-----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, PdRQ6D6u3oxjzY/HFiebFJ+7w58Lpcy1koxfx3sMV8N/FphHf9pHIbDJeV4meZ42 ts7MaT8JGMdRD/VqwtuiZQ== 0000950123-04-010735.txt : 20040908 0000950123-04-010735.hdr.sgml : 20040908 20040908152953 ACCESSION NUMBER: 0000950123-04-010735 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040908 DATE AS OF CHANGE: 20040908 EFFECTIVENESS DATE: 20040908 FILER: COMPANY DATA: COMPANY CONFORMED NAME: TRAVELERS SERIES TRUST CENTRAL INDEX KEY: 0000880583 IRS NUMBER: 061346133 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-06465 FILM NUMBER: 041020670 BUSINESS ADDRESS: STREET 1: CITIGROUP ASSET MANAGEMENT STREET 2: 125 BROAD STREET, 10TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10004 BUSINESS PHONE: 212-291-2556 MAIL ADDRESS: STREET 1: CITIGROUP ASSET MANAGEMENT STREET 2: 125 BROAD STREET, 10TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10004 N-CSRS 1 y99404rsnvcsrs.txt THE TRAVELERS SERIES TRUST UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-6465 The Travelers Series Trust (Exact name of registrant as specified in charter) 125 Broad Street, New York, NY 10004 (Address of principal executive offices) (Zip code) Robert I. Frenkel, Esq. Smith Barney Fund Management LLC 300 First Stamford Place Stamford, CT 06902 (Name and address of agent for service) Registrant's telephone number, including area code: (800) 451-2010 Date of fiscal year end: December 31 Date of reporting period: June 30, 2004 ITEM 1. REPORT TO STOCKHOLDERS. The Semi-Annual Report to Stockholders is filed herewith. [INSERT SHAREHOLDER REPORT] SEMI-ANNUAL REPORT JUNE 30, 2004 [UMBRELLA GRAPHIC] THE TRAVELERS SERIES TRUST: EQUITY INCOME PORTFOLIO LARGE CAP PORTFOLIO [TRAVELERS LIFE AND ANNUITY LOGO] The Travelers Insurance Company The Travelers Life and Annuity Company One Cityplace Hartford, CT 06103 SEMI-ANNUAL REPORT FOR THE TRAVELERS SERIES TRUST - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WHAT'S INSIDE LETTER FROM THE CHAIRMAN.................................... 1 SCHEDULES OF INVESTMENTS.................................... 4 STATEMENTS OF ASSETS AND LIABILITIES........................ 15 STATEMENTS OF OPERATIONS.................................... 16 STATEMENTS OF CHANGES IN NET ASSETS......................... 17 NOTES TO FINANCIAL STATEMENTS............................... 19 FINANCIAL HIGHLIGHTS........................................ 23
- -------------------------------------------------------------------------------- LETTER FROM THE CHAIRMAN [R. JAY GERKEN PHOTO] R. JAY GERKEN, CFA Chairman, President and Chief Executive Officer DEAR SHAREHOLDER, After a torrid second half of 2003, the equity markets took a breather in the first half of this year. Markets typically abhor uncertainty, so as the year progressed, investors grew increasingly lethargic amid questions over Iraq, global terrorism, a rise in oil prices, interest rates, inflation, and the presidential election. The good news -- solid corporate earnings, the improving economy, renewed job growth, and the still low level of interest rates -- largely was ignored. As a result, stock market returns for the first six months of 2004 generally were modest, as opposed to the strong, double-digit gains late last year. As was the case in 2003, small- and mid-capitalization stocks generally outperformed their larger brethren in the first half of this year. Value- and growth-oriented stocks frequently traded short-term performance leadership during the past six months, but value stocks slightly outperformed growth stocks over the full six-month period. The performance of foreign stock markets in the first half largely was in-line with that of the broad U.S. market. Stocks continued to outpace bonds in the first half of the year. Bonds generally suffered, particularly during the spring, due to heightened worries about resurgent inflation, rising rates, and anticipation that the Federal Reserve Bank ("Fed") would begin to raise key short-term rates after a long accommodative stance on monetary policy. Indeed, the Fed edged up its federal funds target rate(i) at the end of June to 1.25%. Over the six-month period, bonds generally experienced slightly negative returns. After a sharp drop early in the year, by the end of the period the U.S. Consumer Confidence Index(ii) rose to levels not seen since June of 2002. The domestic unemployment rate held steady for the six-month period, but the rate of job growth slowed following a strong increase in the first three months of the year. Real (inflation-adjusted) gross domestic product (GDP)(iii) increased at an annual rate of 3.90% in the first fiscal quarter of 2004, the most recent figure available at the close of the period, down slightly from the 4.10% increase in the last quarter of 2003.(iv) PORTFOLIO PERFORMANCE Within this environment, the Portfolios performed as follows:(1) EQUITY INCOME PORTFOLIO During the period ended June 30, 2004, the Equity Income Portfolio returned 0.53%. The Portfolio underperformed its unmanaged benchmark, the Russell 3000 Value Index,(v) and a comparative index, the Russell 1000 Value Index,(vi) which returned 4.23% and 3.94%, respectively. The Portfolio also underperformed its Lipper equity income variable funds category average, which returned 3.64%.(2) (1) Each fund is an underlying investment option of various variable annuity and life products. Fund performance returns do not reflect the deduction of sales charges and expenses imposed in connection with investing in variable annuity and life contracts such as administrative fees, account charges, and surrender charges, which if reflected, would reduce the performance of the fund. An investor may not invest directly in the fund. Past performance is no indication of future results. (2) Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended June 30, 2004, calculated among the 59 funds in the Lipper equity income variable funds category including the reinvestment of dividends and capital gains, if any. 1 LARGE CAP PORTFOLIO The Large Cap Portfolio returned 2.60% for the period ended June 30, 2004. The Portfolio underperformed its unmanaged benchmark, the S&P 500 Index(vii), which returned 3.44%, but slightly outperformed its Lipper large cap core variable funds category average, which returned 2.37%.(3) PERFORMANCE OF THE PORTFOLIOS AS OF JUNE 30, 2004
6 MONTHS -------- EQUITY INCOME PORTFOLIO..................................... 0.53% Russell 3000 Value Index.................................... 4.23% Russell 1000 Value Index.................................... 3.94% Lipper Equity Income Variable Funds Category Average........ 3.64% LARGE CAP PORTFOLIO......................................... 2.60% S&P 500 Index............................................... 3.44% Lipper Large Cap Core Variable Funds Category Average....... 2.37%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS AND CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE SHOWN ABOVE. PRINCIPAL VALUE AND INVESTMENT RETURNS WILL FLUCTUATE AND INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. The performance returns set forth above do not reflect the reduction of sales charges and expenses imposed in connection with investing in variable annuity and life contracts such as administrative fees, account charges, and surrender charges, which if reflected, would reduce the performance of the funds. INFORMATION ABOUT YOUR FUNDS In recent months several issues in the mutual fund and variable product industries have come under the scrutiny of federal and state regulators. Travelers Life & Annuity and some of its affiliates have received requests for information from various government regulators regarding market timing, late trading, revenue sharing and other mutual fund and variable product issues in connection with various investigations. The funds have been informed that Travelers Life & Annuity and its affiliates are responding to those information requests and cooperating with the regulators, but are not in a position to predict the outcome of these requests and investigations. In November 2003, Citigroup Asset Management disclosed an investigation by the Securities and Exchange Commission ("SEC") and the U.S. Attorney relating to Citigroup Asset Management's entry into the transfer agency business during 1997-1999. On July 20, 2004, Citigroup disclosed that it had been notified by the Staff of the SEC that the Staff is considering recommending a civil injunctive action and/or an administrative proceeding against certain advisory and transfer agent entities affiliated with Citigroup relating to the creation and operation of its internal transfer agent unit to serve primarily the Smith Barney family of mutual funds. Citigroup is cooperating with the SEC and will seek to resolve this matter in discussion with the SEC Staff. Although there can be no assurance, Citigroup does not believe that this matter will have a material adverse effect on the funds. (3) Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended June 30, 2004, calculated among the 215 funds in the Lipper large cap core variable funds category including the reinvestment of dividends and capital gains, if any. 2 As always, thank you for your continued confidence in our stewardship of your assets. We look forward to helping you continue to meet your financial goals. Sincerely, /s/ R. JAY GERKEN R. Jay Gerken, CFA Chairman, President and Chief Executive Officer July 20, 2004 The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole. Please note an investor cannot invest directly in an index. Past performance is no guarantee of future results. The performance returns set forth do not reflect the deduction of sales charges and expenses imposed in connection with investing in variable annuity and life contracts, including but not limited to, administrative fees, account charges, and surrender charges, which if reflected, would reduce performance. Portfolio holdings and breakdowns are as of June 30, 2004 and are subject to change. Please refer to pages 4 through 14 for a list and percentage breakdown of the fund's holdings. The commentary provided is as of July 20, 2004 and is subject to change based on the market and other conditions. The views expressed are those of the portfolio manager and are not intended to be a forecast of future events, a guarantee of future results or investment advice. These views may differ from those of other portfolio managers or the firm as a whole. (i) The federal funds rate is the interest rate that banks with excess reserves at a Federal Reserve district bank charge other banks that need overnight loans. (ii) Source: June 2004 Consumer Confidence Index, The Conference Board. (iii) Gross domestic product is a market value of goods and services produced by labor and property in a given country. (iv) Source: Bureau of Economic Analysis, U.S. Department of Commerce, June 25, 2004. (v) The Russell 3000 Value Index measures the performance of those Russell 3000 Index companies with lower price-to-book ratios and lower forecasted growth values. (A price-to-book ratio is the price of a stock compared to the difference between a company's assets and liabilities.) (vi) The Russell 1000 Value Index measures the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth rates. (vii) The S&P 500 Index is a market capitalization-weighted index of 500 widely held common stocks. 3 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2004 EQUITY INCOME PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------------------- COMMON STOCK -- 96.9% - -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 9.9% AUTOMOBILES -- 0.4% 40,600 Ford Motor Co. ............................................. $ 635,390 23,500 Nissan Motor Co., Ltd., Sponsored ADR....................... 525,695 - -------------------------------------------------------------------------------------------------- 1,161,085 - -------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 0.7% 73,400 Hilton Hotels Corp. ........................................ 1,369,644 16,100 Marriott International, Inc., Class A Shares................ 803,068 - -------------------------------------------------------------------------------------------------- 2,172,712 - -------------------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL -- 2.0% 217,333 InterActiveCorp+............................................ 6,550,417 - -------------------------------------------------------------------------------------------------- MEDIA -- 5.8% 44,700 Belo Corp., Class A Shares.................................. 1,200,195 11,300 The DIRECTV Group, Inc.+.................................... 193,230 9,500 The McGraw Hill Cos., Inc. ................................. 727,415 199,000 The News Corp. Ltd., Sponsored ADR.......................... 7,048,580 44,100 Omnicom Group Inc. ......................................... 3,346,749 121,100 Viacom Inc., Class B Shares................................. 4,325,692 700 Washington Post Co., Class B Shares......................... 651,007 43,400 XM Satellite Radio Holdings Inc., Class A Shares+........... 1,184,386 - -------------------------------------------------------------------------------------------------- 18,677,254 - -------------------------------------------------------------------------------------------------- MULTI-LINE RETAIL -- 0.8% 64,400 J.C. Penney Co., Inc. ...................................... 2,431,744 - -------------------------------------------------------------------------------------------------- TEXTILES & APPAREL -- 0.2% 18,100 Polo Ralph Lauren Corp. .................................... 623,545 - -------------------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 31,616,757 - -------------------------------------------------------------------------------------------------- CONSUMER STAPLES -- 5.7% BEVERAGES -- 0.3% 20,400 The Coca-Cola Co. .......................................... 1,029,792 - -------------------------------------------------------------------------------------------------- FOOD & DRUG RETAILING -- 1.5% 57,700 Albertson's, Inc. .......................................... 1,531,358 127,600 Safeway Inc.+............................................... 3,233,384 - -------------------------------------------------------------------------------------------------- 4,764,742 - -------------------------------------------------------------------------------------------------- FOOD PRODUCTS -- 1.0% 91,900 McCormick & Co., Inc. ...................................... 3,124,600 - -------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 1.4% 51,800 Colgate-Palmolive Co. ...................................... 3,027,710 4,200 Kimberly-Clark Corp. ....................................... 276,696 24,200 The Procter & Gamble Co. ................................... 1,317,448 - -------------------------------------------------------------------------------------------------- 4,621,854 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 4 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 EQUITY INCOME PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS -- 1.2% 17,200 The Estee Lauder Cos, Inc. ................................. $ 839,016 73,900 The Gillette Co. ........................................... 3,133,360 - -------------------------------------------------------------------------------------------------- 3,972,376 - -------------------------------------------------------------------------------------------------- TOBACCO -- 0.3% 16,200 Altria Group, Inc. ......................................... 810,810 - -------------------------------------------------------------------------------------------------- TOTAL CONSUMER STAPLES...................................... 18,324,174 - -------------------------------------------------------------------------------------------------- ENERGY -- 14.1% ENERGY EQUIPMENT & SERVICES -- 1.7% 75,300 ENSCO International Inc. ................................... 2,191,230 9,400 Rowan Cos., Inc.+........................................... 228,702 6,600 Smith International, Inc.+.................................. 368,016 56,160 Weatherford International Ltd.+............................. 2,526,077 - -------------------------------------------------------------------------------------------------- 5,314,025 - -------------------------------------------------------------------------------------------------- OIL & GAS -- 12.4% 24,800 Ashland Inc. ............................................... 1,309,688 95,500 BP PLC, Sponsored ADR....................................... 5,115,935 469,400 Burlington Resources, Inc. ................................. 16,982,892 363,610 Exxon Mobil Corp. .......................................... 16,147,920 - -------------------------------------------------------------------------------------------------- 39,556,435 - -------------------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 44,870,460 - -------------------------------------------------------------------------------------------------- FINANCIALS -- 25.1% BANKS -- 8.4% 109,500 Bank of America Corp. ...................................... 9,265,890 26,600 The Bank of New York Co., Inc. ............................. 784,168 75,400 Bank One Corp. ............................................. 3,845,400 28,900 Fifth Third Bancorp......................................... 1,554,242 15,354 Northern Trust Corp. ....................................... 649,167 99,348 Wachovia Corp. ............................................. 4,420,986 113,850 Wells Fargo & Co. .......................................... 6,515,636 - -------------------------------------------------------------------------------------------------- 27,035,489 - -------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 11.6% 25,300 Allied Capital Corp. ....................................... 617,826 26,700 American Express Co. ....................................... 1,371,846 1,403,440 The Charles Schwab Corp. ................................... 13,487,058 140,700 Fannie Mae.................................................. 10,040,352 99,800 J.P. Morgan Chase & Co. .................................... 3,869,246 85,800 Morgan Stanley.............................................. 4,527,666 76,100 SLM Corp. .................................................. 3,078,245 - -------------------------------------------------------------------------------------------------- 36,992,239 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 5 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 EQUITY INCOME PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------------------- INSURANCE -- 4.9% 19,900 AFLAC, Inc. ................................................ $ 812,119 197,700 American International Group, Inc. ......................... 14,092,056 7,800 The Chubb Corp. ............................................ 531,804 7,100 Scottish Re Group Ltd. ..................................... 165,075 - -------------------------------------------------------------------------------------------------- 15,601,054 - -------------------------------------------------------------------------------------------------- REAL ESTATE -- 0.2% 3,100 Apartment Investment & Management Co., Class A Shares....... 96,503 8,800 Capital Automotive REIT..................................... 258,104 3,400 CenterPoint Properties Trust................................ 260,950 - -------------------------------------------------------------------------------------------------- 615,557 - -------------------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 80,244,339 - -------------------------------------------------------------------------------------------------- HEALTHCARE -- 6.3% HEALTHCARE EQUIPMENT & SUPPLIES -- 0.9% 60,700 Medtronic, Inc. ............................................ 2,957,304 - -------------------------------------------------------------------------------------------------- HEALTHCARE PROVIDERS & SERVICES -- 1.6% 11,400 Cardinal Health, Inc. ...................................... 798,570 36,700 McKesson Corp. ............................................. 1,259,911 102,100 Tenet Healthcare Corp.+..................................... 1,369,161 27,300 UnitedHealth Group Inc. .................................... 1,699,425 - -------------------------------------------------------------------------------------------------- 5,127,067 - -------------------------------------------------------------------------------------------------- PHARMACEUTICALS -- 3.8% 5,400 Bristol-Myers Squibb Co. ................................... 132,300 6,700 Johnson & Johnson........................................... 373,190 52,700 Merck & Co. Inc. ........................................... 2,503,250 230,930 Pfizer Inc. ................................................ 7,916,280 30,100 Wyeth....................................................... 1,088,416 - -------------------------------------------------------------------------------------------------- 12,013,436 - -------------------------------------------------------------------------------------------------- TOTAL HEALTHCARE............................................ 20,097,807 - -------------------------------------------------------------------------------------------------- INDUSTRIALS -- 13.5% AEROSPACE & DEFENSE -- 2.6% 196,900 Goodrich Corp. ............................................. 6,365,777 10,155 Lockheed Martin Corp. ...................................... 528,872 26,200 Precision Castparts Corp. .................................. 1,432,878 - -------------------------------------------------------------------------------------------------- 8,327,527 - -------------------------------------------------------------------------------------------------- AIRLINES -- 0.0% 35 Continental Airlines Inc.+.................................. 398 - -------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 0.6% 54,900 R.R. Donnelley & Sons Co. .................................. 1,812,798 - -------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 3.5% 8,400 3M Co. ..................................................... 756,084 207,400 General Electric Co. ....................................... 6,719,760 97,500 Honeywell International Inc. ............................... 3,571,425 - -------------------------------------------------------------------------------------------------- 11,047,269 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 6 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 EQUITY INCOME PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------------------- MACHINERY -- 4.0% 24,600 Caterpillar Inc. ........................................... $ 1,954,224 25,500 Deere & Co. ................................................ 1,788,570 210,700 Dover Corp. ................................................ 8,870,470 8,300 Pall Corp. ................................................. 217,377 - -------------------------------------------------------------------------------------------------- 12,830,641 - -------------------------------------------------------------------------------------------------- ROAD & RAIL -- 2.8% 22,540 Landstar System, Inc.+...................................... 1,191,690 274,700 Norfolk Southern Corp. ..................................... 7,285,044 23,630 Werner Enterprises, Inc. ................................... 498,593 - -------------------------------------------------------------------------------------------------- 8,975,327 - -------------------------------------------------------------------------------------------------- TOTAL INDUSTRIALS........................................... 42,993,960 - -------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 8.4% COMMUNICATIONS EQUIPMENT -- 0.1% 10,600 Nokia Oyj, Sponsored ADR.................................... 154,124 - -------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS -- 5.2% 24,700 Apple Computer, Inc.+....................................... 803,738 23,200 EMC Corp.+.................................................. 264,480 174,700 International Business Machines Corp. ...................... 15,399,805 - -------------------------------------------------------------------------------------------------- 16,468,023 - -------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.6% 38,900 Diebold, Inc. .............................................. 2,056,643 - -------------------------------------------------------------------------------------------------- SOFTWARE -- 2.5% 269,500 Microsoft Corp. ............................................ 7,696,920 2,100 Salesforce.com, Inc.+....................................... 33,747 12,300 Take-Two Interactive Software, Inc.+........................ 376,872 - -------------------------------------------------------------------------------------------------- 8,107,539 - -------------------------------------------------------------------------------------------------- TOTAL INFORMATION TECHNOLOGY................................ 26,786,329 - -------------------------------------------------------------------------------------------------- MATERIALS -- 5.0% CHEMICALS -- 3.5% 83,200 Air Products & Chemicals, Inc. ............................. 4,363,840 99,100 Eastman Chemical Co. ....................................... 4,581,393 40,700 FMC Corp.+.................................................. 1,754,577 22,800 Lyondell Chemical Co. ...................................... 396,492 - -------------------------------------------------------------------------------------------------- 11,096,302 - -------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING -- 0.6% 94,961 Smurfit-Stone Container Corp.+.............................. 1,894,472 - -------------------------------------------------------------------------------------------------- METALS & MINING -- 0.9% 37,800 Alcoa Inc. ................................................. 1,248,534 25,100 International Steel Group, Inc.+............................ 746,725 11,400 Nucor Corp. ................................................ 875,064 - -------------------------------------------------------------------------------------------------- 2,870,323 - -------------------------------------------------------------------------------------------------- TOTAL MATERIALS............................................. 15,861,097 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 7 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 EQUITY INCOME PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 7.6% DIVERSIFIED TELECOMMUNICATION SERVICES -- 7.6% 233,000 SBC Communications Inc. .................................... $ 5,650,250 197,600 Sprint Corp., Series 1 FON Shares........................... 3,477,760 421,800 Verizon Communications Inc. ................................ 15,264,942 - -------------------------------------------------------------------------------------------------- TOTAL TELECOMMUNICATION SERVICES............................ 24,392,952 - -------------------------------------------------------------------------------------------------- UTILITIES -- 1.3% ELECTRIC UTILITIES -- 1.3% 42,800 American Electric Power Co., Inc. .......................... 1,369,600 49,500 Entergy Corp. .............................................. 2,772,495 - -------------------------------------------------------------------------------------------------- TOTAL UTILITIES............................................. 4,142,095 - -------------------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $294,522,130)................... 309,329,970 - -------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCK -- 0.2% - -------------------------------------------------------------------------------------------------- OFFICE AUTOMATION & EQUIPMENT -- 0.2% 4,400 Xerox Corp., 6.250% (Cost -- $572,132)...................... 582,560 - -------------------------------------------------------------------------------------------------- FACE AMOUNT SECURITY VALUE - -------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 2.9% $9,215,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $9,215,294; (Fully collateralized by Federal Home Loan Bank Notes, 2.080% due 6/30/06; Market value -- $9,400,050) (Cost -- $9,215,000)...................................... 9,215,000 - -------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $304,309,262*)......... $319,127,530 - --------------------------------------------------------------------------------------------------
+ Non-income producing security. * Aggregate cost for Federal income tax purposes is substantially the same. Abbreviation used in this schedule: ADR -- American Depositary Receipt SEE NOTES TO FINANCIAL STATEMENTS. 8 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 LARGE CAP PORTFOLIO
SHARES SECURITY VALUE - --------------------------------------------------------------------------------------- COMMON STOCK -- 96.9% - --------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 16.3% HOTELS, RESTAURANTS & LEISURE -- 0.7% 156,551 Hilton Group PLC............................................ $ 783,320 180,421 Rank Group PLC.............................................. 981,256 - --------------------------------------------------------------------------------------- 1,764,576 - --------------------------------------------------------------------------------------- HOUSEHOLD DURABLES -- 0.3% 25,141 Garmin Ltd. ................................................ 931,223 - --------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL -- 1.0% 22,500 Amazon.com, Inc.+........................................... 1,224,000 14,100 eBay Inc.+.................................................. 1,296,495 - --------------------------------------------------------------------------------------- 2,520,495 - --------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS -- 0.3% 58,500 Konica Minolta Holdings, Inc. .............................. 805,716 - --------------------------------------------------------------------------------------- MEDIA -- 8.4% 16,348 Antena 3 de Television SA+.................................. 866,237 29,100 Belo Corp., Class A Shares.................................. 781,335 19,124 British Sky Broadcasting PLC, Sponsored ADR+................ 870,333 53,650 Citadel Broadcasting Co.+................................... 781,680 36,900 Comcast Corp., Special Class A Shares+...................... 1,018,809 3,400 Dow Jones & Co., Inc. ...................................... 153,340 18,600 The News Corp. Ltd., Sponsored ADR.......................... 658,812 13,900 Pixar, Inc.+................................................ 966,189 343,800 Time Warner Inc.+........................................... 6,044,004 40,980 Tribune Co. ................................................ 1,866,229 36,100 Univision Communications Inc., Class A Shares+.............. 1,152,673 56,231 Viacom Inc., Class B Shares................................. 2,008,571 37,500 Vivendi Universal SA, Sponsored ADR......................... 1,046,250 157,200 The Walt Disney Co. ........................................ 4,007,028 - --------------------------------------------------------------------------------------- 22,221,490 - --------------------------------------------------------------------------------------- MULTI-LINE RETAIL -- 1.9% 97,000 Wal-Mart Stores, Inc. ...................................... 5,117,720 - --------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 2.4% 84,800 The Gap, Inc. .............................................. 2,056,400 93,300 The Home Depot, Inc. ....................................... 3,284,160 23,800 The Sherwin-Williams Co. ................................... 988,890 - --------------------------------------------------------------------------------------- 6,329,450 - --------------------------------------------------------------------------------------- TEXTILES & APPAREL -- 1.3% 25,300 NIKE Inc., Class B Shares................................... 1,916,475 40,900 Polo Ralph Lauren Corp. .................................... 1,409,005 - --------------------------------------------------------------------------------------- 3,325,480 - --------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 43,016,150 - ---------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 9 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 LARGE CAP PORTFOLIO
SHARES SECURITY VALUE - --------------------------------------------------------------------------------------- CONSUMER STAPLES -- 6.8% BEVERAGES -- 1.8% 61,700 The Coca-Cola Co. .......................................... $ 3,114,616 32,700 PepsiCo, Inc. .............................................. 1,761,876 - --------------------------------------------------------------------------------------- 4,876,492 - --------------------------------------------------------------------------------------- FOOD & DRUG RETAILING -- 0.7% 71,800 Safeway Inc.+............................................... 1,819,412 - --------------------------------------------------------------------------------------- FOOD PRODUCTS -- 0.7% 41,500 Kellogg Co. ................................................ 1,736,775 - --------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 1.3% 19,900 Colgate-Palmolive Co. ...................................... 1,163,155 39,600 The Procter & Gamble Co. ................................... 2,155,824 - --------------------------------------------------------------------------------------- 3,318,979 - --------------------------------------------------------------------------------------- PERSONAL PRODUCTS -- 2.1% 56,550 Alberto-Culver Co., Class B Shares.......................... 2,835,417 65,100 The Gillette Co. ........................................... 2,760,240 - --------------------------------------------------------------------------------------- 5,595,657 - --------------------------------------------------------------------------------------- TOBACCO -- 0.2% 8,800 Altria Group, Inc. ......................................... 440,440 - --------------------------------------------------------------------------------------- TOTAL CONSUMER STAPLES...................................... 17,787,755 - --------------------------------------------------------------------------------------- ENERGY -- 5.6% ENERGY EQUIPMENT & SERVICES -- 2.1% 18,500 Baker Hughes Inc. .......................................... 696,525 15,600 Nabors Industries, Ltd.+.................................... 705,432 31,900 Rowan Cos., Inc.+........................................... 776,127 53,100 Schlumberger Ltd. .......................................... 3,372,381 - --------------------------------------------------------------------------------------- 5,550,465 - --------------------------------------------------------------------------------------- OIL & GAS -- 3.5% 28,200 ChevronTexaco Corp. ........................................ 2,653,902 87,400 Exxon Mobil Corp. .......................................... 3,881,434 21,800 Valero Energy Corp. ........................................ 1,607,968 38,075 XTO Energy, Inc. ........................................... 1,134,254 - --------------------------------------------------------------------------------------- 9,277,558 - --------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 14,828,023 - --------------------------------------------------------------------------------------- FINANCIALS -- 12.4% BANKS -- 3.8% 29,700 Bank of America Corp. ...................................... 2,513,214 65,300 The Bank of New York Co., Inc. ............................. 1,925,044 75,300 Bank One Corp. ............................................. 3,840,300 31,600 Wells Fargo & Co. .......................................... 1,808,468 - --------------------------------------------------------------------------------------- 10,087,026 - ---------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 10 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 LARGE CAP PORTFOLIO
SHARES SECURITY VALUE - --------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 5.5% 77,100 American Express Co. ....................................... $ 3,961,398 47,600 Ameritrade Holding Corp.+................................... 540,260 69,100 The Charles Schwab Corp. ................................... 664,051 14,655 Deutsche Boerse AG.......................................... 745,647 65,900 Knight Trading Group, Inc.+................................. 660,318 9,000 Legg Mason, Inc. ........................................... 819,090 73,300 MBNA Corp. ................................................. 1,890,407 83,900 Morgan Stanley.............................................. 4,427,403 3,590 SFCG Co., Ltd. ............................................. 719,018 - --------------------------------------------------------------------------------------- 14,427,592 - --------------------------------------------------------------------------------------- INSURANCE -- 3.1% 13,200 Ambac Financial Group, Inc. ................................ 969,408 89,450 American International Group, Inc. ......................... 6,375,996 13,000 The Hartford Financial Services Group, Inc. ................ 893,620 - --------------------------------------------------------------------------------------- 8,239,024 - --------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 32,753,642 - --------------------------------------------------------------------------------------- HEALTHCARE -- 16.2% BIOTECHNOLOGY -- 2.0% 31,600 Cephalon, Inc.+............................................. 1,706,400 18,100 Gilead Sciences, Inc.+...................................... 1,212,700 33,300 MedImmune, Inc.+............................................ 779,220 61,600 Millennium Pharmaceuticals, Inc.+........................... 850,080 43,120 Protein Design Labs, Inc.+.................................. 824,886 - --------------------------------------------------------------------------------------- 5,373,286 - --------------------------------------------------------------------------------------- HEALTHCARE EQUIPMENT & SUPPLIES -- 2.9% 45,300 Baxter International, Inc. ................................. 1,563,303 41,300 Boston Scientific Corp.+.................................... 1,767,640 54,100 Medtronic, Inc. ............................................ 2,635,752 32,600 Stryker Corp. .............................................. 1,793,000 - --------------------------------------------------------------------------------------- 7,759,695 - --------------------------------------------------------------------------------------- HEALTHCARE PROVIDERS & SERVICES -- 0.4% 16,200 UnitedHealth Group Inc. .................................... 1,008,450 - --------------------------------------------------------------------------------------- PHARMACEUTICALS -- 10.9% 23,200 Allergan, Inc. ............................................. 2,076,864 46,900 AstraZeneca PLC, Sponsored ADR.............................. 2,140,516 65,200 Bristol-Myers Squibb Co. ................................... 1,597,400 43,700 Eli Lilly and Co. .......................................... 3,055,067 30,000 Forest Laboratories, Inc.+.................................. 1,698,900 48,300 Johnson & Johnson........................................... 2,690,310 21,200 Medicis Pharmaceutical Corp., Class A Shares................ 846,940 103,180 Merck & Co. Inc. ........................................... 4,901,050
SEE NOTES TO FINANCIAL STATEMENTS. 11 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 LARGE CAP PORTFOLIO
SHARES SECURITY VALUE - --------------------------------------------------------------------------------------- PHARMACEUTICALS -- 10.9% (CONTINUED) 214,360 Pfizer Inc. ................................................ $ 7,348,261 23,507 Roche Holding AG............................................ 2,328,355 - --------------------------------------------------------------------------------------- 28,683,663 - --------------------------------------------------------------------------------------- TOTAL HEALTHCARE............................................ 42,825,094 - --------------------------------------------------------------------------------------- INDUSTRIALS -- 11.9% AEROSPACE & DEFENSE -- 1.0% 31,800 The Boeing Co. ............................................. 1,624,662 20,100 Precision Castparts Corp. .................................. 1,099,269 - --------------------------------------------------------------------------------------- 2,723,931 - --------------------------------------------------------------------------------------- AIRLINES -- 0.5% 75,500 Southwest Airlines Co. ..................................... 1,266,135 - --------------------------------------------------------------------------------------- BUILDING PRODUCTS -- 0.8% 51,000 American Standard Cos. Inc.+................................ 2,055,810 - --------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 0.2% 13,000 DST Systems, Inc.+.......................................... 625,170 - --------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 7.0% 32,500 3M Co. ..................................................... 2,925,325 236,000 General Electric Co. ....................................... 7,646,400 81,000 Honeywell International Inc. ............................... 2,967,030 145,900 Tyco International Ltd. .................................... 4,835,126 - --------------------------------------------------------------------------------------- 18,373,881 - --------------------------------------------------------------------------------------- MACHINERY -- 2.0% 48,900 Caterpillar Inc. ........................................... 3,884,616 48,625 Graco Inc. ................................................. 1,509,806 - --------------------------------------------------------------------------------------- 5,394,422 - --------------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS -- 0.4% 17,900 W.W. Grainger, Inc. ........................................ 1,029,250 - --------------------------------------------------------------------------------------- TOTAL INDUSTRIALS........................................... 31,468,599 - --------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 23.4% COMMUNICATIONS EQUIPMENT -- 4.1% 3,600 CIENA Corp.+................................................ 13,392 303,861 Cisco Systems, Inc.+........................................ 7,201,506 45,900 Juniper Networks, Inc.+..................................... 1,127,763 89,800 Motorola, Inc. ............................................. 1,638,850 29,400 UTStarcom, Inc.+............................................ 889,350 - --------------------------------------------------------------------------------------- 10,870,861 - --------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS -- 4.9% 71,400 Apple Computer, Inc.+....................................... 2,323,356 148,200 Dell Inc.+.................................................. 5,308,524 156,200 EMC Corp.+.................................................. 1,780,680 25,900 International Business Machines Corp. ...................... 2,283,085
SEE NOTES TO FINANCIAL STATEMENTS. 12 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 LARGE CAP PORTFOLIO
SHARES SECURITY VALUE - --------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS -- 4.9% (CONTINUED) 22,400 Storage Technology Corp.+................................... $ 649,600 167,000 Toshiba Corp. .............................................. 670,474 - --------------------------------------------------------------------------------------- 13,015,719 - --------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS -- 1.2% 5,300 Molex Inc. ................................................. 170,024 174,400 Solectron Corp.+............................................ 1,128,368 39,600 Thermo Electron Corp.+...................................... 1,217,304 32,400 Vishay Intertechnology, Inc.+............................... 601,992 - --------------------------------------------------------------------------------------- 3,117,688 - --------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES -- 1.9% 102,786 CNET Networks, Inc.+........................................ 1,137,841 109,200 Yahoo! Inc.+................................................ 3,967,236 - --------------------------------------------------------------------------------------- 5,105,077 - --------------------------------------------------------------------------------------- SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 6.2% 51,400 Altera Corp.+............................................... 1,142,108 61,000 Analog Devices, Inc.+....................................... 2,871,880 50,800 Applied Materials, Inc.+.................................... 996,696 203,600 Intel Corp. ................................................ 5,619,360 12,300 KLA-Tencor Corp.+........................................... 607,374 58,800 Marvell Technology Group Ltd.+.............................. 1,569,960 115,700 Texas Instruments Inc. ..................................... 2,797,626 12,500 Tokyo Electron Ltd. ........................................ 699,620 - --------------------------------------------------------------------------------------- 16,304,624 - --------------------------------------------------------------------------------------- SOFTWARE -- 5.1% 25,000 Amdocs Ltd.+................................................ 585,750 45,850 Ascential Software Corp.+................................... 733,142 363,700 Microsoft Corp.............................................. 10,387,272 144,400 Oracle Corp.+............................................... 1,722,692 - --------------------------------------------------------------------------------------- 13,428,856 - --------------------------------------------------------------------------------------- TOTAL INFORMATION TECHNOLOGY................................ 61,842,825 - --------------------------------------------------------------------------------------- MATERIALS -- 1.2% CHEMICALS -- 0.9% 63,600 Monsanto Co. ............................................... 2,448,600 - --------------------------------------------------------------------------------------- METALS & MINING -- 0.3% 20,800 Newmont Mining Corp. ....................................... 806,208 - --------------------------------------------------------------------------------------- TOTAL MATERIALS............................................. 3,254,808 - ---------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 13 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 LARGE CAP PORTFOLIO
SHARES SECURITY VALUE - --------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 3.1% DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.0% 28,100 PT Indonesian Satellite Corp. ADR........................... $ 595,720 42,900 PT Telekomunikasi Indonesia, Sponsored ADR.................. 667,095 50,800 SBC Communications Inc. .................................... 1,231,900 75,300 Verizon Communications Inc. ................................ 2,725,107 - --------------------------------------------------------------------------------------- 5,219,822 - --------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.1% 70,000 Nextel Communications, Inc., Class A Shares+................ 1,866,200 74,300 Nextel Partners, Inc.+...................................... 1,182,856 - --------------------------------------------------------------------------------------- 3,049,056 - --------------------------------------------------------------------------------------- TOTAL TELECOMMUNICATION SERVICES............................ 8,268,878 - --------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $242,709,766)................... 256,045,774 - --------------------------------------------------------------------------------------- FACE AMOUNT SECURITY VALUE - --------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 3.1% $8,306,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $8,306,265; (Fully collateralized by Fannie Mae Bonds, 6.250% due 5/15/29; Market value -- $8,472,150) (Cost -- $8,306,000).......... 8,306,000 - --------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $251,015,766*)......... $264,351,774 - ---------------------------------------------------------------------------------------
+ Non-income producing security. * Aggregate cost for Federal income tax purposes is substantially the same. Abbreviation used in this schedule: ADR -- American Depositary Receipt SEE NOTES TO FINANCIAL STATEMENTS. 14 - -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
EQUITY INCOME LARGE CAP PORTFOLIO PORTFOLIO - ------------------------------------------------------------------------------------------ ASSETS: Investments, at cost...................................... $304,309,262 $251,015,766 Foreign currency, at cost................................. 664 58,308 - ------------------------------------------------------------------------------------------ Investments, at value..................................... $319,127,530 $264,351,774 Foreign currency, at value................................ 649 58,842 Cash...................................................... 59 835 Receivable for securities sold............................ 1,680,072 318,066 Dividends and interest receivable......................... 309,550 188,943 Receivable for Fund shares sold........................... 106,552 20,463 Other receivables......................................... 28,918 14,225 - ------------------------------------------------------------------------------------------ TOTAL ASSETS.............................................. 321,253,330 264,953,148 - ------------------------------------------------------------------------------------------ LIABILITIES: Payable for securities purchased.......................... 1,212,578 93,605 Investment advisory fees payable.......................... 193,301 160,573 Payable for Fund shares reacquired........................ 115,431 643,953 Administration fees payable............................... 15,508 12,842 Accrued expenses.......................................... 47,652 37,453 - ------------------------------------------------------------------------------------------ TOTAL LIABILITIES......................................... 1,584,470 948,426 - ------------------------------------------------------------------------------------------ TOTAL NET ASSETS............................................ $319,668,860 $264,004,722 - ------------------------------------------------------------------------------------------ NET ASSETS: Paid-in capital........................................... $296,340,986 $352,401,410 Undistributed net investment income....................... 1,552,445 381,315 Accumulated net realized gain (loss) from investment transactions............................................ 6,957,176 (102,115,675) Net unrealized appreciation of investments and foreign currencies.............................................. 14,818,253 13,337,672 - ------------------------------------------------------------------------------------------ TOTAL NET ASSETS............................................ $319,668,860 $264,004,722 - ------------------------------------------------------------------------------------------ SHARES OUTSTANDING.......................................... 19,617,462 19,522,398 - ------------------------------------------------------------------------------------------ NET ASSET VALUE, PER SHARE.................................. $16.30 $13.52 - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 15 - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
EQUITY INCOME LARGE CAP PORTFOLIO PORTFOLIO - ---------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest.................................................. $ 50,484 $ 37,336 Dividends................................................. 2,673,589 1,355,962 Less: Foreign withholding tax............................. (3,753) (8,828) - ---------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME................................... 2,720,320 1,384,470 - ---------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees (Note 2)......................... 1,154,812 891,592 Administration fees (Note 2).............................. 92,384 71,328 Custody................................................... 44,758 21,236 Audit and legal........................................... 20,451 21,664 Shareholder communications................................ 13,958 11,934 Trustees' fees............................................ 3,500 3,500 Transfer agency services.................................. 2,083 2,501 Other..................................................... 871 886 - ---------------------------------------------------------------------------------------- TOTAL EXPENSES............................................ 1,332,817 1,024,641 Less: Expense reimbursement (Note 7)...................... (66,888) (27,388) - ---------------------------------------------------------------------------------------- NET EXPENSES.............................................. 1,265,929 997,253 - ---------------------------------------------------------------------------------------- NET INVESTMENT INCOME....................................... 1,454,391 387,217 - ---------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES (NOTES 3 AND 5): Realized Gain (Loss) From: Investment transactions................................. 7,893,261 7,399,451 Foreign currency transactions........................... (46) (2,025) - ---------------------------------------------------------------------------------------- NET REALIZED GAIN......................................... 7,893,215 7,397,426 - ---------------------------------------------------------------------------------------- Change in Net Unrealized Appreciation (Depreciation) From: Investments............................................. (7,811,537) (438,929) Foreign currencies...................................... (24) 261 - ---------------------------------------------------------------------------------------- DECREASE IN NET UNREALIZED APPRECIATION................... (7,811,561) (438,668) - ---------------------------------------------------------------------------------------- NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES.............. 81,654 6,958,758 - ---------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS...................... $ 1,536,045 $7,345,975 - ----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 16 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
EQUITY INCOME PORTFOLIO 2004 2003 - ----------------------------------------------------------------------------------------- OPERATIONS: Net investment income..................................... $ 1,454,391 $ 2,542,748 Net realized gain......................................... 7,893,215 21,027,902 Increase (decrease) in net unrealized appreciation........ (7,811,561) 41,407,182 - ----------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... 1,536,045 64,977,832 - ----------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... (109,303) (2,393,549) Net realized gains........................................ (7,091,255) -- - ----------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS............................................ (7,200,558) (2,393,549) - ----------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 6): Net proceeds from sale of shares.......................... 28,155,630 54,800,464 Net asset value of shares issued for reinvestment of dividends............................................... 7,200,558 2,393,549 Cost of shares reacquired................................. (7,516,642) (13,294,129) - ----------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... 27,839,546 43,899,884 - ----------------------------------------------------------------------------------------- INCREASE IN NET ASSETS...................................... 22,175,033 106,484,167 NET ASSETS: Beginning of period....................................... 297,493,827 191,009,660 - ----------------------------------------------------------------------------------------- END OF PERIOD*............................................ $319,668,860 $297,493,827 - ----------------------------------------------------------------------------------------- * Includes undistributed net investment income of: ......... $1,552,445 $207,403 - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 17 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
LARGE CAP PORTFOLIO 2004 2003 - ----------------------------------------------------------------------------------------- OPERATIONS: Net investment income..................................... $ 387,217 $ 847,060 Net realized gain (loss).................................. 7,397,426 (4,096,983) Increase (decrease) in net unrealized appreciation........ (438,668) 47,412,211 - ----------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... 7,345,975 44,162,288 - ----------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... (43,079) (808,832) - ----------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS............................................ (43,079) (808,832) - ----------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 6): Net proceeds from sale of shares.......................... 41,806,043 25,978,086 Net asset value of shares issued for reinvestment of dividends............................................... 43,079 808,832 Cost of shares reacquired................................. (12,946,941) (22,203,616) - ----------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... 28,902,181 4,583,302 - ----------------------------------------------------------------------------------------- INCREASE IN NET ASSETS...................................... 36,205,077 47,936,758 NET ASSETS: Beginning of period....................................... 227,799,645 179,862,887 - ----------------------------------------------------------------------------------------- END OF PERIOD*............................................ $264,004,722 $227,799,645 - ----------------------------------------------------------------------------------------- * Includes undistributed net investment income of: ......... $381,315 $39,202 - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 18 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. SIGNIFICANT ACCOUNTING POLICIES The Equity Income and Large Cap Portfolios ("Fund(s)") are separate investment funds of The Travelers Series Trust ("Trust"). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company and consists of these Funds and fourteen other separate investment funds: Travelers Quality Bond, Lazard International Stock, MFS Emerging Growth, Federated High Yield, Federated Stock, Disciplined Mid Cap Stock, U.S. Government Securities, Social Awareness Stock, Pioneer Fund, Convertible Securities, MFS Mid Cap Growth, Merrill Lynch Large Cap Core, Zero Coupon Bond Fund (Series 2005) and MFS Value Portfolios. The financial statements and financial highlights for the other funds are presented in separate shareholder reports. The Funds and the other investment funds of the Trust are offered exclusively for use with certain variable annuity and variable life insurance contracts offered through the separate accounts of various affiliated life insurance companies. The following are significant accounting policies consistently followed by the Funds and are in conformity with U.S. generally accepted accounting principles ("GAAP"): (a) security transactions are accounted for on trade date; (b) securities traded on national securities markets are valued at the closing price on such markets or, if there were no sales during the day, at the mean between the closing bid and asked prices; securities primarily traded on foreign exchanges are generally valued at the closing values of such securities on their respective exchanges, except that when a significant occurrence exists subsequent to the time a value was so established and it is likely to have significantly changed the value, then the fair value of those securities will be determined by consideration of other factors by or under the direction of the Board of Trustees; securities listed on the NASDAQ National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price on that day, at the last sale price; securities traded in the over-the-counter market are valued at prices based on market quotations for securities of similar type; U.S. government agencies and obligations are valued at the mean between the last reported bid and asked prices; (c) securities maturing within 60 days are valued at cost plus accreted discount or minus amortized premium, which approximates value; (d) securities, other than U.S. government agencies, that have a maturity of 60 days or more are valued at prices based on market quotations for securities of similar type, yield and maturity; (e) interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis and dividend income is recorded on the ex-dividend date; foreign dividends are recorded on the ex-dividend date or as soon as practical after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence; (f) gains or losses on the sale of securities are calculated by using the specific identification method; (g) dividends and distributions to shareholders are recorded on the ex-dividend date; the Funds distribute dividends and capital gains, if any, at least annually; (h) the accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities, income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. Differences between income or expense amounts recorded and collected or paid are adjusted when reported by the custodian bank; (i) the character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from GAAP; (j) the Funds intend to comply with the provisions of the Internal Revenue Code of 1986, as amended, pertaining to regulated investment companies and to make distributions of taxable income sufficient to relieve it from substantially all Federal income and excise taxes; and (k) estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. In addition, the Equity Income and Large Cap Portfolios may enter into forward exchange contracts in order to hedge against foreign currency risk. These contracts are marked to market daily, by recognizing the difference between the contract exchange rate and the current forward rate as an unrealized gain or loss. Realized gains or losses are recognized when the contracts are settled or offset by entering into another forward exchange contract. 2. MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS Travelers Asset Management International Company LLC ("TAMIC"), an indirect wholly owned subsidiary of Citigroup, Inc. provides the funds with investment management related services. For these services TAMIC receives an investment advisory fee that is calculated at the annual rate of 0.75% of each Fund's respective average daily net assets. These fees are calculated daily and paid monthly. TAMIC has entered into a sub-advisory agreement with Fidelity Management & Research Company ("FMR"). Pursuant to the sub-advisory agreement FMR is responsible for the day- 19 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) to-day fund operations and investment decisions. For its services as each Fund's sub-adviser, FMR is paid a portion of TAMIC's management fee that is computed at an annual rate of 0.45% of each Fund's respective average daily net assets. The Travelers Insurance Company ("TIC"), another wholly-owned subsidiary of Citigroup, acts as administrator to the Funds. The Funds pay TIC an administration fee calculated at an annual rate of 0.06% of each respective Fund's average daily net assets. The fee is calculated daily and paid monthly. TIC has entered into a sub-administration service agreement with Smith Barney Fund Management LLC ("SBFM"), another indirect wholly-owned subsidiary of Citigroup. TIC pays SBFM, as sub-administrator, a fee calculated at an annual rate of 0.02% of the respective average daily net assets of each Fund, plus $30,000 per Fund, subject to a maximum of 0.06% of each Fund's respective average daily net assets. Previously, Fidelity Service Company, Inc., an affiliate of FMR, maintained each Fund's accounting records. Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as the Funds' transfer agent. CTB receives account fees and asset-based fees that vary according to the size and type of account. For the six months ended June 30, 2004, each Fund paid transfer agent fees of $2,500 to CTB. For the six months ended June 30, 2004, Citigroup Global Markets Inc., another indirect wholly-owned subsidiary of Citigroup, or its affiliates received brokerage commissions of $168 for Large Cap Portfolio. One Trustee and all officers of the Trust are employees of Citigroup or its subsidiaries. 3. INVESTMENTS During the six months ended June 30, 2004, the aggregate cost of purchases and proceeds from sales of investments (including maturities of long-term investments, but excluding short-term investments), were as follows:
PURCHASES SALES - ------------------------------------------------------------------------------------------ Equity Income Portfolio..................................... $194,084,853 $179,835,572 Large Cap Portfolio......................................... 94,446,875 67,565,341 - ------------------------------------------------------------------------------------------
At June 30, 2004, the aggregate gross unrealized appreciation and depreciation of investments for Federal income tax purposes were substantially as follows:
NET UNREALIZED APPRECIATION DEPRECIATION APPRECIATION - -------------------------------------------------------------------------------------------------------- Equity Income Portfolio..................................... $25,905,152 $(11,086,884) $14,818,268 Large Cap Portfolio......................................... 26,806,726 (13,470,718) 13,336,008 - --------------------------------------------------------------------------------------------------------
4. REPURCHASE AGREEMENTS When entering into repurchase agreements, it is the Fund's policy that a custodian takes possession of the underlying collateral securities, the value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. 5. FORWARD FOREIGN CURRENCY CONTRACTS The Funds may enter into forward foreign currency contracts. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The Fund bears the market risk that arises from changes in foreign currency exchange rates and the credit risk should a counterparty be unable to meet the terms of such contracts. At June 30, 2004, Equity Income Portfolio and Large Cap Portfolio did not have any open forward foreign currency contracts. 20 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 6. SHARES OF BENEFICIAL INTEREST The Declaration of Trust authorizes the issuance of an unlimited number of shares of beneficial interest without par value. Transactions in shares of each Fund were as follows:
SIX MONTHS ENDED YEAR ENDED JUNE 30, 2004 DECEMBER 31, 2003 - -------------------------------------------------------------------------------------------------- EQUITY INCOME PORTFOLIO Shares sold................................................. 1,693,572 3,752,047 Shares issued on reinvestment............................... 443,931 144,451 Shares reacquired........................................... (454,275) (944,979) - -------------------------------------------------------------------------------------------------- Net Increase................................................ 1,683,228 2,951,519 - -------------------------------------------------------------------------------------------------- LARGE CAP PORTFOLIO Shares sold................................................. 3,206,919 2,190,153 Shares issued on reinvestment............................... 3,208 61,461 Shares reacquired........................................... (966,204) (1,928,969) - -------------------------------------------------------------------------------------------------- Net Increase................................................ 2,243,923 322,645 - --------------------------------------------------------------------------------------------------
7. EXPENSE REDUCTIONS Many of the brokers with whom FMR places trades on behalf of certain funds provided services to these funds in addition to trade execution. These services included payments of expenses on behalf of each applicable fund. For the six months ended June 30, 2004, all of the applicable expense reductions are noted in the table below.
BROKERAGE SERVICE ARRANGEMENTS - -------------------------------------------------------------------------- Equity Income Portfolio..................................... $66,888 Large Cap Portfolio......................................... 27,388 - --------------------------------------------------------------------------
8. ADDITIONAL INFORMATION Citigroup has been notified by the Staff of the Securities and Exchange Commission ("SEC") that the Staff is considering recommending a civil injunctive action and/or an administrative proceeding against Citigroup Asset Management ("CAM"), including its applicable investment advisory companies and Citicorp Trust Bank ("CTB"), an internal transfer agent, relating to the creation and operation of the internal transfer agent unit to serve certain CAM-managed funds, including the Funds. This notification arises out of a previously disclosed investigation by the SEC and the U.S. Attorney and relates to CTB's entry in 1999 into the transfer agency business, CAM's retention of, and agreements with an unaffiliated sub transfer agent, the adequacy of the disclosures made to the fund boards that approved the transfer agency arrangements, (including CAM's failure to disclose a related revenue guarantee agreement benefiting CAM and its affiliates), and CAM's operation of and compensation for the transfer agency business. The revenue guarantee described above was terminated in 1999 and CAM will be paying the applicable funds, primarily through fee waivers, a total of approximately $17 million (plus interest) that is the amount of the revenue received by Citigroup relating to the revenue guarantee. Citigroup is cooperating fully in the investigation and will seek to resolve the matter in discussions with the SEC Staff. Although there can be no assurance, Citigroup does not believe that this matter will have a material adverse effect on the Funds. On August 12, 2004, CAM paid each Fund their allocable share of the amount described above through a waiver of their fees. The amount paid to each Fund is as follows: - ------------------------------------------------------------------ Equity Income Portfolio..................................... $111 Large Cap Portfolio......................................... 111 - ------------------------------------------------------------------
21 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 9. SUBSEQUENT EVENT The Board of Trustees of the Trust, on behalf of each Fund, has approved an amendment to the investment advisory agreement between each Fund and TAMIC and an amendment to the sub-advisory agreement between TAMIC and FMR. Effective September 1, 2004, the investment advisory fee and sub-advisory fee will be revised from the annual rates of 0.75% and 0.45%, respectively, of the average daily net assets of each Fund, to a fee calculated at the annual rates in accordance with the following schedule:
INVESTMENT SUB-ADVISORY ADVISORY FEE FEE - ----------------------------------------------------------------------------------------- AVERAGE DAILY NET ASSETS First $250 million.......................................... 0.75% 0.45% Next $500 million........................................... 0.70% 0.40% Over $750 million........................................... 0.65% 0.35% - -----------------------------------------------------------------------------------------
22 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
EQUITY INCOME PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999(2) - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD....... $16.59 $12.75 $14.99 $16.26 $15.05 $15.41 - ----------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income.................... 0.07 0.14 0.16 0.20 0.13 0.13 Net realized and unrealized gain (loss)................................. 0.02 3.83 (2.25) (1.27) 1.24 0.59 - ----------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations........ 0.09 3.97 (2.09) (1.07) 1.37 0.72 - ----------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income.................... (0.01) (0.13) (0.15) (0.16) (0.16) (0.12) Net realized gains....................... (0.37) -- -- (0.04) -- (0.63) In excess of net realized gains.......... -- -- -- -- -- (0.33) - ----------------------------------------------------------------------------------------------------------------- Total Distributions........................ (0.38) (0.13) (0.15) (0.20) (0.16) (1.08) - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD............. $16.30 $16.59 $12.75 $14.99 $16.26 $15.05 - ----------------------------------------------------------------------------------------------------------------- TOTAL RETURN(3)............................ 0.53%++ 31.17% (13.94)% (6.61)% 9.13% 4.92% - ----------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000'S).......... $319,669 $297,494 $191,010 $200,389 $170,727 $130,553 - ----------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(4).............................. 0.87%+ 0.87% 0.84% 0.85% 0.87% 0.88% Net investment income.................... 0.94+ 1.11 1.14 1.28 1.17 0.85 - ----------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE.................... 60% 141% 131% 121% 151% 201% - -----------------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (3) Total returns do not reflect expenses associated with your variable contract such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would be reduced. (4) As a result of a voluntary expense limitation, the ratio of expenses to average net assets will not exceed 0.95%. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 23 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (CONTINUED) For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
LARGE CAP PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999(2) - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD... $13.18 $10.61 $13.82 $16.81 $21.11 $17.44 - ------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income................ 0.02 0.05 0.05 0.07 0.03 0.05 Net realized and unrealized gain (loss)............................. 0.32 2.57 (3.20) (2.98) (3.05) 4.94 - ------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations.... 0.34 2.62 (3.15) (2.91) (3.02) 4.99 - ------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income................ (0.00)* (0.05) (0.06) (0.07) (0.02) (0.03) In excess of net investment income... -- -- -- -- (0.01) -- Net realized gains................... -- -- -- (0.01) (0.94) (1.29) In excess of net realized gains...... -- -- -- -- (0.31) -- - ------------------------------------------------------------------------------------------------------------- Total Distributions.................... (0.00)* (0.05) (0.06) (0.08) (1.28) (1.32) - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD......... $13.52 $13.18 $10.61 $13.82 $16.81 $21.11 - ------------------------------------------------------------------------------------------------------------- TOTAL RETURN(3)........................ 2.60%++ 24.67% (22.79)% (17.33)% (14.48)% 29.24% - ------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000'S)...... $264,005 $227,800 $179,863 $249,292 $277,897 $202,128 - ------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(4).......................... 0.86%+ 0.86% 0.85% 0.83% 0.84% 0.87% Net investment income................ 0.33+ 0.43 0.44 0.50 0.15 0.25 - ------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE................ 29% 60% 95% 131% 96% 90% - -------------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (3) Total returns do not reflect expenses associated with your variable contract such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would be reduced. (4) As a result of a voluntary expense limitation, the ratio of expenses to average net assets will not exceed 0.95%. * Amount represents less than $0.01 per share. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 24 THE TRAVELERS SERIES TRUST - -------------------------------------------------------------------------------- TRUSTEES INVESTMENT ADVISER R. Jay Gerken, CFA Chairman Travelers Asset Management International Company LLC Frances M. Hawk, CFA, CFP Lewis Mandell ADMINISTRATOR Robert E. McGill, III The Travelers Insurance Company OFFICERS CUSTODIAN R. Jay Gerken, CFA President and State Street Bank and Trust Company Chief Executive Officer TRANSFER AGENT Andrew B. Shoup Senior Vice President and Citicorp Trust Bank, fsb. Chief Administrative Officer William D. Wilcox* Chief Compliance Officer Andrew Beagley Chief Anti-Money Laundering Compliance Officer Kaprel Ozsolak Controller Kathleen A. McGah Secretary Ernest J. Wright Assistant Secretary - --------------- * As of July 23, 2004.
The Funds are separate investment funds of The Travelers Series Trust, a Massachusetts business trust. This report is prepared for the general information of variable annuity and life contract owners and is not an offer of shares of The Travelers Series Trust: Equity Income and Large Cap Portfolios. All the Funds contained in this report may not be available under your variable annuity or life contract. Beginning August 31, 2004, information on how the Fund voted proxies relating to portfolio securities during the 12 month period ended June 30, 2004 will be available (1) without charge, upon request, by calling 1-800-842-9368 and (2) on the SEC's website at www.sec.gov. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by telephoning the Fund (toll-free) at 1-800-842-9368 and by visiting the SEC's website at www.sec.gov. Series Trust (Semi-Annual) (8-04) Printed in U.S.A. ITEM 2. CODE OF ETHICS. Not Applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not Applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. [RESERVED] ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable. ITEM 10. CONTROLS AND PROCEDURES. (a) The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the "1940 Act")) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that have materially affected, or are likely to materially affect the registrant's internal control over financial reporting. ITEM 11. EXHIBITS. (a) Not applicable. (b) Attached hereto. Exhibit 99.CERT Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 Exhibit 99.906CERT Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized. The Travelers Series Trust By: /s/ R. Jay Gerken ----------------------- R. Jay Gerken Chief Executive Officer of The Travelers Series Trust Date: September 8, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ R. Jay Gerken ----------------------- R. Jay Gerken Chief Executive Officer of The Travelers Series Trust Date: September 8, 2004 By: /s/ Andrew B. Shoup ------------------------ Andrew B. Shoup Chief Administrative Officer of The Travelers Series Trust Date: September 8, 2004 EX-99.CERT 2 y99404rsexv99wcert.txt CERTIFICATION CERTIFICATIONS PURSUANT TO SECTION 302 EX-99.CERT CERTIFICATIONS -------------- I, R. Jay Gerken, certify that: 1. I have reviewed this report on Form N-CSR of The Travelers Series Trust - Equity Income Portfolio; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial data; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 8, 2004 /s/ R. Jay Gerken ----------------- ----------------------- R. Jay Gerken Chief Executive Officer I, Andrew B. Shoup, certify that: 1. I have reviewed this report on Form N-CSR of The Travelers Series Trust - Equity Income Portfolio; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial information included in this report, and the financial statements on which the financial information is based, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial data; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 8, 2004 /s/ Andrew B. Shoup ----------------- ---------------------------- Andrew B. Shoup Chief Administrative Officer CERTIFICATIONS PURSUANT TO SECTION 302 EX-99.CERT CERTIFICATIONS -------------- I, R. Jay Gerken, certify that: 1. I have reviewed this report on Form N-CSR of The Travelers Series Trust - Large Cap Portfolio; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial data; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 8, 2004 /s/ R. Jay Gerken ------------------- ----------------------- R. Jay Gerken Chief Executive Officer I, Andrew B. Shoup, certify that: 1. I have reviewed this report on Form N-CSR of The Travelers Series Trust - Large Cap Portfolio; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial information included in this report, and the financial statements on which the financial information is based, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial data; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 8, 2004 /s/ Andrew B. Shoup ------------------ ---------------------------- Andrew B. Shoup Chief Administrative Officer EX-99.906CERT 3 y99404rsexv99w906cert.txt CERTIFICATION CERTIFICATIONS PURSUANT TO SECTION 906 EX-99.906CERT CERTIFICATION ------------- R. Jay Gerken, Chief Executive Officer, and Andrew B. Shoup, Chief Administrative Officer of The Travelers Series Trust - Equity Income Portfolio (the "Registrant"), each certify to the best of his knowledge that: 1. The Registrant's periodic report on Form N-CSR for the period ended June 30, 2004 (the "Form N-CSR") fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Chief Executive Officer Chief Administrative Officer The Travelers Series Trust - The Travelers Series Trust - Equity Income Portfolio Equity Income Portfolio /s/ R. Jay Gerken /s/ Andrew B. Shoup - ------------------------ ----------------------- R. Jay Gerken Andrew B. Shoup Date: September 8, 2004 Date: September 8, 2004 This certification is being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. (Section mark) 1350 and is not being filed as part of the Form N-CSR with the Commission. CERTIFICATIONS PURSUANT TO SECTION 906 EX-99.906CERT CERTIFICATION ------------- R. Jay Gerken, Chief Executive Officer, and Andrew B. Shoup, Chief Administrative Officer of The Travelers Series Trust - Large Cap Portfolio (the "Registrant"), each certify to the best of his knowledge that: 1. The Registrant's periodic report on Form N-CSR for the period ended June 30, 2004 (the "Form N-CSR") fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Chief Executive Officer Chief Administrative Officer The Travelers Series Trust - The Travelers Series Trust - Large Cap Portfolio Large Cap Portfolio /s/ R. Jay Gerken /s/ Andrew B. Shoup - ----------------------- ----------------------- R. Jay Gerken Andrew B. Shoup Date: September 8, 2004 Date: September 8, 2004 This certification is being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. (Section mark) 1350 and is not being filed as part of the Form N-CSR with the Commission. -----END PRIVACY-ENHANCED MESSAGE-----