corp 476 37,425 --------- 646,667 --------- INDUSTRIAL MACHINERY -- 0.2% - ------------------------------------------------------------------------------ Illinois Tool Works Inc 251 14,950 Ingersoll-Rand Co 155 6,491 Parker-Hannifin Corp 100 4,412 --------- 25,853 --------- INDUSTRIAL SPECIALTIES -- 0.2% - ------------------------------------------------------------------------------ Ecolab Inc 100 4,319 Millipore Corp 47 2,961 PPG Industries Inc 200 9,262 Sherwin-Williams Co 200 5,263 --------- 21,805 --------- INFORMATION TECHNOLOGY SERVICES -- 0.5% - ------------------------------------------------------------------------------ Citrix Systems Inc* 200 4,500 Computer Sciences Corp* 163 9,800 Electronic Data Systems Corp 440 25,410 Infonet Services Corp* 100 500 Keane Inc 100 975 marchFIRST Inc* 200 300 National Instruments Corp* 30 1,457 PeopleSoft Inc* 234 8,702 Reynolds & Reynolds-Cl A 100 2,025 RSA Security Inc* 41 2,168 Sapient Corpporation* 100 1,194 Unisys Corp 300 4,387 Wind River Systems Inc* 100 3,412 --------- 64,830 --------- INSURANCE BROKERS/SERVICES -- 0.4% - ------------------------------------------------------------------------------ Aon Corp 249 8,528 ChoicePoint Inc* 44 2,885 Marsh & Mclennan Cos Inc 295 34,515 --------- 45,928 --------- 12 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ INTEGRATED OIL -- 3.7% - ------------------------------------------------------------------------------ Amerada Hess Corp 100 $ 7,306 Chevron Corp 698 58,937 Conoco Inc-Cl B 700 20,256 Exxon Mobil Corp 3,780 328,624 Murphy Oil Corp 49 2,961 Phillips Petroleum Co 232 13,195 Texaco Inc 598 37,151 Unocal Corp 248 9,594 --------- 478,024 --------- INTERNET RETAIL -- 0.0% - ------------------------------------------------------------------------------ Amazon.Com Inc* 200 3,113 Webvan Group Inc* 200 94 --------- 3,207 --------- INTERNET SOFTWARE/SERVICES -- 0.8% - ------------------------------------------------------------------------------ Agile Software Corp* 27 1,333 Akamai Technologies Inc* 47 990 Ariba Inc* 169 9,063 Art Technology Group Inc* 100 3,056 At Home Corp-Ser A* 200 1,106 BEA Systems Inc* 400 26,925 BroadVision Inc* 200 2,363 CMGI Inc* 200 1,119 CNET Networks Inc* 100 1,598 Commerce One Inc* 200 5,062 Critical Path Inc* 50 1,538 Earthlink Inc* 100 503 Exodus Communications Inc* 500 10,000 InfoSpace Inc* 200 1,769 Inktomi Corp* 100 1,788 Internap Network Services Corp* 100 725 Internet Capital Group Inc* 200 656 Internet Security Systems Inc* 29 2,275 Kana Communications Inc* 100 1,150 Liberate Technologies Inc* 100 1,362 Openwave Systems Inc* 75 3,595 Portal Software Inc* 100 784 PSINet Inc* 200 144 RealNetworks Inc* 100 869 S1 Corporation* 100 525 VeriSign Inc* 200 14,837 VerticalNet Inc* 100 666 Vignette Corporation* 200 3,600 Vitria Technology Inc* 100 775 WebMethods Inc* 15 1,334 Yahoo! Inc* 300 9,052 --------- 110,562 --------- INVESTMENT BANKS/BROKERS -- 2.0% - ------------------------------------------------------------------------------ Ameritrade Holding Corp--Cl A* 100 700 Bear Stearns Cos Inc 100 5,069 Charles Schwab Corp 1,172 33,256 E.Piphany Inc* 72 3,883 Edwards (A.G.) Inc 100 4,744 Goldman Sachs Group Inc 200 21,387 Knight-Ridder Inc 100 5,688 Legg Mason Inc 100 5,450 Lehman Brothers Holdings Inc 248 16,771 Merrill Lynch & Co 876 59,732 Morgan Stanley Dean Witter & Co 1,239 98,191 --------- 254,871 --------- INVESTMENT MANAGERS -- 0.2% - ------------------------------------------------------------------------------ Federated Investers Inc--Cl B 100 2,913 Franklin Resources Inc 200 7,620 Neuberger Berman Inc 41 3,324 Stilwell Financial Inc 242 9,544 T.Rowe Price Group Inc 100 4,227 Waddell & Reed Financial Inc 100 3,762 --------- 31,390 --------- LIFE/HEALTH INSURANCE -- 0.7% - ------------------------------------------------------------------------------ AFLAC Inc 289 20,862 American General Corp 273 22,250 Jefferson-Pilot Corp 100 7,475 Lincoln National Corp 200 9,463 MetLife Inc 300 10,500 MONY Group Inc 48 2,373 Protective Life Corp 100 3,225 Torchmark Corp 137 5,266 Unumprovident Corp 200 5,375 --------- 86,789 --------- MAJOR BANKS -- 4.9% - ------------------------------------------------------------------------------ Bank of America Corp 1,788 82,025 Bank of New York Inc 803 44,316 Bank One Corp 1,257 46,038 BB&T Corp 400 14,925 Chase &Co 1,591 93,182 Comerica Inc 160 9,500 First Union Corp 1,065 29,620 FleetBoston Financial Corp 998 37,487 Huntington Bancshares 300 4,856 KeyCorp 500 14,000 Mellon Financial Corp 531 26,119 National City Corp 622 17,882 PNC Financial Services Group 300 21,919 13 CITI U.S 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ MAJOR BANKS -- CONT'D - ------------------------------------------------------------------------------ Popular Inc 148 $ 3,894 SouthTrust Corp 200 8,138 State Street Corp 176 21,861 Summit Bancorp 200 7,637 SunTrust Banks Inc 263 16,569 U.S. Bancorp 800 23,350 UnionBanCal Corp 100 2,406 Wachovia Corp 200 11,625 Wells Fargo & Company 1,865 103,857 --------- 641,206 --------- MAJOR TELECOMMUNICATIONS -- 4.4% - ------------------------------------------------------------------------------ Alltel Corp 340 21,229 AT&T Corp 4,084 70,704 Bellsouth Corp 2,031 83,144 Broadwing Inc* 200 4,563 NTL Incorporated* 300 7,181 RCN Corporation* 100 631 SBC Communications Inc 3,681 175,768 Sprint Corp 724 14,706 Verizon Communications Inc 2,958 148,270 WorldCom Inc* 3,131 44,030 --------- 570,226 --------- MANAGED HEALTH CARE -- 0.5% - ------------------------------------------------------------------------------ Aetna Inc* 144 5,913 CIGNA Corp 167 22,094 First Health Group Corp* 49 2,282 Oxford Health Plans Inc* 100 3,950 Trigon Healthcare Inc* 41 3,190 UnitedHealth Group Inc 356 21,849 Wellpoint Health Networks Inc* 64 7,376 --------- 66,654 --------- MARINE SHIPPING -- 0.0% - ------------------------------------------------------------------------------ Tidewater Inc 57 2,529 --------- MEDIA CONGLOMERATES -- 1.4% - ------------------------------------------------------------------------------ Disney Walt Co 2,267 65,601 Fox Entertainment Group Inc* 100 1,788 Time Warner Inc 1,190 62,166 Viacom Inc-Cl B* 1,166 54,510 --------- 184,065 --------- MEDICAL DISTRIBUTORS -- 0.3% - ------------------------------------------------------------------------------ Andrx Group* 41 2,373 Cardinal Health Inc 300 29,888 McKesson HBOC Inc 300 10,767 Patterson Dental Co* 100 3,388 --------- 46,416 --------- MEDICAL SPECIALTIES -- 1.5% - ------------------------------------------------------------------------------ Alza Corp* 200 8,500 Apogent Technologies Inc* 100 2,050 Applera Corp-Celera Genomics* 100 3,594 Bard (C.R.) Inc 52 2,421 Bausch & Lomb Inc 51 2,062 Baxter International Inc 318 28,083 Beckman Coulter Inc. 60 2,516 Becton Dickinson & Co 300 10,388 Biomet Inc 200 7,938 Boston Scientific Corp* 300 4,106 Cytyc Corporation* 41 2,565 DENTSPLY International Inc 48 1,878 Guidant Corp 334 18,015 Hillenbrand Industries Inc 49 2,523 Medtronic Inc 1,304 78,729 MiniMed Inc* 46 1,933 Pall Corp 100 2,131 St Jude Medical Inc 100 6,144 Stryker Corp 147 7,437 Sybron Dental Specialties* 33 557 --------- 193,570 --------- MEDICAL/NURSING SERVICES -- 0.0% - ------------------------------------------------------------------------------ HEALTHSOUTH Corp* 400 6,525 --------- MISCELLANEOUS COMMERCIAL SERVICES -- 0.2% - ------------------------------------------------------------------------------ CheckFree Corp* 54 2,295 Concord EFS Inc* 234 10,281 Galileo International Inc 100 2,000 Iron Mountain Inc* 40 1,485 Nova Corp* 100 1,994 Sabre Holdings Corp* 141 6,080 Viad Corp 100 2,300 --------- 26,435 --------- MISCELLANEOUS MANUFACTURING -- 0.0% - ------------------------------------------------------------------------------ Crane Co 100 2,844 Danaher Corp 100 6,838 Dover Corp 200 8,113 ITT Industries Inc 100 3,875 Pentair Inc 100 2,419 Thermo Electron Corp* 300 8,925 --------- 33,014 --------- MOTOR VEHICLES -- 0.6% - ------------------------------------------------------------------------------ Ford Motor Co 1,985 46,523 General Motors Corp--Cl H 750 17,250 Harley-Davidson Inc 330 13,117 --------- 76,890 --------- 14 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ MOVIES/ENTERTAINMENT -- 0.0% - ------------------------------------------------------------------------------ International Speedway Corp--Cl A 30 $ 1,140 Six Flags Inc 100 1,719 --------- 2,859 --------- MULTI-LINE INSURANCE -- 1.8% - ------------------------------------------------------------------------------ American International Group Inc 2,185 215,359 Hartford Financial Services Group 245 17,303 SAFECO Corp 100 3,287 Unitrin Inc 49 1,991 --------- 237,940 --------- OFFICE EQUIPMENT/SUPPLIES -- 0.2% - ------------------------------------------------------------------------------ Avery Dennison Corp 100 5,488 Herman Miller Inc 100 2,875 Pitney Bowes Inc 300 9,937 Steelcase Inc-Cl A 100 1,388 --------- 19,688 --------- OIL & GAS PIPELINES -- 1.0% - ------------------------------------------------------------------------------ Coastal Corp 200 17,663 Dynegy Inc--Cl A 247 13,847 El Paso Energy Corp 237 16,975 Enron Corp 803 66,749 Williams Cos Inc 500 19,969 --------- 135,203 --------- OIL & GAS PRODUCTION -- 0.6% - ------------------------------------------------------------------------------ Anadarko Petroleum Corp 254 18,054 Apache Corp 123 8,618 Burlington Resources Inc 234 11,817 Devon Energy Corporation 100 6,097 EOG Resources Inc 100 5,469 Kerr-McGee Corp 100 6,694 Newfield Exploration Co* 44 2,087 Noble Affiliates Inc 100 4,600 Occidental Petroleum Corp 400 9,700 Ocean Energy Inc* 200 3,475 --------- 76,611 --------- OIL REFINING/MARKETING -- 0.2% - ----------------------------------------------------------------------------- Ashland Inc 100 3,589 Sunoco Inc 100 3,369 Tosco Corp 200 6,787 Ultramar Diamond Shamrock Corp 100 3,087 USX-Marathon Group 300 8,325 Valero Energy Corp 100 3,719 --------- 28,876 --------- OILFIELD SERVICES/EQUIPMENT -- 0.5% - ------------------------------------------------------------------------------ Baker Hughes Inc 300 12,469 BJ Services Co* 100 6,888 Cooper Cameron Corp* 55 3,633 Global Industries Ltd* 100 1,369 Grant Prideco Inc* 100 2,194 Halliburton Co 500 18,125 Hanover Compressor Co* 100 4,456 National-Oilwell Inc* 100 3,869 Smith International Inc 52 3,877 Varco International Inc* 100 2,175 Weatherford International Inc* 100 4,725 --------- 63,780 --------- OTHER CONSUMER SERVICES -- 0.9% - ------------------------------------------------------------------------------ America Online Inc* 2,537 88,288 Apollo Group Inc--Cl A* 100 4,919 Block H & R Inc 100 4,138 Cendant Corp* 800 7,700 DeVry Inc* 100 3,775 eBay Inc* 134 4,422 HomeStore.Com Inc* 100 2,012 Priceline.Com Inc* 100 131 ServiceMaster Company 300 3,450 --------- 118,835 --------- OTHER CONSUMER SPECIALTIES -- 0.1% - ------------------------------------------------------------------------------ Fortune Brands Inc 200 6,000 --------- OTHER METALS/MINERALS -- 0.0% - ------------------------------------------------------------------------------ Phelps Dodge Corp 100 5,581 --------- PACKAGED SOFTWARE -- 3.8% - ------------------------------------------------------------------------------ Adobe Systems Inc. 246 14,314 Aspect Communications Inc* 100 805 Autodesk Inc 100 2,694 BMC Software Inc* 300 4,200 Cadence Design Systems Inc* 300 8,250 Computer Associats International Inc 500 9,750 Compuware Corp* 300 1,875 E*Trade Group Inc* 200 1,475 I2 Technologies Inc* 200 10,875 Informix Corp* 300 891 Intuit Inc* 200 7,887 Macromedia Inc* 54 3,281 Mercury Interactive Corp* 100 9,025 Micromuse Inc* 76 4,587 Microsoft Corp* 4,327 187,684 Networks Associatss Inc* 200 837 Novell Inc* 400 2,087 Oracle Corp* 4,626 134,443 15 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------- PACKAGED SOFTWARE -- CONT'D - ------------------------------------------------------------------------------- Parametric Technology Corp* 300 $ 4,031 Peregrine Systems Inc* 200 3,950 Rational Software Corp* 200 7,788 Red Hat Inc* 100 625 Siebel Systems Inc* 375 25,359 Sybase Inc* 100 1,981 Symantec Corp* 100 3,337 TIBCO Software Inc* 139 6,663 VERITAS Software Corp* 419 36,662 ---------- 495,356 ---------- PERSONNEL SERVICES -- 0.1% - ------------------------------------------------------------------------------- Manpower Inc 100 3,800 Robert Half International Inc 200 5,300 ---------- 9,100 ---------- PHARMACEUTICALS: GENERIC -- 0.1% - ------------------------------------------------------------------------------- ICN Pharmaceuticals Inc 100 3,069 IVAX Corp 142 5,439 Mylan Laboratories Inc 100 2,519 Watson Pharmaceuticals Inc* 100 5,119 ---------- 16,146 --------- PHARMACEUTICALS: MAJOR -- 10.1% - ------------------------------------------------------------------------------- Abbott Laboratories 1,682 81,472 American Home Products Corp 1,425 90,559 Bristol-Myers Squibb Co 2,126 157,191 Johnson & Johnson 1,511 158,749 Lilly (Eli) & Co 1,030 95,854 Merck & Co Inc 2,508 234,811 Pfizer Inc 6,865 315,790 Pharmacia Corporation 1,402 85,522 Schering-Plough Corp 1,590 90,232 ---------- 1,310,180 ---------- PHARMACEUTICALS: OTHER -- 0.3% - ------------------------------------------------------------------------------- Allergan Inc 143 13,844 Forest Laboratories Inc* 100 13,288 King Pharmaceuticals Inc* 137 7,081 Sepracor Inc* 71 5,689 ---------- 39,902 ---------- PRECIOUS METALS -- 0.0% - ------------------------------------------------------------------------------- Homestake Minning Co 300 1,256 Newmont Minning Corp 200 3,412 ---------- 4,668 ---------- PROPERTY/CASUALTY INSURANCE -- 0.7% - ------------------------------------------------------------------------------- Allmerica Financial Corp 54 3,915 Allstate Corp 795 34,632 Chubb Corp 179 15,483 Cincinnati Financial Corp 200 7,913 Erie Indemnity Co 100 2,981 Loews Corp 67 6,939 Old Republic International Corp 100 3,200 Progressive Corp 55 5,699 St Paul Companies Inc 235 12,763 Transatlantic Holdings Inc 19 2,012 ---------- 95,537 ---------- PUBLISHING: BOOKS/MAGAZINES -- 0.1% - ------------------------------------------------------------------------------- Harcourt General Inc 100 5,720 PRIMEDIA Inc* 200 2,387 Reader's Digest Association Inc--Cl A 100 3,912 ---------- 12,019 ---------- PUBLISHING: NEWSPAPERS -- 0.3% - ------------------------------------------------------------------------------- Belo (A.H.) Corp 100 1,600 Dow Jones & Co Inc 46 2,605 E.W. Scripps Co--Cl A 29 1,823 Gannett Co 300 18,919 Knight Trading Group Inc* 100 1,394 New York Times Co--Cl A 200 8,012 Tribune Co 200 8,450 Washington Post Co--Cl B 4 2,467 ---------- 45,270 ---------- PULP & PAPER -- 0.3% - ------------------------------------------------------------------------------- Boise Cascade Corp 100 3,363 Bowater Inc 51 2,875 Georgia-Pacific Timber Group 100 2,994 International Paper Co 500 20,406 Mead Corp 100 3,138 Westvaco Corp 100 2,919 Willamette Industries Inc 100 4,694 ---------- 40,389 ---------- RAILROADS -- 0.3% - ------------------------------------------------------------------------------- Burlington Northern Santa Fe Corp 400 11,325 CSX Corp 200 5,187 Kansas City Southern Industries Inc 100 1,013 Norfolk Southern Corp 400 5,325 Union Pacific Corp 253 12,840 ---------- 35,690 ---------- 16 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS -- 0.6% - ------------------------------------------------------------------------------ AMB Property Corp 100 $ 2,581 Apartment Investment & Management Co 100 4,994 Archstone Communities Trust 100 2,575 Avalonbay Communities Inc 100 5,013 Boston Properties Inc 100 4,350 CarrAmerica Realty Corp 100 3,131 Crescent Real Estate Equities 100 2,225 Duke-Weeks Realty Corp 100 2,462 Equity Office Propertys Trust 300 9,787 Equity Residential Propertys Trust 143 7,910 General Growth Properties Inc 100 3,619 Host Marriott Corp 200 2,587 iStar Financial Inc 100 1,969 Kimco Realty Corp 50 2,209 Liberty Property Trust 100 2,856 Mack-Cali Realty Corp 100 2,856 Post Properties Inc 43 1,615 ProLogis Trust 100 2,225 Public Storage Inc 100 2,431 Rouse Co 100 2,550 Simon Property Group Inc 100 2,400 Spieker Properties Inc 60 3,008 Vornado Realty Trust 100 3,831 --------- 79,184 --------- RECREATIONAL PRODUCTS -- 0.3% - ------------------------------------------------------------------------------ Brunswick Corp 100 1,644 Eastman Kodak Co 300 11,813 Electronic Arts Inc* 144 6,138 Hasbro Inc 200 2,125 International Game Technology 100 4,800 Mattel Inc 500 7,220 --------- 33,740 --------- REGIONAL BANKS -- 1.3% - ------------------------------------------------------------------------------ Amsouth Bancorporation 400 6,100 Associatsiated Banc-Corp 100 3,038 BancWest Corp 100 2,613 Banknorth Group Inc 200 3,988 Centura Banks Inc 43 2,075 City National Corp 44 1,708 Commerce Bancshares Inc 105 4,463 Compass Bancshares Inc 100 2,388 Fifth Third Bancorp 400 23,900 First Tennessee National Corp 100 2,894 First Virginia Bank Inc 47 2,256 Firstar Corp 1,000 23,250 FirstMerit Corp 100 2,673 Hibernia Corp-Cl A 200 2,550 M&T Bank Corp 100 6,800 Marshall & Ilsley Corp 100 5,083 Mercantile Bankshares Corp 100 4,319 National Commerce Bancorporation 200 4,950 North Fork Bancorporation Inc 200 4,912 Northern Trust Corp 227 18,515 Old Kent Financial Corp 149 6,519 Old National Bancorp Ind 100 2,994 Pacific Century Financial Corp 100 1,769 Regions Financial Corp 200 5,463 Synovus Financial Corp 300 8,081 TCF Financial Corp 100 4,456 Union Planters Corp 147 5,255 Valley National Bancorp 100 3,331 Wilmington Trust Corporation 35 2,172 Zions Bancorporation 100 6,244 --------- 174,759 --------- RESTAURANTS -- 0.6% - ------------------------------------------------------------------------------ Brinker International Inc* 100 4,225 Darden Restaurants Inc 100 2,287 McDonald's Corporation 1,426 48,484 Outback Steakhouse Inc* 100 2,588 Starbucks Corp* 200 8,850 Tricon Global Restaurants Inc* 200 6,600 Wendy's International Inc 100 2,625 --------- 75,659 --------- SAVINGS BANKS -- 0.5% - ------------------------------------------------------------------------------ Charter One Financial Inc 210 6,064 Dime Bancorp Inc 100 2,956 Golden State Bancorp Inc 100 3,144 Golden West Financial Corp 139 9,383 GreenPoint Financial Corp 100 4,094 Hudson City Bancorp Inc 100 2,025 Sovereign Bancorp Inc 200 1,625 Washington Mutual Inc 586 31,095 --------- 60,386 --------- SEMICONDUCTORS -- 4.0% - ------------------------------------------------------------------------------ Advanced Micro Devices Inc* 300 4,144 Alpha Industries Inc. 40 1,480 Altera Corp* 400 10,525 Analog Devices Inc* 389 19,912 Applied Micro Circuits Corp* 260 19,512 Atmel Corp* 400 4,650 17 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ SEMICONDUCTORS -- CONT'D - ------------------------------------------------------------------------------ Broadcom Corp--Cl A* 147 $ 12,348 Conexant Systems Inc* 249 3,828 Cypress Semiconductor Corp* 100 1,969 Dallas Semiconductor Corp 100 2,563 Fairchild Semiconductor International--Cl A* 100 1,444 GlobeSpan Inc* 37 1,018 Integrated Device Technology Inc* 100 3,312 Intel Corp 7,283 218,945 International Rectifier Corp* 100 3,000 Lattice Semiconductor Corp* 100 1,838 Linear Technology Corp 344 15,910 LSI Logic Corp* 300 5,127 Maxim Integrated Products Inc* 300 14,344 Micrel Inc* 100 3,369 Microchip Technology Inc* 150 3,291 Micron Technology Inc 500 17,750 National Semiconductor Corp* 200 4,025 PMC-Sierra Inc* 164 12,894 SDL Inc* 81 12,003 Semtech Corp* 100 2,206 Silicon Storage Technology Inc* 100 1,181 Texas Instruments Inc 1,881 89,112 TranSwitch Corp* 100 3,912 TriQuint Semiconductor Inc* 100 4,369 Vitesse Semiconductor Corp* 200 11,063 Xilinx Inc* 300 13,837 ---------- 524,881 ---------- SERVICES TO THE HEALTH INDUSTRY -- 0.1% - ------------------------------------------------------------------------------ Express Scripts Inc--Cl A* 23 2,352 IMS Health Inc 300 8,100 Quest Diagnostics Inc* 32 4,544 Quintiles Transnational Corp* 100 2,094 WebMD Corporation* 300 2,381 ---------- 19,471 ---------- SPECIALTY INSURANCE -- 0.2% - ------------------------------------------------------------------------------ Ambac Financial Group Inc 98 5,685 MBIA Inc 100 7,412 MGIC Investment Corp 100 6,744 PMI Group Inc 33 2,234 Radian Group Inc 38 2,852 ---------- 24,927 ---------- SPECIALTY STORES -- 0.2% - ------------------------------------------------------------------------------ Autonation Inc * 400 2,400 Autozone Inc* 100 2,850 Bed Bath & Beyond Inc* 300 6,713 Office Depot Inc 300 2,137 Staples Inc* 500 5,906 Tiffany & Co 148 4,680 Toys "R" Us Inc* 200 3,337 ---------- 28,023 ---------- SPECIALTY TELECOMMUNICATIONS -- 0.7% - ------------------------------------------------------------------------------ Allegiance Telecom Inc* 100 2,227 CenturyTel Inc 144 5,148 Citizens Communications Co 300 3,937 Covad Communications Group Inc* 200 331 Global TeleSystems Inc* 200 163 Level 3 Communications Inc* 300 9,844 McLeoduUSA Inc* 400 5,650 Metromedia Fiber Network Inc* 400 4,050 NorthPoint Communications Group* 100 34 PanAmSat Corp* 31 1,075 Qwest Communications International Inc* 1,107 45,387 Telephone & Data Systems Inc 53 4,770 Time Warner Telecom Inc* 56 3,553 Winstar Communications Inc* 100 1,169 XO Communications Inc* 400 7,125 ---------- 94,463 ---------- STEEL -- 0.1% - ------------------------------------------------------------------------------ Allegheny Technologies Inc 100 1,588 Nucor Corp 100 3,969 USX-U.S. Steel Group 100 1,800 ---------- 7,357 ---------- TELECOMMUNICATIONS EQUIPMENT -- 2.5% - ------------------------------------------------------------------------------ ADC Telecommunications Inc* 800 14,500 Advanced Fibre Communications* 100 1,806 American Tower Corp--Cl A 200 7,575 Andrew Corp* 100 2,175 CIENA Corp* 300 24,375 Commscope Inc* 100 1,656 Comverse Technology Inc* 168 18,249 Corning Inc 961 50,753 DMC Stratex Networks Inc* 100 1,500 Harmonic Inc* 100 569 18 CITI U.S. 1000 INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - ------------------------------------------------------------------------------ TELECOMMUNICATIONS EQUIPMENT -- CONT'D - ------------------------------------------------------------------------------ Harris Corp 100 3,062 Lucent Technologies Inc 3,631 49,019 Motorola Inc 2,375 48,094 Polycom Inc* 50 1,609 Powerwave Technologies Inc* 48 2,808 QUALCOMM Inc* 727 59,750 RF Micro Devices Inc* 100 2,744 Scientific-Atlanta Inc 200 6,512 Sycamore Networks Inc* 100 3,725 Tekelec * 49 1,470 Tellabs Inc* 373 21,074 ----------- 323,025 ----------- TOBACCO -- 0.9% - ------------------------------------------------------------------------------ Philip Morris Companies Inc 2,449 107,756 RJ Reynolds Tobacco Holdings Inc 100 4,875 UST Inc 200 5,612 ----------- 118,243 ----------- TOOLS & HARDWARE -- 0.1% - ------------------------------------------------------------------------------ Black & Decker Corp 100 3,925 Stanley Works 100 3,119 ----------- 7,044 ----------- TRUCKS/CONSTRUCTION/ FARM MACHINERY -- 0.3% - ------------------------------------------------------------------------------ Caterpillar Inc 353 16,701 Deere & Co 240 10,995 Navistar International Corp 100 2,619 PACCAR Inc 100 4,925 ----------- 35,240 ----------- WATER UTILITIES -- 0.0% - ------------------------------------------------------------------------------ American Water Works Inc 100 2,938 ----------- WHOLESALE DISTRIBUTORS -- 0.1% - ------------------------------------------------------------------------------ Genuine Parts Co 200 5,238 Grainger (W.W.) Inc 100 3,650 ----------- 8,888 ----------- WIRELESS TELECOMMUNICATIONS -- 0.5% - ------------------------------------------------------------------------------ AT&T Wireless Group* 400 6,925 Crown Castle International Corp* 100 2,706 Nextel Communications Inc* 500 12,375 Powertel Inc* 29 1,796 Sprint Corp (PCS Group)* 600 12,262 Triton PCS Holdings Inc--Cl A* 39 1,324 VoiceStream Wireless Corp* 248 24,955 Western Wireless Corp 100 3,919 ----------- 66,262 ----------- TOTAL COMMON STOCKS (Identified Cost $14,815,902) 12,970,955 ----------- SHORT-TERM OBLIGATION AT AMORTIZED COST -- 0.0% - ------------------------------------------------------------------------------ Federated Prime Cash Obligation 6.50% due 1/01/01 (Identified Cost $162) 162 ----------- TOTAL INVESTMENTS (Identified Cost $14,816,064) 99.6% 12,971,117 OTHER ASSETS, LESS LIABILITIES 0.4 48,291 ----- ----------- NET ASSETS 100.0% $13,019,408 ===== =========== * Non-income producing securities See notes to financial statements 19 CITI U.S. 1000 INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $14,816,064) $12,971,117 Cash 10,904 Receivable for shares of beneficial interest sold 11,193 Dividend receivable 11,126 Interest receivable 897 Receivable from the Manager 89,312 - -------------------------------------------------------------------------------- Total assets 13,094,549 - -------------------------------------------------------------------------------- LIABILITIES: Accrued expenses and other liabilities 75,141 - -------------------------------------------------------------------------------- NET ASSETS $13,019,408 ================================================================================ NET ASSETS CONSIST OF: Paid-in capital $14,980,346 Accumulated net realized loss on investments (117,803) Unrealized depreciation of investments (1,844,947) Undistributed net investment income 1,812 - -------------------------------------------------------------------------------- Total $13,019,408 ================================================================================ COMPUTATION OF SMITH BARNEY SHARES: Net Asset Value, offering price and redemption price per share ($230,837/26,354 shares outstanding) $8.76 ================================================================================ COMPUTATION OF CITI SHARES: Net Asset Value, offering price and redemption price per share ($12,788,571/1,465,261 shares outstanding) $8.73 ================================================================================ See notes to financial statements 20 CITI U.S. 1000 INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================
INVESTMENT INCOME (Note 1B): Dividend $ 50,407 Interest 10,948 - ---------------------------------------------------------------------------------------- $ 61,355 EXPENSES: Management fees (Note 2) $ 11,313 Service fees Smith Barney Shares (Note 3) 253 Custody and fund accounting fees 42,325 Legal fees 23,280 Audit fees 16,000 Shareholder reports 11,907 Transfer agent fees 5,066 Registration fees 3,969 Trustee fees 1,300 Miscellaneous 6,032 - ---------------------------------------------------------------------------------------- Total expenses 121,445 Less: aggregate amounts waived by Manager (Note 2) (9,050) Less: expenses assumed by the Manager (Note 7) (89,312) - ---------------------------------------------------------------------------------------- Net expenses 23,083 - ---------------------------------------------------------------------------------------- Net investment income $ 38,272 - ---------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss from investment transactions (113,498) Unrealized depreciation (1,844,947) - ---------------------------------------------------------------------------------------- Net realized and unrealized loss on investments (1,958,445) - ---------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(1,920,173) ========================================================================================
See notes to financial statements 21 CITI U.S. 1000 INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment income $ 38,272 Net realized loss from investments (113,498) Unrealized appreciation (depreciation) of investments (1,844,947) - ------------------------------------------------------------------------------- Net decrease in net assets resulting from operations (1,920,173) - ------------------------------------------------------------------------------- DIVIDENDS DECLARED TO SHAREHOLDERS FROM: Net investment income (Smith Barney Shares) (35,896) Net realized gain (Smith Barney Shares) (4,247) Net investment income (Citi Shares) (528) Net realized gain (Citi Shares) (94) - ------------------------------------------------------------------------------- Decrease in net assets from distribution to shareholders (40,765) - ------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 6): SMITH BARNEY SHARES* Net proceeds from sale of shares 1,179,002 Net asset value of shares issued to shareholders from reinvestment of dividends 622 Cost of shares repurchased (879,371) - ------------------------------------------------------------------------------- Total Smith Barney shares 300,253 - ------------------------------------------------------------------------------- CITI SHARES** Net proceeds from sale of shares 15,000,321 Net asset value of shares issued to shareholders from reinvestment of dividends 40,143 Cost of shares repurchased (360,371) - ------------------------------------------------------------------------------- Total Citi Shares 14,680,093 - ------------------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 14,980,346 - ------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 13,019,408 - ------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - ------------------------------------------------------------------------------- End of period (including undistributed net investment income of $1,812) $13,019,408 ================================================================================ * September 11, 2000 (Commencement of operations) to December 31, 2000. ** September 5, 2000 (Commencement of operations) to December 31, 2000. See notes to financial statements 22 CITI U.S. 1000 INDEX FUND FINANCIAL HIGHLIGHTS SMITH BARNEY SHARES -------------------- FOR THE PERIOD SEPTEMBER 11, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $ 9.91 - -------------------------------------------------------------------------------- Income From Operations: Net investment income 0.024 Net realized and unrealized loss on investments (1.155) - -------------------------------------------------------------------------------- Total from operations (1.131) - -------------------------------------------------------------------------------- Less Dividends From: Net investment income (0.016) Net realized gain (0.003) - -------------------------------------------------------------------------------- Total from distributions (0.019) - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 8.76 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $ 231 Ratio of expenses to average net assets 0.70%* Ratio of net investment income to average net assets 0.58%* Portfolio turnover 7% Total return (11.40)%** Note: If Agents of the Fund had not voluntarily agreed to waive all or a portion of their fees for the period indicated and the expenses were not reduced for fees paid indirectly, the net investment income per share and the ratios would have been as follows: Net investment loss per share $(0.080) RATIOS: Expenses to average net assets 2.85%* Net investment loss to average net assets (1.58)%* ================================================================================ * Annualized ** Not Annualized See notes to financial statements 23 CITI U.S. 1000 INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi U.S. 1000 Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund offers two classes of shares. The Smith Barney Shares, which commenced operations on September 11, 2000, and the Citi Shares, which commenced operations on September 5, 2000. The investment manager of the Fund is SSBCiti Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities exchanges or reported through the NASDAQ system are valued at last sale prices. Unlisted securities or listed securities for which last sale prices are not available are valued at last quoted bid prices. Debt securities (other than short-term obligations maturing in sixty days or less), are valued on the basis of valuations furnished by pricing services approved by the Board of Trustees which take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations, maturing in sixty days or less, are valued at amortized costs which constitute fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXEs The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. For the period ended December 31, 24 CITI U.S. 1000 INDEX FUND NOTES TO FINANCIAL STATEMENTS 2000, the Fund reclassified $36 from undistributed net investment income to accumulated net realized losss on investments. E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.25% of the Fund's average daily net assets. SSBChas delegated the daily management of the Fund to State Street Bank and Trust Company, which will act as a Subadviser through its State Street Global Advisors division (the "Subadviser"). The management fees paid to SSBC amounted to $11,313, of which $9,050 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. acts as the Fund distributor. Salomon Smith Barney Inc. ("SSB"), is a subsidiary of SSBH, as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives account fees and asset-based fees that vary according to the account size and type of account. BFDSis responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $5,066 to CFTC. Pursuant to a Distribution Plan, the Fund pays a service fee with respect to Smith Barney Shares calculated at an annual rate of 0.20% of the average daily net assets. The Service Fee amounted to $253 for the period ended December 31, 2000. 25 CITI U.S. 1000 INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $15,951,844 and $1,011,896, respectively, for the year ended December 31, 2000. 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $ 14,923,220 =============================================================================== Gross unrealized appreciation $ 1,010,335 Gross unrealized depreciation (2,962,438) - ------------------------------------------------------------------------------- Net unrealized depreciation $ (1,952,103) =============================================================================== 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 =============================================================================== SMITH BARNEY SHARES* Shares sold 126,959 Shares issued to shareholders from reinvestment of distributions 74 Shares repurchased (100,679) - ------------------------------------------------------------------------------- Net increase 26,354 =============================================================================== CITI SHARES** Shares sold 1,500,034 Shares issued to shareholders from reinvestment of distributions 4,813 Shares repurchased (39,586) - ------------------------------------------------------------------------------- Net increase 1,465,261 =============================================================================== * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. 7. ASSUMPTION OF EXPENSES SSBChas voluntarily agreed to pay a portion of the unwaived expenses of the Fund for the year ended December 31, 2000, which amounted to $89,312. 26 CITI U.S. 1000 INDEX FUND INDEPENDENT AUDITORS' REPORT To the Shareholders and Board of Trustees of the Citi U.S. 1000 Index Fund We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi U.S. 1000 Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the Custodian. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi U.S. 1000 Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 27 THIS PAGE INTENTIONALLY LEFT BLANK. TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon, PRESIDENT* Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi U.S. 1000 Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi U.S. 1000 Index Fund. (C)2001 Citicorp [recycle logo] Printed on recycled paper FD02220 2/01 ANNUAL REPORT DECEMBER 31, 2000 SMITH BARNEY GLOBAL TITANS INDEX SHARES A CLASS OF SHARES OF CITI GLOBAL TITANS INDEX FUND [Citifunds logo] - -------------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE - -------------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Our Shareholders 1 .......................................................................... Portfolio Environment and Outlook 2 .......................................................................... Fund Facts 4 .......................................................................... Fund Performance 5 .......................................................................... Portfolio Highlights 6 .......................................................................... Portfolio of Investments 7 .......................................................................... Statement of Assets and Liabilities 9 .......................................................................... Statement of Operations 10 .......................................................................... Statement of Changes in Net Assets 11 .......................................................................... Financial Highlights 12 .......................................................................... Notes to Financial Statements 13 .......................................................................... Independent Auditors' Report 17 .......................................................................... LETTER TO OUR SHAREHOLDERS [Photo omitted] Dear Shareholder: We are pleased to present the annual report for the Citi(SM) Global Titans Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Dow Jones Global Titans Index(SM). The Dow Jones Global Titans Index consists of securities of 50 companies and includes some of the world's most well known and well-established blue-chip companies. Thank you for your investment in the Smith Barney Global Titans Index Shares, a class of shares of the Citi Global Titans Index Fund. Sincerely, /s/ Heath B. McLendon - --------------------- Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from inception on September 11, 2000 through December 31, 2000, Smith Barney Global Titans Shares produced a total return of negative 14.03%. In comparison, the Dow Jones Global Titans Index returned negative 13.76% over the same period. Over the long term, we expect the Fund's returns to slightly lag those of the Index's returns, since the Fund has fees and expenses which the Index does not. Investors in index funds such as this Fund should remember that the performance of the Fund is intended to correspond to the performance of the Index in good and bad markets, over the short and long term. TO A LARGE DEGREE, THE PERFORMANCE OF THE DOW JONES GLOBAL TITANS INDEX OVER THE PAST YEAR REFLECTED BROADER TRENDS IN THE GLOBAL ECONOMY. The economies of the world's developed markets--especially the United States and with the notable exception of Japan--grew robustly during the first half of 2000. Accordingly, many global stocks rose, especially those of growth-oriented companies. However, the U.S. Federal Reserve Board (the "Fed") and other nations' central banks continued to move toward more restrictive monetary policies during the first six months of 2000 in an effort to slow economic growth and forestall long-dormant inflationary pressures. THE U.S. ECONOMY'S GROWTH RATE GENERALLY OUTPACED THAT OF OTHER GLOBAL REGIONS DURING THE FIRST HALF OF 2000. Partly as a result of differences in growth rates, the value of the U.S. dollar rose relative to many other foreign currencies, including the Euro.(1) This caused the values of many European investments to erode in U.S. dollar terms, for U.S. residents. The second half of 2000 was characterized by an economic slowdown in many global markets, including the United States. With these slowing economic conditions, many investors sold growth(2) stocks amid concerns that a slower economy might adversely affect corporate earnings. For their part, central banks throughout the world generally held interest rates steady throughout the second half of the year. THESE SHIFTS IN ECONOMIC GROWTH, MONETARY POLICY AND INVESTOR SENTIMENT MADE 2000 A HIGHLY VOLATILE AND CHALLENGING YEAR FOR LARGE MULTI-NATIONAL COMPANIES. Perhaps the most notable global stock market trend of 2000 was the sharp decline in prices for shares of companies in the technology and telecommunications industries. Many analysts attributed their popularity to unrestrained investor enthusiasm for companies that they believed would prosper in the "New Economy."(3) Many companies that comprise the Dow Jones Global Titans Index were negatively impacted by this trend, thereby negatively impacting the Fund's performance. - ------------------- (1) The euro is the single currency of the European Monetary Union that was adopted by Belgium, Germany, Spain, France, Ireland, Italy, Luxembourg, the Netherlands, Austria, Portugal and Finland on January 1, 1999. (2) Growth stocks are shares of companies with the potential for faster-than-average growth within their industries. (3) The New Economy represents those companies in the technology, telecommunications, and Internet sectors. 2 THE PRICES OF MANY TECHNOLOGY STOCKS FELL IN 2000 PRIMARILY AS A RESULT OF A COMBINATION OF EXTREMELY HIGH VALUATIONS AND SLOWING GROWTH. Among the early beneficiaries of investor enthusiasm for the technology sector were many Internet-related companies that had yet to earn a profit, but were the subject of popular speculation that they might one day grow into industry leaders. The enthusiasm for technology stocks grew during the first quarter of 2000, while other sectors of the stock market languished. For example, many value4-oriented stocks--such as large pharmaceuticals oil and food and beverage stocks generally declined in January, February and the first half of March 2000 because of lackluster investor interest. By the end of the first quarter, rising short-term interest rates had put pressure on corporate profitability. This led to a series of earnings disappointments by companies in a range of industries that continued throughout the year. This new environment of slower growth hit the technology sector particularly hard. Investors who had given little scrutiny to such old-school fundamentals as price-to-earnings ratios suddenly became concerned that technology stock valuations had risen too far, too fast. Investors were quick to sell what they deemed to be overvalued technology stocks, which fell sharply in April 2000. When it later appeared that the U.S. economy was slowing and inflation was likely to remain subdued, investors shifted some of their assets to stocks that have performed well historically in a slower economy, including healthcare providers. In addition, many investors favored energy stocks because of the positive effects on earnings of high crude oil prices. Despite a summer rally, growth stocks again declined overall in November and December, triggering a "flight to quality" that benefited mainly high-quality bonds and relatively defensive, value-oriented stocks. Indeed, by the end of December 2000, many technology stocks were trading at all-time lows and had reached valuations that made them attractive to some value-oriented investors. On the other hand, shares of financial services companies ended the year on a particularly strong note when the Fed hinted that it might cut rates in 2001. The moderation in U.S. growth has intensified heading into the new year. The sharp fourth-quarter sell-off in many equities has undermined consumer confidence and raised financing hurdles for business investment. Key areas of business and consumer spending have slowed sharply, triggering a pullback in manufacturing that could further undermine confidence. Fed policy has reversed course quickly, with evidence that inflation risks have faded. Yet the risk to leading global companies remains serious. We have some reservations about the earnings strength of certain segments of the economy, especially technology, basic materials and other cyclicals, whose earnings traditionally bottom-out much later in the economic cycle. - --------------- (4) Value stocks are shares that are considered to be inexpensive relative to their asset values or earning power. 3 FUND FACTS FUND OBJECTIVE The Fund's goal is to provide investment results that, before fees and expenses, correspond to the performance of the Dow Jones Global Titans Index. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Paid semi-annually, if any SUBADVISER CAPITAL GAINS State Street Bank & Trust Company Distributed annually, if any through its State Street Global Advisors division NET ASSETS AS OF 12/31/00 INDEX Smith Barney Shares Dow Jones Global Titans Index $17,039 4 FUND PERFORMANCE TOTAL RETURNS SINCE 9/11/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* ================================================================================ Smith Barney Shares (14.03)% Dow Jones Global Titans Index (13.76)% * Not Annualized GROWTH OF $10,000 INVESTED IN THE SMITH BARNEY SHARES VS. DOW JONES GLOBAL TITANS INDEX SEPTEMBER 11, 2000 (COMMENCEMENT OF OPERATION) - DECEMBER 31, 2000. A $10,000 investment in the Smith Barney Share class of the Fund made on its inception date would have been $8,597 for Smith Barney Shares (as of 12/31/00). The graph shows how the performance of the Smith Barney Shares compares to the Index, its benchmark, over the same period. [Data below represents line chart in the printed piece] Smith Barney Dow Jones Global Shares Titans Index ------------ ---------------- 9/5/00 10000 10000 9/30/00 9350 9174.91 10/31/00 9470 9298.96 11/30/00 8750 8601.33 12/31/00 8560 8423.83 The graph assumes all dividends and distributions are reinvested at Net Asset Value. Note: All Fund performance numbers represent past performance and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. "Dow Jones" and "Dow Jones Global Titans Index(SM)" are service marks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by SSB Citi Fund Management LLC. The Fund is based on the Dow Jones Global Titans IndexSM, is not sponsored, endorsed, sold or promoted by Dow Jones, and Dow Jones makes no representation regarding the advisability of investing in the Fund. 5 PORTFOLIO HIGHLIGHTS TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2000 COMPANY, INDUSTRY % OF NET ASSETS General Electric Co., Industrial Conglomerates 8.07% ................................................................................ Exxon Mobil Corp., Integrated Oil 5.13% ................................................................................ Cisco Systems, Inc., Computer Communications 4.56% ................................................................................ Citigroup Inc., Financial Conglomerates 4.37% ................................................................................ Vodafone Group Plc, ADRs, Wireless Telecommunications 3.74% ................................................................................ Merck & Co., Inc., Pharmaceuticals: Major 3.67% ................................................................................ Nokia Corp., Telecommunications Equipment 3.47% ................................................................................ Microsoft Corp., Packaged Software 3.35% ................................................................................ American International Group, Multi-Line Insurance 3.35% ................................................................................ Intel Corp., Semiconductors 3.24% ................................................................................ PORTFOLIO DIVERSIFICATION AS OF DECEMBER 31, 2000 [Data below represents pie chart in the printed piece] Major Banks 4% Investment Banks/Brokers 2% Integrated Oil 10% Industrial Conglomerates 9% Household Personal Care 2% Food: Major Diversified 2% Financial Conglomerates 10% Electronics/Appliances 1% Discount Stores 2% Computer Processing Hardware 3% Computer Communications 5% Beverages: Non-Alcoholic 2% Wireless Telecommunications 4% Tobacco 2% Telecommunications Equipment 4% *Short-Term 1% Semiconductors 3% Pharmaceuticals: Major 9% Packaged Software 3% Oil Refining/Marketing 2% Multi-Line Insurance 5% Motor Vehicles 4% Media Conglomerates 1% Major Telecommunications 10% *Includes cash and net other assets. 6 CITI GLOBAL TITANS INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCKS -- 99.4% - -------------------------------------------------------------------------------- BEVERAGES: NON ALCOHOLIC -- 2.2% - -------------------------------------------------------------------------------- Coca Cola Co. 1,539 $ 93,783 --------- COMPUTER COMMUNICATIONS -- 4.6% - -------------------------------------------------------------------------------- Cisco Systems Inc. 5,080 194,310 --------- COMPUTERS PROCESSING HARDWARE -- 3.4% - -------------------------------------------------------------------------------- Hewlett Packard Co. 1,200 37,875 International Business Machines Corp. 1,273 108,205 --------- 146,080 --------- DISCOUNT STORES -- 2.5% - -------------------------------------------------------------------------------- Wal Mart Stores Inc. 2,000 106,250 --------- ELECTRONICS/APPLIANCES -- 1.0% - -------------------------------------------------------------------------------- Sony Corp. 600 41,850 --------- FINANCIAL CONGLOMERATES -- 9.7% - -------------------------------------------------------------------------------- Citigroup Inc. 3,640 185,868 HSBC Holdings plc, ADRs 1,263 92,957 Ing Groep NV, ADRs 600 48,075 JP Morgan Chase & Co. 942 42,802 Lloyds TSB Group Plc 4,000 42,347 --------- 412,049 --------- FOOD: MAJOR DIVERSIFIED -- 1.6% - -------------------------------------------------------------------------------- Nestle SA 30 69,961 --------- HOUSEHOLD/PERSONAL CARE -- 1.8% - -------------------------------------------------------------------------------- Procter & Gamble Co. 943 73,967 --------- INDUSTRIAL CONGLOMERATES -- 9.3% - -------------------------------------------------------------------------------- General Electric Co. 7,166 343,520 Siemens AG, ADRs 400 52,284 --------- 395,804 --------- INTEGRATED OIL -- 10.4% - -------------------------------------------------------------------------------- BP Amoco plc 2,732 130,794 Exxon Mobil Corp. 2,514 218,561 Royal Dutch Petroleum Co. 1,551 93,932 --------- 443,287 --------- INVESTMENT BANKS/BROKERS -- 1.5% - -------------------------------------------------------------------------------- Morgan Stanley Dean Witter & Co. 819 64,906 --------- OIL REFINING/MARKETING -- 1.8% - -------------------------------------------------------------------------------- Total Fina SA, ADRs 1,066 77,485 --------- MAJOR BANKS -- 4.1% - -------------------------------------------------------------------------------- Bank America Corp. 1,200 55,050 Bank Tokyo Mitsubishi Ltd., ADRs 3,300 31,969 Credit Suisse First Boston Corp. 185 35,153 UBS AG 311 50,817 --------- 172,989 --------- MAJOR TELECOMMUNICATIONS -- 10.3% - -------------------------------------------------------------------------------- AT&T Corp. 2,700 46,744 Bellsouth Corp. 1,350 55,266 British Telecommunications plc., ADRs 474 41,120 Deutsche Telekom AG, ADRs 900 26,325 France Telecom SA, ADRs 287 24,592 SBC Communications Inc. 2,448 116,892 Verizon Communications Inc 1,952 97,844 Worldcom Inc. 2,082 29,278 --------- 438,061 --------- MEDIA CONGLOMERATES -- 1.0% - -------------------------------------------------------------------------------- The Walt Disney Co. 1,500 43,406 --------- MOTOR VEHICLES -- 3.7% - -------------------------------------------------------------------------------- Daimler-Chrysler AG 600 24,720 Ford Motor Co. 1,320 30,937 General Motors Corp. 400 20,375 Toyota Motor Co. 1,285 80,891 --------- 156,923 --------- MULTI-LINE INSURANCE -- 5.1% - -------------------------------------------------------------------------------- Allianz Aktiengesellschaft, ADRs 1,034 38,775 American International Group 1,445 142,423 Axa SA, ADRs 464 33,321 --------- 214,519 --------- PACKAGED SOFTWARE -- 3.4% - -------------------------------------------------------------------------------- Microsoft Corp. 3,285 142,487 --------- PHARMACEUTICALS: MAJOR -- 9.2% - -------------------------------------------------------------------------------- Johnson & Johnson Inc. 951 99,914 Merck & Co. , Inc. 1,668 156,166 Novartis AG, ADRs 1,899 84,980 Roche Holdings AG 5 50,929 --------- 391,989 --------- 7 CITI GLOBAL TITANS INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 ISSUER SHARES VALUE - -------------------------------------------------------------------------------- SEMICONDUCTORS -- 3.2% - -------------------------------------------------------------------------------- Intel Corp. 4,587 $ 137,897 ---------- TELECOMMUNICATIONS EQUIPMENT -- 4.2% - -------------------------------------------------------------------------------- Lucent Technologies Inc. 2,400 32,400 Nokia Corp. 3,400 147,900 ---------- 180,300 ---------- TOBACCO -- 1.7% - -------------------------------------------------------------------------------- Phillip Morris Companies Inc 1,629 71,676 ---------- WIRELESS TELECOMMUNICATIONS -- 3.7% - -------------------------------------------------------------------------------- Vodafone Group Plc, ADRs 4,451 159,400 ---------- TOTAL COMMON STOCKS (Identified Cost $4,933,123) 4,229,379 ---------- SHORT-TERM OBLIGATIONS AT AMORTIZED COST -- 0.0% - -------------------------------------------------------------------------------- Federated Prime Cash Obligation Fund 4.58% due 1/02/01 (Identified Cost $707) 707 ---------- TOTAL INVESTMENTS (Identified Cost $4,933,830) 99.4% $4,230,086 OTHER ASSETS, LESS LIABILITIES 0.6 27,036 - -------------------------------------------------------------------------------- NET ASSETS 100.0% $4,257,122 ===== ========== * Non-income producing security ADRs -- American Depository Receipts See notes to financial statements 8 CITI GLOBAL TITANS INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ================================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $4,933,830) $4,230,086 Foreign currency, at value (Cost, $89) 92 Cash 679 Dividends receivable 4,361 Receivable for shares of beneficial interest sold 3,000 Interest receivable 38 Receivable from the Manager 84,218 - ------------------------------------------------------------------------------- Total assets 4,322,474 - ------------------------------------------------------------------------------- LIABILITIES: Accrued expenses and other liabilities 65,352 - ------------------------------------------------------------------------------- NET ASSETS $4,257,122 =============================================================================== NET ASSETS CONSIST OF: Paid-in capital $4,981,376 Unrealized depreciation of investments (703,741) Accumulated net realized loss on investments (22,649) Undistributed net investment income 2,136 - ------------------------------------------------------------------------------- Total $4,257,122 =============================================================================== COMPUTATION OF SMITH BARNEY SHARES: Net Asset Value, offering price and redemption price per share ($17,039/1,985 shares outstanding) $8.58 =============================================================================== COMPUTATION OF CITI SHARES: Net Asset Value and offering price and redemption price per share ($4,240,083/495,554 shares outstanding) $8.56 =============================================================================== See notes to financial statements 9 CITI GLOBAL TITANS INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Dividend Income (net of foreign withholding tax of $414) $ 15,584 Interest Income 6,044 - ------------------------------------------------------------------------------- $ 21,628 - ------------------------------------------------------------------------------- EXPENSES: Management fees (Note 2) $ 5,145 Distribution fees Smith Barney Index Shares (Note 3) 12 Custody and fund accounting fees 24,602 Legal fees 23,280 Audit fees 16,000 Shareholder reports 12,740 Licensing fees 10,000 Transfer agent fees 7,572 Registration fees 1,319 Trustees fees 1,300 Other 5,734 - ------------------------------------------------------------------------------- Total expenses 107,704 Less: expenses assumed by the Manager (Note 7) (84,218) Less: aggregate amount waived by the Manager (Note 2) (4,557) - ------------------------------------------------------------------------------- Net expenses 18,929 - ------------------------------------------------------------------------------- Net investment income 2,699 - ------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss from investment transactions (23,212) Unrealized depreciation (703,741) - ------------------------------------------------------------------------------- Net realized and unrealized loss on investments (726,953) - ------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(724,254) =============================================================================== See notes to financial statements 10 CITI GLOBAL TITANS INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment income $ 2,699 Net realized loss on investment transactions (23,212) Unrealized depreciation (703,741) - -------------------------------------------------------------------------------- Net decrease in net assets resulting from operations (724,254) - -------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5): SMITH BARNEY SHARES* Net proceeds from sale of shares 42,685 Net asset value of shares issued to shareholders from reinvestment of dividends -- Cost of shares repurchased (21,714) - -------------------------------------------------------------------------------- Total Smith Barney Shares 20,971 - -------------------------------------------------------------------------------- CITI SHARES** Net proceeds from sale of shares 5,000,295 Net asset value of shares issued to shareholders from reinvestment of dividends -- Cost of shares repurchased (39,890) - -------------------------------------------------------------------------------- Total Citi Shares 4,960,405 - -------------------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 4,981,376 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 4,257,122 - -------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period (including undistributed net investment income of $2,699) $4,257,122 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. See notes to financial statements 11 CITI GLOBAL TITANS INDEX FUND FINANCIAL HIGHLIGHTS SMITH BARNEY SHARES -------------------- FOR THE PERIOD SEPTEMBER 11, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $9.98 - -------------------------------------------------------------------------------- Income From Operations: Net investment loss (0.024) Net realized and unrealized loss on investments (1.376) - -------------------------------------------------------------------------------- Total from operations (1.400) - -------------------------------------------------------------------------------- Less Dividends From: Net investment income -- Net realized gains on investments -- - -------------------------------------------------------------------------------- Total distributions -- - -------------------------------------------------------------------------------- Net Asset Value, end of period $8.58 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period $17,039 Ratio of expenses to average net assets 1.91%* Ratio of net investment loss to average net assets (0.79)%* Portfolio turnover 8% Total return (14.03)%** Note: If Agents of the Fund had not voluntarily agreed to waive all or a portion of their fees for the period, the expenses were not reduced for fees paid indirectly, the Manager had not voluntarily assumed expenses, the net investment income per share and the ratios would have been as follows: Net investment loss per share $(0.230) RATIOS: Expenses to average net assets 8.33%* Net investment loss to average net assets (7.21)%* ================================================================================ * Annualized ** Not annualized See notes to financial statements 12 CITI GLOBAL TITANS INDEX FUND NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi Global Titans Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund offers two classes of shares: the Smith Barney Shares, which commenced operations on September 11, 2000, and the Citi Shares, which commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC ("SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY VALUATIONS Equity securities in the portfolio are valued at the last sale price on the exchange on which they are primarily traded, or at the quoted bid price for securities in which there were no sales during the day or for unlisted securities not reported on the NASDAQ system. Securities listed on a foreign exchange are valued at the last quoted sale price available. Short-term obligations maturing in sixty days or less, are valued at amortized cost, which constitutes fair value as determined by the Trustees. Portfolio securities for which there are no such quotations of valuations are valued at fair value as determined in good faith by or at the direction of the Trustees. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the New York Stock Exchange and may also take place on days which the New York Stock Exchange is closed. If events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time of Fund valuation, such securities will be valued at fair value in accordance with procedures established by and under the general supervision of the Trustees. B. FOREIGN CURRENCY TRANSLATION The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Translation of foreign currency includes net exchange gains and losses, disposition of foreign currency and the difference between the amount of investment income, expenses and foreign taxes withheld recorded and the actual amount received or paid. 13 CITI GLOBAL TITANS INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) C. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into forward foreign currency exchange contracts ("contracts") in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of portfolio securities denominated in a particular currency. The Fund could be exposed to risks if the counter-parties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. D. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. E. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2000, the Fund, for federal income tax purposes, had a capital loss carryover of $6,543 which will expire on December 31, 2008. Such capital loss carryover will reduce the Fund's taxable income arising from future net realized gain on investment transactions, if any, to the extent permitted by the Internal Revenue code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. F. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. For the period ended December 31, 2000, the Fund reclassified $563 from net investment income to accumulated net realized loss on investments. G. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. 14 CITI GLOBAL TITANS INDEX FUND NOTES TO FINANCIAL STATEMENTS H. OTHER Investment transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.35% of the Fund's average daily net assets. SSBChas delegated the daily management of the Fund to State Street Bank and Trust Company, which will act as Subadviser through its State Street Global Advisors division. The management fees paid to SSBC amounted to $5,145, of which $4,557 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION FEES Salomon Smith Barney Inc. acts as the Funds distributor. Salomon Smith Barney Inc. ("SSB"), is a subsidiary of Salomon Smith Barney Holding Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDSis responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $12,611 to CFTC. Pursuant to a Distribution Plan, the Fund pays a service fee with respect to Smith Barney Index Shares calculated at an annual rate of 0.20% of the average daily net assets. The Service Fee amounted to $12 for the period ended December 31, 2000. 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $5,324,220 and $368,448, respectively, for the year ended December 31, 2000. 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $4,949,936 ================================================================================ Gross unrealized appreciation $199,556 Gross unrealized depreciation (919,403) - -------------------------------------------------------------------------------- Net unrealized depreciation $(719,847) ================================================================================ 15 CITI GLOBAL TITANS INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ SMITH BARNEY SHARES* Shares sold 4,525 Shares issued to shareholders from reinvestment of distributions -- Shares repurchased (2,540) - -------------------------------------------------------------------------------- Smith Barney net increase 1,985 ================================================================================ CITI SHARES** Shares sold 500,031 Shares issued to shareholders from reinvestment of distributions -- Shares repurchased (4,477) - -------------------------------------------------------------------------------- Citi net increase 495,554 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the unwaived expenses of the Fund for the year ended December 31, 2000, which amounted to $84,218. 16 CITI GLOBAL TITANS INDEX FUND INDEPENDENT AUDITORS' REPORT To the Shareholders and Board of Trustees of the Citi Global Titans Index Fund We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi Global Titans Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the custodian. 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 Citi Global Titans Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 17 THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon*, PRESIDENT Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi Global Titans Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi Global Titans Index Fund. (C)2001 Citicorp [recycle logo] Printed on recycled paper FD02218 2/01 ANNUAL REPORT DECEMBER 31, 2000 SMITH BARNEY U.S. U.S. BOND INDEX FUND A CLASS OF SHARES OF CITI U.S. BOND INDEX FUND [Citifunds Logo] --------------- - -------------------------------------------------------------------------------- INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE - -------------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Our Shareholders 1 ................................................................................ Portfolio Environment and Outlook 2 ................................................................................ Fund Facts 4 ................................................................................ Portfolio Highlights 4 ................................................................................ Fund Performance 5 ................................................................................ Portfolio of Investments 6 ................................................................................ Statement of Assets and Liabilities 11 ................................................................................ Statement of Operations 12 ................................................................................ Statement of Changes in Net Assets 13 ................................................................................ Financial Highlights 14 ................................................................................ Notes to Financial Statements 15 ................................................................................ Independent Auditors' Report 18 ................................................................................ LETTER TO OUR SHAREHOLDERS [Photo omitted] Dear Shareholder: We are pleased to present the annual report for the Citi(SM) U.S. Bond Index Fund (the "Fund") for the period ended December 31, 2000. In this report, we summarize the economic and market conditions that prevailed during 2000. A detailed summary of the Fund's performance and holdings as of December 31, 2000 can be found in the sections that follow. We hope you find this report to be useful and informative. The Fund seeks to provide investment results that, before fees and expenses, correspond to the performance of the Lehman Brothers Aggregate Bond Index (Lehman Bond Index). The Lehman Bond Index measures the total universe of the public investment-grade fixed income securities in the U.S., including government, corporate, mortgage-backed, asset-backed, and international U.S. dollar-denominated bonds, all with maturities of over one year. Thank you for your investment in the Smith Barney U.S. Bond Index Shares, a class of shares of the Citi U.S. Bond Index Fund. Sincerely, /s/ Heath B. McLendon - --------------------- Heath B. McLendon President January 5, 2001 Citi is a service mark of Citicorp. 1 PORTFOLIO ENVIRONMENT AND OUTLOOK For the period from inception on September 11, 2000 through December 31, 2000, Smith Barney U.S. Bond Index Shares produced a total return of 4.61%. In comparison, the Lehman Brothers Aggregate Bond Index (the "Index") returned 4.81% over the same period. Over the long term, the Fund aims to achieve returns that replicate those of the Index. However, since the Fund has fees and expenses which the Index does not, the Fund's performance may slightly lag that of the Index. Investors in index funds such as this should remember that the performance of the Fund is intended to correspond to the performance of the Index in good and bad markets, over the short and long term. THE U.S. ECONOMY GREW ROBUSTLY DURING THE FIRST SIX MONTHS OF 2000. In response, the Federal Reserve Board (the "Fed") raised short-term interest rates three times during the first half of 2000, for a total increase during the reporting period of 1.00%. Most areas of the U.S. bond market -- with the notable exception of U.S. Treasury securities -- languished in this environment because of concerns regarding a possible inflation, which has the potential of eroding the value of bond's future principal and interest payments. By contrast, during the second half of the year, most areas of the bond market benefited when signs of an economic slow-down caused interest rates to decline. Economic growth fell from a 5.6% annualized rate in the second quarter of 2000 to just 2.2% in the third quarter, the weakest performance in four years. With inflation perceived by many to be no longer a serious threat, high-quality bond prices rose overall. THE U.S BOND MARKET GENERALLY ENJOYED A SOLID YEAR IN 2000. In addition to benefiting from slower economic growth later in the year, U.S Treasury and agency securities responded positively early in the year to supply-and-demand factors. High-quality corporate bonds, mortgage-backed securities, asset-backed securities and U.S. dollar-denominated foreign government bonds also provided relatively attractive returns. Investment-grade corporate bonds had a relatively volatile and difficult year, primarily because of credit concerns related to a declining stock market and a slower economy. What factors enabled U.S. Treasury securities to perform well during the reporting period? During the first quarter of 2000, the federal government announced that it would buy back $30 billion of long-term U.S. Treasury bonds and would borrow less in the future, leading to a decrease in the supply of U.S. Treasury securities. Yet, at the same time, demand rose from domestic and international investors seeking to protect wealth derived from the strong economy. In addition, when inflation concerns began to adversely affect the stock market in the spring, additional demand was created as investors engaged in a "flight to quality," shifting assets from stock to relatively safe havens in the bond market. These influences caused long-term U.S. Treasury bond yields to fall below those of shorter-term bonds, resulting in a condition known as an INVERTED YIELD CURVE. This condition persisted until late in the year, when hints that the Fed might begin 2 to reduce interest rates caused short-term yields to decline, essentially "catching up" to their long-term counterparts. U.S. government agency securities were significantly influenced by political events early in the year. Certain government officials questioned the investment policies of FNMA ("Fannie Mae") and FHLMC ("Freddie Mac"), causing the prices of these agencies' securities -- which are indirect obligations to the U.S. government -- to fall temporarily. These troubles caused many investors to shift assets into GNMA securities, which are direct government obligations, which enhanced the performance of GNMAs. However, Fannie Mae and Freddie Mac securities subsequently rallied strongly as political concerns abated. Strong real estate markets boosted the performance of non-agency mortgage-backed securities as well, including commercial mortgage-backed securities, and certain asset-backed securities. Although corporate bonds represented the worst-performing market sector of 2000, generally those rated single-A or above fared relatively well, while triple-B credits did relatively poorly. On one hand, investors tended to shy away from corporate debt as the economy weakened. On the other hand, corporate bond yields were quite high compared to government bond yields, attracting interest from institutional investors and individuals seeking high levels of current income. The popular question these days is how long the current slowdown will last and how much the Fed will have to cut rates to stimulate a turnaround in the economy. The pace and extent of the rate cuts should be major factors that determine how much lower rates can go. In the aftermath of the rather aggressive Fed rate cuts totalling 100 basis points early in 2001, we expect ultimately a low federal funds rate of about 5% in this easing cycle. We also expect that yields will decline even more from current levels. With respect to corporate bonds, we think the Fed will need to continue to lower rates aggressively in order to maintain confidence among corporate bond investors. The broad mix of financial conditions, especially as reflected in equities and credit spreads, will be a key indication of how soon a recovery can begin. At present, financial conditions are improving only haltingly and are, on balance, considerably tighter than normal, suggesting that economic activity will be sluggish into midyear. We therefore expect the bond market to perform well through midyear, while the risks of possibly higher inflation from strong economic growth may begin to negatively impact the bond market in the latter half of 2001. 3 FUND FACTS FUND OBJECTIVE The Fund's goal is to provide investment results that, before fees and expenses, correspond to the performance of the Lehman Brothers Aggregate Bond Index. INVESTMENT MANAGER DIVIDENDS SSB Citi Fund Management LLC Paid monthly, if any SUBADVISER CAPITAL GAINS State Street Bank & Trust Company Distributed annually, if any through its State Street Global Advisors division NET ASSETS AS OF 12/31/00 INDEX Smith Barney Shares Lehman Brothers Aggregate $37,328 Bond Index PORTFOLIO HIGHLIGHTS PORTFOLIO DIVERSIFICATION AS OF DECEMBER 31, 2000 [Data below represents pie chart in the printed piece] Yankee Bonds 2% Government National Mortgage Association 7% Mortgage Backed Securities/Passthroughs 26% Domestic Corporations 18% *Short-Term 2% United States Agency Obligations 19% United States Treasury Notes 15% Uited States Treasury Bonds 11% *Includes cash and net assets 4 FUND PERFORMANCE TOTAL RETURNS SINCE 9/11/00 ALL PERIODS ENDED DECEMBER 31, 2000 (INCEPTION)* ================================================================================ Smith Barney Shares 4.61% Lehman Brothers Aggregate Bond Index 4.81% * Not Annualized GROWTH OF $10,000 INVESTED IN THE SMITH BARNEY SHARES VS. LEHMAN BROTHERS AGGREGATE BOND INDEX SEPTEMBER 11, 2000 (COMMENCEMENT OF OPERATIONS) - DECEMBER 31, 2000. A $10,000 investment in Smith Barney Share class of the Fund made on inception date would have been $10,461 (as of 12/31/00). The graph shows how the performance of the Smith Barney Shares compares to the Index, its benchmark, over the same period. [Data below represents line chart in the printed piece] Lehman Brothers Smith Barney Aggregate Bond Shares Index ------------ --------------- 9/11/00 10000 10000 9/30/00 10063.9 10057 10/31/00 10092.9 10123.4 11/30/00 10263.7 10289.4 12/31/00 10460.8 10480.8 The graph assumes all dividends and distributions are reinvested at Net Asset Value. All Fund performance numbers represent past performance and are no guarantee of future results. The Fund's share price and investment return will fluctuate, so that the value of an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns include change in share price and reinvestment of dividends and distributions, if any. Total return figures are provided in accordance with SEC guidelines for comparative purposes for prospective investors and reflect certain voluntary fee waivers which may be terminated at any time. If the waivers were not in place, the Fund's returns would have been lower. Investors may not invest directly in an index. "Lehman Brothers Aggregate Bond Index"(R) is a trademark of Lehman Brothers. The Fund is not sponsored, endorsed, sold or promoted by the Index, and the Index is not in any way affiliated with the Fund. The sponsor of the Index makes no representation or warranty, implied or express, regarding the advisability of investing in the Fund. 5 CITI U.S. BOND INDEX FUND PORTFOLIO OF INVESTMENTS December 31, 2000 PRINCIPAL AMOUNT ISSUER (000'S OMITTED) VALUE - -------------------------------------------------------------------------------- FIXED INCOME -- 120.3% - -------------------------------------------------------------------------------- CORPORATE BONDS -- 17.9% - -------------------------------------------------------------------------------- Abn Amro Bank 7.25% due 5/31/05 30 $ 31,045 AT&T Corp., 5.625% due 3/15/04 20 19,065 6.00% due 3/15/09 15 13,417 6.50% due 3/15/29 30 23,978 Abbey National Plc 6.69% due 10/17/05 15 15,184 Abitibi Consolidated Inc. 8.85% due 8/01/30 10 9,536 Alcoa Inc. 7.375% due 8/01/10 5 5,278 All State Corp. 7.20% due 12/01/09 25 25,803 Anheuser Busch Cos Inc. 7.10% due 6/15/07 25 25,700 Archer Daniels Midland Co. 7.50% due 3/15/27 20 19,650 Associates Corp. 5.75% due 11/01/03 30 29,630 6.25% due 11/01/08 15 14,535 Atlantic Richfield Co. 5.55% due 4/15/03 20 19,878 BSCH Issuances Ltd 7.625% due 9/14/10 5 5,021 Bank Of America 7.80% due 2/15/10 30 31,221 Bank New York Inc. 6.50% due 12/01/03 10 10,087 Bank One Corp. 7.625% due 8/01/05 20 20,712 7.875% due 8/01/10 30 31,251 Bankamerica Corp. 6.625% due 6/15/04 40 40,351 Bear Stearns Cos Inc. 7.625% due 2/01/05 20 20,717 7.80% due 8/15/07 25 25,827 Bellsouth Capital Funding Corp. 7.75% due 2/15/10 20 21,182 7.875% due 2/15/30 5 5,156 British Telecommunications 7.625% due 12/15/05 10 10,117 Burlington Northern Corp. 6.75% due 3/15/29 25 22,510 Chase Manhattan Corp. 7.875% due 6/15/10 20 21,248 Chrysler Corp. 7.45% due 3/01/27 5 4,448 Cit Group Inc. 7.125% due 10/15/04 30 29,985 Citigroup Inc. 5.80% due 3/15/04 40 39,554 6.20% due 3/15/09 15 14,566 Coastal Corp. 7.75% due 6/15/10 10 10,571 Coca Cola Enterprises Inc. 6.95% due 11/15/26 25 24,342 Comcast Cable Communications 8.375% due 5/01/07 15 16,273 Conagra Inc. 8.25% due 9/15/30 5 5,478 Conoco Inc. 6.95% due 4/15/29 20 19,486 Cox Communications Inc. 6.875% due 6/15/05 15 15,128 Daimler Chrysler 7.20% due 9/1/09 20 19,116 6.90% due 9/1/04 25 24,623 Delta Air Lines Inc. 7.90% due 12/15/09 10 9,577 7.57% due 5/18/12 30 31,501 Deutsche Bank Financial Inc. 6.70% due 12/13/06 15 15,114 Deutsche Telekom International 7.75% due 6/15/05 20 20,346 8.00% due 6/15/10 10 10,157 8.25% due 6/15/30 10 9,824 Diageo Capital Plc 6.625% due 6/24/04 20 20,185 Disney Walt Co. 7.30% due 2/8/05 25 26,208 Dominion Res Inc. 7.625% due 7/15/05 25 26,102 Dow Chemical Co. 7.375% due 11/01/29 10 10,011 Du Pont E I De Nemours & Co. 6.875% due 10/15/09 30 30,877 Duke Cap Corp. 7.25% due 10/01/04 25 25,591 Dynegy Inc. 7.45% due 7/15/06 25 25,502 Edison International 6.875% due 9/15/04 20 16,323 El Paso Energy Corp. 6.75% due 5/15/09 10 9,897 Emerson Elec Co. 7.875% due 6/01/05 15 16,083 Enersis S A 7.40% due 12/01/16 5 4,508 Enron Corp. 7.375% due 5/15/19 10 10,101 6 CITI U.S. BOND INDEX FUND PORTFOLIO PORTFOLIO OF INVESTMENTS December 31, 2000 PRINCIPAL AMOUNT ISSUER (000'S OMITTED) VALUE - -------------------------------------------------------------------------------- CORPORATE BONDS -- CONT'D - -------------------------------------------------------------------------------- Eop Oper Ltd Partnership 7.375% due 11/15/03 30 $ 30,486 7.75% due 11/15/07 20 20,504 Federated Dept Stores Inc Del 6.90% due 4/01/29 10 7,975 First Union Corp. 7.55% due 8/18/05 75 77,345 Fleetboston Financial Corp. 7.25% due 9/15/05 20 20,567 Ford Motor Co. 6.375% due 2/01/29 5 4,044 7.45% due 7/16/31 45 41,650 Ford Motor Credit Co. 5.75% due 2/23/04 40 38,962 6.70% due 7/16/04 30 29,983 7.375% due 10/28/09 30 29,924 7.50% due 6/15/03 50 51,157 7.875% due 6/15/10 30 30,860 GTE Corp. 6.94% due 4/15/28 35 32,120 General Electric Capital Corp. 6.80% due 11/01/05 25 25,851 7.00% due 2/03/03 60 61,412 7.375% due 1/19/10 20 21,592 General Motors Acceptance Corp. 5.85% due 1/14/09 40 36,659 6.85% due 6/17/04 40 40,170 Georgia-Pacific Corp. 7.75% due 11/15/29 10 8,107 Goldman Sachs Group Inc. 7.625% due 8/17/05 25 26,067 Heller Financial Inc. 7.875% due 5/15/03 25 25,641 Hewlett Packard Co. 7.15% due 6/15/05 10 10,299 Honeywell International I 7.50% due 3/01/10 10 10,837 Household Finance Corp. 6.00% due 5/01/04 20 19,638 7.875% due 3/01/07 25 26,271 8.00% due 5/09/05 25 26,216 International Business Machines 6.50% due 1/15/28 5 4,556 International Paper Co. 8.00% due 7/08/03 50 51,873 8.125% due 7/08/05 20 20,765 Koninklijke Kpn 8.375% due 10/01/30 5 4,575 Kroger Co. 7.00% due 5/01/18 5 4,685 8.05% due 2/01/10 25 26,546 Lehman Bros Holdings 7.75% due 1/15/05 40 41,422 Lockheed Martin Corp. 7.875% due 3/15/23 20 19,215 8.50% due 12/01/29 10 11,317 Lucent Technologies Inc. 6.45% due 3/15/29 10 6,734 MTR Corp. Ltd 7.50% due 11/08/10 25 25,943 Marconi Plc 7.75% due 9/15/10 10 9,597 8.375% due 9/15/30 5 4,553 Martin Marietta Corp. 6.50% due 4/15/03 10 10,003 MBNA America Bank 7.75% due 9/15/05 10 10,220 Merrill Lynch & Co Inc. 6.00% due 2/12/03 50 49,816 6.375% due 10/15/08 15 14,659 6.875% due 11/15/18 5 4,694 Mid American Funding Llc 6.927% due 3/01/29 5 4,513 Morgan J P & Co Inc. 5.75% due 2/25/04 25 24,600 Morgan Stanley Group Inc. 5.625% due 1/20/04 50 49,064 Motorola Inc. 6.50% due 11/15/28 10 8,406 Nabisco Inc. 7.05% due 7/15/07 50 49,180 Nationsbank Corp. 6.80% due 3/15/28 10 8,664 News American Holdings Inc. 9.25% due 2/01/13 10 10,713 8.00% due 10/17/16 10 9,038 News American Inc. 7.625% due 11/30/28 5 4,286 Niagara Mohawk Power Corp. 7.75% due 10/01/08 10 10,403 Nisource Finance Corp. 7.50% due 11/15/03 50 50,731 7.625% due 11/15/05 150 154,620 Norfolk Southern Corp. 7.80% due 5/15/27 30 30,609 Norsk Hydro A S 7.25% due 9/23/27 10 9,754 Occidental Petroleum Corp. 7.375% due 11/15/08 10 10,276 7 CITI U.S. BOND INDEX FUND PORTFOLIO PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 PRINCIPAL AMOUNT ISSUER (000'S OMITTED) VALUE - -------------------------------------------------------------------------------- CORPORATE BONDS -- CONT'D - -------------------------------------------------------------------------------- Pacific Gas & Elecectric Co. 8.375% due 5/01/2025 15 $ 13,074 7.375% due 11/01/05 10 8,344 Pepsi Bottling Group Inc. 7.00% due 3/01/29 10 9,863 Petroleum Geo Svcs 7.125% due 3/30/28 5 4,069 Philip Morris Cos Inc. 7.00% due 7/15/05 35 34,952 Phillips Petroleum Co. 7.00% due 3/30/29 10 9,536 8.50% due 5/25/05 10 10,819 8.75% due 5/25/10 20 22,885 PPG Industries Inc. 7.05% due 8/15/09 20 19,481 Procter & Gamble Co. 6.60% due 12/15/04 25 25,674 Qwest Capital Funding Inc. 7.75% due 8/15/06 40 41,673 Raytheon Co. 6.50% due 7/15/05 20 19,900 6.55% due 3/15/10 25 24,388 5.70% due 11/01/03 10 9,758 Rohm & Haas Co. 7.40% due 7/15/09 10 10,246 Royal Kpn Nv 8.00% due 10/01/10 5 4,831 7.50% due 10/01/05 5 4,832 Safeway Inc. 6.05% due 11/15/03 20 19,827 7.50% due 9/15/09 10 10,445 Southern Ca Edison Co. 7.20% due 11/03/03 25 21,288 Sprint Cap Corp. 6.875% due 11/15/28 20 16,172 6.90% due 5/01/19 10 8,394 Suntrust Banks Inc. 6.125% due 2/15/04 20 19,825 7.75% due 5/01/10 10 10,489 Telefonica Europe Bv 7.35% due 9/15/05 20 20,205 7.75% due 9/15/10 25 25,315 8.25% due 9/15/30 5 4,992 Texaco Cap Inc. 5.50% due 1/15/09 15 14,305 Time Warner Inc. 6.625% due 5/15/29 25 22,396 8.11% due 8/15/06 80 85,638 9.125% due 1/15/13 20 23,246 Tosco Corp. 8.125% due 2/15/30 15 16,138 TXU Eastern Funding Co. 6.45% due 5/15/25 15 14,594 Tyco Intl Group 6.375% due 6/15/05 20 19,932 6.875% due 1/15/29 5 4,628 U S West Capital Funding Inc. 6.875% due 7/15/28 10 8,832 U.S. West Communications Inc. 7.20% due 11/01/04 25 25,422 Unilever Capital Corp. 6.875% due 11/01/05 60 61,945 Union Pacific Corp. 6.625% due 2/01/29 10 8,967 Union Pacific Resource Group Inc. 7.95% due 4/15/29 10 10,681 United Airlines Pass-Thru 7.186% due 4/01/11 15 15,299 United Technologies Corp. 7.125% due 11/15/10 10 10,552 7.50% due 9/15/29 10 10,663 U.S. Airways Passthru Trusts 7.89% due 3/01/19 10 10,430 Valero Energy Corp New 8.75% due 6/15/30 5 5,518 Verizon Global Funding Corp. 6.75% due 12/01/05 10 10,100 7.25% due 12/01/10 10 10,209 7.75% due 12/01/30 5 5,124 Viacom Inc. 7.75% due 6/01/05 50 51,901 7.875% due 7/30/30 25 25,617 Vodafone Airtouch Plc 7.75% due 2/15/10 20 20,697 Wachovia Corp. 6.875% due 10/15/03 50 50,638 Wal Mart Stores Inc. 6.875% due 8/10/09 60 62,615 7.55% due 2/15/30 20 22,146 Wells Fargo & Co. 7.25% due 8/24/05 15 15,558 7.55% due 6/21/10 20 21,206 7.00% due 11/1/05 10 10,271 Weyerhaeuser Co. 6.95% due 10/01/27 10 8,638 Williams Cos Inc. 7.625% due 7/15/19 20 19,790 Worldcom Inc. 6.40% due 8/15/05 40 38,510 8.25% due 5/15/10 15 15,527 ----------- 3,758,953 ----------- 8 CITI U.S. BOND INDEX FUND PORTFOLIO PORTFOLIO OF INVESTMENTS December 31, 2000 PRINCIPAL AMOUNT ISSUER (000'S OMITTED) VALUE - -------------------------------------------------------------------------------- MORTGAGE OBLIGATIONS -- 33.4% - -------------------------------------------------------------------------------- MORTGAGE BACKED SECURITIES/PASSTHROUGHS -- 25.8% - -------------------------------------------------------------------------------- Federal Express Corp.Trust 6.72% due 1/15/22 10 $ 9,796 Federal Home Loan Mortgage Corp. 7.50% due TBA 2,300 2,335,213 Federal National Mortgage Association 6.50% due TBA 2,100 2,071,125 6.00% due 2/01/15 495 488,434 7.00% due 9/01/15 495 500,243 ---------- 5,404,811 ---------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 7.6% - -------------------------------------------------------------------------------- 6.00% due 1/15/29 569 551,674 6.00% due 5/15/29 121 117,269 8.00% due 9/15/30 607 622,887 8.00% due 11/15/30 293 300,646 ---------- 1,592,476 ---------- Total Mortgage Obligations 6,997,287 ---------- YANKEE BONDS -- 2.6% - -------------------------------------------------------------------------------- British Telecommunications 8.125% due 12/15/10 10 10,110 Canadian National Royal Co 6.90% due 7/15/28 20 18,693 Canada Government 6.375% due 11/30/04 35 35,781 Chile Republic 6.875% due 4/28/09 5 4,863 Italy Republic 6.875% due 9/27/23 20 20,659 Italy Republic 7.25% due 2/07/05 40 42,123 Korea Republic 8.875% due 4/15/08 20 21,539 Malaysia 8.75% due 6/01/09 10 10,851 Manitoba Prov Cda 7.50% due 2/22/10 20 21,916 Mexico United Mexican Sts 9.875% due 1/15/07 35 37,013 Mexico United Mexican Sts 11.375% due 9/15/16 30 35,010 Mexico United Mexican Sts 11.50% due 5/15/26 5 6,088 Ontario Province of Canada 6.00% due 2/21/06 50 50,119 Peoples Republic of China 7.30% due 12/15/08 10 10,286 Quebec Province Canada 5.75% due 2/15/09 15 14,442 Quebec Province of Canada 7.50% due 9/15/29 35 37,352 Asian Development Bank 7.50% due 5/31/05 50 53,083 Inter-American Development Bank 7.375% due 1/15/10 30 32,775 International Bank For Recon & Development 5.625% due 3/17/03 50 49,947 7.625% due 1/19/23 20 22,373 ---------- 535,023 ---------- UNITED STATES GOVERNMENT AND OTHER GOVERNMENT OBLIGATIONS -- 44.5% - -------------------------------------------------------------------------------- UNITED STATES TREASURY BONDS -- 11.0% - -------------------------------------------------------------------------------- 10.375% due 11/15/12 100 128,562 12.00% due 8/15/13 100 141,281 11.75% due 11/15/14 50 72,430 11.25% due 2/15/15 100 156,344 7.25% due 5/15/16 150 176,438 8.75% due 5/15/17 100 134,312 9.125% due 5/15/18 100 139,531 8.125% due 8/15/19 100 129,266 8.75% due 5/15/20 125 171,719 8.125% due 5/15/21 150 195,703 7.25% due 8/15/22 100 120,562 6.25% due 8/15/23 100 108,156 7.50% due 11/15/24 50 62,429 6.875% due 8/15/25 75 87,738 6.75% due 8/15/26 100 115,719 6.375% due 8/15/27 100 110,750 6.125% due 8/15/29 186 202,305 6.25% due 5/15/30 50 55,781 ---------- 2,309,026 ---------- UNITED STATES TREASURY NOTES -- 14.7% - -------------------------------------------------------------------------------- 6.25% due 2/28/02 300 302,625 6.125% due 8/31/02 385 390,113 6.00% due 9/30/02 450 455,697 5.50% due 2/28/03 350 352,569 5.25% due 8/15/03 300 300,936 5.875% due 2/15/04 270 275,527 7.25% due 8/15/04 235 251,229 6.75% due 5/15/05 75 79,898 5.625% due 2/15/06 165 168,841 7.00% due 7/15/06 100 108,844 9 CITI U.S. BOND INDEX FUND PORTFOLIO PORTFOLIO OF INVESTMENTS (Continued) December 31, 2000 PRINCIPAL AMOUNT ISSUER (000'S OMITTED) VALUE - -------------------------------------------------------------------------------- UNITED STATES TREASURY NOTES -- CONT'D - -------------------------------------------------------------------------------- 6.25% due 2/15/07 50 $ 52,781 6.125% due 8/15/07 85 89,502 5.50% due 2/15/08 90 91,631 4.75% due 11/15/08 120 116,681 5.75% due 8/15/10 40 41,919 ---------- 3,078,793 ---------- UNITED STATES AGENCY OBLIGATIONS -- 18.8% - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 7.00% due 7/15/05 100 104,937 7.00% due 3/15/10 300 320,952 7.375% due 5/15/03 500 519,295 ---------- 945,184 ---------- Federal National Mortgage Association 5.125% due 2/13/04 250 246,250 5.75% due 6/15/05 700 700,658 6.25% due 3/17/04 100 99,391 6.625% due 4/15/02 350 353,938 6.63% due 3/20/08 35 34,595 7.08% due 11/17/03 200 200,468 7.125% due 9/19/05 200 203,344 7.125% due 3/15/07 350 373,625 7.125% due 6/15/10 500 540,470 7.25% due 5/15/30 200 227,624 ---------- 2,980,363 ---------- Israel St 7.75% due 3/15/10 5 5,161 ---------- 3,930,708 ---------- SHORT-TERM OBLIGATIONS AT AMORTIZED COST -- 21.9% - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Discount Note 5.10% due 1/02/01 4,400 4,399,377 Federated Prime Cash Obligation Fund 6.45% due 1/02/01 181 181,410 ----------- TOTAL SHORT-TERM OBLIGATIONS (Identified Cost $4,580,787) 4,580,787 TOTAL INVESTMENTS (Identified Cost $24,745,362) 120.3% 25,190,577 OTHER ASSETS, LESS LIABILITIES (20.3) (4,249,157) ----- ----------- NET ASSETS 100.0% $20,941,420 ===== =========== See notes to financial statements 10 CITI U.S. BOND INDEX FUND STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2000 ============================================================================ ASSETS: Investments, at value (Note 1A) (Identified Cost, $24,745,362) $25,190,577 Cash 2,301 Interest receivable 254,525 Receivable from the Manager 78,971 - ---------------------------------------------------------------------------- Total assets 25,526,374 - ---------------------------------------------------------------------------- LIABILITIES: Payable for investments purchased 4,514,187 Accrued expenses and other liabilities 70,767 - ---------------------------------------------------------------------------- Total liabilities 4,584,954 - ---------------------------------------------------------------------------- NET ASSETS $20,941,420 ============================================================================ NET ASSETS CONSIST OF: Paid-in capital $20,410,618 Unrealized appreciation 445,215 Accumulated net realized gain on investments 85,126 Undistributed net investment income 461 - ---------------------------------------------------------------------------- Total $20,941,420 ============================================================================ COMPUTATION OF SMITH BARNEY SHARES: Net Asset Value, offering price and redemption price per share ($37,328/3,617 shares outstanding) $10.32 ============================================================================ COMPUTATION OF CITI SHARES: Net Asset Value, offering price and redemption price per share ($20,904,092/2,037,082 shares outstanding) $10.26 ============================================================================ See notes to financial statements 11 CITI U.S. BOND INDEX FUND STATEMENT OF OPERATIONS FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INVESTMENT INCOME (Note 1B): Interest Income $418,974 EXPENSES: Management fees (Note 2) $9,745 Distribution fees Smith Barney Index Shares (Note 3) 10 Custody and fund accounting fees 31,540 Legal fees 22,080 Audit fees 16,000 Shareholder reports 12,740 Transfer agent fees 6,599 Registration fees 5,408 Trustees fees 1,300 Other 6,247 - -------------------------------------------------------------------------------- Total expenses 111,669 Less: expenses assumed by the Manager (Note 7) (78,971) Less: aggregate amount waived by the Manager (Note 2) (6,496) - -------------------------------------------------------------------------------- Net expenses 26,202 - -------------------------------------------------------------------------------- Net investment income 392,772 - -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS: Net realized gain from investment transactions 103,557 Unrealized appreciation 445,215 - -------------------------------------------------------------------------------- Net realized and unrealized gain 548,772 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $941,544 ================================================================================ See notes to financial statements 12 CITI U.S. BOND INDEX FUND STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD SEPTEMBER 5, 2000 COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: Net investment income $ 392,772 Net realized gain on investment transactions 103,557 Unrealized appreciation 445,215 - -------------------------------------------------------------------------------- Net increase in net assets resulting from operations 941,544 - -------------------------------------------------------------------------------- DIVIDENDS DECLARED TO SHAREHOLDERS FROM: Net investment income Smith Barney Shares (305) Net realized gains Smith Barney Shares (33) Net investment income Citi Shares (392,006) Net realized gains Citi Shares (18,398) - -------------------------------------------------------------------------------- Decrease in net assets from distributions to shareholders (410,742) - -------------------------------------------------------------------------------- TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 6): SMITH BARNEY SHARES* Net proceeds from sale of shares 38,356 Net asset value of shares issued to shareholders from reinvestment of dividends 74 Cost of shares repurchased (2,006) - -------------------------------------------------------------------------------- Total Smith Barney Shares 36,424 - -------------------------------------------------------------------------------- CITI SHARES** Net proceeds from sale of shares 20,000,221 Net asset value of shares issued to shareholders from reinvestment of dividends 410,401 Cost of shares repurchased (36,428) - ------------------------------------------------------------------------------- Total Citi Shares 20,374,194 - -------------------------------------------------------------------------------- Net increase in net assets from transactions in shares of beneficial interest 20,410,618 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 20,941,420 - -------------------------------------------------------------------------------- NET ASSETS: Beginning of period -- - -------------------------------------------------------------------------------- End of period (including undistributed net investment income of $461) $20,941,420 - -------------------------------------------------------------------------------- * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. See notes to financial statements 13 CITI U.S. BOND INDEX FUND FINANCIAL HIGHLIGHTS SMITH BARNEY SHARE ------------------ FOR THE PERIOD SEPTEMBER 11, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ Net Asset Value, beginning of period $ 9.98 - -------------------------------------------------------------------------------- Income From Operations: Net investment income 0.105 Net realized and unrealized gain on investments 0.353 - -------------------------------------------------------------------------------- Total from operations 0.458 - -------------------------------------------------------------------------------- Less Dividends From: Net investment income (0.109) Net realized gains on investments (0.009) - -------------------------------------------------------------------------------- Total distributions (0.118) - -------------------------------------------------------------------------------- Net Asset Value, end of period $ 10.32 ================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's omitted) $ 37 Ratio of expenses to average net assets 0.60%* Ratio of net investment income to average net assets 5.93%* Portfolio turnover 141% Total return 4.61%** Note: If Agents of the Fund had not voluntarily agreed to waive all or a portion of their fees for the period, the expenses were not reduced for fees paid indirectly, the Manager had not voluntarily assumed expenses, the net investment income per share and the ratios would have been as follows: Net investment income per share $ 0.086 RATIOS: Expenses to average net assets 1.99%* Net investment income to average net assets 4.54%* ================================================================================ * Annualized ** Not Annualized See notes to financial statements 14 CITI U.S. BOND INDEX FUND NOTESTOFINANCIALSTATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES Citi U.S. Bond Index Fund (the "Fund") is a separate non-diversified series of CitiFunds Trust I (the "Trust"), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. The Fund offers two classes of shares: the Smith Barney Shares, which commenced operations on September 11, 2000 and the Citi Shares, which commenced operations on September 5, 2000. The investment manager of the Fund is SSB Citi Fund Management LLC( "SSBC"). The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The significant accounting policies consistently followed by the Fund are as follows: A. INVESTMENT SECURITY Debt securities (other than short-term obligations maturing in sixty days or less), are valued on the basis of valuations furnished by pricing services approved by the Board of Trustees which take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and other market data, without exclusive reliance on quoted prices or exchange or over-the-counter prices. Short-term obligations, maturing in sixty days or less, are valued at amortized cost, which constitutes fair value as determined by the Trustees. Securities, if any, for which there are no such valuations or quotations are valued at fair value as determined in good faith by or under guidelines established by the Trustees. B. INCOME Interest income consists of interest accrued and discount earned, adjusted for amortization of premium or discount on long-term debt securities when required for U.S. federal income tax purposes. Dividend income is recorded on the ex-dividend date. C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the Internal Revenue Code available to regulated investment companies and to distribute to shareholders all of its taxable income, including any net realized gain on investment transactions. Accordingly, no provision for federal income or excise tax is necessary. D. DISTRIBUTIONS The Fund distinguishes between distributions on a tax basis and a financial reporting basis and requires that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. E. EXPENSES The Fund bears all costs of its operations other than expenses specifically assumed by SSBC. Expenses incurred by the Trust with respect to any two or more funds or series are allocated in proportion to the average net assets of 15 CITI U.S. BOND INDEX FUND NOTES TO FINANCIAL STATEMENTS (Continued) each fund, except when allocations of direct expenses to each fund can otherwise be made fairly. Expenses directly attributable to a fund are charged to that fund. F. OTHER INVESTMENT transactions are accounted for on the date the investments are purchased or sold. Realized gains and losses are determined on the identified cost basis. Distributions to shareholders and shares issuable to shareholders electing to receive distributions in shares are recorded on the ex-dividend date. 2. MANAGEMENT FEES SSBC is a subsidiary of Citigroup Inc. ("Citigroup") and acts as investment manager to the Fund. The management fee is computed at an annual rate of 0.15% of the Fund's average daily net assets. SSBC has delegated the daily management of the Fund to State Street Bank and Trust Company, which will act as a subadviser through its State Street Global Advisors division. The management fees paid to SSBC amounted to $9,745, of which $6,496 was waived for the period ended December 31, 2000. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates. 3. DISTRIBUTION Salomon Smith Barney Inc. acts as the Fund distributor. Salomon Smith Barney Inc. ("SSB") is a subsidiary of Salomon Smith Barney Holdings Inc. ("SSBH"), as well as certain other broker-dealers, continues to sell Fund shares to the public as a member of the selling group. Citi Fiduciary Trust Company ("CFTC"), another subsidiary of Citigroup, acts as the Fund's transfer agent and Boston Financial Data Services ("BFDS") acts as the Fund's sub-transfer agent. CFTC receives fees and asset-based fees that vary according to the account size and type of account. BFDS is responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CFTC. For the period ended December 31, 2000, the Fund paid transfer agent fees of $12,634 to CFTC. Pursuant to a Distribution Plan, the Fund pays a service fee with respect to Smith Barney shares calculated at an annual rate of 0.20% of the average daily net assets. The Service Fee amounted to $10 for the period ended December 31, 2000. 4. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other than short-term obligations, aggregated $28,690,109 and $48,778,358, respectively, for the year ended December 31, 2000. 5. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation (depreciation) in value of the investment securities owned at December 31, 2000, as computed on a federal income tax basis, are as follows: Aggregate cost $24,746,965 ================================================================================ Gross unrealized appreciation $ 467,126 Gross unrealized depreciation (23,514) - ------------------------------------------------------------------------------- Net unrealized appreciation $ 443,612 ================================================================================ 16 CITI U.S. BOND INDEX FUND NOTES TO FINANCIAL STATEMENTS 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares of beneficial interest were as follows: FOR THE PERIOD SEPTEMBER 5, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000 ================================================================================ SMITH BARNEY SHARES* Shares sold 3,808 Shares issued to shareholders from reinvestment of distributions 7 Shares repurchased (198) - -------------------------------------------------------------------------------- Net increase 3,617 ================================================================================ CITI SHARES** Shares sold 2,000,022 Shares issued to shareholders from reinvestment of dividends 40,604 - -------------------------------------------------------------------------------- Shares repurchased (3,544) - -------------------------------------------------------------------------------- Net increase 2,037,082 ================================================================================ * September 11, 2000 (Commencement of Operations) to December 31, 2000. ** September 5, 2000 (Commencement of Operations) to December 31, 2000. 7. ASSUMPTION OF EXPENSES SSBC has voluntarily agreed to pay a portion of the unwaived expenses of the Fund for the year ended December 31, 2000, which amounted to $78,971. 17 CITI U.S. BOND INDEX FUND INDEPENDENT AUDITORS' REPORT TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF THE CITI U.S. BOND INDEX FUND: We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Citi U.S. Bond Index Fund of CitiFunds Trust I as of December 31, 2000, the related statement of operations, changes in net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000. 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 auditing standards generally accepted in the United States of America. 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, 2000, by correspondence with the custodian. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi U.S. Bond Index Fund as of December 31, 2000, the results of its operations, the changes in its net assets and financial highlights for the period September 5, 2000 (Commencement of Operations) through December 31, 2000, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 9, 2001 18 THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. TRUSTEES AND OFFICERS Elliott J. Berv Donald M. Carlton A. Benton Cocanougher Mark T. Finn Riley C. Gilley Stephen Randolph Gross Diana R. Harrington Susan B. Kerley Heath B. McLendon*, PRESIDENT Alan G. Merten C. Oscar Morong, Jr., CHAIRMAN R. Richardson Pettit Walter E. Robb, III E. Kirby Warren SECRETARY Robert I. Frenkel* TREASURER Lewis E. Daidone* * AFFILIATED PERSON OF INVESTMENT MANAGER INVESTMENT MANAGER SSB Citi Fund Management LLC DISTRIBUTOR Salomon Smith Barney Inc. TRANSFER AGENT Citi Fiduciary Trust Company 125 Broad Street, New York, NY 10004 SUB-TRANSFER AGENT AND CUSTODIAN State Street Bank and Trust Company 225 Franklin Street, Boston, MA 02110 AUDITORS KPMG LLP This report is prepared for the information of shareholders of Citi U.S. Bond Index Fund. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus of Citi U.S. Bond Index Fund. (C)2001 Citicorp [recycle logo] Printed on recycled paper FD02214 2/01 -----END PRIVACY-ENHANCED MESSAGE-----