CONSECO FUND GROUP, N-30D, 1998-08-28

CONSECO FUND GROUP
N-30D, 1998-08-28

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CONSECO

CONSECO FUND GROUP

JUNE 30, 1998
SEMI-ANNUAL REPORT

Conseco Fixed Income Fund
Conseco High Yield Fund
Conseco Asset Allocation Fund
Conseco Equity Fund
Conseco 20 Fund

<PAGE>

<TABLE>
<CAPTION>
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TABLE OF CONTENTS
PAGE

<S> <C>
Report from the President ............................................................................................ 1

CONSECO FUND GROUP
Statement of Assets and Liabilities as of June 30, 1998 .............................................................. 2
Statement of Operations for the six months ended June 30, 1998 ....................................................... 3
Statement of Changes in Net Assets for the six months ended June 30, 1998 and the year ended
December 31, 1997 .................................................................................................. 4

CONSECO FIXED INCOME FUND
Report from the Conseco Fixed Income Fund Adviser .................................................................... 6
Statement of Investments in Securities as of June 30, 1998 ........................................................... 7

CONSECO HIGH YIELD FUND
Report from the Conseco High Yield Fund Adviser ...................................................................... 11
Statement of Investments in Securities as of June 30, 1998 ........................................................... 12

CONSECO ASSET ALLOCATION FUND
Report from the Conseco Asset Allocation Fund Adviser ................................................................ 15
Statement of Investments in Securities as of June 30, 1998 ........................................................... 16

CONSECO EQUITY FUND
Report from the Conseco Equity Fund Adviser .......................................................................... 20
Statement of Investments in Securities as of June 30, 1998 ........................................................... 21

CONSECO 20 FUND
Report from the Conseco 20 Fund Adviser .............................................................................. 23
Statement of Investments in Securities as of June 30, 1998 ........................................................... 24

Notes to Financial Statements ........................................................................................ 25
Board of Trustees and Fund Service Providers ......................................................................... 33

</TABLE>

This report is for the information of shareholders of the Conseco Fund Group.
It is authorized for distribution to other persons only when preceded or
accompanied by a current prospectus whic hcontains more
complete information, including charges and expenses.

<PAGE>

REPORT FROM CONSECO FUND GROUP
THE PRESIDENT 1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------

Dear Shareholder,

In recent testimony before Congress, Federal Reserve Chairman Alan Greenspan
stated that the U.S. economy was performing better than at any time in the last
50 years. Strong stuff indeed, and largely the result of the prudent and
intelligent implementation of both monetary policy and -- surprise -- fiscal
policy. We can think of no time in the 20th century when monetary and fiscal
policies have been so "in sync". That the performance of U.S. financial assets
has been so incredible in the 1990s, surely reflects the power of coordinated
policy.

Much ink has been spilled of late claiming that recent market turmoil harkens
the beginning of bad times for the U.S. economy and the market. We don't buy it.
Bull markets end with significant increases in inflation, rising interest rates,
tax hikes, or rampant protectionism. We just don't see any of these on the
horizon. As long as monetary and fiscal policies stay their current courses, we
should see nothing more than what used to be recognized as ordinary cyclical
activity. Gee, imagine that. Markets don't always move in one direction.

While markets have certainly been buffeted lately by a series of events that
have raised doubts about the ability of the economy and the market to sustain
their secular paths, we are relatively nonplussed by the return of normal
cyclical volatility. In fact, as you read through the reports of the various
portfolio managers, it will become clear that we view the current period as a
time when our research intensive, bottom-up security selection process should
shine, as volatility unearths value. One theme rings constant throughout these
reports, as it does throughout all of Conseco Capital Management; we will
continue to construct your portfolios with rigorously researched, undervalued
securities --one security at a time. We are convinced that this philosophy
offers the best upside potential with the greatest downside protection.

We are also very pleased to report that Class A shares of our mutual funds are
now listed in the business sections of most major daily newspapers, including
the Wall Street Journal and USA Today. We invite shareholders to monitor the
performance of Class A Shares in the mutual fund section, under the following
listings:

Conseco Fixed Income Fund COFAX
Conseco High Yield Fund CHYAX
Conseco Asset Allocation Fund COAAX
Conseco Equity Fund CEYAX
Conseco 20 Fund CTWAX

So enjoy reading these reports, thank you for your trust, and good investing!

/s/ Maxwell E. Bublitz
- ----------------------
Maxwell E. Bublitz, CFA
President & CEO
Conseco Capital Management, Inc.

<PAGE>

- ---------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1998
(UNAUDITED)

CONSECO CONSECO CONSECO
FIXED HIGH ASSET CONSECO CONSECO
INCOME YIELD ALLOCATION EQUITY 20
FUND FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities at value (cost: $34,329,187;
$28,236,903; $30,204,838, $82,825,851;
$29,260,473, respectively) ......................... $34,661,922 $28,332,865 $31,556,917 $89,210,862 $30,809,570
Accrued interest and dividends ....................... 462,396 463,761 198,029 52,327 40,682
Receivable for securities sold ....................... 5,197,043 -- 1,626,470 12,412,476 938,451
Receivable for shares sold ........................... 3,293 70,043 147,521 71,325 320,002
Receivable from Conseco, Inc. and subsidiaries ....... 177,486 -- 163,090 -- --
Cash.................................................. 54,447 5,094,058 1,627,958 72,935 6,457,752
Organizational costs.................................. 66,352 112,526 66,352 66,352 112,525
Other assets.......................................... 3,753 1,813 5,558 7,214 2,255
- ---------------------------------------------------------------------------------------------------------------------------------
Total assets...................................... 40,626,692 34,075,066 35,391,895 101,893,491 38,681,237
- ---------------------------------------------------------------------------------------------------------------------------------
LIABILITIES AND NET ASSETS:
Payable to Conseco, Inc. and subsidiaries............. -- 69,734 -- 371,282 130,631
Accrued expenses...................................... 96,495 82,038 79,254 78,084 69,129
Distributions payable................................. 181,727 181,709 147,740 -- --
Payable for shares redeemed........................... 84,585 -- 33,080 -- --
Payable for securities purchased...................... 3,841,427 3,198,120 3,403,465 13,752,388 6,689,662
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Total liabilities................................. 4,204,234 3,531,601 3,663,539 14,201,754 6,889,422
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets........................................ $36,422,458 $30,543,465 $31,728,356 $87,691,737 $31,791,815
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Net assets consist of:
Paid-in capital....................................... $35,823,054 $30,265,234 $29,588,778 $75,300,311 $29,450,266
Accumulated undistributed net investment
income (loss)....................................... 41,441 (40,217) (4,001) 27,635 (29,219)
Accumulated undistributed net realized gains on
investments......................................... 225,228 222,486 791,500 5,978,780 821,671
Net unrealized appreciation on investments............ 332,735 95,962 1,352,079 6,385,011 1,549,097
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets........................................ $36,422,458 $30,543,465 $31,728,356 $87,691,737 $31,791,815
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, redemption price and offering price per share:
Class A Shares:
Shares outstanding.................................. 2,533,675 2,414,235 2,228,099 2,164,534 2,302,222
Net assets.......................................... $26,046,485 $26,119,856 $26,448,689 $26,687,750 $27,412,514
Net asset value and redemption price per share...... $10.28 $10.82 $11.87 $12.33 $11.91
Maximum sales charge per share (5.75 percent of
offering price; 5.00 percent of public offering
price for the Conseco Fixed Income Fund).......... .54 .66 .72 .75 .73
Maximum offering price per share.................... $10.82 $11.48 $12.59 $13.08 $12.64
Class B Shares:
Shares outstanding.................................. 22,064 290,826 21,195 41,768 262,742
Net assets.......................................... $ 226,707 $ 3,136,230 $ 250,176 $ 512,812 $ 3,112,975
Net asset value, redemption price and offering price
per share (Note 1)................................ $10.27 $10.78 $11.80 $12.28 $11.85
Class C Shares:
Shares outstanding.................................. 4,369 82,876 73,331 14,408 101,243
Net assets.......................................... $ 45,002 $ 893,268 $ 867,230 $ 177,373 $ 1,202,956
Net asset value, redemption price and offering price
per share (Note 1)................................ $10.30 $10.78 $11.83 $12.31 $11.88
Class Y Shares:
Shares outstanding.................................. 979,164 36,337 349,017 4,854,011 5,386
Net assets.......................................... $10,104,264 $ 394,111 $ 4,162,261 $60,313,802 $ 63,370
Net asset value and offering price per share........ $10.32 $10.85 $11.93 $12.43 $11.77

</TABLE>

The accompanying notes are an integral part of these financial statements.

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- ---------------------------------------------------------------------------------------------------------------------------------

STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1998
(UNAUDITED)

CONSECO CONSECO CONSECO
FIXED HIGH ASSET CONSECO CONSECO
INCOME YIELD ALLOCATION EQUITY 20
FUND FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment income:
Interest.............................................. $ 821,000 $275,508 $ 256,500 $ 160,956 $ 64,117
Dividends (net of $101, $829 and $350 in foreign
taxes withheld in the Conseco Asset Allocation
Fund, Conseco Equity Fund and Conseco 20 Fund,
respectively)....................................... -- -- 68,295 334,426 39,163
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Total investment income........................... 821,000 275,508 324,795 495,382 103,280
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Expenses:
Investment advisory fees.............................. 46,486 21,221 61,683 262,880 51,496
Transfer agent fee.................................... 48,427 44,666 61,191 88,699 60,161
Reports - printing.................................... 9,997 10,250 9,447 20,667 10,800
Administration fee.................................... 23,244 7,076 17,625 74,996 14,714
Audit fees............................................ 9,130 6,875 8,635 19,415 8,030
Director fees and expenses............................ 9,855 5,425 9,855 9,855 5,425
Legal fees............................................ 14,642 8,250 14,202 22,276 8,745
Amortization of organizational costs.................. 9,369 4,792 9,369 9,369 4,792
Insurance............................................. 4,959 4,932 4,959 4,959 4,932
Custody fees.......................................... 2,080 1,155 4,393 5,482 1,749
Distribution and service fees......................... 19,333 20,876 19,652 29,176 40,437
Registration and filing fees.......................... 13,051 3,365 8,711 17,997 3,095
Other................................................. 497 493 498 500 493
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Total expenses.................................... 211,070 139,376 230,220 566,271 214,869
- ---------------------------------------------------------------------------------------------------------------------------------
Less expense reductions - fees waived and/or charged to
subsidiaries of Conseco, Inc. (Note 3)................ (122,015) (86,652) (121,759) (161,524) (82,370)
- ---------------------------------------------------------------------------------------------------------------------------------
Net expenses...................................... 89,055 52,724 108,461 404,747 132,499
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income............................. 731,945 222,784 216,334 90,635 (29,219)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized gains on sales of investments.............. 272,481 222,486 963,472 7,828,442 821,671
Net change in unrealized appreciation of investments.... 36,724 95,962 780,974 1,556,839 1,549,097
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gains on investments........ 309,205 318,448 1,744,446 9,385,281 2,370,768
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations.............. $1,041,150 $541,232 $1,960,780 $9,475,916 $2,341,549
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</TABLE>

The accompanying notes are an integral part of these financial statements.

<PAGE>

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STATEMENTS OF CHANGES IN NET ASSETS

CONSECO CONSECO CONSECO
FIXED INCOME HIGH YIELD ASSET ALLOCATION
FUND FUND FUND
-------------------------- ---------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR
JUNE 30, ENDED JUNE 30, JUNE 30, ENDED
1998 DECEMBER 31, 1998 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) (UNAUDITED) 1997
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<S> <C> <C> <C> <C> <C>
Changes from operations:
Net investment income................................. $ 731,945 $ 1,068,505 $ 222,784 $ 216,334 $ 319,054
Net realized gains on sales of investments............ 272,481 317,897 222,486 963,472 994,075
Net change in unrealized appreciation of investments.. 36,724 296,011 95,962 780,974 571,105
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Net increase in net assets from operations........ 1,041,150 1,682,413 541,232 1,960,780 1,884,234
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Dividends to shareholders from net investment income:
Class A shares........................................ (239,637) (14,860) (207,084) (128,645) (15,040)
Class B shares........................................ (3,186) -- (38,428) (1,381) --
Class C shares........................................ (550) -- (9,901) (4,743) --
Class Y shares........................................ (447,131) (1,044,618) (7,588) (85,566) (297,498)
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Total dividends to shareholders from net
investment income............................... (690,504) (1,059,478) (263,001) (220,335) (312,538)
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Distribution to shareholders of net capital gains:
Class A shares........................................ (790) (1,949) -- (14,449) (66,425)
Class B shares........................................ -- -- -- (1,014) --
Class C shares........................................ -- -- -- (3,416) --
Class Y shares........................................ (46,463) (277,723) -- (153,093) (787,639)
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Total distribution to shareholders of net capital gains (47,253) (279,672) -- (171,972) (854,064)
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Capital share transactions:
Net proceeds from sales of shares..................... 27,728,164 22,099,349 30,672,278 30,281,300 12,406,174
Net asset value of shares issued from reinvestment of
dividends and distributions......................... 257,918 437,535 61,761 52,769 118,954
Cost of shares redeemed............................... (13,896,243) (884,271) (468,905) (13,286,841) (163,455)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from capital share
transactions.................................... 14,089,839 21,652,613 30,265,134 17,047,228 12,361,673
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Total net increase in net assets.................. 14,393,232 21,995,876 30,543,365 18,615,701 13,079,305
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Net assets, beginning of period......................... 22,029,226 33,350 100 13,112,655 33,350
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Net assets, end of period............................... $36,422,458 $22,029,226 $30,543,465 $31,728,356 $13,112,655
- ---------------------------------------------------------------------------------------------------------------------------------
Share data:
Class A shares:
Sold................................................ 2,518,488 14,325 2,428,761 2,137,878 100,694
Issued in reinvestment of dividends................. 284 144 4,743 1,421 293
Redeemed............................................ (245) (989) (19,279) (11,387) (2,468)
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Net increase...................................... 2,518,527 13,480 2,414,225 2,127,912 98,519
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Class B shares:
Sold................................................ 22,011 -- 290,471 21,197 --
Issued in reinvestment of dividends................. 136 -- 736 43 --
Redeemed............................................ (83) -- (381) (45) --
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Net increase...................................... 22,064 -- 290,826 21,195 --
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Class C shares:
Sold................................................ 4,401 -- 82,691 73,271 --
Issued in reinvestment of dividends................. 9 -- 195 154 --
Redeemed............................................ (41) -- (10) (94) --
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Net increase...................................... 4,369 -- 82,876 73,331 --
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Class Y shares:
Sold................................................ 155,776 2,195,219 60,060 342,033 1,115,405
Issued in reinvestment of dividends................. 24,738 43,371 139 2,629 11,424
Redeemed............................................ (1,355,677) (85,930) (23,862) (1,112,343) (11,798)
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Net increase (decrease)........................... (1,175,163) 2,152,660 36,337 (767,681) 1,115,031
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</TABLE>

The accompanying notes are an integral part of these financial statements.

<PAGE>

<TABLE>
<CAPTION>
CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
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STATEMENTS OF CHANGES IN NET ASSETS -- (CONTINUED)

CONSECO CONSECO
EQUITY 20
FUND FUND
-------------------------------- -----------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED
JUNE 30, ENDED JUNE 30,
1998 DECEMBER 31, 1998
(UNAUDITED) 1997 (UNAUDITED)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Changes from operations:
Net investment income (loss)............................... $ 90,635 $ 4,831 $ (29,219)
Net realized gains on sales of investments................. 7,828,442 8,301,910 821,671
Net change in unrealized appreciation of investments....... 1,556,839 4,828,172 1,549,097
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations............. 9,475,916 13,134,913 2,341,549
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Dividends to shareholders from net investment income:
Class A shares............................................. (4,988) -- --
Class B shares............................................. (203) -- --
Class C shares............................................. (69) -- --
Class Y shares............................................. (57,740) -- --
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Total dividends to shareholders from net
investment income.................................... (63,000) -- --
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Distribution to shareholders of net capital gains:
Class A shares............................................. (146,454) (497,491) --
Class B shares............................................. (5,968) -- --
Class C shares............................................. (2,013) -- --
Class Y shares............................................. (1,695,227) (6,140,284) --
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Total distribution to shareholders of net capital gains (1,849,662) (6,637,775) --
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Capital share transactions:
Net proceeds from sales of shares.......................... 32,846,687 65,432,881 29,552,737
Net asset value of shares issued from reinvestment of
dividends and distributions.............................. 1,380,868 -- --
Cost of shares redeemed.................................... (19,309,701) (6,752,740) (102,571)
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Net increase in net assets from capital share
transactions......................................... 14,917,854 58,680,141 29,450,166
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Total net increase in net assets....................... 22,481,108 65,177,279 31,791,715
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Net assets, beginning of period.............................. 65,210,629 33,350 100
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Net assets, end of period.................................... $87,691,737 $65,210,629 $31,791,815
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Share data:
Class A shares:
Sold..................................................... 1,766,728 455,408 2,304,451
Issued in reinvestment of dividends...................... 8,693 -- --
Redeemed................................................. (51,415) (16,547) (2,239)
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Net increase........................................... 1,724,006 438,861 2,302,212
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Class B shares:
Sold..................................................... 44,805 -- 267,950
Issued in reinvestment of dividends...................... 231 -- --
Redeemed................................................. (3,268) -- (5,208)
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Net increase........................................... 41,768 -- 262,742
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Class C shares:
Sold..................................................... 14,408 -- 102,028
Issued in reinvestment of dividends...................... 4 -- --
Redeemed................................................. (4) -- (785)
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Net increase........................................... 14,408 -- 101,243
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Class Y shares:
Sold..................................................... 838,559 5,992,638 5,790
Issued in reinvestment of dividends...................... 97,996 -- --
Redeemed................................................. (1,501,530) (575,320) (404)
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Net increase (decrease)................................ (564,975) 5,417,318 5,386
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</TABLE>

The accompanying notes are an integral part of these financial statements.

<PAGE>

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REPORT FROM THE
CONSECO FIXED INCOME FUND ADVISER

The economic environment in the first half of 1998 proved to be positive for
both the economy and the domestic financial markets. During this period we
experienced above-trend growth in the U.S. economy, slowing inflation, and lower
interest rate levels. While the economy posted strong growth numbers through the
first half of 1998, we believe there is considerable evidence - particularly
from recent jobs growth, industrial productions, and trade data - for a
significant slowdown during the second half of the year.

With the unemployment rate bouncing off a 28-year low, there is little slack in
our labor markets. Historically, this would result in a pickup in the inflation
rate. The improvement in productivity throughout the economy, however, has
allowed for a higher rate of economic growth without higher inflation.

For the first six months of 1998, the Conseco Fixed Income Fund Class A shares
returned 4.48%* versus the Lehman Brothers Aggregate Bond Index return of 3.93%.
The Conseco Fixed Income Fund's investment philosophy is deeply rooted in this
belief: by investing in securities we consider undervalued, we will provide
better returns without assuming significant levels of risk. We implement our
investment strategies utilizing proprietary research gleaned from our team of
securities analysts, and we strive to achieve every advantage to earn
incremental return for the Fund.

During the first half of 1998, we found value in two primary areas of the
corporate bond market: the industrial sector and the bank/finance sector. Within
the industrial sector, several securities offered excellent return potential. We
continue to hold Waste Management (Baa3/BBB) which our analysts consider to be
fundamentally undervalued in the environmental/waste management sector.

One of the cheapest sectors of the corporate bond market has been Real Estate
Investment Trusts (REITs). The income potential from bonds in this sector
remains very attractive. We invested in several shorter-maturity issues during
the period, including Equity Office Products (Baa1/BBB) and Simon DeBartolo
(Baa1/BBB+). Another sector we currently like is cable and media. We built a
position in Telecommunications Inc. (Baa3/BBB-) based on improving balance sheet
fundamentals and profitability. The recently announced merger with AT&T
(Aa3/AA-) has helped to further tighten its yield spread over U.S. Treasury
securities.

The strength and health of our financial markets can be attributed, in part, to
a very healthy bank system. Because of this strength in the U.S. economy, which
is currently in its eighth year of expansion, one of our investment themes has
been to invest in several of the regional banks while underweighting the money
center banks. With the trend toward consolidation, we look for value in certain
banks which our analysts consider to be underrated, but which have the potential
for an upgrade either through a merger or improved fundamentals. Consistent with
this theme, we have invested in the debt of Key Bank (A1/A) and U.S. Bancorp
(A1/A) during the first half of the year.

Looking forward, we expect interest rates to remain stable as a shrinking
industrial sector, combined with trade imbalances, helps to slow U.S. economic
growth. We believe the Federal Reserve will not alter monetary policy until the
financial crisis in Southeast Asia is under control. Until that monetary policy
direction is clear, the shape of the yield curve will remain flat, and investors
may find better opportunities investing in shorter-maturity securities. We also
believe the low level of unemployment during the first half of 1998 may cause
some pressure on wages. We are confident that this is an excellent environment
for bond investors.

/s/ Gregory J. Hahn
- -------------------
Gregory J. Hahn, CFA
Senior Vice President
Portfolio Manager
Conseco Capital Management, Inc.

- ----------
* Performance quoted represents past performance and is not indicative of future
results. Performance returns will vary.The performance listed above is for
Class A shares only and does not reflect sales charges. Performance results
for Classes B, C &Y will vary based on each class's respective expenses and
sales charges.

<PAGE>
CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
CONSECO FIXED INCOME FUND
STATEMENT OF INVESTMENTS IN SECURITIES

JUNE 30, 1998
(UNAUDITED)
SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
CORPORATE BONDS (51.23% OF TOTAL INVESTMENTS) (A)
APPAREL AND OTHER FINISHED PRODUCTS (.72%)
250,000 Tommy Hilfiger Corporation,
6.500%, due 06/01/2003 ......... $ 250,584
-----------
AUTO REPAIR AND PARKING (3.46%)
200,000 Amerco-MTN, 7.440%,
due 10/02/2006 ................. 212,848
100,000 Amerco-MTN, 6.710%,
due 10/15/2008 ................. 103,125
575,000 Amerco-MTN, 7.470%,
due 01/15/2027 ................. 634,628
250,000 Apcoa, Inc., 9.250%,
due 03/15/2008 (c)
Cost - $250,000;
Acquired - 03/25/1998 .......... 249,375
-----------
1,199,976
-----------
BUSINESS SERVICES (.48%)
250,000 Pinnacle Holdings, Inc., 0.000%,
due 03/15/2003 (c)
Cost - $153,685;
Acquired - 03/17/1998 .......... 165,000
-----------
CHEMICALS AND ALLIED PRODUCTS (.90%)
300,000 Smith International, Inc., 7.00%,
due 09/15/2007 ................. 313,470
-----------
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (3.79%)
500,000 Cable and Wireless
Communications PLC,
6.625%, due 03/06/2005 ......... 509,590
200,000 MCI Communications
Corporation, 6.125%,
due 04/15/2002 ................. 200,410
300,000 SK Telecom Co., Ltd., 7.750%,
due 04/29/2004 ................. 252,157
250,000 Telecommunications, Inc.,
10.125%, due 04/15/2022 ........ 352,155
-----------
1,314,312
-----------
DEPOSITORY INSTITUTIONS (7.43%)
450,000 Dao Heng Bank Ltd., 7.750%,
due 01/24/2007 (c)
Cost - $444,493;
Acquired - 01/16/1997
and 04/30/1997 ................. 364,451
1,000,000 Huntington Banks, 6.600%,
due 06/15/2018 ................. 989,486
100,000 Hutchison Whampoa Finance,
YANK, Series B, 7.450%,
due 08/01/2017 (c)
Cost - $92,520;
Acquired - 10/23/1997 .......... 79,806
300,000 Key Bank NA, 6.500%,
due 10/15/2027 ................. 305,132
250,000 Korea Development Bank,
6.250%, due 05/01/2000 ......... 228,449
250,000 St. Paul Bancorp, 7.125%,
due 02/15/2004 ................. 258,057
350,000 U.S. Bancorp, 6.500%,
due 02/01/2008 ................. 351,169
-----------
2,576,550
-----------
DURABLE GOODS - WHOLESALE (1.24%)
400,000 Pioneer Standard Electronics Inc.,
8.500%, due 08/01/2006 ......... 430,871
-----------
ELECTRIC, GAS, WATER, COGENERATION, SANITARY SERVICES (4.86%)
500,000 MCN Investment Corporation,
6.350%, due 04/02/2012 ......... 503,070
250,000 Southwest Gas Company,
9.750%, due 06/15/2002 ......... 280,656
500,000 The United Illuminating Company,
6.250%, due 12/15/2002 ......... 496,859
400,000 Waste Management, Inc.,
6.625%, due 07/15/2002 ......... 404,801
-----------
1,685,386
-----------
FOOD STORES (2.88%)
1,000,000 Kroger Co., 6.000%,
due 07/01/2000 ................. 998,328
-----------
GENERAL MERCHANDISE STORES (1.00%)
350,000 Shopko Stores, Inc., 6.500%,
due 08/15/2003 ................. 347,223
-----------
HOME FURNITURE AND EQUIPMENT STORES (1.43%)
500,000 MacSaver Financial Services,
7.875%, due 08/01/2003 ......... 493,963
-----------
FIRE, MARINE AND CASUALTY INSURANCE (.59%)
200,000 Horace Mann Educator, 6.625%,
due 01/15/2006 ................. 203,889
-----------

The accompanying notes are an integral part of these financial statements.

<PAGE>

- --------------------------------------------------------------------------------
CONSECO FIXED INCOME FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)

SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
INDUSTRIAL COMMERCIAL MACHINERY, COMPUTERS (.54%)
200,000 Morris Materials Handling, 9.500%,
due 04/01/2008 (c)
Cost - $197,500;
Acquired - 05/06/1998 .......... $ 187,500
-----------
INSURANCE COMPANIES (2.72%)
300,000 Delphi Financial, 8.000%,
due 10/01/2003 ................. 309,081
200,000 Delphi Funding LLC, 9.310%,
due 03/25/2027 ................. 223,370
150,000 Equitable Companies Inc.,
7.000%, 04/01/2028 ............. 155,694
250,000 Terra Nova Insurance (UK)
Holdings PLC, 7.000%,
due 05/15/2008 (c)
Cost - $249,748;
Acquired - 05/12/1998 .......... 255,862
-----------
944,007
-----------
LUMBER AND WOOD PRODUCTS, EXCEPT FURNITURE (2.11%)
700,000 West Fraser Mill, 7.250%,
due 09/15/2002 (c)
Cost - $695,920;
Acquired - 01/06/1997
and 04/30/1997 ................. 730,080
-----------
MISCELLANEOUS RETAIL (.32%)
100,000 Michael Stores, Inc., 10.875%,
due 06/15/2006 ................. 111,500
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (1.08%)
350,000 Safeco Capital Trust I, 8.072%,
due 07/15/2037 ................. 375,641
-----------
OIL AND GAS EXTRACTION (1.58%)
200,000 Cerro Negro Finance, Ltd.,
Series B, 7.900%,
due 12/01/2020 (c)
Cost - $194,464;
Acquired - 06/16/1998 .......... 194,500
200,000 Occidental Petroleum
Corporation, 6.400%,
due 04/01/2003 ................. 201,596
150,000 Vastar Resources, Inc., 6.000%,
due 04/20/2000 ................. 150,134
-----------
546,230
-----------
PAPER AND ALLIED PRODUCTS (.31%)
100,000 Westavaco Corporation,
10.300%, due 01/15/2019 ........ 106,234
-----------
PETROLEUM REFINING (2.39%)
278,000 Pennzoil Company, 9.625%,
due 11/15/1999 ................. 289,897
400,000 Pennzoil Company, 10.625%,
due 06/01/2001 ................. 414,390
100,000 USX Corporation, 9.375%,
due 02/15/2012 ................. 122,950
-----------
827,237
-----------
REAL ESTATE (.62%)
200,000 Corporate Property Investment,
9.000%, due 03/15/2002 (c)
Cost - $219,360;
Acquired - 03/17/1998 .......... 214,797
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (3.89%)
400,000 Chelsea GCA Realty Partnership,
L.P., 7.250%, due 10/21/2007 400,715
-----------
200,000 EOP Operating Limited Partnership,
6.375%, due 02/15/2003 (c)
Cost - $199,648;
Acquired - 06/02/1998 .......... 199,242
250,000 EOP Operating Limited Partnership,
6.763%, due 06/15/2007 (c)
Cost - $250,000;
Acquired - 06/10/1998 .......... 250,823
500,000 Simon Debartolo Group, L.P.,
6.750%, due 06/15/2005 (c)
Cost - $497,025;
Acquired - 06/16/1998 .......... 498,206
-----------
1,348,986
-----------
SECURITY AND COMMODITY BROKERS (4.52%)
500,000 Merrill Lynch & Co., Inc.,
6.750%, due 06/01/2028 ......... 507,770
650,000 Morgan Stanley Finance PLC,
8.030%, due 02/25/2017 ......... 737,431
200,000 Paine Webber Group, 9.250%,
due 12/15/2001 ................. 218,984
100,000 Salomon, Inc., Series C - MTN,
6.500%, due 08/15/2003 ......... 101,796
-----------
1,565,981
-----------

The accompanying notes are an integral part of these financial statements.

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------

CONSECO FIXED INCOME FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)
SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
STONE, CLAY, GLASS, CONCRETE (.59%)
200,000 Owens Corning, 7.500%,
due 05/01/2005 ................. $ 204,160
-----------
TRANSPORTATION EQUIPMENT (1.78%)
500,000 GMAC, 7.125%,
due 05/01/2001 ................. 514,982
100,000 Stena Line AB, 10.625%,
due 06/01/2008 ................. 101,750
-----------
616,732
-----------
TOTAL CORPORATE BONDS
(COST $17,523,498) ............. $17,758,637
-----------
MUNICIPAL BONDS (3.87% OF TOTAL INVESTMENTS) (A)
135,000 Augusta GA HSG Rehab Agency,
7.900%, due 03/01/1999 ......... 136,355
100,000 Doylestown Pennsylvania,
Hospital Authority, Revenue,
8.375%, due 07/01/2008 ......... 107,160
300,000 Fort Worth Texas Higher Ed Fin,
Revenue, 7.50%,
due 10/01/2006 ................. 307,105
200,000 Louisiana Dept. of Public Safety,
6.650%, due 11/01/2008 ......... 203,170
371,716 Philadelphia PA, Authority for
Industrial Development,
Revenue, 6.488%,
due 06/15/2004 ................. 383,531
200,000 Reeves County Texas Certificates
of Participation, 6.700%,
due 03/31/2005 ................. 202,135
-----------
TOTAL MUNICIPAL BONDS
(COST $1,312,865) .............. $ 1,339,456
-----------
ASSET BACKED SECURITIES
(4.23% OF TOTAL INVESTMENTS) (A)
500,000 California Infrastructure 1997-1
A6, 6.380%, due 09/25/2008 ..... 507,128
140,726 Copelco Capital Funding
Corporation, Series -
1996-A 6.340%,
due 07/20/2004 ................. 141,386
394,249 Green Tree Recreational
Equipment & Consumer
Trust, 97-C B, 6.750%,
due 02/15/2018 ................. 390,922
48,280 Lehman FHA Title 1 Loan
Trust 96-2 A2, 6.78%,
due 03/25/2008 ................. 48,549
100,000 National Car Rental Financing
Limited Partnership 1996-1 A2,
6.800%, due 04/20/2000 ......... 100,219
114,118 New York City Tax Lien 1996-1 B,
6.910%, due 05/25/2005 ......... 114,407
160,850 Rural Housing Trust 1987-1 3B,
7.330%, due 04/01/2026 ......... 164,734
-----------
TOTAL ASSET BACKED SECURITIES
(COST $1,466,356) .............. $ 1,467,345
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS
(9.86% OF TOTAL INVESTMENTS) (A)
500,000 CMO Iroquois Trust 1997-C4
A1 A, 7.000%,
due 12/15/2006 ................. 504,258
500,000 CS First Boston Mortgage
Securities Corporation,
Series 1998-C1
Class A1A, 6.260%,
due 04/11/2030 ................. 502,500
184,882 FHLMC Structured Pass Through
Securities T - 4 A1, 7.630%,
due 08/25/2022 ................. 190,082
100,000 FNMA, Series 1994-63
Class PK, 7.000%,
due 04/25/2024 ................. 103,912
127,844 Midland Realty Acceptance
Corporation, 7.315%,
due 08/25/2028 ................. 131,132
455,004 JP Morgan Commercial Mortgage
Finance Corporation 97-C4 A1,
6.939%, due 12/26/2028 ......... 463,952
1,000,000 Mortgage Capital Funding Inc.,
6.325%, due 12/01/2003 ......... 1,005,000
500,000 Paine Webber Mtg Accept. Corp.
CMO, 6.900%, due 01/02/2012 .... 516,875
-----------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS
(COST $3,376,347) .............. $ 3,417,711
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(27.34% OF TOTAL INVESTMENTS) (A)
756,994 Federal Home Loan Mortgage
Corp., #G00479, 9.000%,
due 04/01/2025 ................. 804,261
86,179 Federal National Mortgage Assn.,
7.000%, due 11/01/2026 ......... 87,539
174,100 Federal National Mortgage
Assn., #250307,
7.500%, due 07/01/2025 ......... 178,777

The accompanying notes are an integral part of these financial statements.

<PAGE>

- --------------------------------------------------------------------------------
CONSECO FIXED INCOME FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)

SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
4,000,000 U.S. Treasury Note, 5.625%,
due 04/30/2000 ................. $ 4,008,752
2,500,000 U.S. Treasury Note, 5.375%,
due 02/15/2001 ................. 2,492,190
300,000 U.S. Treasury Note, 5.500%,
due 05/31/2003 ................. 300,094
250,000 U.S. Treasury Note, 6.500%,
due 05/15/2005 ................. 263,984
1,250,000 U.S. Treasury Note, 6.125%,
due 11/15/2027 ................. 1,339,845
-----------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS
(COST $9,450,290) .............. $ 9,475,442
-----------
PREFERRED STOCK (.59% OF TOTAL INVESTMENTS) (A)
NON-DEPOSITORY CREDIT INSTITUTIONS (.59%)
2,000 River Holding Corp., 11.5%,
due 4/15/2010, PIK (c)
Cost - $200,000;
Acquired - 04/02/1998 .......... 203,500
-----------
TOTAL PREFERRED STOCK
(COST $200,000) ................ $ 203,500
-----------
COMMERCIAL PAPER (2.88% OF TOTAL INVESTMENTS) (A)
NON-DEPOSITORY CREDIT INSTITUTIONS (2.88%)
1,000,000 General Electric Capital
Corporation, 6.100%,
due 07/01/1998 ................. $ 999,831
-----------
TOTAL COMMERCIAL PAPER
(COST $999,831) ................ 999,831
-----------
TOTAL INVESTMENTS
IN SECURITIES
(COST $34,329,187) (B) ......... $34,661,922
===========

- ----------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Cost also represents cost for federal income tax purposes.
(c) Restricted under Rule 144(A) of the Securities Act of 1933.

The accompanying notes are an integral part of these financial statements.

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------

REPORT FROM THE CONSECO HIGH YIELD
FUND ADVISER

The high yield market was very active during the entire first half of 1998.
Investor demand was robust, with a total of $97.2 billion in new issuance
through June, as compared with $55.3 billion last year. The fundamentals of the
high yield market were positive, with $8.5 billion in cash flows supporting the
record pace of issuance. This balanced supply/demand condition was a result of
increased buying from mutual funds, insurance companies, and institutional
managers.

The market was consistently strong in the first quarter. As we entered the
second quarter, April and May experienced excess supply, but investors' demand
remained strong. It was not until June that slowing cash flows negatively
impacted the market, weakening demand. Even repeat issuers with strong operating
histories in the high yield market faced a difficult pricing environment, and
often had to price their bonds at an above-average premium to prevailing rates.
In addition, the market saw significant issuance from early stage
telecommunications companies, which were less attractive due to their thin
operating histories.

In spite of the weakening market during the second quarter, the Conseco High
Yield Fund outperformed significantly over the reported period. Through June
30th, the Conseco High Yield Fund Class A shares returned 10.96%*, compared to
the Merrill Lynch High Yield Index, which posted a 4.51% return.

There were a number of issues with noteworthy performance during the six-month
period. For example, the Fund purchased USA Mobile Communications, an operating
subsidiary of Arch Communication Group, at 90.75 on perceived credit weakness
and sold at 97.00 when the market realized the pricing inefficiency.

The Conseco High Yield Fund exploited another of these pricing inefficiencies by
purchasing Gaylord Container, a producer of shipping cardboard. The Fund bought
at 98.375, then later sold at 102.875 when the market realized that Gaylord's
product was positioned to capitalize on a strong labor environment.

The U.S. economy is now in its eighth year of expansion. This, combined with
deflationary price pressures from the Southeast Asian economies, has produced a
decline in several commodity prices. This lack of price pressure has steered us
clear of several of the cyclical sectors, including paper and forest products
and chemicals. We remain favorable on the telecommunications sector, media,
healthcare, and retail.

As we enter into the third quarter of 1998, we see the slowdown in new issuance
has set the stage for a moderate recovery in high yield. As investor confidence
returns, cash flows into high yield mutual funds should increase, which could
further support the primary and secondary markets. We will add more seasoned and
better-positioned names in selected sectors of the Conseco High Yield Fund,
striving for issue-specific timing of those transactions.

Looking forward, we expect to experience stability in interest rates as a
shrinking industrial sector, combined with trade imbalances, helps to slow U.S.
economic growth. We believe the Federal Reserve will remain on the sidelines and
not alter monetary policy until the financial crisis in Southeast Asia is under
control. While we have experienced some easing in our labor markets recently,
the low level of unemployment during the first half of 1998 may cause some
pressure on wages. Still, we believe this is an excellent environment for high
yield bond investors.

/s/ Peter C. Andersen /s/ William F. Ficca
- --------------------- --------------------
Peter C. Andersen, CFA William F. Ficca
Second Vice President Vice President
Portfolio Manager Director of Research
Conseco Capital Management, Inc. Conseco Capital Management, Inc.

<PAGE>

- --------------------------------------------------------------------------------
CONSECO HIGH YIELD FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)

SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
CORPORATE BONDS (97.18% OF TOTAL INVESTMENTS) (A)
AGRICULTURAL SERVICES (2.71%)
750,000 Moll Industries, 10.500%,
due 07/01/2008 (c)
Cost - $750,000;
Acquired - 06/23/1998 .......... $ 768,750
-----------
AMUSEMENT AND RECREATIONS SERVICES (.54%)
150,000 Park N View Inc., 13.000%,
due 05/15/2008 (c)
Cost - $150,000;
Acquired - 05/20/1998 ........ 152,250
-----------
APPAREL AND OTHER FINISHED PRODUCTS (2.69%)
750,000 Norton McNaughton, 12.500%,
due 06/01/2005 (c)
Cost - $750,000;
Acquired - 06/12/1998 .......... 761,250
-----------
BUSINESS SERVICES (2.33%)
1,000,000 Pinnacle Holdings Inc, 0.000%,
due 03/15/2008 (c)
Cost - $655,000;
Acquired - 06/11/1998 .......... 660,000
-----------
CHEMICALS AND ALLIED PRODUCTS (2.73%)
750,000 Carson Inc, Series B, 10.375%,
due 11/01/2007 ................. 774,375
-----------
COAL MINING (2.32%)
650,000 Lodestar Holdings Inc., 11.500%,
due 05/15/2005 (c)
Cost - $648,750; Acquired -
05/12/1998 and 06/16/1998 .... 656,500
-----------
COMMUNICATIONS (25.14%)
500,000 Advanstar Communications,
9.250%, due 05/01/2008 (c)
Cost - $502,500;
Acquired - 06/12/1998 .......... 505,625
500,000 Antenna TV SA, 9.000%,
due 08/01/2007 ................. 505,000
1,000,000 Arch Communications Inc.,
12.750%, due 07/01/2007 (c)
Cost - $980,490;
Acquired - 06/24/1998 .......... 1,011,250
200,000 Globalstar LP/Capital, 11.500%,
due 06/01/2005 (c)
Cost - $197,632;
Acquired - 05/15/1998 .......... 195,750
1,410,000 Lin Holdings Corp, 0.000%,
due 03/01/2008 (c)
Cost - $937,655;
Acquired - 02/18/1998,
06/15/1998 and 06/24/1998 958,800
750,000 Microcell Telecommunications,
0.000%, due 06/01/2006 ......... 560,625
750,000 Mobile Telecomm Technology
13.500%, due 12/15/2002 ........ 866,250
1,000,000 Nextel Communications,
0.000%, due 02/15/2008 (c)
Cost $630,000;
Acquired - 06/17/1998 .......... 643,750
170,000 Pagemart Wireless Inc.,
0.000%, due 02/01/2008 ......... 105,400
750,000 Rogers Cablesystems Ltd,
11.000%, due 12/01/2015 ........ 871,875
500,000 Rogers Cantel Inc., 9.375%,
due 06/01/2008 ................. 521,250
213,000 SK Telecom Co. Ltd., 7.750%,
due 04/29/2004 ................. 179,031
190,000 Viatel Inc., 11.250%,
due 04/15/2008 ................. 199,500
-----------
7,124,106
-----------
EATING AND DRINKING PLACES (2.79%)
750,000 Friendly Ice Cream, 10.500%,
due 12/01/2007 ................. 791,250
-----------
ELECTRIC, GAS, COGENERATION, SANITARY
SERVICE (5.42%)
750,000 AES Corp., 8.500%,
due 11/01/2007 ................. 761,250
750,000 Niagara Mohawk Power,
7.750%, due 10/01/2008 ......... 773,437
-----------
1,534,687
-----------
ELECTRICAL EQUIPMENT, EXCEPT
COMPUTERS (.28%)
100,000 Hyundai Semiconductor, 8.625%,
due 05/15/2007 (c)
Cost - $82,500;
Acquired - 05/04/1998 .......... 79,113
-----------

The accompanying notes are an integral part of these financial statements.

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------

CONSECO HIGH YIELD FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)

SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
ENGINEERING, MANAGEMENT, RELATED SERVICES (.33%)
100,000 ATC Group Services Inc.,
12.000%, due 01/15/2008 (c)
Cost - $100,000;
Acquired - 01/22/1998 .......... $ 92,500
-----------
FOOD STORES (2.46%)
650,000 Jitney-Jungle Stores, 10.375%,
due 09/15/2007 ................. 697,125
-----------
GENERAL MERCHANDISE STORES (3.43%)
150,000 Kmart Corp., 12.500%,
due 03/01/2005 ................. 188,455
750,000 Specialty Retailers, Series B,
9.000%, due 07/15/2007 ......... 784,688
-----------
973,143
-----------
HEALTH SERVICES (7.43%)
800,000 Fountain View Inc, 11.250%,
due 04/15/2008 (c)
Cost - $815,313; Acquired -
04/09/1998, 06/11/1998
and 06/16/1998 ................. 818,000
500,000 Hudson Respiratory Care,
9.125%, due 04/15/2008 (c)
Cost - $495,000;
Acquired - 06/11/1998 .......... 490,000
100,000 Medpartners Inc., 7.375%,
due 10/01/2006 ................. 89,287
700,000 Tenet Healthcare Corp.,
8.125%, due 12/01/2008 (c)
Cost - $702,125;
Acquired - 06/03/1998
and 06/11/1998 ................. 707,875
-----------
2,105,162
-----------
HOLDING, OTHER INVESTMENT OFFICES (2.63%)
750,000 CRIMMI Mae Inc., 9.125%,
due 12/01/2002 ................. 744,375
-----------
HOTELS, OTHER LODGING PLACES (1.86%)
500,000 Sun International Hotels,
9.000%, due 03/15/2007 ......... 527,500
-----------
INSURANCE CARRIERS (2.73%)
750,000 Oxford Health Plans, 11.000%,
due 05/15/2005 (c)
Cost - $767,500;
Acquired - 05/07/1998
and 06/12/1998 ................. 772,500
-----------
LEATHER AND LEATHER PRODUCTS (2.24%)
650,000 Nine West Group Inc., 9.000%,
due 08/15/2007 (c)
Cost - $636,250;
Acquired - 06/08/1998
and 06/11/1998 ................. 633,750
-----------
METAL MINING (1.43%)
500,000 Pohang Iron & Steel Co Ltd,
7.125%, due 07/15/2004 ......... 405,055
-----------
MISCELLANEOUS MANUFACTURING INDUSTRIES (.37%)
200,000 V2 Music Holdings, 0.000%,
due 04/15/2008 (c)
Cost - $102,402;
Acquired - 05/01/1998 .......... 104,000
-----------
MISCELLANEOUS RETAIL (.79%)
200,000 Michaels Stores Inc., 10.875%,
due 06/15/2006 ................. 223,000
-----------
MOTION PICTURES (2.17%)
600,000 Hollywood Entertainment,
Series B, 10.625%,
due 08/15/2004 ................. 615,000
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (2.78%)
750,000 Metris Companies Inc., 10.000%,
due 11/01/04 ................... 787,500
-----------
NON-DURABLE GOODS-WHOLESALE (2.69%)
750,000 Aurora Foods Inc., 8.750%,
due 07/01/2008 (c)
Cost - $750,000;
Acquired - 06/26/1998 .......... 763,125
-----------
OIL AND GAS EXTRACTION (7.34%)
750,000 Grey Wolf Inc., 8.875%,
due 07/01/2007 ................. 727,500
200,000 Northern Offshore ASA,
10.000%, due 05/15/2005 (c)
Cost - $200,000;
Acquired - 05/05/1998 .......... 192,000

The accompanying notes are an integral part of these financial statements.

<PAGE>

- --------------------------------------------------------------------------------
CONSECO HIGH YIELD FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)

SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
OIL AND GAS EXTRACTION (continued)
841,000 Pride Petroleum Svcs Inc.,
9.375%, due 05/01/2007 ......... $ 889,358
250,000 Triton Energy Ltd., 9.250%,
due 04/15/2005 ................. 271,532
-----------
2,080,390
-----------
PAPER AND ALLIED PRODUCTS (.48%)
195,000 Pindo Deli Fin Mauritius,
10.750%, due 10/01/2007 ........ 136,988
-----------
PRIMARY METAL INDUSTRIES (.98%)
250,000 NS Group Inc., 13.500%,
due 07/15/2003 ................. 277,500
-----------
RUBBER AND MISCELLANEOUS PLASTICS (2.25%)
500,000 RBX Corp., 12.000%,
due 01/15/2003 (c)
Cost - $490,000;
Acquired - 06/11/1998 .......... 487,500
250,000 RBX Corp., 11.250%,
due 10/15/2005 ................. 150,938
-----------
638,438
-----------
TEXTILE MILL PRODUCTS (.28%)
200,000 Polysindo Intl Finc Co.,
11.375%, due 06/15/2006 ........ 78,500
-----------
TRANSPORTATION EQUIPMENT (4.84%)
750,000 Federal-Mogul Corp, 7.750%,
due 07/01/2006 ................. 749,730
500,000 Sabreliner Corp, 11.000%,
due 06/15/2008 (c)
Cost - $500,000;
Acquired - 06/19/1998 .......... 502,500
140,000 Tata Engineering & Locom,
7.875%, due 07/15/2007 (c)
Cost - $125,593;
Acquired - 03/15/1998 .......... 119,543
-----------
1,371,773
-----------
WATER TRANSPORTATION (.72%)
200,000 Stena Line AB, 10.625%,
due 06/01/2008 ................. 203,500
-----------
TOTAL CORPORATE BONDS
(COST $27,435,089) ............. $27,533,105
-----------
ASSET BACKED SECURITIES
(.36% OF TOTAL INVESTMENTS) (A)
100,000 Morgan Stanley Aircraft Finance,
Series 1A, Class D1, 8.700%,
due 03/15/2023 ................. 101,438
-----------
TOTAL ASSET BACKED SECURITIES
(COST $100,000) ................ $ 101,438
-----------
PREFERRED STOCK
(2.46% OF TOTAL INVESTMENTS) (A)
NON-DEPOSITORY CREDIT INSTITUTIONS (1.07%)
3,000 River Holding Corp, 11.500%,
due 04/15/2010 PIK PFD (c)
Cost - $300,000;
Acquired - 01/05/1998
and 06/11/1998 ................. 305,250
-----------
TEXTILE MILL PRODUCTS (.36%)
4,026 Anvil Holdings PFD Series B,
13.000% ........................ 101,657
-----------
TELECOMMUNICATIONS (1.03%)
200 Benedek Communications PFD,
11.500% (c) Cost - $200,000;
Acquired - 05/07/1998 .......... 196,500
-----------
82 IXC Communications Inc.,
Series B PFD 12.500%,
due 08/15/2009 ................. 94,915
-----------
291,415
-----------
TOTAL PREFERRED STOCK
(COST $701,814) ................ $ 698,322
-----------
TOTAL INVESTMENTS
IN SECURITIES
(COST $28,236,903) (B) ......... $28,332,865
===========

The accompanying notes are an integral part of these financial statements.

<PAGE>

CONSECO FUND GROUP
1998 Semi-Annual Report
- --------------------------------------------------------------------------------

REPORT FROM THE CONSECO ASSET
ALLOCATION FUND ADVISER

Amidst first half 1998 fears that failing Asian markets would begin to drag down
the U.S. economy, that weakness actually stimulated the U.S. financial markets.
Incremental demand for oil and other resource inputs dropped, and falling
interest rates resulted in increased financing activity. The U.S. posted
stronger than expected housing starts and resale sales.

With the unemployment rate up only slightly from a 28-year low, there is little
slack in the U.S. labor markets. Historically, this would result in a pickup of
the inflation rate. The improvement in productivity throughout the economy,
though, is allowing a higher rate of economic growth without higher inflation.
While the economy posted strong growth numbers through the first half of 1998,
we believe there is considerable evidence - in job growth, industrial
productions, and trade data - for a significant slowdown in the second half of
the year.

In the equity markets, larger cap stocks continued to outpace small and mid-cap
stocks. As we mention in the Conseco Equity Fund letter, large cap mania is
beginning to create some serious market anomalies. We are concerned that this
appetite for large cap stocks at virtually any price may just reflect current
U.S. investor demographics. In an effort to save for retirement through 401(k)
contributions into mutual funds, Baby boomers have poured huge amounts of money
into the market. These funds must be put to work quickly, and are being used to
buy stock without regard for the valuations assigned to the issuers.

For the six months ended June 30, 1998, the Conseco Asset Allocation Fund Class
A shares returned 12.72%*, compared to the 50% S&P 400 Midcap/50% Lehman
Brothers Aggregate benchmark, which posted a 6.28% return for the same period.

Among the Fund's equity holdings, throughout the first half of 1998, two
standout names are Quorum Health Group, Inc., and Comverse Technology. We
purchased Quorum last year amid negative sentiment surrounding the for-profit
hospital industry due to Columbia Healthcare's problems. We believed that
Quorum's strong management philosophy and business model were in stark contrast
to Columbia, and were proven right. After a brief acquisition slowdown, we saw
Quorum's deal activity pick up, and we enjoyed a return to the stock's previous
multiple.

We were able to buy Comverse Technology at a three-year low point in its price
and price-to-earnings multiple. Comverse (which recently merged with competitor
Boston Technology) is involved in enhanced voice messaging for wired and
wireless networks, and was being overlooked by the market due to revenue-related
Asian exposure. We saw an opportunity to purchase an outstanding company with
sustainable growth potential, even with the Asian exposure. When the company
reported fourth quarter 1997 earnings in February, the stock rebounded nicely.

On the fixed income side, we continue to hold Waste Management (Baa3/BBB) which
our analysts consider to be fundamentally undervalued in the environmental/waste
management sector. We invested in several shorter-maturity Real Estate
Investment Trusts (REITS), including Equity Office Products (Baa1/BBB) and Simon
DeBartolo (Baa1/BBB+). We also invested in the debt of Key Bank (A1/A) during
the first half of the year. We believe that, with the trend toward
consolidation, we should look for value in regional banks which our analysts
consider to be underrated, but which have the potential for an upgrade either
through a merger or improved fundamentals.

Looking forward, we expect interest rates to remain stable as U.S. economic
growth slows. We believe the Federal Reserve will not alter monetary policy
until the financial crisis in Southeast Asia is under control. As we move into
the second half of 1998, we expect a slowdown in corporate profits, particularly
once second quarter earnings are fully tallied.

Despite this cautionary outlook on the broader market, we remain confident that
our bottom-up style of selecting reasonably valued securities - stocks and bonds
- - will serve our shareholders well.

/s/ Gregory J. Hahn /s/ Thomas J. Pence
- ------------------- -------------------
Gregory J. Hahn, CFA Thomas J. Pence, CFA
Senior Vice President Senior Vice President
Portfolio Manager Portfolio Manager
Conseco Capital Management, Inc. Conseco Capital Management, Inc.

* Performance quoted represents past performance and is not indicative of future
results. Performance returns will vary.The performance listed above is for
Class A shares only and does not reflect sales charges. Performance results
for Classes B, C &Y will vary based on each class's respective expenses and
sales charges.

<PAGE>
- --------------------------------------------------------------------------------
CONSECO ASSET ALLOCATION FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)
SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
COMMON STOCKS (49.72% OF TOTAL INVESTMENTS) (A)
APPAREL AND ACCESSORY STORES (.35%)
3,900 The Finish Line, Inc. (b) ........ $ 109,688
-----------
AUTO REPAIR, SERVICES, PARKING (1.22%)
12,050 Budget Group, Inc. (b) ........... 384,847
-----------
BUSINESS SERVICES (4.87%)
10,450 Affiliated Computer
Services, Inc. (b) ............. 402,325
6,150 Applied Graphics
Technologies, Inc. (b) ......... 281,363
9,950 Autodesk, Inc. ................... 384,319
6,150 Lamar Advertising Company (b) .... 220,631
12,300 Sykes Enterprises, Inc (b) ....... 246,769
-----------
1,535,407
-----------
COMMUNICATIONS BY PHONE,
TELEVISION, RADIO, CABLE (3.22%)
14,450 Emmis Broadcasting
Corporation (b) ................ 690,891
130 Intermedia Communications
Inc. (b) ....................... 5,451
17,350 LCC International, Inc. (b) ...... 320,975
-----------
1,017,317
-----------
DEPOSITORY INSTITUTIONS (3.10%)
12,800 Norwest Corporation .............. 478,400
11,650 U.S. Bancorp ..................... 500,950
-----------
979,350
-----------
DURABLE GOODS - WHOLESALE (1.18%)
14,250 Pomeroy Computer
Resources, Inc. (b) ............ 371,391
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (4.28%)
8,000 Calenergy Company, Inc. (b) ...... 240,500
19,800 Kinder Morgan Energy
Partners, L.P. ................. 715,275
11,300 Waste Management, Inc. ........... 395,500
-----------
1,351,275
-----------
ELECTRICAL EQUIPMENT, EXCEPT COMPUTERS (2.26%)
4,900 CIENA Corporation (b) ............ 341,162
5,100 Comverse Technology, Inc. (b) .... 264,563
2,400 RELTEC Corporation (b) ........... 108,000
-----------
713,725
-----------
GENERAL MERCHANDISE STORES (2.28%)
12,250 The Elder-Beerman Stores
Corporation (b) ................ 326,922
21,200 Family Dollar Stores, Inc. ....... 392,200
-----------
719,122
-----------
HOTELS, OTHER LODGING PLACES (1.88%)
30,900 Fairfield Communities, Inc. (b) .. 592,893
-----------
INDUSTRIAL COMMERCIAL MACHINERY, COMPUTERS (3.37%)
7,100 The Black & Decker Corporation433,100
10,450 Ceridian Corporation (b) ......... 613,938
1,350 International Comfort Products
Corporation (b) ................ 16,369
-----------
1,063,407
-----------
INSURANCE AGENTS, BROKERS (1.13%)
5,925 Marsh & McLennan
Companies, Inc. ................ 358,092
-----------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (3.72%)
3,500 Analogic Corporation ............. 156,625
5,900 Mentor Corporation ............... 143,075
13,100 Sybron International
Corporation (b) ................ 330,775
9,200 Waters Corporation (b) ........... 542,225
-----------
1,172,700
-----------
MOTOR FREIGHT TRANSPORTATION, WAREHOUSES (1.29%)
11,450 J.B. Hunt Transport Services, Inc. 407,906
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (5.90%)
10,100 Banc One Corporation ............. 563,706
4,050 Beneficial Corporation ........... 620,409
5,450 Capital One Financial
Corporation .................... 676,822
-----------
1,860,937
-----------
NON-DURABLE GOODS WHOLESALE (2.60%)
21,850 Pharmerica, Inc. (b) ............. 263,566
15,850 U.S. Foodservice (b) ............. 555,741
-----------
819,307
-----------

The accompanying notes are an integral part of these financial statements.

16
<PAGE>

CONSECO FUND GROUP
1998 Semi-Annual Report
- --------------------------------------------------------------------------------
CONSECO ASSET ALLOCATION FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)

SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
OIL AND GAS EXTRACTION (1.50%)
14,550 Snyder Oil Corporation ........... $ 290,090
4,150 Transocean Offshore, Inc. ........ 184,675
-----------
474,765
-----------
PAPER AND ALLIED PRODUCTS (.11%)
1,300 St. Joe Company .................. 35,588
-----------
PRINTING, PUBLISHING AND ALLIED LINES (2.44%)
5,000 Central Newspapers, Inc .......... 348,750
7,700 The E.W. Scripps Company ......... 422,056
-----------
770,806
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (.85%)
8,200 Simon Debartolo Group, Inc ....... 266,500
-----------
REAL ESTATE OPERATORS, AGENTS, MANAGERS (.50%)
4,600 Boston Properties, Inc. (b) ...... 158,700
-----------
STONE, CLAY, GLASS, CONCRETE PRODUCTS (.13%)
1,150 Department 56, Inc. (b) .......... 40,825
-----------
TEXTILE MILL PRODUCTS (1.16%)
20,750 Shaw Industries, Inc ............. 365,718
-----------
WATER TRANSPORTATION (.38%)
4,800 Teekay Shipping Corporation ...... $120,300
-----------
TOTAL COMMON STOCKS
(COST $14,623,380) ............. $15,690,566
-----------
PREFERRED STOCKS (3.74% OF TOTAL INVESTMENTS) (A)
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (2.13%)
195 IXC Communications, Inc., 12.5%,
Series B, PIK .................. 225,712
12,000 Intermedia Communications, Inc.,
7.01% (d) Cost - $300,000;
Acquired - 10/24/1997 .......... 445,500
-----------
671,212
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (1.61%)
5,000 River Holding Corporation, 11.5%,
due 04/15/2010, PIK (d)
Cost - $500,000;
Acquired - 04/02/1998 .......... 508,750
-----------
TOTAL PREFERRED STOCKS
(COST $1,035,888) .............. $ 1,179,962
-----------
PREFERRED STOCKS - CONVERTIBLE (1.08% OF TOTAL INVESTMENTS) (A)
FINANCE - FINANCIAL SERVICES (1.08%)
6,000 The AES Corporation Trust II PFD,
5.50%, CVMCVT (d)
Cost - $300,000;
Acquired - 10/24/1997 .......... $ 342,000
-----------
TOTAL PREFERRED STOCKS - CONVERTIBLE
(COST $300,000) ................ $ 342,000
-----------
CORPORATE BONDS
(22.02% OF TOTAL INVESTMENTS) (A)
AIR TRANSPORTATION (.51%)
150,000 CHC Helicopter Corporation,
11.500%, due 07/15/2002 ........ 161,250
-----------
AMUSEMENT AND RECREATION SERVICES (.32%)
100,000 Park N View Inc., 13.000%,
due 05/15/2008 (d)
Cost - $100,000;
Acquired - 05/20/1998 .......... 101,500
-----------
APPAREL AND OTHER FINISHED PRODUCTS (.32%)
100,000 Tommy Hilfiger Corporation,
6.500%, due 06/01/2003 ......... 100,234
-----------
AUTO REPAIR, SERVICES, PARKING (1.40%)
400,000 Amerco-MTN, 7.470%,
due 01/15/2027 ................. 441,480
-----------
BUILDING CONSTRUCTION, GENERAL CONTRACTORS,
OPERATIVE BUILDERS (.79%)
100,000 D.R. Horton, Inc., 8.375%,
due 06/15/2004 ................. 101,000
150,000 K. Hovnanian Enterprises, Inc.,
9.750%, due 06/01/2005 ......... 149,250
-----------
250,250
-----------
BUSINESS SERVICES (.52%)
250,000 Pinnacle Holdings Inc., 0.000%
until 03/15/2003; then 10.0%
due 3/15/2008 (d)
Cost - $153,685;
Acquired - 03/18/1998 ........ 165,000
-----------

The accompanying notes are an integral part of these financial statements.

<PAGE>

- --------------------------------------------------------------------------------
CONSECO ASSET ALLOCATION FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)
SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
COAL MINING (.48%)
150,000 Lodestar Holdings Inc.,
11.500%, due 05/15/2005 (d)
Cost $150,000;
Acquired - 05/12/1998 .......... $ 151,500
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (2.40%)
150,000 Cable and Wireless
Communications PLC, 6.375%,
due 03/06/2003 ................. 151,040
200,000 Lenfest Communications, Inc.,
8.375%, due 11/01/2005 ......... 213,500
150,000 MCI Communications Corporation,
6.125%, due 04/15/2002 ......... 150,308
100,000 SK Telecom Co., Ltd., 7.750%,
due 04/29/2004 ................. 84,052
150,000 Viatel, Inc., 11.250%,
due 04/15/2008 ................. 157,500
-----------
756,400
-----------
DEPOSITORY (.71%)
200,000 Centura Bank Capital Trust I,
8.845%, due 06/01/2027 (d)
Cost - $200,000;
Acquired - 05/29/1997 .......... 224,840
-----------
DURABLE GOODS - WHOLESALE (.34%)
100,000 Pioneer Standard Electronics Inc.,
8.500%, due 08/01/2006 ......... 107,718
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (1.92%)
200,000 KN Energy, Inc., 6.800%,
due 03/01/2008 ................. 202,932
200,000 The United Illuminating Company,
6.250%, due 12/15/2002 ......... 198,744
200,000 Waste Management, Inc.,
6.625%, due 07/15/2002 ......... 202,401
-----------
604,077
-----------
FOOD STORES (.95%)
300,000 Kroger Co., 6.000%,
due 07/01/2000 ................. 299,498
-----------
GENERAL MERCHANDISE STORES (.47%)
150,000 Shopko Stores, Inc., 6.500%,
due 08/15/2003 ................. 148,810
-----------
HOME FURNITURE AND EQUIPMENT STORES (1.58%)
500,000 MacSaver Financial Services,
7.875%, due 08/01/2003 ......... 493,963
-----------
INDUSTRIAL COMMERCIAL MACHINERY, COMPUTERS (.46%)
150,000 Morris Materials Handling,
due 04/01/2008 (d)
Cost - $148,125;
Acquired - 05/06/1998 .......... 140,625
-----------
INSURANCE COMPANIES (.33%)
100,000 Terra Nova Insurance (UK)
Holdings PLC, 7.000%,
due 05/18/2008 (d)
Cost - $99,899;
Acquired - 05/12/1998 .......... 102,345
-----------
LUMBER AND WOOD PRODUCTS, EXCEPT FURNITURE (1.65%)
500,000 West Fraser Mill, 7.250%,
due 09/15/2002 (d)
Cost - $449,920;
Acquired - 01/06/1997 .......... 521,486
-----------
MISCELLANEOUS MANUFACTURING (.33%)
200,000 V2 Music Holdings, 0.000%,
due 04/15/2008 (d)
Cost - $102,402;
Acquired - 05/01/1998 .......... 104,000
-----------
MISCELLANEOUS RETAIL (.35%)
100,000 Michael Stores, Inc., 10.875%,
due 06/15/2006 ................. 111,500
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (.48%)
150,000 Key Bank USA, National Association,
BKNT, 6.500%,
due 10/15/2027 ................. 152,566
-----------
NON-DURABLE GOODS WHOLESALE (.45%)
150,000 KCS Energy, Inc., 8.875%,
due 01/15/2008 ................. 143,250
-----------
OIL AND GAS EXTRACTION (2.84%)
150,000 Occidental Petroleum Corporation,
6.400%, due 04/01/2003 ......... 151,197
100,000 Parker Drilling Company, 9.750%,
due 11/15/2006 (d)
Cost - $106,000;
Acquired - 03/04/1998 .......... 102,750

The accompanying notes are an integral part of these financial statements.

18
<PAGE>

SHARES OR
PRINCIPAL
AMOUNT SECURITY VALUE
----------- --------- -------
500,000 Triton Energy Ltd., 9.250%,
due 04/15/2005 ................. $ 543,065
100,000 Vastar Resources, Inc., 6.000%,
due 04/20/2000 ................. 100,090
-----------
897,102
-----------
PERSONAL SERVICES (.34%)
100,000 CPI Corp., 9.000%, due 03/15/2002
(d) Cost - $109,680;
Acquired 03/17/1998 ............ 107,399
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (.95%)
150,000 EOP Operating Limited Partnership,
6.763%, due 06/15/2007 (d)
Cost - $150,000;
Acquired - 06/10/1998 .......... 150,494
150,000 Simon Debartolo Group L.P., 6.75%,
due 06/15/2005 (d)
Cost - $149,108;
Acquired - 06/16/1998 .......... 149,462
-----------
299,956
-----------
REAL ESTATE OPERATORS, AGENTS, MANAGERS (.49%)
150,000 Toll Corp., 8.750%,
due 11/15/2006 ................. 156,000
-----------
STONE, CLAY, GLASS, CONCRETE PRODUCTS (.32%)
100,000 Owens Corning, 7.500%,
due 05/01/2005 ................. 102,080
-----------
TRANSPORTATION EQUIPMENT (.32%)
100,000 Stena Line AB, 10.625%,
due 06/01/2008 ................. 101,750
-----------
TOTAL CORPORATE BONDS
(COST $6,858,740) .............. $ 6,946,579
-----------
MUNICIPAL BONDS (1.60% OF TOTAL INVESTMENTS) (A)
250,000 Capital Projects Finance,
Authority, Florida Revenue,
8.000%, due 12/01/2001 ......... 250,000
250,000 Louisiana Dept of Public Safety,
6.650%, due 11/01/2008 ......... 253,962
-----------
TOTAL MUNICIPAL BONDS
($500,000) ..................... $ 503,962
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(16.14% OF TOTAL INVESTMENTS) (A)
700,000 U.S. Treasury Note, 5.375%,
due 02/15/2001 ................. $ 697,813
250,000 U.S. Treasury Note, 7.250%,
due 05/15/2004 ................. 271,328
2,950,000 U.S. Treasury Note, 6.500%,
due 05/15/2005 ................. 3,115,017
1,000,000 U.S. Treasury Note, 5.750%,
due 04/30/2003 ................. 1,010,001
-----------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS
(COST $5,087,141) .............. $ 5,094,159
-----------
COMMERCIAL PAPER (5.70% OF TOTAL INVESTMENTS) (A)
INDUSTRIAL COMMERCIAL MACHINERY, COMPUTERS (1.90%)
600,000 Baker Hughes, Inc., 6.250%,
due 07/01/1998 ................. 599,895
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (1.90%)
600,000 General Electric Capital
Corporation, 6.100%,
due 07/01/1998 ................. 599,898
-----------
SECURITY AND COMMODITY BROKERS (1.90%)
600,000 Goldman Sachs, 6.250%,
due 07/01/98 ................... 599,896
-----------
TOTAL COMMERCIAL PAPER
(COST $1,799,689) .............. $ 1,799,689
-----------
TOTAL INVESTMENTS
IN SECURITIES
(COST $30,204,838) (C) ......... $31,556,917
===========
- ----------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Non-dividend paying common stock.
(c) Cost also represents cost for federal income tax purposes.
(d) Restricted under Rule 144(A) of the Securities Act of 1933.

The accompanying notes are an integral part of these financial statements.

<PAGE>

- --------------------------------------------------------------------------------
REPORT FROM THE
CONSECO EQUITY FUND ADVISER

As 1998 began, market sentiment was driven by concerns that failing Asian
markets would depress the global economy and drag down U.S. markets in the
process. What transpired was something quite different. Weakness in Asian
markets actually stimulated the U.S. financial markets by cutting incremental
demand for oil and other resource inputs. Falling interest rates resulted in
increased refinancing activity, further bolstering already high consumer
confidence through an increase in consumers' monthly disposable income. As a
direct result, the U.S. posted stronger than expected housing starts (the
highest jump since 1987) and resale sales through much of the first quarter.

Larger cap stocks continued to outpace small and mid-cap stocks in the first
half of 1998, much as they did in the latter half of 1997. In fact, large cap
mania is beginning to create market anomalies resembling some of the great
market bubbles in history. The S&P 500 now trades at 26.5 times trailing
earnings, a 51 year high. For perspective, consider that in the first three
months of 1998, the increase in the share prices of Microsoft and GE created
more wealth ($102 billion) than was added by the entire U.S. economy's growth of
goods and services ($92 billion). This occurred despite Microsoft's cautionary
remarks about future revenue slowdowns.

Our concern here is that the appetite for large cap stocks at virtually any
price may simply reflect current U.S. investor demographics. In an effort to
save for retirement via 401(k) contributions into mutual funds, investors have
poured huge amounts of money into the market. These funds must be put to work
quickly, regardless of the valuations assigned to the businesses behind the
stocks. The parallels here to conditions in Japan in the late 1980's are
somewhat disconcerting.

For the six months ended June 30, 1998, the Conseco Equity Fund Class A shares
returned 14.05%*, compared to the S&P 400 Midcap Index, which returned 8.63%,
and the S&P 500, with a 17.71% return. Encouragingly, many of the stocks
responsible for this solid performance were in sectors that underperformed in
the overall market.

In the health sector, we enjoyed strong performance from Quorum Health Group
Inc., which we purchased last year amid negative sentiment surrounding
for-profit hospitals due to problems at Columbia Healthcare. We believed that
Quorum's management philosophy and business model were in stark contrast to
Columbia, and that they would be perceived differently by prospective sellers.
After a brief acquisition slowdown, we saw deal activity pick up once again for
Quorum, and we enjoyed a return to the stock's multiple of previous years.

In the technology sector, we bought Comverse Technology at a three-year low
point in its price and price-to-earnings multiple. Comverse, which recently
merged with its competitor Boston Technology, is involved in enhanced voice
messaging for wired and wireless networks. Comverse was being overlooked by the
market due to their revenue-related exposure to trouble spots in Asia. We saw an
opportunity to purchase an outstanding company with sustainable growth
potential. In February, when the company reported their fourth quarter earnings,
the stock rebounded nicely off prior lows.

Other strong names in the portfolio during the quarter were Affiliated Computer
Services, Transocean Offshore, in the oil drilling sector, and Department 56. We
also realized some excellent returns through our holding of several asset
managers such as Franklin Resources, Legg Mason and Kansas City Southern.

As we move toward the second half of 1998, all eyes will be on the lookout for
the much-feared slowdown in corporate profits, particularly once second quarter
earnings are fully tallied. A continuation of any downward trend here would
suggest that for stocks to continue to advance, they simply have to get more
expensive (i.e., multiples have to keep increasing). Another of the key
barometers we will be watching is an increase in insider selling, as well as a
significant drop-off in insider buying activity. Recently, the CFO of Microsoft
halted the company's stock buy-back program, claiming that repurchases at
current levels were not economically justifiable.

Despite this cautionary outlook on the broader market, our mandate is to aspire
to invest the Fund's money in businesses we think offer the best returns for the
lowest risk. Admittedly, there is an incredible amount of hype in many of the
larger cap stocks. However, we don't believe that the returns enjoyed by those
willing to overpay for growth will continue. While we don't know when the
balance will shift, we are already starting to see early indications of the
market favoring value-oriented stocks over growth. Should this continue, our
bottom-up style of selecting reasonably valued growth stocks should perform
quite well. We remain hopeful that this strategy will serve our shareholders
well through the balance of the year and beyond.

/s/ Thomas J. Pence
- -------------------
Thomas J. Pence, CFA
Senior Vice President
Portfolio Manager
Conseco Capital Management, Inc.

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
CONSECO EQUITY FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)

NUMBER OF
SHARES SECURITY VALUE
----------- --------- -------
COMMON STOCKS (89.91% OF TOTAL INVESTMENTS) (A)
APPAREL AND ACCESSORY STORES (1.00%)
31,750 The Finish Line, Inc. (b) ........ $ 892,968
-----------
AUTO REPAIR, SERVICES, PARKING (2.18%)
61,000 Budget Group, Inc. (b) ........... 1,948,187
-----------
BUSINESS SERVICES (8.57%)
51,750 Affiliated Computer
Services, Inc. (b) ............. 1,992,375
30,800 Applied Graphics
Technologies, Inc. (b) ......... 1,409,100
48,500 Autodesk, Inc. ................... 1,873,312
31,000 Lamar Advertising
Company (b) .................... 1,112,125
62,750 Sykes Enterprises, Inc. (b) ...... 1,258,922
-----------
7,645,834
-----------
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (5.66%)
71,450 Emmis Broadcasting
Corporation (b) ................ 3,416,203
88,400 LCC International, Inc. (b) ...... 1,635,400
-----------
5,051,603
-----------
DEPOSITORY INSTITUTIONS (5.55%)
64,850 Norwest Corporation .............. 2,423,768
58,750 U.S. Bancorp ..................... 2,526,250
-----------
4,950,018
-----------
DURABLE GOODS - WHOLESALE (2.12%)
72,550 Pomeroy Computer
Resources, Inc. (b) ............ 1,890,834
-----------
ELECTRIC, GAS, WATER, COGENERATION, SANITARY SERVICES (7.42%)
40,000 Calenergy Company, Inc. (b) ...... 1,202,500
96,600 Kinder Morgan Energy
Partners, L.P. ................. 3,489,675
55,000 Waste Management, Inc. ........... 1,925,000
-----------
6,617,175
-----------
ELECTRICAL EQUIPMENT, EXCEPT COMPUTERS (4.01%)
24,750 CIENA Corporation (b) ............ 1,723,218
25,650 Comverse Technology, Inc. (b) .... 1,330,594
11,650 RELTEC Corporation (b) ........... 524,250
-----------
3,578,062
-----------
GENERAL MERCHANDISE STORES (4.02%)
62,650 The Elder-Beerman Stores
Corporation (b) ................ 1,671,972
103,500 Family Dollar Stores, Inc. ....... 1,914,750
-----------
3,586,722
-----------
HOTELS, OTHER LODGING PLACES (3.38%)
157,320 Fairfield Communities, Inc. (b) .. 3,018,578
-----------
INDUSTRIAL, COMMERCIAL MACHINERY, COMPUTERS (5.96%)
36,050 The Black & Decker
Corporation .................... 2,199,050
51,700 Ceridian Corporation (b) ......... 3,037,375
6,500 International Comfort Products
Corporation .................... 78,813
-----------
5,315,238
-----------
INSURANCE AGENTS, BROKERS (1.95%)
28,800 Marsh & McLennan
Companies, Inc. ................ 1,740,600
-----------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (7.19%)
25,700 Analogic Corporation ............. 1,150,075
39,450 Mentor Corporation ............... 956,663
64,900 Sybron International
Corporation (b) ................ 1,638,725
45,300 Waters Corporation (b) ........... 2,669,869
-----------
6,415,332
-----------
MOTOR FREIGHT TRANSPORTATION, WAREHOUSES (2.26%)
56,600 J.B. Hunt Transport
Services, Inc. ................. 2,016,375
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (10.26%)
50,000 Banc One Corporation ............. 2,790,625
19,950 Beneficial Corporation ........... 3,056,091
26,600 Capital One Financial
Corporation .................... 3,303,388
-----------
9,150,104
-----------
NON-DURABLE GOODS WHOLESALE (4.59%)
111,400 Pharmerica, Inc. (b) ............. 1,343,763
78,500 U.S. Foodservice (b) ............. 2,752,406
-----------
4,096,169
-----------
The accompanying notes are an integral part of these financial statements.
21
<PAGE>

- --------------------------------------------------------------------------------
CONSECO EQUITY FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)

NUMBER OF
SHARES SECURITY VALUE
----------- --------- -------
OIL & GAS EXTRACTION (3.31%)
74,100 Snyder Oil Corporation ........... $ 1,477,369
33,200 Transocean Offshore Inc. ......... 1,477,400
-----------
2,954,769
-----------
PAPER AND ALLIED PRODUCTS (.20%)
6,650 St. Joe Company .................. 182,044
-----------
PRINTING, PUBLISHING AND ALLIED LINES (4.40%)
25,450 Central Newspapers, Inc. ......... 1,775,138
39,150 The E.W. Scripps Company ......... 2,145,909
-----------
3,921,047
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (1.46%)
40,100 Simon Debartolo Group, Inc. ...... 1,303,250
-----------
REAL ESTATE OPERATORS, AGENTS, MANAGERS (1.28%)
33,000 Boston Properties, Inc. (b). ..... 1,138,500
-----------
STONE, CLAY, GLASS, CONCRETE PRODUCTS (.38%)
9,600 Department 56, Inc. (b) .......... 340,800
-----------
TEXTILE MILL PRODUCTS (2.00%)
101,150 Shaw Industries, Inc. ............ 1,782,769
-----------
WATER TRANSPORTATION (.76%)
26,950 Teekay Shipping Corporation ...... 675,434
-----------
TOTAL COMMON STOCKS
(COST $73,827,401) ............. $80,212,412
-----------
COMMERCIAL PAPER (10.09% OF TOTAL INVESTMENTS) (A)
INDUSTRIAL COMMERCIAL MACHINERY
COMPUTERS (3.36%)
3,000,000 Baker Hughes, Inc., 6.250%,
due 07/01/1998 ................. 2,999,479
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (3.37%)
3,000,000 General Electric Capital
Corporation, 6.100%,
due 07/01/1998 ................. 2,999,492
-----------
SECURITY AND COMMODITY BROKERS (3.36%)
3,000,000 Goldman Sachs Group, L.P.,
6.250%, due 07/01/1998 ......... 2,999,479
-----------
TOTAL COMMERCIAL PAPER
(COST $8,998,450) .............. $ 8,998,450
-----------
TOTAL INVESTMENTS
IN SECURITIES
(COST $82,825,851) (C) ......... $89,210,862
===========
- ----------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Non-dividend paying common stock.
(c) Cost also represents cost for federal income tax purposes.

The accompanying notes are an integral part of these financial statements.

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------

REPORT FROM THE
CONSECO 20 FUND ADVISER

The first half of 1998 was a difficult six-month period for midcap and small cap
stocks. In fact, it has been widely reported that the ultra cap stocks have
largely driven the returns of the S&P 500. As pointed out in the Conseco Equity
Fund letter, we saw a continuation of - if not an increase in - the market
volatility that has become so commonplace in the past eighteen months.

In late April, the S&P 500 index was up 16.5%, but then declined 4.5% by June
15th, and finally rallied 5.1% during the last two weeks of the quarter, setting
new highs. As for the midcap index, the dates are the same but the magnitude of
the correction is greater. From late April to mid-June the S&P 400 Midcap
retreated 8.4%, but rebounded only 3.2% during the last two weeks of the
quarter.

What we find interesting is that large cap leadership continues in the face of
estimate reductions. Earnings growth for the first quarter came in at a tepid
1.5% year-over-year increase. As we enter the second quarter reporting season,
Wall Street expects earnings for the S&P 500 to again increase only 1.5% over
last year's second quarter. This is down sharply from the 12.9% increase that
analysts were predicting in March. In mid-June, the Street was still projecting
year-over-year increases of 9.1% for the third quarter, and 15% for the fourth.
They are now estimating just 5% and 9%, respectively.

We believe that the second half of 1998 may bring further estimate reductions
for components of the S&P 500, which could send multiples still higher. We
believe investors will likely focus on companies that have a higher degree of
earnings visibility. We remain confident in the outlook for the Conseco 20
Fund's investments.

For the first six months of 1998, the Conseco 20 Fund Class A shares returned
19.10%* versus the S&P 500's 17.71% return and the S&P 400 Midcap's 8.63%. The
Fund had a respectable return during the first quarter as investors were
searching for slightly smaller midcap stocks with strong growth prospects and
reasonable valuations. We were fortunate that several of the companies in the
Fund were "discovered."

The second quarter, however, wasn't kind to our investment style. We found that
more and more investors were selling good midcap companies for the safety of the
largest stocks in the S&P. While the short-term return of the Fund was
negatively impacted, the overall trend represents an exciting opportunity for
our process to uncover more ideas at attractive valuations.

In addition to some of the companies highlighted in the Conseco Equity Fund
letter, Waters Corporation is one that has worked extremely well for us. Waters
Corp. makes analytical instruments used in the research and development of
pharmaceuticals. Our second visit to their Milford, Massachusetts, headquarters
this spring confirmed their business trends are solid and growth opportunities
in new industries continue to present themselves every day. Since the 20 Fund's
initial purchase in early January, Waters is up 54% through June 30th,
outperforming the index by 37%. We believe that Waters' new products and growing
mix of higher-margin consumable items can drive their earnings and multiple
significantly higher.

Finally, because we include only our analysts' best equity ideas, our strategy
is to buy high quality stocks and focus on companies with very little earnings
risk and reasonable valuations. We will continue to work diligently to uncover
companies worthy of inclusion in the Conseco 20 Fund.

/s/ Erik J. Voss /s/ Thomas J. Pence
- ---------------- -------------------
Erik J. Voss Thomas J. Pence, CFA
Assistant Vice President Senior Vice President
Conseco Capital Management, Inc. Portfolio Manager
Conseco Capital Management, Inc.
- ----------
* Performance quoted represents past performance and is not indicative of future
results. Performance returns will vary.The performance listed above is for
Class A shares only and does not reflect sales charges. Performance results
for Classes B, C &Y will vary based on each class's respective expenses and
sales charges.

<PAGE>

- --------------------------------------------------------------------------------
CONSECO 20 FUND
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1998
(UNAUDITED)

NUMBER OF
SHARES SECURITY VALUE
----------- --------- -------
COMMON STOCKS (100% OF TOTAL INVESTMENTS) (A)
BUSINESS SERVICES (6.10%)
21,150 Affiliated Computer
Services, Inc. (b) ............. $ 814,275
19,850 Applied Graphics
Technologies, Inc. (b) ......... 908,138
4,400 Lamar Advertising
Company (b) .................... 157,850
-----------
1,880,263
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (4.49%)
28,950 Emmis Broadcasting
Corporation (b) ................ 1,384,171
-----------
DEPOSITORY INSTITUTIONS (9.22%)
51,050 Norwest Corporation .............. 1,907,994
21,700 U.S. Bancorp ..................... 933,100
-----------
2,841,094
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (4.17%)
36,700 Waste Management, Inc. ........... 1,284,500
-----------
ELECTRICAL EQUIPMENT, EXCEPT COMPUTERS (2.48%)
10,950 CIENA Corporation (b) ............ 762,393
-----------
GENERAL MERCHANDISE STORES (3.18%)
36,650 The Elder-Beerman Stores
Corporation (b) ................ 978,097
-----------
HOTELS, OTHER LODGING PLACES (5.07%)
81,400 Fairfield Communities, Inc. (b) .. 1,561,862
-----------
INDUSTRIAL, COMMERCIAL MACHINERY, COMPUTERS (9.44%)
20,900 The Black & Decker
Corporation .................... 1,274,900
27,300 Ceridian Corporation (b) ......... 1,603,875
2,350 International Comfort Products
Corporation (b) ................ 28,494
-----------
2,907,269
-----------
INSURANCE AGENTS, BROKERS (2.99%)
15,225 Marsh & McLennan
Companies, Inc. ................ 920,161
-----------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (7.33%)
2,950 Analogic Corporation ............. 132,013
35,250 Sybron International
Corporation (b) ................ 890,063
21,000 Waters Corporation (b) ........... 1,237,687
-----------
2,259,763
-----------
MOTOR FREIGHT TRANSPORTATION,
WAREHOUSES (5.76%)
49,800 J.B. Hunt Transport
Services, Inc. ................. 1,774,125
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (17.94%)
26,950 Banc One Corporation ............. 1,504,147
14,100 Beneficial Corporation ........... 2,159,944
15,000 Capital One Financial
Corporation .................... 1,862,813
-----------
5,526,904
-----------
NON-DURABLE GOODS WHOLESALE (9.17%)
83,400 Pharmerica, Inc. (b) ............. 1,006,013
51,900 U.S. Foodservice (b) ............. 1,819,744
-----------
2,825,757
-----------
PRINTING, PUBLISHING AND ALLIED LINES (5.19%)
4,150 Central Newspapers, Inc. ......... 289,462
23,900 The E.W. Scripps Company ......... 1,310,018
-----------
1,599,480
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (4.62%)
43,850 Simon Debartolo Group, Inc. ...... 1,425,125
-----------
TEXTILE MILL PRODUCTS (2.85%)
49,850 Shaw Industries, Inc. ............ 878,606
-----------
TOTAL INVESTMENTS
IN SECURITIES
(COST $29,260,473) (C) ......... $30,809,570
===========
- ----------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Non-dividend paying common stock.
(c) Cost also represents cost for federal income tax purposes.

The accompanying notes are an integral part of these financial statements.

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
(UNAUDITED)

1. ORGANIZATION

Conseco Fund Group (the "Trust") is an open-end diversified management
investment company registered with the Securities and Exchange Commission under
the Investment Company Act of 1940 (the "1940 Act"). The Trust was organized as
a Massachusetts business trust on September 24, 1996. The Trust is a "series"
type of mutual fund which issues separate series of shares of beneficial
interest, each of which represents a separate diversified portfolio of
investments. The Trust consists of six series ("Funds"), each with its own
investment objective and investment policies. The Funds are the Conseco Fixed
Income Fund, Conseco High Yield Fund, Conseco Asset Allocation Fund, Conseco
Equity Fund, Conseco International Fund and Conseco 20 Fund. The Conseco Fixed
Income Fund, Conseco Asset Allocation Fund and Conseco Equity Fund became
operational and available for sale on January 2, 1997. The Conseco High Yield
Fund, Conseco International Fund and Conseco 20 Fund activities were limited to
organizational matters with no operating activities through January 1, 1998.

Each Fund has distinct investment objectives. The Conseco Fixed Income Fund
invests primarily in investment grade debt securities. The Conseco High Yield
Fund invests primarily in lower-rated fixed income securities, commonly known as
"junk bonds" or high yield securities. The Conseco Asset Allocation Fund invests
in several asset classes including debt securities, equity securities, and money
market instruments. The Conseco Equity Fund invests in selected equity
securities and other securities having the investment characteristics of common
stocks. The Conseco International Fund invests all of its investable assets in
the International Equity Portfolio of AMR Investment Services Trust (the "AMR
Trust"), which invests primarily in equity securities of issuers based outside
the United States. This "master-feeder" structure is different from that of many
other investment companies which directly acquire and manage their own
portfolios of securities. The financial statements for the Conseco International
Fund are filed based upon the fiscal year end (October 31) of the AMR Trust and
are not included in this report. The Conseco 20 Fund concentrates its
investments in a core position of approximately 20 common stocks believed to
have above average growth prospects.

The Funds offer four classes of shares: Class A, Class B, Class C and Class
Y. Effective January 2, 1998, the Trust offered Class B and Class C shares.
Sales of Class A shares may be subject to a front-end sales charge. Redemptions
of Class B and Class C shares may be subject to a contingent deferred sales
charge (as a percentage of the offering price or net asset value at the time of
sale, whichever is less). Class Y shares are available with no sales charge to
certain institutional investors and qualifying individual investors. The Funds
are authorized to issue an unlimited number of shares.

2. SIGNIFICANT ACCOUNTING POLICIES

SECURITY VALUATION, TRANSACTIONS,
AND RELATED INVESTMENT INCOME

The investments in each portfolio are valued at the close of regular trading
on the New York Stock Exchange on each business day. Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Dividend income is recorded on the ex-dividend date and interest income is
accrued daily. The cost of investments sold is determined on the specific
identification basis. All Funds may invest in U.S. dollar denominated corporate
debt securities of domestic issuers, and all funds except the Conseco Equity
Fund may invest in debt securities of foreign issuers that may or may not be
U.S. dollar denominated. The Trust does not hold any investments which are
restricted as to resale, except bonds with a cost of $3,444,363 and market value
of $3,389,642 and preferred stock with a cost of $200,000 and market value of
$203,500 held by the Conseco Fixed Income Fund, bonds with a cost of $11,968,710
and market value of $12,076,331 and preferred stocks with a cost of $500,000 and
market value of $501,750 held by the Conseco High Yield Fund and bonds with a
cost of $1,918,819 and market value of $2,021,401 and preferred stock with a
cost of $1,100,000 and market value of $1,296,250 held by the Conseco Asset
Allocation Fund, all of which are eligible for resale under Rule 144A of the
Securities Act of 1933. These securities represent 10.37% of the Conseco Fixed
Income Fund, 44.39% of the Conseco High Yield Fund and 10.51% of the Conseco
Asset Allocation Fund. These securities may be resold to qualified institutional
buyers in transactions exempt from registration.

In each Fund of the Trust, Fund securities which are traded on stock
exchanges are valued at the last sale price as of the close of business on the
day the securities are being valued, or lacking any sales, at the mean between
the closing bid and asked prices. Securities traded in the over-the-counter
market are valued at the mean between the bid and asked prices or yield
equivalent as obtained from one or more dealers that make markets in the
securities. Fund securities which are traded both in the over-the-counter market
and on a stock exchange are valued according to the broadest and most
representative market, and it is expected that for debt securities this
ordinarily will be the over-the-counter market. Securities for which market
quotations are not readily available are valued at fair value as determined
under policies approved by the Board of Trustees of the Trust. Debt securities
with maturities of sixty (60) days or less are valued at amortized cost.

DIVIDENDS TO SHAREHOLDERS

Dividends from the Conseco Fixed Income and Conseco High Yield Funds will be
declared and distributed monthly. Dividends from the Conseco Asset Allocation,
Conseco

<PAGE>

- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
JUNE 30, 1998
(UNAUDITED)

Equity and Conseco 20 Funds will be declared and distributed quarterly. However,
the Trustees may decide to declare dividends at other intervals.

Dividends to shareholders from net investment income are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. Permanent book and tax differences relating to dividends
to shareholders may result in reclassifications to paid-in capital and may
affect the per-share allocation between net investment income and realized and
unrealized gain (loss). Any taxable income or gain of the Trust remaining at
fiscal year end will be declared and distributed in the following year to the
shareholders of the Fund or Funds to which such gains are attributable.

ORGANIZATIONAL COSTS

Costs incurred by the Funds in connection with their organization and public
offering of shares totaling $461,798 have been deferred and will be amortized
over a period of approximately 5 years beginning with the initial date of sale
of shares to the public. The costs for the Conseco Fixed Income, Conseco Asset
Allocation and Conseco Equity Funds were advanced by Conseco, and were
reimbursed by the Funds. The Conseco High Yield and Conseco 20 Funds' costs were
advanced by Conseco and will be reimbursed by these Funds over a period of
approximately five years. The proceeds of any redemption of the initial shares
by any holder thereof will be reduced by any unamortized organizational costs in
the same proportion as the number of initial shares being redeemed to the number
of initial shares outstanding at the time of such redemption.

FEDERAL INCOME TAXES

For federal income tax purposes, the Funds intend to qualify as regulated
investment companies under Subchapter M of the Internal Revenue Code by
distributing substantially all of their taxable income and net capital gain to
their shareholders annually and otherwise complying with the requirements for
regulated investment companies. Therefore, no provision has been made for
federal income taxes.

EXPENSES

Expenses directly attributable to a Fund are charged to operations. Expenses
directly attributable to a Class of shares are charged to that Class. The Fund
pays expenses of Trustees who are not affiliated persons of the Adviser or the
Trust.

CUSTODY FEES

The Funds may receive credits from their custodian based on cash held by each
Fund at the custodian. Any credits received are used to reduce the custody fees
payable by each Fund. For the six months ended June 30, 1998, the Funds had not
received any custody credits.

USE OF ESTIMATES

The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities as of the date of the financial statements and
the reported amounts of income and expenses during the reporting period. Actual
results may differ from these estimates.

3. AGREEMENTS WITH SUBSIDIARIES
OF CONSECO

INVESTMENT ADVISORY AGREEMENT

Conseco Capital Management, Inc. (the "Adviser"), a wholly-owned subsidiary
of Conseco, serves as investment adviser to the Funds pursuant to investment
advisory agreements. The Adviser supervises the Trust's management and
investment program, performs a variety of services in connection with management
and operation of the Funds and pays all compensation of officers and Trustees of
the Trust who are affiliated persons of the Adviser or the Trust. The total fees
incurred for such services for the six months ended June 30, 1998, were $46,486,
$21,221, $61,683, $262,880 and $51,496 for the Conseco Fixed Income, Conseco
High Yield, Conseco Asset Allocation, Conseco Equity and Conseco 20 Funds,
respectively.

Under the investment advisory agreements, the Adviser receives an investment
advisory fee equal to an annual rate of .45% of the average daily net asset
value of the Conseco Fixed Income Fund and .70% of the average daily net asset
value of the Conseco High Yield, Conseco Asset Allocation, Conseco Equity, and
Conseco 20 Funds. The Adviser has voluntarily agreed to reduce its advisory fee
to .40% of the average daily net assets of the Conseco Fixed Income Fund and
.60% of the average daily net assets of the Conseco High Yield Fund until April
30, 1999. The Adviser also manages other registered investment companies and all
of the invested assets of its parent company, Conseco, which owns or manages
several life insurance subsidiaries, and provides investment and servicing
functions to Conseco and affiliates. The Adviser has voluntarily agreed to waive
its investment advisory fee and/or reimburse the Funds to the extent that the
ratio of expenses to net assets on an annual basis for Class A shares exceeds:
1.25% for the Conseco Fixed Income Fund, 1.40% for the Conseco High Yield Fund,
1.50% for the Conseco Asset Allocation Fund, 1.50% for the Conseco

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------

NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
JUNE 30, 1998
(UNAUDITED)

Equity Fund and 1.75% for the Conseco 20 Fund; for Class B and Class C shares
exceeds 1.60% for the Conseco Fixed Income Fund, 1.90% for the Conseco High
Yield Fund, 2.00% for the Conseco Asset Allocation Fund, 2.00% for the Conseco
Equity Fund and 2.25% for the Conseco 20 Fund; and for Class Y shares exceeds
.60% for the Conseco Fixed Income Fund, .90% for the Conseco High Yield Fund,
1.00% for the Conseco Asset Allocation Fund, 1.00% for the Conseco Equity Fund
and 1.25% for the Conseco 20 Fund. These voluntary limits may be discontinued by
the Adviser at any time after April 30, 1999.

ADMINISTRATION AGREEMENT

Conseco Services, LLC (the "Administrator"), a wholly-owned subsidiary of
Conseco, supervises the preparation and filing of all documents required for
compliance by the Funds with applicable laws and regulations, supervises the
maintenance of books and records of the Funds and provides other general and
administrative services. For providing these services, the Administrator
receives compensation at the annual rate of 0.20% of the average daily net
assets of each Fund. The Administrator has voluntarily agreed to waive its fees
and/or reimburse the Funds to the extent that the ratio of expenses to net
assets on an annual basis exceeds the expense limitations as stated above in
Note 3 for the Investment Advisory Agreement. The total fees incurred for such
services for the six months ended June 30, 1998, were $23,244, $7,076, $17,625,
$74,996 and $14,714 for the Conseco Fixed Income, Conseco High Yield, Conseco
Asset Allocation, Conseco Equity and Conseco 20 Funds, respectively.

DISTRIBUTION ARRANGEMENTS

Conseco Equity Sales, Inc. (the "Distributor"), a wholly-owned subsidiary of
Conseco, serves as the principal underwriter for each Fund pursuant to an
Underwriting Agreement, initially approved by the Board of Trustees. The
Distributor is a registered broker-dealer and member of the National Association
of Securities Dealers, Inc. ("NASD"). Shares of each Fund will be continuously
offered and are sold by selected brokers, dealers and other financial
intermediaries who have executed selling agreements with the Distributor. The
Distributor bears all the expenses of providing services pursuant to the
Underwriting Agreement including the payment of the expenses relating to the
distribution of Prospectuses for sales purposes, as well, as any advertising or
sales literature.

The Trust has adopted distribution and service plans (the "Plans"), dated
December 31, 1997, for Class A, Class B and Class C shares of each Fund in
accordance with the requirements of Rule 12b-1 under the 1940 Act and the
requirements of the applicable rules of the NASD regarding asset based sales
charges.

Pursuant to the Plans, a Fund may compensate the Distributor for its
expenditures in financing any activity primarily intended to result in the sale
of Class A, Class B and Class C shares of the Fund and for maintenance and
personal service provided to existing Class A, Class B and Class C shareholders.
The Conseco Fixed Income Fund's Plan authorize payments to the Distributor up to
0.65%, and the Conseco High Yield Fund's Plan, Conseco Asset Allocation Fund's
Plan, Conseco Equity Fund's Plan and Conseco 20 Fund's Plan up to .50%, annually
of each Fund's average daily net assets attributable to its Class A shares.
Class B and Class C share's Plan authorize payments to the Distributor up to
1.00% annually for all Fund's average daily net assets attributable to their
respective class. The Plans provide for periodic payments by the Distributor to
brokers, dealers and financial intermediaries for providing shareholder services
to accounts that hold Class A, Class B and Class C shares and for promotional
and other sales related costs. The Distributor has voluntarily agreed to waive
its fees and/or reimburse the Funds to the extent that the ratio of expenses to
net assets on an annual basis exceeds the expense limitations as stated above in
Note 3 for the Investment Advisory Agreement. The total fees incurred for Class
A, Class B and Class C shares for such services for the six months ended June
30, 1998 were $19,333, $20,876, $19,652, $29,176 and $40,437 for the Conseco
Fixed Income, Conseco High Yield, Conseco Asset Allocation, Conseco Equity and
Conseco 20 Funds, respectively.

<PAGE>

- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
JUNE 30, 1998
(UNAUDITED)

4. FINANCIAL HIGHLIGHTS

CONSECO CONSECO CONSECO CONSECO CONSECO
FIXED INCOME HIGH YIELD ASSET ALLOCATION EQUITY 20
FUND FUND FUND FUND FUND
-------------------- ---------- ------------------- -------------------- ------------
SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, JUNE 30,DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
CLASS A SHARES 1998 1997 1998 1998 1997 1998 1997 1998
------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period .................. $10.13 $10.00 $10.00 $10.73 $10.00 $11.07 $10.00 $10.00
Income from investment operations (a):
Net investment income (loss).......... .24 .66 .27 .12 .28 (.04) (.04) (.02)
Net realized gains and change in
unrealized appreciation
on investments...................... .21 .18 .82 1.25 1.43 1.61 2.33 1.93
- ----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations.... .45 .84 1.09 1.37 1.71 1.57 2.29 1.91
- ----------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income.. (.28) (.58) (.27) (.10) (.27) (.01) -- --
Distribution of net capital gains..... (.02) (.13) -- (.13) (.71) (.30) (1.22) --
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions..................... (.30) (.71) (.27) (.23) (.98) (.31) (1.22) --
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share,
end of period .................... $10.28 $10.13 $10.82 $11.87 $10.73 $12.33 $11.07 $11.91
- ----------------------------------------------------------------------------------------------------------------------------------
Total return (b) (c).................... 4.48%(d) 8.66% 10.96%(d) 12.72%(d) 17.19% 14.05(d) 22.90% 19.10%(d)
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period....................... $26,046 $153 $26,120 $26,449 $1,076 $26,688 $4,877 $27,413
Ratio of expenses to average
net assets (b) ..................... 1.25% 1.25% 1.40% 1.50% 1.50% 1.50% 1.50% 1.75%
Ratio of net investment income
(loss) to average net assets
(annualized) (b).................... 5.59% 5.51% 6.37% 2.44% 2.50% (.07%) (.35%) (.34%)

</TABLE>

- ----------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) The Adviser, Administrator and Distributor have voluntarily agreed to waive
their fees and/or reimburse Fund expense to the extent that the ratio of
expenses to average net assets would exceed on an annual basis 1.25% for the
Conseco Fixed Income Fund, 1.40% for the Conseco High Yield Fund, 1.50% for
the Conseco Asset Allocation and Conseco Equity Funds and 1.75% for the
Conseco 20 Fund. These voluntary limits may be discontinued by the Adviser
at any time after April 30, 1999. If the aforementioned agreement had not
been in effect during the period, the annualized ratio of expenses to
average net assets would have been 2.37% for the Conseco Fixed Income Fund,
3.52% for the Conseco High Yield Fund, 2.68% for the Conseco Asset
Allocation Fund, 2.20% for the Conseco Equity Fund and 2.77% for the Conseco
20 Fund.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized.

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT

- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
JUNE 30, 1998
(UNAUDITED)

CONSECO CONSECO CONSECO CONSECO CONSECO
FIXED INCOME HIGH YIELD ASSET ALLOCATION EQUITY 20
FUND FUND FUND FUND FUND
-------------- -------------- -------------- -------------- --------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
FROM INCEPTION FROM INCEPTION FROM INCEPTION FROM INCEPTION FROM INCEPTION
(MARCH 20, (FEBRUARY 19, (FEBRUARY 10, (JANUARY 28, (FEBRUARY 18,
1998) 1998) 1998) 1998) 1998)
THROUGH THROUGH THROUGH THROUGH THROUGH
CLASS B SHARES JUNE 30, 1998 JUNE 30, 1998 JUNE 30, 1998 JUNE 30, 1998 JUNE 30, 1998
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period .... $10.24 $10.44 $11.20 $11.09 $11.21
Income from investment operations (a):
Net investment income (loss)..................... .14 .23 .07 (.04) (.04)
Net realized gains and change in unrealized
appreciation on investments..................... .08 .34 .75 1.55 .68
- ---------------------------------------------------------------------------------------------------------------------------------
Total from investment operations............... .22 .57 .82 1.51 .64
- ---------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............. (.19) (.23) (.09) (.02) --
Distribution of net capital gains................ -- -- (.13) (.30) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions................................ (.19) (.23) (.22) (.32) --
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period ...... $10.27 $10.78 $11.80 $12.28 $11.85
- ---------------------------------------------------------------------------------------------------------------------------------
Total return (b) (c) (d)........................... 2.15% 5.46% 7.28% 13.45% 5.71%
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period ................................. $227 $3,136 $250 $513 $3,113
Ratio of expenses to average net assets (b) ..... 1.60% 1.90% 2.00% 2.00% 2.25%
Ratio of net investment income (loss) to
average net assets (annualized) (b)............. 5.88% 7.23% 1.66% (.75%) (1.07%)

- ----------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) The Adviser, Administrator and Distributor have voluntarily agreed to waive
their fees and/or reimburse Fund expense to the extent that the ratio of
expenses to average net assets would exceed on an annual basis 1.60% for the
Conseco Fixed Income Fund, 1.90% for the Conseco High Yield Fund, 2.00% for
the Conseco Asset Allocation and Conseco Equity Funds and 2.25% for the
Conseco 20 Fund. These voluntary limits may be discontinued by the Adviser
at any time after April 30, 1999. If the aforementioned agreement had not
been in effect during the period, the annualized ratio of expenses to
average net assets would have been 5.51% for the Conseco Fixed Income Fund,
4.75% for the Conseco High Yield Fund, 11.37% for the Conseco Asset
Allocation Fund, 11.67% for the Conseco Equity Fund and 4.22% for the
Conseco 20 Fund.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized.

<PAGE>

- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
JUNE 30, 1998
(UNAUDITED)

CONSECO CONSECO CONSECO CONSECO CONSECO
FIXED INCOME HIGH YIELD ASSET ALLOCATION EQUITY 20
FUND FUND FUND FUND FUND
-------------- -------------- -------------- -------------- --------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
FROM INCEPTION FROM INCEPTION FROM INCEPTION FROM INCEPTION FROM INCEPTION
(MARCH 25, (FEBRUARY 19, (FEBRUARY 13, (FEBRUARY 19, (MARCH 10,
1998) 1998) 1998) 1998) 1998)
THROUGH THROUGH THROUGH THROUGH THROUGH
CLASS C SHARES JUNE 30, 1998 JUNE 30, 1998 JUNE 30, 1998 JUNE 30, 1998 JUNE 30, 1998
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period .... $10.13 $10.44 $11.34 $11.98 $11.82
Income from investment operations (a):
Net investment income (loss)..................... .17 .25 .07 (.04) (.03)
Net realized gains and change in unrealized
appreciation on investments..................... .18 .31 .64 .68 .09
- ---------------------------------------------------------------------------------------------------------------------------------
Total from investment operations............... .35 .56 .71 .64 .06
- ---------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............. (.18) (.22) (.09) (.01) --
Distribution of net capital gains................ -- -- (.13) (.30) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions................................ (.18) (.22) (.22) (.31) --
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period ...... $10.30 $10.78 $11.83 $12.31 $11.88
- ---------------------------------------------------------------------------------------------------------------------------------
Total return (b) (c) (d)........................... 3.50% 5.41% 6.24% 5.24% .51%
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period ................................. $45 $893 $867 $177 $1,203
Ratio of expenses to average net assets (b) ..... 1.60% 1.90% 2.00% 2.00% 2.25%
Ratio of net investment income (loss) to
average net assets (annualized) (b)............ 5.88% 7.24% 1.89% (.75%) (.93%)

</TABLE>

- ----------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) The Adviser, Administrator and Distributor have voluntarily agreed to waive
their fees and/or reimburse Fund expense to the extent that the ratio of
expenses to average net assets would exceed on an annual basis 1.60% for the
Conseco Fixed Income Fund, 1.90% for the Conseco High Yield Fund, 2.00% for
the Conseco Asset Allocation and Conseco Equity Funds and 2.25% for the
Conseco 20 Fund. These voluntary limits may be discontinued by the Adviser
at any time after April 30, 1999. If the aforementioned agreement had not
been in effect during the period, the annualized ratio of expenses to
average net assets would have been 43.15% for the Conseco Fixed Income Fund,
6.05% for the Conseco High Yield Fund, 5.51% for the Conseco Asset
Allocation Fund, 23.52% for the Conseco Equity Fund and 4.12% for the
Conseco 20 Fund.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized.

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------

NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
JUNE 30, 1998
(UNAUDITED)

CONSECO CONSECO CONSECO CONSECO CONSECO
FIXED INCOME HIGH YIELD ASSET ALLOCATION EQUITY 20
FUND FUND FUND FUND FUND
-------------------- ---------- ------------------- -------------------- ------------
FOR THE FOR THE
PERIOD FROM PERIOD FROM
INCEPTION INCEPTION
(MARCH 2, (APRIL 6,
SIX MONTHS YEAR 1998) SIX MONTHS YEAR SIX MONTHS YEAR 1998)
ENDED ENDED THROUGH ENDED ENDED ENDED ENDED THROUGH
JUNE 30, DECEMBER 31,JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
CLASS Y SHARES 1998 1997 1998 1998 1997 1998 1997 1998
------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period .................. $10.15 $10.00 $10.49 $10.78 $10.00 $11.13 $10.00 $12.33
Income from investment operations (a):
Net investment income................. .35 .68 .27 .16 .19 .02 -- .01
Net realized gains and change in
unrealized appreciation
(depreciation) on investments ...... .14 .21 .30 1.23 1.58 1.60 2.35 (.57)
- -----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations.... .49 .89 .57 1.39 1.77 1.62 2.35 (.56)
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income.. (.30) (.61) (.21) (.11) (.28) (.02) -- --
Distribution of net capital gains..... (.02) (.13) -- (.13) (.71) (.30) (1.22) --
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions..................... (.32) (.74) (.21) (.24) (.99) (.32) (1.22) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share,
end of period $10.32 $10.15 $10.85 $11.93 $10.78 $12.43 $11.13 $11.77
- -----------------------------------------------------------------------------------------------------------------------------------
Total return (b)........................ 4.88% (c) 9.18% 5.41% (c) 12.93% (c) 17.87% 14.45% (c) 23.50% (4.54%)(c)
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period....................... $10,104 $21,876 $394 $4,162 $12,037 $60,314 $60,334 $63
Ratio of expenses to average
net assets (b) ..................... .60% .60% .90% 1.00% 1.00% 1.00% 1.00% 1.25%
Ratio of net investment income to
average net assets (annualized) (b) 6.42% 6.28% 8.23% 2.43% 2.76% .30% .03% .29%

</TABLE>

- ----------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) The Adviser and Administrator have voluntarily agreed to waive their fees
and/or reimburse Fund expense to the extent that the ratio of expenses to
average net assets would exceed on an annual basis .60% for the Conseco
Fixed Income Fund, .90% for the Conseco High Yield Fund, 1.00% for the
Conseco Asset Allocation and Conseco Equity Funds and 1.25% for the Conseco
20 Fund. These voluntary limits may be discontinued by the Adviser at any
time after April 30, 1999. If the aforementioned agreement had not been in
effect during the period, the annualized ratio of expenses to average net
assets would have been 1.58% for the Conseco Fixed Income Fund, 5.63% for
the Conseco High Yield Fund, 2.35% for the Conseco Asset Allocation Fund,
1.32% for the Conseco Equity Fund and 7.17% for the Conseco 20 Fund.
(c) Not Annualized.

CONSECO CONSECO CONSECO CONSECO CONSECO
FIXED INCOME HIGH YIELD ASSET ALLOCATION EQUITY 20
FUND FUND FUND FUND FUND
-------------------- ---------- ------------------- -------------------- ------------
SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, JUNE 30,DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1998 1997 1998 1998 1997 1998 1997 1998
------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Supplemental data for all classes:
Net assets (dollars in thousands),
end of period ....................... $36,422 $22,029 $30,543 $31,728 $13,113 $87,692 $65,211 $31,792
Portfolio turnover rate (b)............ 420.06% 367.82% 458.63% 432.40% 506.64% 294.32% 199.12% 293.78%
Average commission rate paid (a)....... -- -- -- $.06 $.06 $.06 $.06 $.06

</TABLE>

- ----------
(a) Computed by dividing the total amount of commissions paid by the total
number of shares purchased and sold during the period for which there was a
commission.
(b) Annualized.

<PAGE>

- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
JUNE 30, 1998
(UNAUDITED)

5. INVESTMENT TRANSACTIONS

Cost basis, gross unrealized appreciation and depreciation of investments at
June 30, 1998 for federal income tax purposes are shown below:

CONSECO CONSECO CONSECO CONSECO CONSECO
FIXED INCOME HIGH YIELD ASSET ALLOCATION EQUITY 20
FUND FUND FUND FUND FUND
------------------------ ---------- -------------------------- ------------------------- -------------
SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1998 1997 1998 1998 1997 1998 1997 1998
------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Cost basis......... $34,329,187 $20,746,520 $28,236,903 $30,204,838 $12,793,791 $82,825,851 $62,116,012 $29,260,473
- -----------------------------------------------------------------------------------------------------------------------------------
Gross unrealized
appreciation...... $ 514,326 $ 473,266 $ 292,577 $ 1,635,613 $ 947,785 $ 7,784,964 $ 6,855,043 $ 1,847,621
Gross unrealized
depreciation..... (181,591) (177,255) (196,615) (283,534) (390,561) (1,399,953) (2,133,041) (298,524)
- -----------------------------------------------------------------------------------------------------------------------------------
Net unrealized
appreciation..... $ 332,735 $ 296,011 $ 95,962 $ 1,352,079 $ 557,224 $ 6,385,011 $ 4,722,002 $ 1,549,097
- -----------------------------------------------------------------------------------------------------------------------------------

</TABLE>

The aggregate cost of purchases and the aggregate proceeds from sales of
investments for the six months ended June 30, 1998, are shown below:

CONSECO CONSECO CONSECO CONSECO CONSECO
FIXED INCOME HIGH YIELD ASSET ALLOCATION EQUITY 20
FUND FUND FUND FUND FUND
----------- ----------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Purchases:
Investments, excluding U.S. government securities
and short-term investments....................... $35,158,759 $46,193,923 $39,737,743 $111,438,082 $50,697,302
U.S. government securities......................... 24,572,156 -- 11,688,500 -- --
Sales:
Investments, excluding U.S. government securities
and short-term investments....................... $29,791,983 $18,179,506 $30,164,555 $104,350,084 $22,258,500
U.S. government securities......................... 16,628,758 -- 6,599,922 -- --

</TABLE>

<PAGE>

CONSECO FUND GROUP
1998 SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------

BOARD OF TRUSTEES

WILLIAM P. DAVES, JR.
Chairman of the Board
Consultant to insurance and healthcare industries.
Director, President and Chief Executive Officer, FFG
Insurance Co.

MAXWELL E. BUBLITZ
President
Chartered Financial Analyst. President and Director,
Adviser. Executive Vice President of Conseco, Inc.

GREGORY J. HAHN
Chartered Financial Analyst. Senior Vice President,
Adviser.
Portfolio Manager of the fixed income portion of
the Conseco Asset Allocation and Conseco Fixed
Income Funds.

HAROLD W. HARTLEY
Retired. Chartered Financial Analyst. Previously,
Executive Vice President, Tenneco Financial
Services, Inc. Director, Ennis Business Forms, Inc.

DR. R. JAN LECROY
Retired. Previously President, Dallas Citizens
Council. Director, Southwest Securities Group, Inc.

DR. JESSE H. PARRISH
Former President, Midland College. Higher
Education Consultant.

- ----------
The Trustees, except Mr. Hahn, hold similar positions in Conseco Series Trust
and Conseco Strategic Income Fund, other investment companies managed by the
Adviser.

INVESTMENT ADVISER
Conseco Capital Management, Inc. -- Carmel, Indiana

DISTRIBUTOR
Conseco Equity Sales, Inc. -- Carmel, Indiana

TRANSFER AGENT
State Street Bank & Trust Company -- Boston, Massachusetts

CUSTODIAN
The Bank of New York -- New York, New York

INDEPENDENT PUBLIC ACCOUNTANTS
Coopers & Lybrand L.L.P. -- Indianapolis, Indiana

LEGAL COUNSEL
Kirkpatrick & Lockhart L.L.P. -- Washington, D.C.