[LOGO](SM)
CONSECO(R)
Step up.(SM)
CONSECO FUND GROUP
- ---------------------------
MID-YEAR SHAREHOLDER REPORT
- ---------------------------
June 30, 1999
(unaudited)
Investing for Your Future
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
<TABLE>
<S> <C>
Message from the President.................................................. 1
About Conseco Fund Group.................................................... 2
About Our Investment Adviser................................................ 3
Statement of Assets and Liabilities as of June 30, 1999..................... 4
Statement of Operations for the six months ended June 30, 1999.............. 5
Statement of Changes in Net Assets for the six months ended June 30, 1999 and
for the year ended December 31, 1998 except for the Conseco Convertible
Securities Fund, which is for the period from commencement of operation
(September 28, 1998) through December 31, 1998........................ 6
CONSECO FIXED INCOME FUND
Portfolio Manager's Review............................................ 8
Statement of Investments in Securities as of June 30, 1999............ 9
CONSECO HIGH YIELD FUND
Portfolio Manager's Review............................................ 15
Statement of Investments in Securities as of June 30, 1999............ 16
CONSECO CONVERTIBLE SECURITIES FUND
Portfolio Manager's Review............................................ 21
Statement of Investments in Securities as of June 30, 1999............ 22
CONSECO BALANCED FUND
Portfolio Manager's Review............................................ 25
Statement of Investments in Securities as of June 30, 1999............ 26
CONSECO EQUITY FUND
Portfolio Manager's Review............................................ 33
Statement of Investments in Securities as of June 30, 1999............ 34
CONSECO 20 FUND
Portfolio Manager's Review............................................ 38
Statement of Investments in Securities as of June 30, 1999............ 39
Notes to Financial Statements............................................... 41
Financial Highlights........................................................ 46
Year 2000 Readiness......................................................... 55
Portfolio Managers.......................................................... 56
Board of Trustees........................................................... 57
<FN>
This report is for the information of Conseco Fund Group shareholders.
It is authorized for distribution to other persons only when preceded, or accompanied by,
a current prospectus that contains more complete information, including charges and expenses.
</FN>
</TABLE>
i
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
MESSAGE FROM THE PRESIDENT
Dear Fellow Shareholder:
Midway through the year, we are solidly positioned and poised for the
new millennium. Frankly, I was so excited about sharing what we've accomplished
thus far that the first draft of this message ballooned to almost six pages. So,
I've tried to pare this down to a few key points about the company's advances,
fund performance and the year 2000 (Y2K).
After slightly more than two years in the mutual fund marketplace, the
funds are making great strides. We're meeting or exceeding our goals and I'm
pleased with the steady pace at which the fund family is developing and
maturing. Highly competitive, each fund is meeting the challenges and rising
rapidly to the top of its respective peer group.
Your trust and faith in the fundamental value of our proprietary,
disciplined and rigorous investment style is reflected in the growth of new
assets. Our shareholders have invested an additional $141,379,048 thus far this
year, raising total net assets to more than $427 million. That's a 49.35%
increase year-to-date.
On the equity side, our concentrated, all-cap growth offering -- the
Conseco 20 Fund -- has garnered market attention with a superb return,
outperforming the S&P 500 and the category's benchmark by a considerable margin.
The Conseco Equity Fund, our diversified mid-cap growth offering, was
well-positioned and caught the crest of the second quarter wave of investors
that moved out of overvalued large-caps into more reasonably valued growth names
with as strong or stronger earnings. To date, it has outperformed its index and
beat the S&P 500 during May and June.
As an asset class, fixed income languished as the market fretted over
interest rates and pushed down bond prices. In this demanding and competitive
bond market, the Conseco High Yield, Fixed Income and Balanced Funds did very
well within their categories. Most notably, each met its income objective and
produced total returns outperforming their respective benchmarks. Another
head-turning performer was our hybrid offering -- the Conseco Convertible
Securities Fund -- which produced exceptional returns, outpacing its peer group
and the benchmark. Later in this report, each of the funds' portfolio managers
provides you with a much more detailed performance review.
Operationally, we initiated a comprehensive program to improve the
service, quality and cost-efficiencies of our fund accounting and administrative
services. These important upgrades became effective and available to you on a
24-hour basis beginning Aug. 9, when we completed the conversion to our new
transfer agent, fund accountant and fund administrator, Firstar Mutual Fund
Services, LLC.
Y2K readiness certainly has been a high priority for us. Since 1997,
our information systems experts have been auditing and rigorously testing
mission critical trading and investing applications, custodial relationships and
vendors' systems. We're confident in the preparedness of the financial services
industry, our core business functions and our ability to minimize and overcome
any adverse external impacts, while continuing to deliver and settle all
transactions.
What's ahead for the funds? In this low, relatively stable inflation
world, returns from equities will likely exhibit less positive correlation to
returns from bonds than we have seen since inflation began to be squeezed out of
the domestic economy in the early 1980s. Consequently, asset allocation and risk
aversion will play a significantly larger role in obtaining superior performance
than they ever have during the past 17 years. These trends strongly suggest an
increasingly greater role for financial advice and greater potential rewards for
an actively managed, bottom-up investment style.
In an environment such as this, our funds are managed to excel within
their risk parameters and designed to help you plan more confidently. The level
of integration between research, trading and portfolio management transcends all
asset classes and is unmatched in the risk-reward spectrum.
During the fourth quarter, we encourage investors to seek the advice
and skills of their financial consultants and avoid trying to time the Y2K
market. Recent press reports suggest that investors should "uninvest" and retire
to the sidelines going into 2000. However, following the media's advice may
prove to be highly unwise. In spite of all the media attention and "Chicken
Little" fretting, we believe common sense and cool heads will prevail, and
wonderful investment opportunities may emerge.
As we move towards and over the threshold of this once-in-a-lifetime
historic moment, our funds are well-positioned to help you effectively manage
and achieve your investment objectives. We're looking forward to taking these
critical steps with you.
Sincerely,
Maxwell E. Bublitz, CFA
President
Conseco Fund Group
President & Chief Executive Officer
Conseco Capital Management, Inc.
1
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
ABOUT CONSECO FUND GROUP
Formed in late 1996, Conseco Fund Group (CFG) is headquartered in
Carmel, Ind. CFG's funds are distributed through Conseco Equity Sales, Inc., a
wholly owned subsidiary of Conseco, Inc. (NYSE: CNC).
Conseco Capital Management, Inc. (CCM) actively manages shareholder
investments in CFG's family of funds. Through CCM, our investors receive the
same investment management expertise enjoyed by many of America's most demanding
institutions. Each CFG fund taps this institutional money management strength
and discipline to give our investors a wealth of expertise and experience that
would otherwise require sizable minimum investments.
Ranging from aggressive growth through conservative income funds, CFG's
well-rounded fund family makes it easy for professionals and investors alike to
build and maintain a blend of portfolio assets over time.
Conseco Fixed Income Fund (Class A: COFAX) seeks the highest level of
income consistent with capital preservation and provides a convenient way to
take advantage of an investment-grade bond's income-generating potential. It can
be a vital addition to the core of an investment program, occupying a dynamic
position between high-yielding investments and savings vehicles.
Conseco High Yield Fund (Class A: CHYAX) seeks high current income with
a secondary objective of capital appreciation, primarily through a portfolio of
high-yield bonds providing higher interest payment and potentially higher
returns than investment-grade bonds in exchange for a higher level of risk. It
can be a core holding with added vitality occupying a position between
conservative fixed income, and growth and income holdings.
Conseco Convertible Securities Fund (Class A: CCSAX) seeks high total
return through a combination of current income and capital appreciation by
combining the qualities of stocks and bonds in one security that offers the best
of both worlds, and fits within the growth and income portion of a portfolio.
Conseco Balanced Fund (Class A: COAAX) seeks high total investment
return, attractive capital growth and current income while tempering risk by
blending stocks and investment-grade bonds. It fits well within the growth and
income portion of a portfolio.
Conseco Equity Fund (Class A: CEYAX) seeks high equity total return
consistent with preservation of capital and a prudent level of risk by broadly
investing in growth opportunities associated with diversified mid-sized
companies. This fund fits within the growth portion of a portfolio between core
holdings, and more specialized or sector investments.
Conseco 20 Fund (Class A: CTWAX) seeks capital appreciation through a
concentrated portfolio of 20 to 30 common stocks with attractive growth
prospects which represent the investment management team's "best ideas." This
specialty fund fits within the growth portion of a well-diversified portfolio.
For more information on how the CFG family of funds can help you meet
your financial objectives, please ask your financial consultant, or call our
product specialists toll-free at 800-986-3394. Also, you can visit us on the
Internet at www.consecofunds.com.
2
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
ABOUT OUR INVESTMENT ADVISER
Conseco Capital Management, Inc. (CCM) is a wholly owned subsidiary of
and the principal investment adviser for Conseco, Inc. (Conseco), a publicly
held, financial services organization that represents one of the most dramatic
corporate successes in recent business history.
Since going public in 1985 with $103 million in assets and a mission to
build value for customers and shareholders, Conseco has become one of the
top-performing companies listed on the New York Stock Exchange (trading symbol:
CNC). Today, Conseco ranks among the best in both the Fortune 500 and the S&P
500 in terms of shareholder return, which has averaged 52.3% since inception.
Since 1988, CCM has supported the success of Conseco by maximizing
returns on invested capital, making it possible to pursue growth and retain
principal without undue risk.
At mid-year 1999, CCM has more than $41 billion in taxable and
tax-exempt assets under management for:
* Public and corporate pension plans * Taft-Hartley funds
* Insurance companies * Hospitals
* Endowments * Religious organizations
* Foundations * Private individuals
During the past 10 years, CCM has produced a competitive, long-term
investment performance track record and a strong service track record for a wide
range of clients. CCM's investment record can be credited to four factors:
* Intensive independent research
* Disciplined investment process that tightly integrates research,
trading, portfolio management and analytics
* Sharply focused and seamless organizational structure that
generates timely decisions
* Swiftness in capturing and creating investment opportunity
For more information on CCM, please call Tom Meyers, senior vice
president, at 317-817-2700, or contact him via e-mail at
[email protected]. If you prefer, feel free to write him at Conseco
Capital Management, Inc., 11825 N. Pennsylvania St., Carmel, IN 46032, or visit
CCM's Web site at www.ccminvest.com.
3
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- -----------------------------------------------------------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
(UNAUDITED)
Conseco
Conseco Conseco Convertible Conseco Conseco Conseco
Fixed Income High Yield Securities Balanced Equity 20
Fund Fund Fund Fund Fund Fund
----------- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities at value
(cost: $74,519,936; $108,025,934;
$33,096,321; $35,950,206; $87,451,803;
$63,773,105, respectively)............. $73,098,549 $105,905,379 $39,247,078 $37,987,684 $ 98,650,905 $71,668,947
Interest and dividends receivable......... 984,389 2,117,531 172,807 203,420 25,488 11,763
Receivable for securities sold............ 10,868,483 15,143,750 3,218,641 2,863,350 9,183,199 4,030,047
Receivable for shares sold................ 252,965 4,087,257 690,336 138,757 141,336 1,530,961
Cash...................................... -- -- 581,695 104,692 -- 145,596
Organization costs, net................... 47,460 70,895 -- 47,460 47,460 70,894
Other assets.............................. -- -- -- -- -- 82,160
- -----------------------------------------------------------------------------------------------------------------------------------
Total assets........................... 85,251,846 127,324,812 43,910,557 41,345,363 108,048,388 77,540,368
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES AND NET ASSETS:
Payable to Conseco, Inc. and subsidiaries. -- 51,273 33,145 -- 49,538 85,487
Accrued expenses.......................... 681,128 28,959 21,153 57,518 330,759 30,082
Distributions payable..................... 566,849 964,177 134,940 154,556 171,487 --
Payable for shares redeemed............... 349,867 3,290,449 136,147 40,986 55,058 319,210
Payable for securities purchased.......... 12,090,600 13,198,364 5,048,012 3,256,627 9,906,054 4,499,361
- -----------------------------------------------------------------------------------------------------------------------------------
Total liabilities...................... 13,688,444 17,533,222 5,373,397 3,509,687 10,512,896 4,934,140
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets............................. $71,563,402 $109,791,590 $38,537,160 $37,835,676 $ 97,535,492 $72,606,228
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets consist of:
Paid-in capital........................... $73,998,857 $111,914,136 $31,447,820 $32,976,148 $ 72,660,398 $53,691,716
Accumulated undistributed net investment
income (loss).......................... 22,792 43,677 2,376 2,887 (186,999) (263,583)
Accumulated undistributed net realized gains
(losses) on investments................ (1,036,860) (45,668) 936,207 2,819,163 13,862,991 11,282,253
Net unrealized appreciation (depreciation)
on investments......................... (1,421,387) (2,120,555) 6,150,757 2,037,478 11,199,102 7,895,842
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets............................. $71,563,402 $109,791,590 $38,537,160 $37,835,676 $ 97,535,492 $72,606,228
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, redemption price and offering
price per share:
Class A Shares:
Shares outstanding........................ 3,742,596 5,291,554 2,858,767 2,225,753 2,156,059 2,802,673
Net assets................................ $36,768,628 $ 53,236,542 $36,173,898 $27,633,392 $ 29,818,979 $43,256,116
Net asset value and redemption price per share $9.82 $10.06 $12.65 $12.42 $13.83 $15.43
Maximum sales charge per share (5.75 percent
of public offering price; 5.00 percent of
public offering price for the Conseco Fixed
Income Fund)........................... 0.52 0.61 0.77 0.76 0.84 0.94
Maximum offering price per share.......... $10.34 $10.67 $13.42 $13.18 $14.67 $16.37
- -----------------------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares outstanding........................ 438,798 3,222,622 125,773 152,131 168,630 1,228,162
Net assets................................ $ 4,302,463 $ 32,322,070 $ 1,587,918 $ 1,874,553 $ 2,312,694 $18,786,552
Net asset value, redemption price and offering
price per share (Note 1)............... $9.81 $10.03 $12.63 $12.32 $13.71 $15.30
- -----------------------------------------------------------------------------------------------------------------------------------
Class C Shares:
Shares outstanding........................ 257,468 1,137,822 39,265 127,699 60,266 514,740
Net assets................................ $ 2,534,403 $ 11,390,145 $ 496,683 $ 1,581,347 $ 830,627 $ 7,896,993
Net asset value, redemption price and offering
price per share (Note 1)............... $9.84 $10.01 $12.65 $12.38 $13.78 $15.34
- -----------------------------------------------------------------------------------------------------------------------------------
Class Y Shares:
Shares outstanding........................ 2,835,056 1,273,087 22,006 540,525 4,614,511 173,969
Net assets................................ $27,957,908 $ 12,842,833 $ 278,661 $ 6,746,384 $ 64,573,192 $ 2,666,567
Net asset value and offering price per share $9.86 $10.09 $12.66 $12.48 $13.99 $15.33
The accompanying notes are an integral part of these financial statements.
</TABLE>
4
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- -----------------------------------------------------------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
JUNE 30, 1999
(UNAUDITED)
Conseco
Conseco Conseco Convertible Conseco Conseco Conseco
Fixed Income High Yield Securities Balanced Equity 20
Fund Fund Fund Fund Fund Fund
----------- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Investment income:
Interest.................................. $2,001,680 $4,459,403 $ 461,280 $ 540,963 $ 107,192 $ 73,182
Dividends................................. 55,390 35 178,534 67,652 222,308 134,084
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment income............... 2,057,070 4,459,438 639,814 608,615 329,500 207,266
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses:
Investment advisory fees.................. 140,400 280,412 128,973 121,280 306,490 182,229
Distribution and service fees............. 140,210 253,149 77,228 80,353 78,226 166,558
Administration fees....................... 62,397 80,110 30,347 80,354 87,569 52,066
Transfer agent fees....................... 53,851 85,095 43,440 47,325 115,446 29,029
Registration and filing fees.............. 15,023 4,163 4,163 8,689 19,729 4,163
Custody fees.............................. 11,403 12,335 6,335 24,074 30,047 9,593
Legal fees................................ 10,860 12,090 5,430 9,050 28,440 4,715
Amortization of organization costs (Note 2) 9,369 10,131 -- 9,369 9,369 10,131
Audit fees................................ 5,240 5,075 3,715 3,611 11,087 3,801
Reports-- printing........................ 4,810 5,112 4,525 3,104 21,924 3,810
Director fees and expenses................ 4,973 4,810 3,810 3,973 7,973 2,810
Insurance................................. 1,959 2,459 1,977 1,459 4,959 1,959
Other..................................... 496 496 543 497 498 496
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses........................ 460,991 755,437 310,486 393,138 721,757 471,360
- -----------------------------------------------------------------------------------------------------------------------------------
Less expense reductions - fees waived
and/or charged to subsidiaries
of Conseco, Inc. (Note 3)............... (133,429) (141,365) (73,939) (139,135) (205,258) (511)
- -----------------------------------------------------------------------------------------------------------------------------------
Net expenses.......................... 327,562 614,072 236,547 254,003 516,499 470,849
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss).......... 1,729,508 3,845,366 403,267 354,612 (186,999) (263,583)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gains (losses) on sales
of investments.......................... (853,557) (45,668) 1,002,606 2,819,163 14,034,478 11,282,253
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on investments........... (1,685,880) (1,194,310) 3,606,359 (611,770) (4,533,276) 115,243
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gains (losses)
on investments....................... (2,539,437) (1,239,978) 4,608,965 2,207,393 9,501,202 11,397,496
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations......................... $ (809,929) $2,605,388 $5,012,232 $2,562,005 $9,314,203 $11,133,913
- -----------------------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- -----------------------------------------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
JUNE 30, 1999
Conseco Conseco Conseco Convertible
Fixed Income Fund High Yield Fund Securities Fund
------------------------- ------------------------- ------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Period Ended
June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31,
(unaudited) 1998 (unaudited) 1998 (unaudited) 1998 (a)
----------- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income...................... $ 1,729,508 $ 1,855,455 $ 3,845,366 $ 1,594,127 $ 403,267 $ 248,342
Net realized gains (losses) on sales
of investments........................... (853,557) 457,334 (45,668) (988,680) 1,002,606 66,433
Net change in unrealized appreciation
(depreciation) on investments............ (1,685,880) (31,519) (1,194,310) (926,245) 3,606,359 2,544,397
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations...................... (809,929) 2,281,270 2,605,388 (320,798) 5,012,232 2,859,172
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net
investment income:
Class A shares............................. (915,243) (984,919) (1,972,476) (1,211,452) (390,290) (246,886)
Class B shares............................. (90,805) (37,011) (1,028,220) (268,669) (6,592) (10)
Class C shares............................. (40,865) (7,683) (357,520) (76,775) (2,016) (10)
Class Y shares............................. (659,803) (797,817) (443,473) (25,855) (1,993) (12)
- -----------------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders from net
investment income.................... (1,706,716) (1,827,430) (3,801,689) (1,582,751) (400,891) (246,918)
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders of net capital gains:
Class A shares............................. (94,314) (295,438) -- -- (62,321) (1,524)
Class B shares............................. (11,058) (25,160) -- -- (2,742) --
Class C shares............................. (6,488) (5,012) -- -- (856) --
Class Y shares............................. (71,443) (181,165) -- -- (480) --
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders
of net capital gains................. (183,303) (506,775) -- -- (66,399) (1,524)
- -----------------------------------------------------------------------------------------------------------------------------------
Capital share transactions:
Net proceeds from sales of shares.......... 44,424,594 44,590,036 90,217,387 48,519,084 6,542,490 25,003,691
Net asset value of shares issued from
reinvestment of dividends and distributions 413,696 819,112 329,719 174,888 1,986 33
Cost of shares redeemed.................... (18,820,349) (19,140,030) (23,951,350) (2,398,388) (166,712) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
capital share transactions........... 26,017,941 26,269,118 66,595,756 46,295,584 6,377,764 25,003,724
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets........... 23,317,993 26,216,183 65,399,455 44,392,035 10,922,706 27,614,454
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, beginning of period............ 48,245,409 22,029,226 44,392,135 100 27,614,454 --
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period.................. $71,563,402 $48,245,409 $109,791,590 $44,392,135 $38,537,160 $27,614,454
- -----------------------------------------------------------------------------------------------------------------------------------
SHARE DATA:
Class A shares:
Sold....................................... 2,347,039 3,207,908 3,995,547 2,949,647 359,667 2,511,147
Issued in reinvestment of dividends
and distributions........................ 1,206 2,354 15,843 11,701 40 --
Redeemed................................... (1,611,252) (219,807) (1,540,914) (140,279) (12,087) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase........................... 736,993 2,990,455 2,470,476 2,821,069 347,620 2,511,147
- -----------------------------------------------------------------------------------------------------------------------------------
Class B shares:
Sold....................................... 209,606 258,916 2,196,514 1,165,361 127,464 115
Issued in reinvestment of dividends
and distributions........................ 747 770 8,716 3,746 29 1
Redeemed................................... (28,445) (2,796) (113,400) (38,315) (1,836) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase........................... 181,908 256,890 2,091,830 1,130,792 125,657 116
- -----------------------------------------------------------------------------------------------------------------------------------
Class C shares:
Sold....................................... 220,103 69,325 996,750 370,869 39,129 115
Issued in reinvestment of dividends
and distributions........................ 368 202 4,776 1,497 24 1
Redeemed................................... (15,703) (16,827) (234,066) (2,004) (4) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase........................... 204,768 52,700 767,460 370,362 39,149 116
- -----------------------------------------------------------------------------------------------------------------------------------
Class Y shares:
Sold....................................... 1,608,869 801,557 1,570,618 180,732 22,110 115
Issued in reinvestment of dividends
and distributions........................ 38,521 76,368 2,699 91 76 1
Redeemed................................... (217,866) (1,626,721) (423,696) (57,357) (297) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)................ 1,429,524 (748,796) 1,149,621 123,466 21,889 116
- -----------------------------------------------------------------------------------------------------------------------------------
<FN>
(a) For the period from commencement of operations (September 28, 1998)
through December 31, 1998.
The accompanying notes are an integral part of these financial statements.
</FN>
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- -----------------------------------------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
JUNE 30, 1999
Conseco Conseco Conseco
Balanced Fund Equity Fund 20 Fund
------------------------- ------------------------- ------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31,
(unaudited) 1998 (unaudited) 1998 (unaudited) 1998
----------- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss)............... $ 354,612 $ 627,608 $ (186,999) $ 231,856 $ (263,583) $ (73,852)
Net realized gains (losses) on sales
of investments........................... 2,819,163 (744,651) 14,034,478 (204,222) 11,282,253 (1,508,345)
Net change in unrealized appreciation
(depreciation) on investments............ (611,770) 2,078,143 (4,533,276) 10,904,206 115,243 7,780,599
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
from operations...................... 2,562,005 1,961,100 9,314,203 10,931,840 11,133,913 6,198,402
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net
investment income:
Class A shares............................. (255,108) (451,549) -- (17,399) -- --
Class B shares............................. (12,945) (12,843) -- (518) -- --
Class C shares............................. (11,941) (15,657) -- (138) -- --
Class Y shares............................. (71,731) (155,142) -- (215,587) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders from net
investment income.................... (351,725) (635,191) -- (233,642) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders of net capital gains:
Class A shares............................. -- (12,693) (52,823) (139,921) -- --
Class B shares............................. -- (892) (4,131) (5,654) -- --
Class C shares............................. -- (3,007) (1,477) (1,943) -- --
Class Y shares............................. -- (134,519) (113,056) (1,619,165) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders
of net capital gains................. -- (151,111) (171,487) (1,766,683) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Capital share transactions:
Net proceeds from sales of shares.......... 4,949,886 33,119,398 10,137,179 39,144,673 38,840,511 39,115,808
Net asset value of shares issued from
reinvestment of dividends and distributions 120,872 374,761 -- 1,456,528 -- --
Cost of shares redeemed.................... (2,145,135) (15,081,839) (11,014,002) (25,473,746) (21,637,326) (1,045,180)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
capital share transactions............ 2,925,623 18,412,320 (876,823) 15,127,455 17,203,185 38,070,628
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets........... 5,135,903 19,587,118 8,265,893 24,058,970 28,337,098 44,269,030
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, beginning of period............ 32,699,773 13,112,655 89,269,599 65,210,629 44,269,130 100
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period.................. $37,835,676 $32,699,773 $97,535,492 $89,269,599 $72,606,228 $44,269,130
- -----------------------------------------------------------------------------------------------------------------------------------
SHARE DATA:
Class A shares:
Sold....................................... 71,160 2,162,683 339,153 1,805,294 1,518,070 2,669,274
Issued in reinvestment of dividends
and distributions........................ 6,864 22,097 -- 8,911 -- --
Redeemed................................... (81,680) (55,558) (270,749) (167,079) (1,359,191) (25,491)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)................ (3,656) 2,129,222 68,404 1,647,126 158,879 2,643,783
- -----------------------------------------------------------------------------------------------------------------------------------
Class B shares:
Sold....................................... 51,193 115,703 58,211 136,877 703,745 611,056
Issued in reinvestment of dividends
and distributions........................ 237 431 -- 231 -- --
Redeemed................................. (11,414) (4,019) (20,611) (6,078) (47,795) (38,845)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase........................... 40,016 112,115 37,600 131,030 655,950 572,211
- -----------------------------------------------------------------------------------------------------------------------------------
Class C shares:
Sold..................................... 61,057 122,271 17,076 55,670 329,839 247,100
Issued in reinvestment of dividends
and distributions........................ 232 819 -- 4 -- --
Redeemed................................... (36,183) (20,498) (5,950) (6,534) (48,942) (13,257)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase........................... 25,106 102,592 11,126 49,140 280,897 233,843
- -----------------------------------------------------------------------------------------------------------------------------------
Class Y shares:
Sold....................................... 239,915 433,884 387,840 1,233,846 249,690 31,701
Issued in reinvestment of dividends
and distributions........................ 3,158 9,493 -- 103,755 -- --
Redeemed................................... (54,705) (1,207,918) (574,418) (1,955,498) (89,317) (18,105)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)................ 188,368 (764,541) (186,578) (617,897) 160,373 13,596
- -----------------------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
7
<PAGE>
CONSECO FUND GROUP
CONSECO FIXED INCOME FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER'S REVIEW Searching for capital growth and current income
Although 1998 was punctuated with volatile financial markets, we have seen
improvement over the past six months. With reasonable stability in the global
markets, the domestic economy is driving U.S. interest rates and the expected
slowdown in growth has yet to materialize. This economic strength is largely
supported by persistent consumers willing to outspend their incomes.
New housing starts have been strong and automotive sales have reached an
incredible volume. With unemployment dropping to 4.3%, this is an economy
clearly showing significant strength without serious signs of increased
inflation.
Nonetheless, the tug-of-war between a strong economy and an increasing
inflation rate continues to play out in the financial markets. We believe this
growth is unsustainable and the Fed is watching closely. By June 30, the 30-year
U.S. Treasury bond yield increased by more than 100 basis points to a high of
6.16%, a level not seen since last summer.
While our investment philosophy is deeply rooted in proprietary, fundamental
research, the portfolio structure is critical to providing a competitive total
return in this environment without incurring significant risk. It's our desire
to main tain the same interest rate sensitivity as the general market.
As a result, the portolio's duration of about five years approximates the
Lehman Brothers Aggregate Index. The Conseco Fixed Income Fund has a relatively
high exposure to the corporate bond sector; yet also has a large position in
bonds with shorter maturities to help increase income.
We continue to find value in selective industrial and financial issuers while
underweighting the utility sector. In addition, we have invested in asset-backed
securities, which offer excellent relative value in today's market. Most are
short, average-life securities with home improvement or home equity loans as
collateral.
We also use mortgage-backed securities to help diversify the risk and earn a
higher level of income than investing exclusively in U.S. Treasuries. Commercial
mortgage-backed securities, a fairly new asset class, offers excellent relative
value with more predictable cashflows than other types of mortgage-backed
securities.
Looking forward, we expect interest rates will follow the lead set by the
U.S. economy. While we believe domestic growth is unsustainable and will
eventually slow, current growth rates give pause for the Fed. With many
economies, such as Japan and Korea, on the verge of recovery, a Fed-orchestrated
increase in U.S. interest rates would likely be an unwelcomed event, especially
with the Y2K concerns hanging over the financial markets. Our expectation is
that we are experiencing the higher end for interest rates and that slower
growth will portend lower rates. This assumes that inflation, which has not been
a factor for 18 months, stays under control. We expect it will.
Gregory J. Hahn, CFA
Senior Vice President, Portfolio Manager
Conseco Capital Management, Inc.
Average Annual Total Return* (as of 6/30/99)
YTD
Inception (not One Since
Date annualized) Year Inception
----- ---------- ------ ----------
Class A...... 01/02/97 -1.10% 1.82% 5.97%
Class B...... 03/20/98 -1.16% 1.57% 2.80%
Class C...... 03/05/98 -1.22% 1.57% 3.83%
Class Y...... 01/02/97 -0.78% 2.47% 6.61%
LBA Index.... 01/02/97 -1.37% 3.15% 6.68%
- ---------------------------------------------------------
30-day SEC Yield (as of 6/30/99)
Class A................................... 5.35%
Class B................................... 5.27%
Class C................................... 5.26%
Class Y................................... 6.28%
- ---------------------------------------------------------
Top Five Sectors (as of 6/30/99)
Finance, Insurance and Real Estate........ 24.49%
Transportation, Communication,
Electric, Gas and Sanitary Services.... 18.84%
U.S. Government and Agency Obligations.... 15.43%
Manufacturing............................. 9.02%
Municipal Bonds........................... 9.01%
- ---------------------------------------------------------
Top Five Holdings (as of 6/30/99)
Ford Motor Credit Co...................... 6.84%
U.S. Treasury Bond........................ 3.57%
FHLMC..................................... 3.47%
Mutual Life Insurance Co. of NY........... 2.76%
U.S. Treasury Note........................ 2.50%
- ---------------------------------------------------------
- Current Net Assets: $71,563,402
- Increase in Net Assets YTD: $23,317,993
- Percentage Increase in Net Assets YTD: 48.33%
*Past performance is no guarantee of future results. Your investment return and
principal will fluctuate and your shares may be worth more or less than their
original cost. Total return is provided in accordance with SEC guidelines for
comparative purposes and reflects certain contractual fee waivers and/or expense
reimbursements through April 30, 2000. If the waivers were not in place, the
fund's return would have been lower. Total return is shown without the
applicable sales load. If the sales load was included, total return would have
been lower. The maximum sales load for the Conseco Fixed Income Fund is 5.00%.
The Lehman Brothers Aggregate Bond (LBA) Index is an unmanaged index considered
to be representative of the bond market in general.
8
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO FIXED INCOME FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
CORPORATE BONDS (53.61% of total investments) (a)
Air Transportation (3.99%)
989,746 Continental Airlines, Inc., Series 98-1A-ETC, 6.648%, due 09/15/2017.............. $ 959,544
1,000,000 Continental Airlines, Inc., Series 97-4A-ETC, 6.900%, due 01/02/2018.............. 980,485
1,000,000 Delta Airlines, Series C, MTN, 6.650%, due 03/15/2004............................. 975,055
----------
2,915,084
----------
Apparel and Other Finished Products (.33%)
250,000 Tommy Hilfiger Corp., 6.500%, due 06/01/2003...................................... 242,915
----------
Auto Repair and Parking (2.24%)
200,000 Amerco-MTN, 7.440%, due 10/02/2006................................................ 204,448
100,000 Amerco-MTN, 6.710%, due 10/15/2008................................................ 100,631
575,000 Amerco-MTN, 7.470%, due 01/15/2027................................................ 565,467
750,000 Avis Rent A Car, Inc., 11.000%, due 05/01/2009,
(b) Cost - $760,313; Acquired - 06/28/1999...................................... 764,063
----------
1,634,609
----------
Business Services (.20%)
250,000 Pinnacle Holdings, Inc., STEP (d) 0.000%/10.000%, due 03/15/2008.................. 144,375
----------
Cable and Other Pay Television Stations (.57%)
400,000 Northland Cable Television, 10.250%, due 11/15/2007............................... 419,000
----------
Chemicals and Allied Products (.40%)
300,000 Smith International, Inc., 7.000%, due 09/15/2007................................. 294,233
----------
Communications by Phone, Television, Radio, Cable (6.94%)
400,000 Charter Communications, Inc., 8.250%, due 04/01/2007,
(b) Cost - $398,932; Acquired - 03/12/1999...................................... 385,000
1,250,000 GTE Corp., 6.840%, due 04/15/2018................................................. 1,195,735
350,000 Lenfest Communications, Inc., 10.500%, due 06/15/2006............................. 404,250
1,000,000 Level 3 Communications, Inc., 9.125%, due 05/01/2008.............................. 990,000
468,000 News America Holdings, Inc., 8.625%, due 02/01/2003............................... 493,715
1,000,000 Sprint Capital Corp., 6.875%, due 11/15/2028...................................... 913,234
300,000 Telecommunications, Inc., 9.800%, due 02/01/2012.................................. 367,130
250,000 Telecommunications, Inc., 10.125%, due 04/15/2022................................. 322,610
----------
5,071,674
----------
Depository Institutions (3.28%)
500,000 Centura Bank, 6.500%, due 03/15/2009.............................................. 467,565
500,000 Dime Bancorp, Inc., 6.375%, due 01/30/2001........................................ 497,380
250,000 St. Paul Bancorp, 7.125%, due 02/15/2004.......................................... 250,488
1,250,000 Union Planters Bank, National Association, 6.500%, due 3/15/2008.................. 1,180,761
----------
2,396,194
----------
Eating and Drinking Places (.27%)
200,000 Marriott International, Inc., 6.625%, due 11/15/2003.............................. 196,074
----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
9
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO FIXED INCOME FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Electric, Gas, Water, Cogeneration, Sanitary Services (7.34%)
500,000 AEP Resources, Inc., 6.500%, due 12/01/2003,
(b) Cost - $505,215; Acquired - 12/15/1998...................................... $ 488,867
1,500,000 AES Eastern Energy, 9.000%, due 07/02/2017,
(b) Cost - $1,500,000; Acquired - 05/11/1999.................................... 1,452,561
650,000 Carolina Power & Light, 6.800%, due 08/15/2007.................................... 650,430
1,200,000 East Coast Power, 7.536%, due 06/30/2017,
(b) Cost - $1,205,982; Acquired - 04/14/1999 & 04/15/1999....................... 1,118,242
500,000 MCN Investment Corp., 6.350%, due 04/02/2012...................................... 492,925
250,000 Southwest Gas Co., 9.750%, due 06/15/2002......................................... 267,149
500,000 USA Waste Services, Inc., 6.125%, due 07/15/2001.................................. 496,926
400,000 Waste Management, Inc., 6.625%, due 07/15/2002.................................... 399,820
----------
5,366,920
----------
Food and Kindred Products (2.00%)
500,000 Nabisco, Inc., 6.000%, due 02/15/2001............................................. 495,054
1,000,000 PanAmerican Beverage, Inc., 8.125%, due 04/01/2003................................ 966,371
----------
1,461,425
----------
Food Stores (1.91%)
1,000,000 Kroger Co., 6.000%, due 07/01/2000................................................ 999,234
400,000 Safeway, Inc., 5.750%, due 11/15/2000............................................. 396,892
----------
1,396,126
----------
General Merchandise Stores (.46%)
350,000 Shopko Stores, Inc., 6.500%, due 08/15/2003....................................... 339,386
----------
Hotels, Other Lodging Places (.65%)
500,000 HMH Properties, Inc., 8.450%, due 12/01/2008...................................... 477,500
----------
Insurance Companies (4.32%)
300,000 Delphi Financial, 8.000%, due 10/01/2003.......................................... 296,348
200,000 Horace Mann Educators, 6.625%, due 01/15/2006..................................... 190,784
1,450,000 Mutual Life Insurance Co. of New York, STEP (d) 0.000%/11.250%,
due 08/15/2024, (b) Cost - $2,004,549; Acquired - 04/20/1999 & 06/23/1999....... 2,018,473
800,000 Orion Capital Trust II, 7.700%, due 04/15/2028.................................... 651,246
----------
3,156,851
----------
Lumber and Wood Products, except Furniture (.97%)
700,000 West Fraser Mill, 7.250%, due 09/15/2002,
(b) Cost - $695,920; Acquired - 01/06/1997 & 04/30/1997......................... 708,609
----------
Miscellaneous Retail (1.69%)
1,120,000 Fred Meyer, Inc., 7.450%, due 03/01/2008.......................................... 1,128,875
100,000 Michaels Stores, Inc., 10.875%, due 06/15/2006.................................... 107,375
----------
1,236,250
----------
Motion Pictures (.64%)
500,000 Regal Cinemas, Inc., 9.500%, due 06/01/2008....................................... 470,000
----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
10
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO FIXED INCOME FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Non-Depository Credit Institutions (1.09%)
500,000 General Motors Acceptance Corp., 7.125%, due 05/01/2001........................... $ 507,628
300,000 Key Bank USA, National Association, BKNT, 6.500%, due 10/15/2027.................. 290,165
----------
797,793
----------
Oil and Gas Extraction (2.03%)
500,000 ENSCO International, Inc., 7.200%, due 11/15/2027................................. 461,867
500,000 LASMO (USA), Inc., 8.375%, due 06/01/2023......................................... 527,233
500,000 Occidental Petroleum Corp., 6.750%, due 11/15/2002................................ 496,466
----------
1,485,566
----------
Paper and Allied Products (.68%)
500,000 Potlatch Corp., 6.250%, due 03/15/2002,
(b) Cost - $499,675; Acquired - 03/10/1999...................................... 493,302
----------
Petroleum Refining and Related Industries (2.15%)
750,000 Lyondell Chemical Co., 9.625%, due 05/01/2007,
(b) Cost - $765,000; Acquired - 06/24/1999...................................... 774,375
278,000 Pennzoil Co., 9.625%, due 11/15/1999.............................................. 280,439
400,000 Pennzoil Co., 10.625%, due 06/01/2001............................................. 407,446
100,000 USX Corp., 9.375%, due 02/15/2012................................................. 112,188
----------
1,574,448
----------
Real Estate Investment Trusts (REITS) (4.22%)
500,000 CarrAmerica Realty Corp., 6.625%, due 03/01/2005.................................. 469,802
400,000 Chelsea GCA Realty Partnership, L.P., 7.250%, due 10/21/2007...................... 372,115
300,000 Colonial Realty, L.P., 7.500%, due 07/15/2001..................................... 300,455
250,000 Regency Centers, L.P., 7.400%, due 04/01/2004..................................... 248,546
200,000 Corporate Property Investors, Inc., 9.000%, due 03/15/2002,
(b) Cost - $219,360; Acquired - 03/17/1998...................................... 209,305
1,000,000 Spieker Properties, 6.800%, due 05/01/2004........................................ 982,982
500,000 United Dominion Realty Trust, Inc., MTN, 7.600%, due 01/25/2002................... 495,178
----------
3,078,383
----------
Security and Commodity Brokers (2.95%)
1,000,000 Fidelity Investments, 7.570%, due 06/15/2029,
(b) Cost - $1,000,000; Acquired - 06/17/1999.................................... 998,750
300,000 Lehman Brothers Holdings, Inc., Series E, MTN, 6.625%, due 12/27/2002............. 295,170
550,000 Lehman Brothers Holdings, Inc., 7.000%, due 05/15/2003............................ 547,601
200,000 Paine Webber Group, Inc., 9.250%, due 12/15/2001.................................. 211,441
100,000 Salomon Smith Barney Holdings, Inc., Series C, MTN, 6.500%,
due 08/15/2003.................................................................. 99,027
----------
2,151,989
----------
Stone, Clay, Glass, Concrete (.27%)
200,000 Owens Corning, 7.500%, due 05/01/2005............................................. 198,172
----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
11
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO FIXED INCOME FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Tobacco Products (2.02%)
1,500,000 R.J. Reynolds Tobacco Holdings, Inc., 7.375%, due 05/15/2003,
(b) Cost - $1,497,465; Acquired - 05/10/1999.................................... $ 1,478,243
-----------
Total corporate bonds (cost $40,114,132).......................................... $39,185,121
-----------
MUNICIPAL BONDS (9.01% of total investments) (a)
600,000 Alameda Corridor Transportation Authority, Revenue, 6.600%, due 10/01/2029........ 550,310
495,000 Alaska Individual Development & Authority Lease, 6.375%, due 05/01/2003........... 492,956
800,000 Azusa Pacific University California, Revenue, 7.250%, due 04/01/2009.............. 800,000
90,000 Doylestown Pennsylvania, Hospital Authority, Revenue, 8.375%, due 07/01/2008...... 91,734
595,000 Duarte California Certificates of Participation, Series B, 6.250%, due 04/01/2005. 568,673
280,000 Fort Worth Texas, Higher Education, Finance Corp., Revenue, 7.500%,
due 10/01/2006.................................................................. 286,278
500,000 Long Beach California Individual Development & Revenue,
6.750%, due 02/01/2010.......................................................... 467,359
600,000 Mississippi Development Bank, Special Obligation, Series 1998, 8.500%,
due 12/01/2018.................................................................. 567,910
360,002 Philadelphia Pennsylvania, Authority for Industrial Development, Revenue,
6.488%, due 06/15/2004.......................................................... 360,289
500,000 Philadelphia Pennsylvania, Authority for Industrial Development, Revenue,
6.350%, due 04/25/2028.......................................................... 431,944
170,000 Reeves County Texas Certificates of Participation, 6.700%, due 03/31/2005......... 170,740
800,000 Reeves County Texas Certificates of Participation, 7.250%, due 06/01/2011......... 779,447
1,000,000 Wickliffe Kentucky Solid Waste, Revenue, 7.670%, due 01/15/2027................... 1,021,985
-----------
Total municipal bonds (cost $6,753,077)........................................... $ 6,589,625
-----------
ASSET BACKED SECURITIES (6.97% of total investments) (a)
390,114 Bear Stearns Commercial Mortgage Securities, Inc., 99-C1 A1, 5.910%,
due 05/14/2008.................................................................. 377,457
150,000 COMED Transitional Funding Trust, 98-1 A7, 5.740%, due 12/25/2010................. 139,991
500,000 Contimortgage Home Equity Loan Trust, 98-2 A7, 6.570%, due 03/15/2023............. 484,383
400,000 Copelco Capital Funding Corp., 98-A A2, 5.780%, due 08/15/2000.................... 400,654
850,000 EQCC Home Equity Loan Trust, 96-4 A6, 6.880%, due 07/15/2014...................... 858,095
781,418 GMAC Commercial Mortgage Securities, Inc., 99-C1 A1, 5.830%,
due 05/15/2033.................................................................. 754,025
500,000 Green Tree Recreational Equipment & Consumer Trust, 98-C A5, 6.280%,
due 02/15/2014, (c) Cost - $499,997; Acquired - 09/04/98........................ 501,193
254,523 Green Tree Recreational Equipment & Consumer Trust, 97-C B, 6.750%,
due 02/15/2018, (c) Cost - $254,464; Acquired - 09/08/97........................ 237,224
16,672 National Car Rental Financing, L.P., 96-1 A2, 6.800%, due 04/20/2000,
(b) Cost - $16,636; Acquired - 04/30/1997....................................... 16,697
964,361 Nationslink Funding Corp., 98-2 A1, 6.001%, due 11/20/2007........................ 936,697
400,000 Nationslink Funding Corp., 99-1 A2, 6.316%, due 11/20/2008........................ 383,286
4,302 New York City Tax Lien, 96-1 B, 6.910%, due 05/25/2005,
(b) Cost - $4,312; Acquired - 04/30/1997 & 05/20/1997........................... 4,291
-----------
Total asset backed securities (cost $5,243,145)................................... $ 5,093,993
-----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO FIXED INCOME FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS (6.15% of total investments) (a)
70,358 FHLMC Structured Pass Through Securities, T-4 A1, 7.625%, due 08/25/2022.......... $ 70,754
1,000,000 FHR 2149 Trust, 6.500%, due 01/15/2022............................................ 992,215
1,112,061 Fanniemae Grantor Trust, 99-T2 A1, 7.500%, due 01/19/2039......................... 1,127,073
100,000 Federal National Mortgage Assn., 94 - 63, 7.000%, due 04/25/2024.................. 99,761
500,000 Iroquois Trust, 97-1A, 7.000%, due 12/15/2006..................................... 501,426
48,198 JP Morgan Commercial Mortgage Finance Corp., 97-C4 A1, 6.939%,
due 12/26/2028.................................................................. 48,089
97,724 Midland Realty Acceptance Corp., 96-C1 A1, 7.315%, due 08/25/2028................. 99,142
938,100 Mortgage Capital Funding, Inc., 98 - MC2 A1, 6.325%, due 10/18/2007............... 925,769
500,000 Paine Webber Mortgage Acceptance Corp., 96 - M1 A2, 6.900%, due 01/02/2012........ 504,375
125,419 Rural Housing Trust, 87-1 3B, 7.330%, due 04/01/2026.............................. 126,065
-----------
Total collateralized mortgage obligations (cost $4,524,474)....................... $ 4,494,669
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (15.43% of total investments) (a)
930,950 Federal Home Loan Mortgage Corp., #E00570, 6.000%, due 09/01/2013................. 901,431
476,666 Federal Home Loan Mortgage Corp., #E73076, 6.000%, due 11/01/2013................. 461,552
2,621,818 Federal Home Loan Mortgage Corp., #E00592, 6.000%, due 12/01/2013................. 2,538,685
437,802 Federal Home Loan Mortgage Corp., #G00479, 9.000%, due 04/01/2025................. 466,100
487,205 Federal Home Loan Mortgage Corp., #G00943, 6.000%, due 07/01/2028................. 459,994
99,198 Federal National Mortgage Assn., #250307, 7.500%, due 07/01/2025.................. 100,600
58,970 Federal National Mortgage Assn., #250758, 7.000%, due 11/01/2026.................. 58,525
2,675,000 U.S. Treasury Bond, 5.500%, due 05/15/2009........................................ 2,613,141
1,800,000 U.S. Treasury Note, 6.375%, due 09/30/2001........................................ 1,830,375
100,000 U.S. Treasury Note, 5.375%, due 06/30/2003........................................ 98,781
750,000 U.S. Treasury Note, 5.250%, due 05/15/2004........................................ 737,110
450,000 U.S. Treasury Note, 4.750%, due 02/15/2004........................................ 432,563
50,000 U.S. Treasury Note, 5.625%, due 05/15/2008........................................ 48,984
600,000 U.S. Treasury Note, 5.250%, due 11/15/2028........................................ 531,188
-----------
Total U.S. government and agency obligations (cost $11,426,929)................... $11,279,029
-----------
NUMBER OF
SHARES
-------------
PREFERRED STOCK (1.99% of total investments) (a)
Insurance Companies (.69%)
20,000 Lincoln National Corp., TOPrS (d), 6.400% ........................................ 502,500
-----------
Measuring Instruments, Poto Goods, Watches (.20%)
2,242 River Holding Corp., Series B, PIK (d), 11.500%................................... 147,692
-----------
Non-Depository Credit Institutions (1.10%)
7,500 Centaur Funding Corp., 9.080%,
(b) Cost - $750,000; Acquired - 12/09/1998..................................... 806,719
-----------
Total preferred stock (cost $1,458,978)........................................... $ 1,456,911
-----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
13
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO FIXED INCOME FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
COMMERCIAL PAPER (6.84% of total investments) (a)
Non-Depository Credit Institutions (6.84%)
5,000,000 Ford Motor Credit Co., 5.750%, due 07/01/1999..................................... $ 4,999,201
-----------
Total commercial paper (cost $4,999,201).......................................... $ 4,999,201
-----------
Total investments in securities (cost $74,519,936)................................ $73,098,549
===========
<FN>
- -----------------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Restricted under Rule 144A of the Securities Act of 1933.
(c) Security issued by Green Tree Financial Corporation ("Green Tree"), a wholly
owned subsidiary of Conseco, Inc. effective June 30, 1998. Green Tree
originates, purchases, sells and services consumer and commercial finance
loans throughout the United States.
(d) PIK - Payment In Kind.
STEP - Bonds where the coupon increases or steps up at a predetermined rate.
TOPrS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
</FN>
</TABLE>
14
<PAGE>
CONSECO FUND GROUP
CONSECO HIGH YIELD FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER'S REVIEW Searching for high income and capital appreciation
Even in an up-and-down bond market, our shareholders have remained confident
and assets have increased by almost $65.4 million -- or nearly 147% -- since
Jan. 1.
And for good reason. In the past six months, the fund's holdings have
produced competitive yields, income and total return. Year-to-date, Class A
shares exceeded the Merrill Lynch High Yield Index.
In addition, the fund has earned the attention of national media like U.S.
News & World Report, the Wall Street Journal, Smart Investing, and the High
Yield Report.
Intense Investigation Manages Risk
The portfolio has an average bond maturity of seven years with an effective
duration of 4.34 years. Given the quality of our holdings, we feel that the fund
has a healthy risk-reward ratio.
Each holding has been investigated from every angle by more than 30 astute
analysts who dig deep into management, product and sector positioning, balance
sheets, and earnings, as well as supplier and customer relationships. That
scrutiny continues even after the security is purchased.
Corporate holdings make up about 85% of the portfolio. These solid companies,
like one of our largest holdings, Regal Cinemas, are visible leaders in their
sectors. We're especially excited about the prospects for our cable,
entertainment and energy holdings.
Although the fund is rooted in domestic securities, we have invested briefly
- -- and successfully -- in emerging market companies. One of those companies is
Indah Kiat, an Asian paper company. While most investors were hesitant of this
foreign security, we looked at the balance sheet rather than the turmoil going
on overseas -- the company had enough cash on hand to retire the issue upon
maturity in June. But, because it was in Asia, it did not trade well. Priced at
a discount when we bought it, the Indah Kiat security was trading at par when it
matured. Thanks to our research team, we were able to identify opportunities
like this and we may seek to take advantage of similar situations as they arise.
Yield, Dividends and Total Return
As of June 30, the 30-day SEC yield for Class A was 9.76% and Class Y was
10.86%, reflecting increases from Dec. 31, 1998. The fund has paid regular
monthly dividends and, in spite of market volatility, total return is slightly
behind last year, but remains highly competitive.
Going forward, we feel confident that the high-yield market can improve and
the fund is poised to meet our expectations for yield and total return.
Peter C. Andersen, CFA
Vice President, Portfolio Manager
Conseco Capital Management, Inc.
Average Annual Total Return* (as of 6/30/99)
YTD
Inception (not One Since
Date annualized) Year Inception
----- ------- ------ ----------
Class A...... 01/01/98 5.13% 0.95% 7.86%
Class B...... 02/19/98 4.91% 0.59% 4.26%
Class C...... 02/19/98 4.92% 0.41% 4.09%
Class Y...... 03/02/98 5.45% 1.40% 5.12%
ML HighYield
Index ....... 01/01/98 1.76% 0.94% 3.62%
- ---------------------------------------------------------
30-day SEC Yield (as of 6/30/99)
Class A................................... 9.76%
Class B................................... 9.81%
Class C................................... 9.83%
Class Y................................... 10.86%
- ---------------------------------------------------------
Top Five Sectors (as of 6/30/99)
Transportation, Communication,
Electric, Gas and Sanitary Services.... 41.40%
Services.................................. 18.50%
Manufacturing............................. 14.25%
Finance, Insurance and Real Estate........ 12.65%
Mining.................................... 9.59%
- ---------------------------------------------------------
Top Five Holdings (as of 6/30/99)
Ford Motor Credit Co...................... 4.91%
Citibank Capital Markets Assets........... 4.72%
Regal Cinemas, Inc........................ 3.91%
Hollywood Entertainment................... 2.89%
Ocean Energy, Inc......................... 2.26%
- ---------------------------------------------------------
- Current Net Assets: $109,791,590
- Increase in Net Assets YTD: $65,399,455
- Percentage Increase in Net Assets YTD: 147.32%
*Past performance is no guarantee of future results. Your investment return and
principal will fluctuate and your shares may be worth more or less than their
original cost. Total return is provided in accordance with SEC guidelines for
comparative purposes and reflects certain contractual fee waivers and/or expense
reimbursements through April 30, 2000. If the waivers were not in place, the
fund's return would have been lower. Total return is shown without the
applicable sales load, which, if included, would reduce total return. The
maximum sales load for the Conseco High Yield Fund is 5.75%. The Merrill Lynch
(ML) High Yield Index is considered representative of the high-yield arena with
the following restrictions: Issues must be in the form of publicly placed,
nonconvertible, coupon-bearing U.S. domestic debt, and must carry a term to
maturity of at least one year; par amounts outstanding must not be less than $10
million at the start and the close of the performance measurement period; and
issues must be rated by Standard & Poor's or Moody's as less than investment
grade (i.e., BBB or Baa) but not in default (i.e., DDD1 or less). The index
excludes floating-rate debt, equipment trust certificates, and Title 11
securities.
15
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO HIGH YIELD FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
CORPORATE BONDS (84.91% of total investments) (a)
Amusement and Recreations Services (.13%)
170,000 AMF Bowling Worldwide, Series B, 10.875%, due 03/15/2006.......................... $ 141,950
-----------
Apparel and Other Finished Products (1.40%)
1,000,000 Jo-Ann Stores, Inc., 10.375%, due 05/01/2007,
(b) Cost - $985,000; Acquired - 04/30/1999..................................... 990,000
500,000 Kasper A.S.L., Ltd., 12.750%, due 03/31/2004...................................... 490,000
-----------
1,480,000
-----------
Business Services (3.91%)
850,000 Advanstar Communications, Inc., 9.250%, due 05/01/2008 ........................... 839,375
1,400,000 Interpool, Inc., 7.200%, due 08/01/2007........................................... 1,312,037
3,450,000 Pinnacle Holdings, Inc., STEP (c) 0.000%/10.000%, due 03/15/2008.................. 1,992,375
-----------
4,143,787
-----------
Cable and Other Pay Television Stations (10.71%)
800,000 Avalon Cable of Michigan, 9.375%, due 12/01/2008,
(b) Cost - $800,000; Acquired - 12/03/1998..................................... 817,000
1,000,000 Cablevision SA, 13.750%, due 05/01/2009,
(b) Cost - $1,000,000; Acquired - 04/29/1999................................... 912,500
750,000 Cencall Communications, 10.125%, due 01/15/2004................................... 766,875
2,300,000 Charter Communications Holdings, LLC, 8.625%, due 04/01/2009,
(b) Cost - $2,301,625; Acquired - 04/19/1999 & 06/03/1999...................... 2,208,000
1,900,000 Coaxial Communications of Central Ohio, Inc., 10.000%, due 08/15/2006............. 1,930,875
185,000 Fox Liberty Networks, LLC, STEP (c) 0.000%/9.750%, due 08/15/2007................. 145,225
2,000,000 Northland Cable Television, 10.250%, due 11/15/2007............................... 2,095,000
500,000 Regional Independent Media, 10.500%, due 07/01/2008,
(b) Cost - $499,375; Acquired - 11/06/1998..................................... 502,500
1,750,000 Rifkin Acquisition Partners, L.P., 11.125%, due 01/15/2006........................ 1,960,000
-----------
11,337,975
-----------
Chemicals and Allied Products (1.33%)
500,000 Agriculture Minerals & Chemicals, Inc., 10.750%, due 09/30/2003................... 498,125
1,000,000 United Industries Corp., 9.875%, due 04/01/2009,
(b) Cost - $1,000,000; Acquired - 03/19/1999................................... 915,000
-----------
1,413,125
-----------
Coal Mining (.72%)
1,000,000 Lodestar Holdings, Inc., 11.500%, due 05/15/2005.................................. 765,000
-----------
Communications by Phone Television, Radio, Cable (11.91%)
1,500,000 Arch Escrow Corp., 13.750%, due 04/15/2008,
(b) Cost - $1,426,365; Acquired - 04/07/1999................................... 1,335,000
3,000,000 Crown Castle International Corp., STEP (c) 0.000%/10.375%, due 05/15/2011......... 1,770,000
650,000 CSC Holdings, Inc., 7.250%, due 07/15/2008........................................ 620,750
1,300,000 CSC Holdings, Inc., 7.625%, due 07/15/2018........................................ 1,210,625
750,000 EchoStar DBS Corp., 9.375%, due 02/01/2009,
(b) Cost - $778,125; Acquired - 03/23/1999..................................... 766,875
1,950,000 Level 3 Communications, Inc., 9.125%, due 05/01/2008.............................. 1,930,500
1,000,000 Mediacom, LLC, 7.875%, due 02/15/2011,
(b) Cost - $985,920; Acquired - 02/19/1999..................................... 897,500
The accompanying notes are an integral part of these financial statements.
</TABLE>
16
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO HIGH YIELD FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Communications by Phone Television, Radio, Cable (continued)
2,450,000 Park `N View, Inc., Series B, 13.000%, due 05/15/2008............................. $ 747,250
2,000,000 Tevecap SA, 12.625%, due 11/26/2004............................................... 1,300,000
2,500,000 USA Mobile Communications, 9.500%, due 02/01/2004................................. 2,037,500
-----------
12,616,000
-----------
Durable Goods - Wholesale (.65%)
750,000 Clearnet Communications, STEP (c) 0.000%/14.750%, due 12/15/2005.................. 690,000
-----------
Eating and Drinking Places (.46%)
500,000 Avado Brands, 9.750%, due 06/01/2006.............................................. 490,000
-----------
Electric, Gas, Cogeneration, Sanitary Service (.89%)
750,000 AES Corp., 9.500%, due 06/01/2009................................................. 774,375
250,000 GNI Group, Inc., Series B, 10.875%, due 07/15/2005................................ 163,750
-----------
938,125
-----------
Electrical, Other Electrical Equipment, except Computers (.75%)
1,000,000 IPC Information Systems, Inc., STEP (c) 0.000%/10.875%, due 05/01/2008............ 795,000
-----------
Food and Kindred Products (2.60%)
750,000 Fresh Foods, Inc., 10.750%, due 06/01/2006........................................ 748,125
1,000,000 National Wine & Spirits, 10.125%, due 01/15/2009,
(b) Cost - $1,000,000; Acquired - 01/20/1999................................... 1,025,000
1,000,000 New World Pasta Co., 9.250%, due 02/15/2009,
(b) Cost - $1,000,000; Acquired - 02/11/1999................................... 977,500
-----------
2,750,625
-----------
Furniture and Fixtures (1.01%)
300,000 BE Aerospace, Inc., 9.500%, due 11/01/2008........................................ 308,250
750,000 Simmons Co., 10.250%, due 03/15/2009,
(b) Cost - $750,000; Acquired - 03/10/1999..................................... 765,000
-----------
1,073,250
-----------
General Merchandise Stores (1.84%)
2,000,000 Woolworth Corp., 7.000%, due 06/01/2000........................................... 1,951,996
-----------
Health Services (4.80%)
1,000,000 Genesis Health Ventures, 9.875%, due 01/15/2009................................... 870,000
500,000 Hudson Respiratory Care, Inc., 9.125%, due 04/15/2008............................. 420,000
750,000 Team Health, Inc., 12.000%, due 03/15/2009,
(b) Cost - $757,500; Acquired - 04/13/1999..................................... 772,500
500,000 Tenet Healthcare Corp., 8.625%, due 12/01/2003.................................... 504,800
500,000 Tenet Healthcare Corp., Series B, 7.625%, due 06/01/2008.......................... 470,000
2,000,000 Triad Hospitals Holdings, 11.000%, due 05/15/2009,
(b) Cost - $2,000,000; Acquired - 04/30/1999................................... 2,045,000
-----------
5,082,300
-----------
Holding, Other Investment Offices (.58%)
750,000 CRIIMI Mae, Inc., 9.125%, due 12/01/2002.......................................... 612,188
-----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
17
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO HIGH YIELD FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Hotels, Other Lodging Places (.81%)
900,000 HMH Properties, Inc., 8.450%, due 12/01/2008...................................... $ 859,500
-----------
Industrial, Commercial Machinery, Computer Equipment (2.14%)
750,000 Bayard Drilling Technology, Inc., Series B, 11.000%, due 06/30/2005............... 832,500
2,500,000 Dictaphone Corp., 11.750%, due 08/01/2005......................................... 1,437,500
-----------
2,270,000
-----------
Insurance Carriers (.44%)
450,000 Oxford Health Plans, Inc., 11.000%, due 05/15/2005,
(b) Cost - $465,750; Acquired - 06/12/1998 .................................... 465,750
-----------
Miscellaneous Manufacturing Industries (1.80%)
2,250,000 True Temper Sports, Inc., 10.875%, due 12/01/2008,
(b) Cost - $2,025,000; Acquired - 11/18/1998 & 05/20/1999...................... 1,901,250
-----------
Miscellaneous Retail (.20%)
200,000 Michaels Stores, Inc., 10.875%, due 06/15/2006.................................... 214,750
-----------
Motion Pictures (8.85%)
1,500,000 Carmike Cinemas, Inc., 9.375%, due 02/01/2009,
(b) Cost - $1,531,875; Acquired - 02/11/1999................................... 1,458,750
3,100,000 Hollywood Entertainment Corp., Series B, 10.625%, due 08/15/2004.................. 3,061,250
4,400,000 Regal Cinemas, Inc., 9.500%, due 06/01/2008....................................... 4,136,000
1,000,000 United Artists Theatre, Series B, 9.750%, due 04/15/2008.......................... 715,000
-----------
9,371,000
-----------
Non-Depository Credit Institutions (1.16%)
1,712,000 Aames Financial Corp., 9.125%, due 11/01/2003..................................... 1,224,080
-----------
Non-Durable Goods - Wholesale (.46%)
500,000 Terra Industries, 10.500%, due 06/15/2005......................................... 482,500
-----------
Oil and Gas Extraction (8.87%)
50,000 Cliffs Drilling Co., Series D, 10.250%, due 05/15/2003............................ 48,750
1,000,000 Grey Wolf, Inc., 8.875%, due 07/01/2007........................................... 885,000
1,000,000 ICO, Inc., Series B, 10.375%, due 06/01/2007...................................... 745,000
2,450,000 Ocean Energy, Inc., Series B, 8.375%, due 07/01/2008.............................. 2,388,750
500,000 Perez Companc SA, 9.000%, due 05/01/2006,
(b) Cost - $496,505; Acquired - 04/30/1999..................................... 443,750
2,000,000 Pride International, Inc., 10.000%, due 06/01/2009................................ 2,040,000
1,000,000 RBF Finance Co., 11.000%, due 03/15/2006,
(b) Cost - $1,000,000; Acquired - 03/19/1999................................... 1,035,000
800,000 RBF Finance Co., 11.375%, due 03/15/2009,
(b) Cost - $808,000; Acquired - 05/20/1999..................................... 832,000
1,000,000 Triton Energy, Ltd., 9.250%, due 04/15/2005....................................... 980,000
----------
9,398,250
----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
18
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO HIGH YIELD FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Paper and Allied Products (1.54%)
750,000 Doman Industries, Ltd., 12.000%, due 07/01/2004,
(b) Cost - $709,725; Acquired - 06/15/1999..................................... $ 727,500
950,000 Gaylord Container Corp., Series B, 9.750%, due 06/15/2007......................... 907,250
------------
1,634,750
------------
Petroleum Refining and Related Industries (.97%)
1,000,000 Lyondell Chemical Co., Series A, 9.625%, due 05/01/2007,
(b) Cost - $1,017,500; Acquired - 06/23/1999................................... 1,032,500
------------
Phone Communication, except Radiotelephone (3.90%)
1,000,000 Allegiance Telecom, Inc., Series B, STEP (c) 0.000%/11.750%, due 02/15/2008....... 630,000
500,000 Metromedia Fiber Network, Inc., 10.000%, due 11/15/2008........................... 516,250
2,000,000 Qwest Communications International, Series B, 7.500%, due 11/01/2008.............. 1,947,500
500,000 Rogers Cantel, Inc., 9.375%, due 06/01/2008....................................... 520,625
500,000 Time Warner Telecommunications, LLC, 9.750%, due 07/15/2008....................... 515,000
------------
4,129,375
------------
Primary Metal Industries (.24%)
250,000 NS Group, Inc., 13.500%, due 07/15/2003........................................... 256,250
------------
Radiotelephone Communication (7.41%)
2,000,000 Granite Broadcasting, 10.375%, due 05/15/2005..................................... 2,030,000
2,000,000 KMC Telecom Holdings, Inc., 13.500%, due 5/15/2009,
(b) Cost - $2,000,000; Acquired - 05/19/1999................................... 2,012,500
2,250,000 Microcell Telecommunications, Inc., Series B, STEP (c) 0.000%/14.000%,
due 06/01/2006.................................................................. 1,828,125
750,000 Mobile Telecommunications Technology Corp., 13.500%, due 12/15/2002............... 851,250
750,000 Omnipoint Corp., Series A, 11.625%, due 08/15/2006................................ 768,750
870,000 Pagemart Wireless, Inc., STEP (c) 0.000%/11.250%, due 02/01/2008.................. 352,350
------------
7,842,975
------------
Real Estate Investment Trusts (REITS) (.63%)
750,000 Felcor Suites, 7.625%, due 10/01/2007............................................. 665,939
------------
Television and Radio Broadcast Stations (1.54%)
500,000 Aircraft Service International Group, 11.000%, due 08/15/2005,
(b) Cost - $500,000; Acquired - 08/13/1998..................................... 518,125
700,000 Antenna TV SA, 9.000%, due 08/01/2007............................................. 668,500
660,000 Lin Holdings Corp., STEP (c) 0.000%/10.000%, due 03/01/2008....................... 438,900
------------
1,625,525
------------
Transportation Equipment (.26%)
200,000 Stena Line AB, 10.625%, due 06/01/2008............................................ 152,000
140,000 Tata Engineering & Locomotive Co., Ltd., 7.875%, due 07/15/2007,
(b) Cost - $125,593; Acquired - 03/15/1998..................................... 120,177
------------
272,177
------------
Total corporate bonds (cost $92,161,290).......................................... $ 89,927,892
------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
19
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO HIGH YIELD FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
PREFERRED STOCK (5.27% of total investments) (a)
Non-Depository Credit Institutions (.21%)
3,363 River Holding Corp., Series B, PIK (c), 11.500%................................... $ 221,538
------------
Phone Communication, except Radiotelephone (1.09%)
22,700 Nextlink Communications, Inc., 14.000%............................................ 1,152,025
------------
Radiotelephone Communication (2.11%)
1,027 Nextel Communications, Inc., 13.000%.............................................. 1,068,593
1,065 Nextel Communications, Inc., Series E, 11.125%.................................... 1,161,383
------------
2,229,976
------------
Textile Mill Products (.02%)
4,573 Anvil Holdings, Series B, 13.000%................................................. 24,007
------------
Television and Radio Broadcast Stations (1.84%)
10,000 Adelphia Communications, Series B, 13.000%........................................ 1,155,000
1,000 Benedek Communications Corp., 11.500%............................................. 792,500
5 IXC Communications, Inc., Series B, PIK (c), 12.500%.............................. 4,813
------------
1,952,313
------------
Total preferred stock (cost $5,666,280)........................................... $ 5,579,859
------------
STOCK APPRECIATION RIGHTS (.19% of total investments) (a)
Automobile (.19%)
15,429 General Motors Corp., Class H..................................................... 196,814
------------
Total stock appreciation rights (cost $0)......................................... $ 196,814
------------
WARRANTS (.00% of total investments) (a)
Communications by Phone, Television, Radio, Cable (.00%)
2,450 Park `N View, Inc................................................................. 2,450
------------
Total warrants (cost $0).......................................................... $ 2,450
------------
PRINCIPAL
AMOUNT
-------------
COMMERCIAL PAPER (9.63% of total investments) (a)
Depository Institutions (4.72%)
5,000,000 Citibank Capital Markets Assets, 5.800%, due 07/01/1999........................... 4,999,195
------------
Non-Depository Credit Institutions (4.91%)
5,200,000 Ford Motor Credit Co., 5.750%, due 07/01/1999..................................... 5,199,169
------------
Total commercial paper (cost $10,198,364)......................................... $ 10,198,364
------------
Total investments in securities (cost $108,025,934) .............................. $105,905,379
============
<FN>
- ----------------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Restricted under Rule 144A of the Securities Act of 1933.
(c) PIK - Payment In Kind.
STEP - Bonds where the coupon increases or steps up at a predetermined rate.
The accompanying notes are an integral part of these financial statements.
</FN>
</TABLE>
20
<PAGE>
CONSECO FUND GROUP
CONSECO CONVERTIBLE SECURITIES FUN 1999 Mid-Year Report
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER'S REVIEW
Searching for current income and capital appreciation
The intrinsic value of this hybrid fund is found in the upside potential of
equity, coupled with the downside protection of fixed income that is realized
upon conversion.
Year-to-date and since inception, the fund has produced strong results,
outperforming our benchmark, the Merrill Lynch Broad Convertible Index.
Astutely Managed Risk
We seek to uncover relatively undervalued companies that have the potential
to produce and sustain above-average returns. We search the market daily,
seeking to invest in these companies' convertible securities. Every potential
holding is subjected to a number of analytical techniques including an analysis
of the companies, their industries, their products and the structures of their
underlying securities.
Looking at the top holdings, there are a mix of industries represented.
Despite having a rapidly growing representation of the Internet in our
benchmark, we remain underweighted in the Internet sector.
We think that the Internet will revolutionize business and society, but that
may not translate into investment profits for many Internet investors.
Therefore, we have largely focused our investments in companies that offer
facilitating technology for the Web, like Antec, rather than pure-play Internet
names, like AOL.
Antec remains our top holding, held almost since the fund's inception. A
supplier of voice and data transmission equipment, Antec enables cable companies
to provide telephony and Internet access over upgraded cable lines. Despite more
than doubling in price since our purchase, Antec re mains undervalued relative
to other pure plays in this sector.
The fund will seek to retain a moderate risk profile. We do not attempt to
time the market or predict macro variables such as interest rates. The core
investment philosophy is focused on long-term, research-driven results.
Disciplined adherence to this strategy has been one of the keys to the success
of the fund.
Turnover and Taxes
Consistent performance and reasonable turnover in our core holdings have
produced a tax-efficient fund for our shareholders. I believe this trend will
continue and our detailed approach could produce solid results for investors.
Andrew S. Chow, CFA
Vice President, Portfolio Manager
Conseco Capital Management, Inc.
Average Total Return* (as of 6/30/99)
Since
YTD Inception
Inception (not (not
Date annualized) annualized)
----- ---------- ----------
Class A.......... 09/28/98 16.69% 29.57%
Class B.......... 09/28/98 16.47% 29.15%
Class C.......... 09/28/98 16.53% 29.22%
Class Y.......... 09/28/98 17.06% 30.13%
ML Broad
Convertible Index 09/28/98 13.23% 25.55%
S&P 500 Index.... 09/28/98 12.38% 33.01%
ML Bond Index.... 09/28/98 -0.39% -1.50%
- ---------------------------------------------------------
Top Five sectors (as of 6/30/99)
Transportation, Communication,
Electric, Gas and Sanitary Services.... 33.11%
Manufacturing............................. 26.57%
Wholesale and Retail Trade................ 14.79%
Services.................................. 12.30%
Finance, Insurance and Real Estate........ 10.03%
- ---------------------------------------------------------
Top Ten Holdings (as of 6/30/99)
Antec Corp................................ 6.13%
Nextel Communications, Inc................ 5.29%
MediaOne Group, Inc./Vodaphone............ 4.61%
Ford Motor Credit Co...................... 4.59%
Global Telesystems, Inc................... 4.03%
MediaOne Group, Inc....................... 3.82%
MindSpring Enterprises, Inc............... 3.69%
Costco Companies, Inc..................... 3.59%
Home Depot, Inc........................... 3.55%
Asia Pulp & Paper Global Finance, Ltd..... 3.44%
- ---------------------------------------------------------
- Current Net Assets: $38,537,160
- Increase in Net Assets YTD: $10,922,706
- Percentage Increase in Net Assets YTD: 39.55%
*Past performance is no guarantee of future results. Your investment return and
principal will fluctuate and your shares may be worth more or less than their
original cost. Total return is provided in accordance with SEC guidelines for
comparative purposes and reflects certain contractual fee waivers and/or expense
reimbursements through April 30, 2000. If the waivers were not in place, the
fund's return would have been lower. Total return is shown without the
applicable sales load. If the sales load was included, total return would have
been lower. The maximum sales load for the Conseco Convertible Securities Fund
is 5.75%. Our benchmark index, the Merrill Lynch (ML) Broad Convertible Index is
an unmanaged index considered to be representative of the convertible securities
market in general. The Merrill Lynch Bond Index and the Standard & Poor's 500
Index are secondary indexes used for additional comparisons only. The Merrill
Lynch Bond Index is an unmanaged index considered to be representative of the
fixed income market in general. The Standard & Poor's 500 Index is an unmanaged
index considered to be representative of the stock market in general.
21
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO CONVERTIBLE SECURITIES FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
COMMON STOCKS (11.83% of total investments) (a)
Business Services (2.76%)
12,000 Microsoft Corp. (b)............................................................... $1,082,250
----------
Electrical, Other Electrical Equipment, except Computers (6.12%)
75,000 Antec Corp. (b)................................................................... 2,404,687
----------
Industrial, Commercial Machinery, Computer Equipment (2.95%)
18,000 Cisco Systems, Inc. (b)........................................................... 1,157,625
----------
Total common stocks (cost $2,851,397)............................................. $4,644,562
----------
PREFERRED STOCKS (2.65% of total investments) (a)
Insurance Carriers (2.65%)
13,500 Life Re Capital Trust II, 6.000%.................................................. 1,039,500
----------
Total preferred stocks (cost $1,002,498).......................................... $1,039,500
----------
PREFERRED STOCKS - CONVERTIBLE (30.84% of total investments) (a)
Communications by Phone, Television, Radio, Cable (21.49%)
5,000 Adelphia Communications Corp., Series D, 5.500%,
conv into ADLAC common stock.................................................... 1,005,000
25,000 IXC Communications, Inc., 6.750%, conv into IIXC common stock..................... 915,625
20,000 MediaOne Group Inc., 6.250%, PIES (d), conv into VOD common stock................. 1,810,000
10,000 MediaOne Group Inc., Series D, 4.500%, conv into UMG common stock................. 1,498,125
4,000 Nextel Communications, Inc., 0.000%, conv into NXTL common stock,
(c) Cost - $1,014,700 Acquired - 12/18/1998..................................... 2,076,000
10,000 NEXTLINK Communications, Inc., 6.500%, conv into NXLK common stock................ 911,250
2,500 Sprint Corp., 8.250%, conv into SBC common stock.................................. 217,500
----------
8,433,500
----------
Depository Institutions (1.93%)
23,450 Westpac Bank Corp., 10.000%, STRYPES (d), conv into WBK common stock ............. 759,194
----------
General Merchandise Stores (1.49%)
10,000 Kmart Financing, Inc., I, 7.750%, conv into KM common stock....................... 585,000
----------
Industrial, Commercial Machinery, Computer Equipment (.70%)
6,000 Coltec Capital Trust, 5.250%, conv into GR common stock........................... 273,750
----------
Miscellaneous Retail (2.32%)
10,000 CVS Corp., 6.000%, conv into CVS common stock..................................... 911,250
----------
Motion Pictures (.87%)
1,000 TCI Pacific Communications, Inc., Series A, 5.000%, conv into T common stock...... 341,662
----------
Railroad Transportation (2.04%)
15,000 Canadian National Railway Co., 5.500%, conv into CNI common stock................. 802,500
-----------
Total preferred stocks - convertible (cost $9,633,534)........................... $12,106,856
-----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
22
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO CONVERTIBLE SECURITIES FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
CONVERTIBLE BONDS (49.23% of total investments) (a)
Building Material, Hardware, Garden Rental (4.86%)
500,000 Home Depot, Inc., 3.250%, due 10/01/2001, conv into HD common stock .............. $1,393,125
1,000,000 Elan International Financial, 0.000% (d), due 12/14/2018, conv
into ELN common stock,
(c) Cost - $524,780; Acquired - 12/09/1998...................................... 513,750
-----------
1,906,875
-----------
Business Services (5.25%)
750,000 Citrix Systems, Inc., 0.000% (d), due 03/22/2019, conv into CTXS common stock,
(c) Cost - $266,033; Acquired - 03/17/1999...................................... 341,250
1,500,000 MindSpring Enterprises, Inc., 5.000%, due 04/15/2006,
conv into MSPG common stock..................................................... 1,447,500
375,000 Sportsline USA, Inc., 5.000%, due 04/01/2006, conv into SPLN common stock,
(c) Cost - $375,000; Acquired - 03/19/1999...................................... 272,812
-----------
2,061,562
-----------
Chemicals and Allied Products (1.75%)
500,000 Alza Corp., 5.000%, due 05/01/2006, conv into AZA common stock ................... 685,625
-----------
Communications by Phone, Television, Radio, Cable (7.16%)
1,000,000 Global Telesystems, Inc., 5.750%, due 07/01/2010, conv into GTSG common stock .... 1,580,000
1,000,000 ITC Deltacom, Inc., 4.500%, due 05/15/2006, conv into ITCD common stock,
(c) Cost - $1,000,000; Acquired - 05/06/1999.................................... 1,230,000
-----------
2,810,000
-----------
Durable Goods - Wholesale (2.53%)
3,000,000 Ingram Micro, Inc., 0.000% (d), due 06/09/2018, conv into IM common stock ....... 993,750
-----------
Electric, Gas, Water, Cogeneration, Sanitary Services (2.42%)
720,000 Waste Management, Inc., 4.000%, due 02/01/2002, conv into WMI common stock ....... 947,700
-----------
Electrical, Other Electrical Equipment, except Computers (5.87%)
600,000 Level One Communications, Inc., 4.000%, due 09/01/2004,
conv into LEVL common stock.................................................... 1,175,250
1,100,000 Micron Technology, Inc., 7.000%, due 07/01/2004, conv into MU common stock ....... 1,130,250
-----------
2,305,500
-----------
General Merchandise Stores (3.59%)
1,500,000 Costco Companies, Inc., 0.000% (d), due 08/19/2017, conv into COST common stock .. 1,408,125
-----------
Health Services (3.42%)
2,000,000 Wellpoint Health Networks, Inc., 0.000% (d), due 07/02/2019, conv into
WLP common stock................................................................ 1,343,300
-----------
Industrial, Commercial Machinery, Computer Equipment (5.74%)
1,000,000 Quantum Corp., 7.000%, due 08/01/2004, conv into QNTM common stock ............... 945,000
2,000,000 Hewlett Packard Co., 0.000% (d), due 10/14/2007, conv into HWP common stock....... 1,307,500
-----------
2,252,500
-----------
Oil and Gas Extraction (3.20%)
4,000,000 Pride International, Inc., 0.000% (d), due 04/24/2018, conv into PDE common stock. 1,255,000
-----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
23
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO CONVERTIBLE SECURITIES FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Paper and Allied Products (3.44%)
1,350,000 Asia Pulp & Paper, 2.000%, due 07/25/2000, conv into PAP common
stock, (c) Cost - $1,204,500; Acquired - 11/25/1998, 04/29/1999 &
06/04/1999...................................................................... $ 1,350,000
-----------
Total convertible bonds (cost $17,469,179)........................................ $19,319,937
-----------
CORPORATE BONDS (.86% of total investments) (a)
Non-Depository Institutions (.86%)
340,000 Chrysler Financial Corp., Series S, MTN, 5.250%, due 10/19/2000................... 336,510
-----------
Total corporate bonds (cost $340,000)............................................ $ 336,510
-----------
COMMERCIAL PAPER (4.59% of total investments) (a)
Non-Depository Institutions (4.59%)
1,800,000 Ford Motor Credit Co., 5.750%, due 07/01/1999..................................... 1,799,713
-----------
Total commercial paper (cost $1,799,713).......................................... $ 1,799,713
-----------
Total investments in securities (cost $33,096,321) ............................... $39,247,078
===========
<FN>
(a) Using Standard Industry Codes prepared by the Technical Committee on Industrial Classifications.
(b) Non-dividend paying common stock.
(c) Restricted under Rule 144A of the Securities Act of 1933.
(d) PIES - Premium Income Equity Securities.
STRYPES - Structured Yield Product Exchangeable for Stock.
Zero Coupon - Bonds that make no interest payments.
</FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
24
<PAGE>
CONSECO FUND GROUP
CONSECO BALANCED FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER'S REVIEW
Searching for income consistent with capital preservation
A strong U.S. economy and the fear of inflation have pervaded the financial
markets over the past several months. On June 30, the Federal Reserve raised
short-term interest rates 25 basis points in an initial effort to stem any
potential inflation build up. While inflation hasn't been a problem, the markets
anticipated the Fed move -- bond prices rallied, interest rates fell and credit
spreads tightened as a result.
Equity Summary
In the second quarter, commodity prices rebounded and emerging markets
recovered. In addition, there was a shift away from the largest, most expensive
stocks to many of the value-oriented stocks. Internet stocks gave up their
leadership position held for several quarters. The market rediscovered mid-cap
stocks, featuring reasonable valuations and strong growth prospects -- our
investing niche.
The fund benefited from the efforts of our more than 30 analysts. By visiting
management teams, interviewing competitors and distributors, as well as testing
products, we garnered a deep understanding of each investment.
Fixed Income Summary
Corporate bond spreads over treasuries widened as heavy new issues and
investor apathy hung over the market in the second quarter. Our strategy has
been to invest in corporate bonds with fairly short maturities, increasing the
level of income. This adds income to the fund as a source of return and an
overall volatility reduction tool. While maintaining a neutral duration relative
to the market, we're striving for a 25 basis-points yield advantage.
Structuring the short end of the portfolio, we invested in asset-backed
securities (ABS), which generally offer excellent relative value in today's
market. We also utilized mortgage-backed securities (MBS) to help diversify the
risk and earn a higher level of income than investing exclusively in U.S.
Treasury securities.
A relatively new asset class is the commercial mortgage-backed securities
(CMBS) sector. While CMBS under-performed in the market, they provided good
relative value with more predictable cash flows than other types of MBS. Our
investment style emphasizes securities we consider to be undervalued based on
our proprietary research.
Our portfolio structure, which emphasizes corporate bonds, MBS, ABS and
taxable municipal bonds, is designed to provide a high total return with
manageable risk. In an environment where spreads are widening, our goal is to
match the fund's benchmark's level of return and volatility. Remaining committed
to our bottom-up, research approach to investing, we believe the fund is well
positioned for solid performance as we enter the next six months.
Gregory J. Hahn, CFA Thomas J. Pence, CFA
Senior Vice President, Senior Vice President,
Portfolio Manager Portfolio Manager
Conseco Capital Management, Inc.
Average Annual Total Return* (as of 6/30/99)
YTD
Inception (not One Since
Date annualized) Year Inception
----- ----- ------ ----------
Class A........ 01/02/97 7.26% 7.00% 14.85%
Class B........ 02/10/98 7.00% 6.46% 9.83%
Class C........ 02/13/98 6.97% 6.54% 9.34%
Class Y........ 01/02/97 7.48% 7.44% 15.39%
LBA Index...... 01/02/97 -1.37% 3.15% 6.68%
S&P 400 Midcap. 01/02/97 6.87% 17.18% 23.17%
- -------------------------------------------------------------
Top Five Sectors (as of 6/30/99)
Manufacturing............................. 24.27%
Finance, Insurance and Real Estate........ 21.73%
Services.................................. 15.71%
Transportation, Communication,
Electric, Gas and Sanitary Services.... 15.48%
Wholesale and Retail Trade................ 11.46%
- -------------------------------------------------------------
Top Ten Holdings (as of 6/30/99)
U.S. Treasury Note........................ 3.47%
U.S. Treasury Bond........................ 2.87%
Waters Corp............................... 1.93%
Kroger Co................................. 1.87%
Waste Management, Inc..................... 1.84%
Research in Motion, Ltd................... 1.82%
Family Dollar Stores, Inc................. 1.81%
EchoStar Communications Corp.............. 1.72%
First Data Corp........................... 1.70%
W.W. Grainger, Inc. ...................... 1.70%
- -------------------------------------------------------------
* Current Net Assets: $37,835,676
* Increase in Net Assets YTD: $5,135,903
* Percentage Increase in Net Assets YTD: 15.71%
*Past performance is no guarantee of future results. Your investment return and
principal will fluctuate and your shares may be worth more or less than their
original cost. Total return is provided in accordance with SEC guidelines for
comparative purposes and reflects certain contractual fee waivers and/or expense
reimbursements through April 30, 2000. If the waivers were not in place, the
fund's return would have been lower. Total return is shown without the
applicable sales load. If the sales load was included, total return would have
been lower. The maximum sales load for the Conseco Balanced Fund is 5.75%. The
Lehman Brothers Aggregate Bond (LBA) Index is an unmanaged index considered to
be representative of the bond market in general. The Standard & Poor's 400
Midcap Index is an unmanaged index considered to be representative of the
mid-cap stock arena in general.
25
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO BALANCED FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
COMMON STOCKS (62.03% of total investments) (a)
Amusement and Recreation Services (.71%)
5,220 International Speedway Corp....................................................... $ 247,950
410 Penske Motorsports, Inc. (b)...................................................... 20,346
----------
268,296
----------
Apparel and Accessory Stores (.87%)
3,630 Abercrombie & Fitch Co. (b)....................................................... 174,240
3,318 Intimate Brands, Inc.............................................................. 157,190
----------
331,430
----------
Apparel and Other Finished Products (.73%)
3,760 Tommy Hilfiger Corp. (b).......................................................... 276,360
----------
Business Services (12.44%)
2,375 Citrix Systems, Inc. (b).......................................................... 134,188
7,630 Clear Channel Communications, Inc. (b)............................................ 525,993
3,410 Concord EFS, Inc. (b)............................................................. 144,286
1,200 eBay, Inc. (b).................................................................... 181,200
9,340 Electronic Arts, Inc. (b)......................................................... 506,695
2,200 Exodus Communications, Inc. (b)................................................... 263,863
13,180 First Data Corp................................................................... 644,995
1,800 Interpublic Group of Companies, Inc............................................... 155,925
6,650 Microsoft Corp. (b)............................................................... 599,747
5,230 Omnicom Group, Inc................................................................ 418,400
14,285 Outdoor Systems, Inc. (b)......................................................... 521,403
9,795 Sotheby's Holdings, Inc. - Class A................................................ 373,434
1,480 Yahoo!, Inc. (b).................................................................. 254,930
----------
4,725,059
----------
Chemicals and Allied Products (.90%)
3,500 Estee Lauder Companies, Inc. - Class A............................................ 175,438
2,460 Medimmune, Inc. (b)............................................................... 166,665
----------
342,103
----------
Communications by Phone, Television, Radio, Cable (8.43%)
300 American Mobile Satellite Corp. (b)............................................... 4,913
7,270 Cox Communications, Inc. - Class A (b)............................................ 267,627
4,270 EchoStar Communications Corp. - Class A (b)....................................... 655,178
4,700 Frontier Corp..................................................................... 277,300
8,540 Infinity Broadcasting Corp. (b)................................................... 254,065
4,800 MCI Worldcom, Inc. (b)............................................................ 413,100
2,040 Nextlink Communications, Inc. (b)................................................. 151,725
34,215 Research In Motion, Ltd. (b)...................................................... 692,853
2,200 TCA Cable TV, Inc. (b)............................................................ 122,100
1,280 TV Guide, Inc. - Class A (b)...................................................... 46,880
2,560 Teligent, Inc. - Class A (b)...................................................... 153,120
4,095 USA Networks, Inc. (b)............................................................ 164,312
----------
3,203,173
----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
26
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO BALANCED FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Depository Institutions (2.27%)
3,390 Fifth Third Bancorp............................................................... $ 225,647
14,900 Wells Fargo & Co.................................................................. 636,974
----------
862,621
----------
Durable Goods - Wholesale (2.21%)
5,100 Tech Data Corp. (b)............................................................... 195,075
11,980 W.W. Grainger, Inc................................................................ 644,673
----------
839,748
----------
Electric, Gas, Water, Cogeneration, Sanitary Services (.30%)
5,660 Azurix Corp. (b).................................................................. 113,200
----------
Electrical, Other Electrical Equipment, except Computers (6.29%)
870 Analog Devices, Inc. (b).......................................................... 43,663
1,645 Comverse Technology, Inc. (b)..................................................... 124,198
4,185 The DII Group, Inc. (b)........................................................... 156,153
12,105 General Instrument Corp. (b)...................................................... 514,462
5,210 Jabil Circuit, Inc. (b)........................................................... 235,101
2,620 LSI Logic Corp. (b)............................................................... 120,848
3,770 Lattice Semiconductor Corp. (b)................................................... 234,683
1,450 Maxim Integrated Products, Inc. (b)............................................... 96,425
3,575 Nokia Corp. - Class A............................................................. 327,336
5,510 Vitesse Semiconductor Corp. (b)................................................... 371,581
2,910 Xilinx, Inc. (b).................................................................. 166,598
----------
2,391,048
----------
Food and Kindred Products (.81%)
2,000 Tootsie Roll Industries, Inc...................................................... 77,250
2,570 Wm. Wrigley Jr. Co................................................................ 231,300
----------
308,550
----------
Food Stores (1.87%)
25,460 Kroger Co. (b).................................................................... 711,288
----------
General Merchandise Stores (2.54%)
6,060 Ames Department Stores, Inc. (b).................................................. 276,488
28,600 Family Dollar Stores, Inc......................................................... 686,400
----------
962,888
----------
Home Furniture and Equipment Stores (1.72%)
3,960 Circuit City Stores, Inc.......................................................... 368,280
5,800 Tandy Corp........................................................................ 283,475
----------
651,755
----------
Industrial Commercial Machinery, Computers (1.60%)
5,100 Adaptec, Inc. (b)................................................................. 180,094
3,500 Baker Hughes, Inc................................................................. 117,250
4,080 Mettler - Toledo International, Inc. (b).......................................... 101,235
3,270 Pitney Bowes, Inc................................................................. 210,098
----------
608,677
----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
27
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO BALANCED FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Insurance Agents, Brokers (1.10%)
5,520 Marsh & McLennan Companies, Inc................................................... $ 416,760
----------
Insurance Companies (2.25%)
4,500 American International Group, Inc................................................. 526,780
6,240 Lincoln National Corp............................................................. 326,430
----------
853,210
----------
Measuring Instruments, Photo Goods, Watches (5.43%)
2,980 Bausch & Lomb, Inc................................................................ 227,970
8,940 Boston Scientific Corp. (b)....................................................... 392,801
6,250 Medtronic, Inc.................................................................... 486,719
3,550 Sybron International Corp. (b).................................................... 97,847
1,590 VISX, Inc. (b).................................................................... 125,908
13,800 Waters Corp. (b).................................................................. 733,124
----------
2,064,369
----------
Non-Depository Credit Institutions (2.21%)
5,350 Capital One Financial Corp........................................................ 297,928
5,810 Providian Financial Corp.......................................................... 543,235
----------
841,163
----------
Non-Durable Goods Wholesale (.41%)
3,660 U.S. Foodservice (b).............................................................. 156,008
----------
Oil and Gas Extraction (1.28%)
5,680 ENSCO International, Inc.......................................................... 113,245
7,980 Nabors Industries, Inc. (b)....................................................... 195,011
6,790 Transocean Offshore, Inc.......................................................... 178,238
----------
486,494
----------
Security and Commodity Brokers (1.58%)
1,200 Charles Schwab Corp............................................................... 131,850
4,575 Morgan Stanley Dean Witter & Co................................................... 468,938
----------
600,788
----------
Stone, Clay, Glass, Concrete Products (.60%)
1,720 Corning, Inc...................................................................... 120,615
1,670 Southdown, Inc.................................................................... 107,298
----------
227,913
----------
Textile Mill Products (.80%)
18,350 Shaw Industries, Inc.............................................................. 302,775
----------
Transportation Equipment (1.61%)
5,755 General Motors - Class H (b)...................................................... 323,719
5,285 Harley - Davidson, Inc............................................................ 287,372
----------
611,091
----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
28
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO BALANCED FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Water Transportation (1.07%)
9,320 Royal Caribbean Cruises, Ltd...................................................... $ 407,750
-----------
Total common stocks (cost $21,119,127)............................................ $23,564,517
-----------
PREFERRED STOCKS (3.02% of total investments) (a)
Communications by Phone, Television, Radio, Cable (.95%)
19 IXC Communications, Inc., Series B, PIK (d), 12.500%.............................. 18,288
12,000 Intermedia Communications, Inc., 7.000%,
(c) Cost - $300,000; Acquired - 10/24/1997...................................... 342,000
-----------
360,288
-----------
Insurance Carriers (.53%)
8,000 Lincoln National Corp., TOPrS (d), 6.400%, ....................................... 201,000
-----------
Measuring Instruments, Photo Goods, Watches (.97%)
5,605 River Holding Corp., Series B, PIK (d), 11.500%................................... 369,229
-----------
Non-Depository Credit Institutions (.57%)
2,000 Centaur Funding Corp., 9.080%,
(c) Cost - $226,056; Acquired - 01/14/1999...................................... 215,125
-----------
Total preferred stocks (cost $1,268,560).......................................... $ 1,145,642
-----------
PREFERRED STOCKS - CONVERTIBLE (.91% of total investments) (a)
Electric, Gas, Water, Cogeneration, Sanitary Services (.91%)
6,000 The AES Corporation Trust II, 5.500%,
(c) Cost - $300,000; Acquired - 10/24/1997...................................... 346,500
-----------
Total preferred stocks - convertible (cost $300,000).............................. $ 346,500
-----------
WARRANTS (0.00% of total investments) (a)
Communications by Phone, Television, Radio, Cable (0.00%)
100 Park `N View, Inc................................................................. 100
-----------
Miscellaneous Manufacturing (0.00%)
200 V2 Music Holdings................................................................. 25
-----------
Total warrants (cost $0).......................................................... $ 125
-----------
PRINCIPAL
AMOUNT
-------------
CORPORATE BONDS (23.68% of total investments) (a)
Apparel and Other Finished Products (.26%)
100,000 Tommy Hilfiger Corp., 6.500%, due 06/01/2003...................................... 97,166
-----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
29
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO BALANCED FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Auto Repair and Parking (1.30%)
400,000 Amerco-MTN, 7.470%, due 01/15/2027................................................ $ 393,368
100,000 Avis Rent A Car, Inc., 11.000%, due 05/01/2009,
(c) Cost - $101,375; Acquired - 06/28/1999...................................... 101,875
----------
495,243
----------
Business Services (.38%)
250,000 Pinnacle Holdings, Inc., STEP (d) 0.000%/10.000%, due 03/15/2008.................. 144,375
----------
Communications by Phone, Television, Radio, Cable (1.98%)
150,000 Cable and Wireless Communications PLC, 6.375%, due 03/06/2003..................... 147,635
200,000 Lenfest Communications, Inc., 8.375%, due 11/01/2005.............................. 208,500
100,000 Park `N View, Inc., Series B, 13.000%, due 05/15/2008............................. 30,500
400,000 Sprint Capital Corp., 6.875%, due 11/15/2028...................................... 365,294
----------
751,929
----------
Depository Institutions (3.67%)
300,000 Centura Bank, 6.500% due 03/15/2009............................................... 280,539
500,000 Dime Bancorp, Inc., 6.375%, due 01/30/2001........................................ 497,380
650,000 Union Planters Bank, National Association, 6.500%, due 03/15/2008 ............... 613,995
----------
1,391,914
----------
Electric, Gas, Water, Cogeneration, Sanitary Services (1.84%)
700,000 Waste Management, Inc., 6.625%, due 07/15/2002.................................... 699,683
----------
Food Stores (1.18%)
300,000 Kroger Co., 6.000%, due 07/01/2000................................................ 299,770
150,000 Safeway, Inc., 5.750%, due 11/15/2000............................................. 148,835
----------
448,605
----------
General Merchandise Stores (.38%)
150,000 Shopko Stores, Inc., 6.500%, due 08/15/2003....................................... 145,451
----------
Hotels, Other Lodging Places (.88%)
350,000 HMH Properties, Inc., 8.450%, due 12/01/2008...................................... 334,250
----------
Insurance Companies (.86%)
400,000 Orion Capital Trust II, 7.700%, due 04/15/2028.................................... 325,623
----------
Lumber and Wood Products, except Furniture (1.33%)
500,000 West Fraser Mill, 7.250%, due 09/15/2002,
(c) Cost - $499,920; Acquired - 01/06/1997...................................... 506,150
----------
Measuring Instruments, Photo Goods, Watches (.92%)
350,000 Bausch & Lomb, Inc., 6.150%, due 08/01/2001...................................... 347,293
----------
Miscellaneous Manufacturing (.27%)
200,000 V2 Music Holdings, STEP (d) 0.000%/14.000%, due 04/15/2008,
(c) Cost - $102,402; Acquired - 05/07/1998..................................... 104,000
----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
30
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO BALANCED FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Miscellaneous Retail (.28%)
100,000 Michaels Stores, Inc., 10.875%, due 06/15/2006.................................... $ 107,375
----------
Non-Depository Credit Institutions (.38%)
150,000 Key Bank USA, National Association, BKNT, 6.500%, due 10/15/2027.................. 145,082
----------
Oil and Gas Extraction (1.29%)
500,000 Triton Energy Ltd., 9.250%, due 04/15/2005........................................ 490,000
----------
Petroleum Refining and Related Industries (1.49%)
175,000 Lyondell Chemical Co., 9.625%, due 05/01/2007,
(c) Cost - $178,500; Acquired - 06/24/1999..................................... 180,688
350,000 Pennzoil Co., 10.125%, due 11/15/2009............................................. 385,801
----------
566,489
----------
Real Estate Investment Trusts (REITS) (3.29%)
150,000 CarrAmerica Realty Corp., 6.625%, due 03/01/2005.................................. 140,940
500,000 Regency Centers, L.P., 7.400%, due 04/01/2004..................................... 497,093
100,000 Corporate Property Investors, Inc., 9.000%, due 03/15/2002,
(c) Cost - $109,680; Acquired - 03/17/1998..................................... 104,652
500,000 United Dominion Realty Trust, Inc., 8.125%, due 11/15/2000........................ 507,112
----------
1,249,797
----------
Security and Commodity Brokers (1.44%)
200,000 Fidelity Investments, 7.570%, due 06/15/2029,
(c) Cost - $200,000; Acquired - 06/17/1999...................................... 199,750
350,000 Lehman Brothers Holdings, Inc., 7.000%, due 05/15/2003............................ 348,474
----------
548,224
----------
Stone, Clay, Glass, Concrete (.26%)
100,000 Owens Corning, 7.500%, due 05/01/2005............................................. 99,086
----------
Total corporate bonds (cost $9,260,989)........................................... $8,997,735
----------
MUNICIPAL BONDS (1.53% of total investments) (a)
250,000 Capital Projects Finance Authority, Florida Revenue, 8.000%, due 12/01/2001....... 249,165
350,000 Mississippi Development Bank, Special Obligation, Series 1998, 8.500%,
due 12/01/2018.................................................................. 331,280
----------
Total municipal bonds (cost $600,000)............................................. $ 580,445
----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (7.25% of total investments) (a)
1,115,000 U.S. Treasury Bond, 5.500%, due 05/15/2009........................................ 1,089,216
100,000 U.S. Treasury Note, 5.375%, due 06/30/2003........................................ 98,782
250,000 U.S. Treasury Note, 5.250%, due 05/15/2004........................................ 245,703
1,490,000 U.S. Treasury Note, 5.250%, due 11/15/2028........................................ 1,319,116
----------
Total U.S. government and agency obligations (cost $2,801,627).................... $2,752,817
----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
31
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO BALANCED FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
COMMERCIAL PAPER (1.58% of total investments) (a)
Depository Institutions (1.58%)
600,000 Citibank Capital Markets Assets, 5.800%, due 07/01/1999........................... $ 599,903
-----------
Total commercial paper (cost $599,903)............................................ $ 599,903
-----------
Total investments in securities (cost $35,950,206)................................ $37,987,684
-----------
-----------
<FN>
(a) Using Standard Industry Codes prepared by the Technical Committee on Industrial Classifications.
(b) Non-dividend paying common stock.
(c) Restricted under Rule 144A of the Securities Act of 1933.
(d) PIK - Payment In Kind.
STEP - Bonds where the coupon increases or steps up at a predetermined rate.
TOPrS - Trust Originated Preferred Securities.
</FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
32
<PAGE>
CONSECO FUND GROUP
CONSECO EQUITY FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER'S REVIEW Searching for high equity and total return
The fund enjoyed a solid six-month performance, returning 10.39% (A shares)*
vs. 6.87% for the S&P 400 Midcap Index. During a period when the market once
again began to favor stocks other than the top 50, these results encouraged
those of us who adhere to bottom-up research and active management.
Our six-month record was largely attributable to investing in well-managed
companies representing some of the most exciting growth areas like technology,
telecommunications, media and advertising. We believe the high returns on
capital from these companies are sustainable and likely to increase.
The explosion in e-commerce is extremely powerful and we believe the Internet
will eventually transform the way business is conducted in virtually every
sector. Rather than concentrate on pure Internet portals, we've chosen to focus
on more traditional companies poised to deliver earnings increases via the
Internet.
One example, First Data, develops Internet solutions for customer bill
delivery and settlement. Long known for strengths in credit card processing and
issuance (and the Western Union franchise), it is divesting its unprofitable
businesses and using the proceeds -- along with Western Union's strong cash flow
- -- to diversify into alliances with other Internet companies. As a result, First
Data could be the preeminent player in Internet transaction processing.
Data traffic on traditional telecommunication networks is increasing rapidly,
demanding greater bandwidth, and faster processing and storage. By investing in
companies that create the hardware for this technology, as well as in companies
that connect users to the Internet, the fund generated solid returns.
Two companies providing unique personal and household information
connectivity also performed well. EchoStar Communications delivers direct
satellite television and the Internet into households. Its value is increasing
because it offers a viable, lower-cost cable alternative to content providers.
Research in Motion offers Internet connectivity through a new proprietary
technology enabling individuals to stay fully connected with their office,
e-mail, calendar and productivity tools via a two-way, pager-like device using
existing paging networks.
In conclusion, it appears that new growth drivers such as telecommunications
and the Internet, combined with some economies improving overseas, are making
mid-cap return potential more attractive than slower-growing large-caps. We're
concerned about the Fed's cautious tone on inflation -- particularly in the
labor markets. Although the markets responded favorably to the June 30
tightening, the Fed may act upon any wage pressure evidence. Y2K concerns
remain. If a portion of the year's first-half strength was related to corporate
Y2K readiness, then we may experience a corresponding second-half slow down.
We will continue to use our bottom-up, research-intensive approach to seek
shareholder value for you.
Thomas J. Pence, CFA
Senior Vice President, Portfolio Manager
Conseco Capital Management, Inc.
Average Annual Total Return* (as of 6/30/99)
YTD
Inception (not One Since
Date annualized) Year Inception
----- ---------- ------ ----------
Class A........ 01/02/97 10.39% 12.39% 19.94%
Class B ....... 01/28/98 10.14% 11.84% 17.20%
Class C........ 02/19/98 10.35% 12.14% 12.41%
Class Y........ 01/02/97 10.70% 12.90% 20.56%
S&P 400 Midcap.. 01/02/97 6.87% 17.18% 23.17%
S&P 500 Index.. 01/02/97 12.38% 22.75% 30.00%
- --------------------------------------------------------------------------------
Top Five Sectors (as of 6/30/99)
Manufacturing............................. 30.10%
Services.................................. 19.55%
Wholesale and Retail Trade................ 18.20%
Finance, Insurance and Real Estate........ 15.13%
Transportation, Communication,
Electric, Gas and Sanitary Services.... 14.89%
- --------------------------------------------------------------------------------
Top Ten Holdings (as of 6/30/99)
Family Dollar Stores, Inc................. 3.49%
Waters Corp............................... 3.21%
Kroger Co................................. 3.06%
Research in Motion, Ltd................... 3.05%
First Data Corp........................... 2.88%
EchoStar Communications Corp.............. 2.85%
W.W. Grainger, Inc........................ 2.81%
Ford Motor Credit Co...................... 2.43%
Providian Financial Corp.................. 2.40%
Clear Channel Communications, Inc......... 2.29%
- --------------------------------------------------------------------------------
* Current Net Assets: $97,535,492
* Increase in Net Assets YTD: $8,265,893
* Percentage Increase in Net Assets YTD: 9.26%
*Past performance is no guarantee of future results. Your investment return and
principal will fluctuate and your shares may be worth more or less than their
original cost. Total return is provided in accordance with SEC guidelines for
comparative purposes and reflects certain contractual fee waivers and/or expense
reimbursements through April 30, 2000. If the waivers were not in place, the
fund's return would have been lower. Total return is shown without the
applicable sales load. If the sales load was included, total return would have
been lower. The maximum sales load for the Conseco Equity Fund is 5.75%. The
Standard & Poor's 400 Midcap Index is an unmanaged index considered to be
representative of the midcap stock arena in general. The Standard & Poor's 500
Index is an unmanaged index considered to be representative of the U.S. stock
market in general.
33
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO EQUITY FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
COMMON STOCKS (97.57% of total investments) (a)
Amusement and Recreation Services (1.31%)
25,260 International Speedway Corp....................................................... $ 1,199,850
1,750 Penske Motorsports, Inc. (b)...................................................... 86,844
-----------
1,286,694
-----------
Apparel and Accessory Stores (1.46%)
15,570 Abercrombie & Fitch Co. (b)....................................................... 747,360
14,595 Intimate Brands, Inc.............................................................. 691,438
-----------
1,438,798
-----------
Apparel and Other Finished Products (1.22%)
16,370 Tommy Hilfiger Corp. (b).......................................................... 1,203,195
-----------
Business Services (18.11%)
10,550 Citrix Systems, Inc. (b).......................................................... 596,075
32,830 Clear Channel Communications, Inc. (b)............................................ 2,263,218
14,700 Concord EFS, Inc. (b)............................................................. 621,994
5,240 eBay, Inc. (b).................................................................... 791,240
40,110 Electronic Arts, Inc. (b)......................................................... 2,175,968
9,410 Exodus Communications, Inc. (b)................................................... 1,128,612
58,075 First Data Corp................................................................... 2,842,044
7,780 Interpublic Group of Companies, Inc............................................... 673,943
22,830 Omnicom Group, Inc................................................................ 1,826,400
61,320 Outdoor Systems, Inc. (b)......................................................... 2,238,180
41,690 Sotheby's Holdings, Inc. - Class A................................................ 1,589,431
6,515 Yahoo!, Inc. (b).................................................................. 1,122,209
-----------
17,869,314
-----------
Chemicals and Allied Products (2.33%)
12,740 Biogen, Inc. (b).................................................................. 819,341
15,180 Estee Lauder Companies, Inc. - Class A ........................................... 760,898
10,550 Medimmune, Inc. (b)............................................................... 714,763
-----------
2,295,002
-----------
Communications By Phone, Television, Radio, Cable (12.18%)
1,270 American Mobile Satellite Corp. (b)............................................... 20,796
31,230 Cox Communications, Inc. - Class A (b)............................................ 1,149,654
18,350 EchoStar Communications Corp. - Class A (b)....................................... 2,815,578
20,250 Frontier Corp..................................................................... 1,194,750
36,330 Infinity Broadcasting Corp. (b)................................................... 1,080,818
8,760 Nextlink Communications, Inc. (b)................................................. 651,525
148,365 Research In Motion, Ltd. (b)...................................................... 3,004,390
9,490 TCA Cable TV, Inc. (b)............................................................ 526,695
5,590 TV Guide, Inc. - Class A (b)...................................................... 204,734
10,970 Teligent, Inc. - Class A (b)...................................................... 656,143
17,675 USA Networks, Inc. (b)............................................................ 709,209
-----------
12,014,292
-----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
34
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO EQUITY FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Depository Institutions (4.24%)
14,570 Fifth Third Bancorp............................................................... $ 969,816
7,260 Marshall & Ilsley Corp............................................................ 467,363
50,400 Mellon Bank Corp.................................................................. 1,833,300
14,400 Zions Bancorporation.............................................................. 914,400
-----------
4,184,879
-----------
Durable Goods - Wholesale (3.71%)
23,150 Tech Data Corp. (b)............................................................... 885,488
51,510 W.W. Grainger, Inc................................................................ 2,771,881
-----------
3,657,369
-----------
Eating and Drinking Places (.48%)
12,680 Starbucks Corp. (b)............................................................... 476,293
-----------
Educational Services (.13%)
4,620 Apollo Group, Inc. - Class A (b).................................................. 122,719
-----------
Electric, Gas, Water, Cogeneration, Sanitary Services (.95%)
24,540 Azurix Corp. (b).................................................................. 490,800
17,050 Energy East Corp.................................................................. 443,300
-----------
934,100
-----------
Electrical, Other Electrical Equipment, except Computers (9.11%)
3,770 Analog Devices, Inc. (b).......................................................... 189,207
7,250 Comverse Technology, Inc. (b)..................................................... 547,375
17,975 The DII Group, Inc. (b)........................................................... 670,692
51,970 General Instrument Corp. (b)...................................................... 2,208,724
22,370 Jabil Circuit, Inc. (b)........................................................... 1,009,446
11,540 LSI Logic Corp. (b)............................................................... 532,283
16,540 Lattice Semiconductor Corp. (b)................................................... 1,029,615
7,400 Maxim Integrated Products, Inc. (b)............................................... 492,100
23,400 Vitesse Semiconductor Corp. (b)................................................... 1,578,038
12,730 Xilinx, Inc. (b).................................................................. 728,793
-----------
8,986,273
-----------
Food and Kindred Products (1.36%)
8,600 Tootsie Roll Industries, Inc...................................................... 332,175
11,230 Wm. Wrigley Jr. Co................................................................ 1,010,700
-----------
1,342,875
-----------
Food Stores (3.06%)
108,080 Kroger Co. (b).................................................................... 3,019,484
-----------
General Merchandise Stores (4.70%)
26,090 Ames Department Stores, Inc. (b).................................................. 1,190,356
143,650 Family Dollar Stores, Inc......................................................... 3,447,599
-----------
4,637,955
-----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
35
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO EQUITY FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Home Furniture and Equipment Stores (3.27%)
16,995 Circuit City Stores, Inc.......................................................... $ 1,580,535
24,970 Tandy Corp........................................................................ 1,220,409
37,420 Trans World Entertainment Corp. (b)............................................... 420,975
-----------
3,221,919
-----------
Industrial, Commercial Machinery, Computers (2.90%)
22,160 Adaptec, Inc. (b)................................................................. 782,525
15,070 Baker Hughes, Inc................................................................. 504,845
26,520 Mettler - Toledo International, Inc. (b).......................................... 658,028
14,310 Pitney Bowes, Inc................................................................. 919,418
-----------
2,864,816
-----------
Insurance Agents, Brokers (1.80%)
23,500 Marsh & McLennan Companies, Inc................................................... 1,774,250
-----------
Insurance Companies (2.35%)
14,700 Allmerica Financial Corp. ........................................................ 893,944
27,300 Lincoln National Corp............................................................. 1,428,131
-----------
2,322,075
-----------
Measuring Instruments, Photo Goods, Watches (7.41%)
12,800 Bausch & Lomb, Inc................................................................ 979,200
38,370 Boston Scientific Corp. (b)....................................................... 1,685,882
34,010 Sybron International Corp. (b).................................................... 937,401
6,870 VISX, Inc. (b).................................................................... 544,018
59,600 Waters Corp. (b).................................................................. 3,166,249
-----------
7,312,750
-----------
Miscellaneous Retail (.50%)
24,720 Valuevision International, Inc. - Class A (b)..................................... 491,310
-----------
Non-Depository Credit Institutions (3.73%)
23,565 Capital One Financial Corp........................................................ 1,312,276
25,335 Providian Financial Corp. ........................................................ 2,368,822
-----------
3,681,098
-----------
Non-Durable Goods Wholesale (1.02%)
14,693 Bindley Western Industries, Inc. (b).............................................. 338,865
15,720 U.S. Foodservice (b).............................................................. 670,065
-----------
1,008,930
-----------
Oil and Gas Extraction (2.13%)
25,010 ENSCO International, Inc. ........................................................ 498,637
34,360 Nabors Industries, Inc. (b)....................................................... 839,673
29,200 Transocean Offshore, Inc. ........................................................ 766,500
-----------
2,104,810
-----------
Printing and Publishing (.23%)
425 The Washington Post Co. - Class B................................................. 228,544
-----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
36
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO EQUITY FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Security and Commodity Brokers (.58%)
5,155 Charles Schwab Corp............................................................... $ 566,406
-----------
Stone, Clay, Glass, Concrete Products (1.38%)
7,330 Corning, Inc...................................................................... 514,016
13,150 Southdown, Inc. (b)............................................................... 844,888
-----------
1,358,904
-----------
Textile Mill Products (1.31%)
78,550 Shaw Industries, Inc.............................................................. 1,296,075
-----------
Transportation Equipment (2.85%)
28,265 General Motors - Class H (b)...................................................... 1,589,906
22,515 Harley - Davidson, Inc............................................................ 1,224,253
-----------
2,814,159
-----------
Water Transportation (1.76%)
39,680 Royal Caribbean Cruises, Ltd...................................................... 1,736,000
-----------
Total common stocks (cost $85,052,186)........................................... $96,251,288
-----------
PRINCIPAL
AMOUNT
-------------
COMMERCIAL PAPER (2.43% of total investments) (a)
Non-Depository Credit Institutions (2.43%)
2,400,000 Ford Motor Credit Co., 5.750%, due 07/01/1999..................................... 2,399,617
-----------
Total commercial paper (cost $2,399,617)......................................... $ 2,399,617
-----------
Total investments in securities (cost $87,451,803)................................ $98,650,905
-----------
-----------
<FN>
(a) Using Standard Industry Codes prepared by the Technical Committee on Industrial Classifications.
(b) Non-dividend paying common stock.
</FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
37
<PAGE>
CONSECO FUND GROUP
CONSECO 20 FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER'S REVIEW
Searching for growth through a portfolio of "best ideas"
The fund is growing and has provided exceptionally strong returns,
outperforming the fund's benchmarks by significant margins over the past six
months.
Our all-cap, growth-with-value concentrated strategy is one key to this
success. More than 30 industry analysts aggresively investigate and analyze
reasonably priced growth companies that are producing earnings as fast or faster
than the S&P's 50 largest companies.
Bottom-up research and strict discipline enable us to "surround" a company
and invest at very attractive prices. Only 29 highly coveted, "best of the best"
names have met our rugged entry criteria. We don't stop there. This year, we've
visited many of our top holdings, "kicking the tires" and relentlessly
scrutinizing management and results.
This investigative investing includes selling holdings that no longer meet
our criteria.
Coinciding with our research philosophy, many domestic and foreign investors
have shifted their investment strategies, transferring assets "down market" --
out of the top large-caps into companies whose stock has greater value and
growth potential, like those that comprise the Conseco 20 Fund. Hence, the fund
has profited from this market movement.
Exciting Risk-Reward Performance Opportunities
Each investment features a healthy balance sheet and strong returns on
invested capital, solid R&D, product leadership, increasing sales, upward
earnings trends and committed leadership with an equity stake.
We like the portfolio's risk-reward ratio because each holding has strong
fundamentals and sound management. We believe they are emerging leaders in
growing sectors, capable of delivering above-average earnings over the next 18
to 24 months.
EchoStar is an example that epitomizes the fund's performance. A pure play in
the satellite TV industry, its technology delivers point-to-point video quality
far superior to and more cost-effective than cable. By summer's end, President
Clinton is expected to sign a landmark communications bill that will guarantee
satellite-company access to local TV channels.
Requiring minimal capital investment, EchoStar can offer up to 500 channels,
is Internet-ready, and is positioned to immediately offer service to 100 million
American homes. They hope to accomplish this at a mere fraction of what it will
cost competitors. By June 30, the stock had increased by nearly 55% from the
fund's original purchase price.
That is what this focus fund is all about -- highly visible, well-managed
companies with good growth, compelling valuations and considerable staying
power.
Erik J. Voss, CFA
2nd Vice President, Portfolio Manager
Conseco Capital Management, Inc.
Average Annual Total Return* (as of 6/30/99)
YTD
Inception (not One Since
Date annualized) Year Inception
----- ----------- ----- ----------
Class A........ 01/01/98 20.55% 29.55% 33.53%
Class B........ 02/18/98 20.38% 29.11% 24.55%
Class C........ 03/10/98 20.31% 29.12% 21.59%
Class Y........ 04/06/98 20.99% 30.25% 19.03%
S&P 400 Midcap 01/01/98 6.87% 17.18% 17.46%
S&P 500 Index.. 01/01/98 12.38% 22.75% 27.80%
- --------------------------------------------------------------------------------
Top Five Sectors (as of 6/30/99)
Finance, Insurance and Real Estate........ 21.85%
Services.................................. 21.10%
Transportation, Communication,
Electric, Gas and Sanitary Services.... 20.86%
Manufacturing............................. 19.89%
Wholesale and Retail Trade................ 14.61%
- --------------------------------------------------------------------------------
Top Ten Holdings (as of 6/30/99)
Research in Motion, Ltd................... 6.36%
EchoStar Communications Corp.............. 5.99%
Kroger Co................................. 5.25%
Ford Motor Credit Co...................... 5.16%
Royal Caribbean Cruises, Ltd.............. 5.04%
Electronic Arts, Inc...................... 4.47%
Berkshire Hathaway, Inc................... 4.33%
Sotheby's Holdings, Inc................... 4.12%
Waters Corp............................... 4.11%
W.W. Grainger, Inc........................ 4.02%
- --------------------------------------------------------------------------------
* Current Net Assets: $72,606,228
* Increase in Net Assets YTD: $28,337,098
* Percentage Increase in Net Assets YTD: 64.01%
*Past performance is no guarantee of future results. Your investment return and
principal will fluctuate and your shares may be worth more or less than their
original cost. Total return is provided in accordance with SEC guidelines for
comparative purposes and reflects certain contractual fee waivers and/or expense
reimbursements through April 30, 2000. If the waivers were not in place, the
fund's return would have been lower. Total return is shown without the
applicable sales load. If the sales load was included, total return would have
been lower. The maximum sales load for the Conseco 20 Fund is 5.75%. The
Standard & Poor's 400 Midcap Index is an unmanaged index considered to be
representative of the mid-cap stock arena in general. The Standard & Poor's 500
Index is an unmanaged index considered to be representative of the U.S. stock
market in general.
38
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO 20 FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
COMMON STOCKS (94.84% of total investments) (a)
Business Services (19.00%)
19,580 Clear Channel Communications, Inc. (b)............................................ $ 1,349,796
59,030 Electronic Arts, Inc. (b)......................................................... 3,202,377
29,295 First Data Corp................................................................... 1,433,624
27,850 Microsoft Corp. (b)............................................................... 2,511,722
27,020 Omnicom Group, Inc................................................................ 2,161,600
77,500 Sotheby's Holdings, Inc. - Class A................................................ 2,954,688
-----------
13,613,807
-----------
Chemicals and Allied Products (2.95%)
9,860 Pfizer, Inc....................................................................... 1,082,135
14,920 Warner-Lambert, Co................................................................ 1,035,075
-----------
2,117,210
-----------
Communications by Phone, Television, Radio, Cable (15.82%)
27,965 EchoStar Communications Corp. - Class A (b)....................................... 4,290,880
28,910 MCI Worldcom, Inc. (b)............................................................ 2,488,067
225,240 Research In Motion, Ltd. (b)...................................................... 4,561,110
-----------
11,340,057
-----------
Depository Institutions (2.72%)
45,630 Wells Fargo & Co.................................................................. 1,950,683
-----------
Durable Goods - Wholesale (4.02%)
53,480 W.W. Grainger, Inc................................................................ 2,877,892
-----------
Educational Services (2.10%)
67,370 Devry (b)......................................................................... 1,507,404
-----------
Electrical, Other Electrical Equipment, except Computers (5.22%)
21,835 Motorola, Inc..................................................................... 2,068,866
18,260 Nokia Corp. - Class A............................................................. 1,671,931
-----------
3,740,797
-----------
Food Stores (5.25%)
134,740 Kroger Co. (b).................................................................... 3,764,298
-----------
General Merchandise Stores (2.65%)
29,200 Dayton Hudson Corp. (b)........................................................... 1,898,000
-----------
Home Furniture & Equipment Store (2.69%)
20,760 Circuit City Stores, Inc.......................................................... 1,930,680
-----------
Industrial, Commercial Machinery, Computers (1.85%)
20,610 Pitney Bowes, Inc................................................................. 1,324,193
-----------
Insurance Agents, Brokers (3.29%)
31,210 Marsh & McLennan Companies, Inc................................................... 2,356,354
-----------
The accompanying notes are an integral part of these financial statements.
</TABLE>
39
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
CONSECO 20 FUND 1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
NUMBER OF
SHARES SECURITY VALUE
------------- ----------- -------
<S> <C> <C>
Insurance Companies (6.68%)
14,430 American International Group, Inc................................................. $ 1,689,212
45 Berkshire Hathaway, Inc. (b)...................................................... 3,100,500
-----------
4,789,712
-----------
Measuring Instruments, Photo Goods, Watches (7.56%)
31,700 Medtronic, Inc.................................................................... 2,468,638
55,500 Waters Corp. (b).................................................................. 2,948,438
-----------
5,417,076
-----------
Oil and Gas Extraction (1.69%)
46,080 Transocean Offshore, Inc. ........................................................ 1,209,600
-----------
Security and Commodity Brokers (4.00%)
27,960 Morgan Stanley Dean Witter & Co................................................... 2,865,900
-----------
Transportation Equipment (2.31%)
29,410 General Motors - Class H (b)...................................................... 1,654,313
-----------
Water Transportation (5.04%)
82,550 Royal Caribbean Cruises, Ltd...................................................... 3,611,562
-----------
Total common stocks (cost $60,073,696)............................................ $67,969,538
-----------
PRINCINPAL
AMOUNT
-------------
COMMERCIAL PAPER (5.16% of total investments) (a)
Non-Depository Credit Institutions (5.16%)
3,700,000 Ford Motor Credit Co., 5.750%, due 07/01/1999..................................... 3,699,409
-----------
Total commercial paper (cost $3,699,409).......................................... $ 3,699,409
-----------
Total investments in securities (cost $63,773,105)................................ $71,668,947
===========
<FN>
(a) Using Standard Industry Codes prepared by the Technical Committee on Industrial Classifications.
(b) Non-dividend paying common stock.
</FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
40
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
(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 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 Convertible Securities Fund, Conseco Balanced Fund,
Conseco Equity Fund and Conseco 20 Fund. The Conseco Fixed Income, Conseco
Balanced and Conseco Equity Funds became operational and available for sale on
January 2, 1997. The Conseco High Yield and Conseco 20 Funds commenced
operations on January 1, 1998. The Conseco Convertible Securities Fund became
operational and available for sale on September 28, 1998.
Each of the Funds has distinct investment objectives. The Conseco Fixed
Income Fund invests primarily in investment grade debt securities. The Conseco
High Yield Fund invests primarily in below investment grade securities, commonly
known as "junk bonds" or high-yield securities. The Conseco Convertible
Securities Fund invests primarily in below investment grade securities that are
convertible into common stock. The Conseco Balanced 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 20 Fund concentrates its investments in a core position of approximately
20 to 30 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.
Class B shares have a contingent deferred sales charge for redemptions
occurring within six years of their purchase. The contingent deferred sales
charge is a percentage of the net asset value of the shares at the date of
purchase or the net asset value of the shares at the date of redemption,
whichever is less. These charges are 5% in year one, 4% in year two, 3% in year
three, 3% in year four, 2% in year five and 1% in year six. Class B will
automatically convert to a number of Class A shares of equal dollar value eight
years after purchase. This conversion feature benefits shareholders because
Class A shares have lower ongoing expenses than Class B shares. Class C shares
that are held for less than one year are subject to a contingent deferred sales
charge upon redemption in an amount equal to 1% of the lower of the net asset
value of the shares at the date of purchase or the net asset value of the shares
at the date of redemption. Class C shares held one year or longer are not
subject to this contingent deferred sales charge. The contingent deferred sales
charge will not apply to shares acquired due to reinvestment of dividends or
capital gains distributions.
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 following summarizes the investments, which carry certain restrictions
as to resale from the Trust to certain qualified buyers:
Market % of
Fund Cost Value Fund
----- ----------- ---------- ----
Conseco Fixed Income -
bonds............... $11,073,359 $10,910,778 14.93%
Conseco Fixed Income -
preferred stock..... 750,000 806,719 1.10%
41
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
(UNAUDITED)
Market % of
Fund Cost Value Fund
----- ----------- ---------- -----
Conseco High Yield -
bonds.............. 25,963,858 25,476,677 24.06%
Conseco Convertible
Securities - bonds.. 3,370,313 3,707,812 9.45%
Conseco Convertible
Securities -
preferred stock..... 1,014,700 2,076,000 5.29%
Conseco Balanced -
bonds............... 1,191,877 1,197,115 3.15%
Conseco Balanced -
preferred stocks.... 826,056 903,625 2.38%
These securities are eligible for resale to qualified institutional buyers
in transactions exempt from registration under Rule 144A of the Securities Act
of 1933.
In each Fund of the Trust, Fund securities that 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 that 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, Conseco High Yield and Conseco
Convertible Securities Funds will be declared and distributed monthly. Dividends
from the Conseco Balanced, Conseco 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.
Organization Costs
Costs incurred by all Funds, except the Conseco Convertible Securities
Fund, in connection with their organization and public offering of shares
totaling $461,794 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. Such costs were advanced by Conseco, Inc. ("Conseco") and were
reimbursed by the Funds. The proceeds of any redemption of the initial shares
(purchased by subsidiaries of Conseco) by any holder thereof will be reduced by
any unamortized organization 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.
Statement of Position 98-5 ("SOP 98-5") states that organization costs may
no longer be capitalized and carried as assets with ratable reduction through
amortization. SOP 98-5, as it pertains to the Trust, permits capitalization of
organization costs only if the investment company shares are sold to independent
third parties prior to June 30, 1998. Due to the commencement of operations of
the Conseco Convertible Securities Fund on September 28, 1998, organization
costs, related to such Fund, were not capitalized. These costs were incurred by
Conseco Capital Management, Inc., (the "Adviser"), a wholly owned subsidiary of
Conseco, which serves as investment adviser to the Funds pursuant to investment
advisory agreements. The Conseco Convertible Securities Fund is not obligated to
reimburse the Adviser for such costs.
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 gains 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
42
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
(UNAUDITED)
shares are charged to that Class. The Fund pays the expenses of its Trustees who
are not affiliated persons of the Adviser or Trust.
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 the
disclosure of contingent assets and liabilities as of the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results may differ from
these estimates.
3. AGREEMENTS WITH SUBSIDIARIES OF CONSECO
Investment Advisory Agreement
The Adviser supervises the Trust's management and investment program,
performs a variety of services in connection with the 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 following summarizes the
total fees incurred for such services for the six months ended June 30, 1999:
Fund Amount
----- ---------
Conseco Fixed Income........................ $140,400
Conseco High Yield.......................... 280,412
Conseco Convertible Securities.............. 128,973
Conseco Balanced............................ 121,280
Conseco Equity.............................. 306,490
Conseco 20.................................. 182,229
Under the investment advisory agreement, the Adviser receives an investment
advisory fee equal to an annual rate of 0.45% of the average daily net assets of
the Conseco Fixed Income Fund, 0.85% of the average daily net assets of the
Conseco Convertible Securities Fund and 0.70% of the average daily net assets of
the Conseco High Yield, Conseco Balanced, Conseco Equity, and Conseco 20 Funds.
The Adviser also manages other registered investment companies and 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 contractually agreed to waive its
investment advisory fee and/or reimburse the Funds, through April 30, 2000, to
the extent that the ratio of expenses to net assets on an annual basis exceeds
the following:
Fund Class A Class B Class C Class Y
----- ------- ------- ------- -------
Conseco Fixed Income..... 1.25% 1.60% 1.60% .60%
Conseco High Yield....... 1.40% 1.90% 1.90% .90%
Conseco Convertible
Securities............ 1.55% 2.05% 2.05% 1.05%
Conseco Balanced......... 1.50% 2.00% 2.00% 1.00%
Conseco Equity........... 1.50% 2.00% 2.00% 1.00%
Conseco 20............... 1.75% 2.25% 2.25% 1.25%
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 contractually agreed to waive its
fees and/or reimburse the Funds, through April 30, 2000, to the extent that the
ratio of expenses to net assets on an annual basis exceeds the expense
limitations as stated above for the investment advisory agreement. The following
summarizes the total fees incurred for such services for the six months ended
June 30, 1999:
Fund Amount
----- ---------
Conseco Fixed Income........................ $62,397
Conseco High Yield.......................... 80,110
Conseco Convertible Securities.............. 30,347
Conseco Balanced............................ 80,354
Conseco Equity.............................. 87,569
Conseco 20.................................. 52,066
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.
43
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
(UNAUDITED)
The Trust has adopted distribution and service plans (the "Plans"), dated
March 28, 1997 for Class A shares for the Conseco Fixed Income, Conseco Balanced
and Conseco Equity Funds; and December 31, 1997 for Class B and Class C shares
for the Conseco Fixed Income, Conseco Balanced and Conseco Equity Funds and
Class A, Class B and Class C shares for the Conseco High Yield, Conseco
Convertible Securities and Conseco 20 Funds 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 account maintenance provided to existing Class A, Class B
and Class C shareholders. The Conseco Fixed Income Fund's Plan authorizes
payments to the Distributor up to 0.65%, and the Conseco High Yield, Conseco
Convertible Securities, Conseco Balanced, Conseco Equity, and Conseco 20 Fund's
Plan up to 0.50%, annually of each Fund's average daily net assets attributable
to its Class A shares. Class B and Class C share's Plan authorizes payments to
the Distributor up to 1.00% annually for each 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
contractually agreed to waive its fees and/or reimburse the Funds, through April
30, 2000, to the extent that the ratio of expenses to net assets on an annual
basis exceeds the expense limitations previously stated for the investment
advisory agreement. The following summarizes the total fees incurred for such
services for Class A, Class B, and Class C shares for the six months ended June
30, 1999:
Fund Amount
----- ---------
Conseco Fixed Income........................ $140,210
Conseco High Yield.......................... 253,149
Conseco Convertible Securities.............. 77,228
Conseco Balanced............................ 80,353
Conseco Equity.............................. 78,226
Conseco 20.................................. 166,558
4. INVESTMENT TRANSACTIONS
Gross unrealized appreciation and depreciation of investments at June 30,
1999 are shown below:
<TABLE>
<CAPTION>
Conseco Conseco Conseco
Fixed Income High Yield Convertible
Fund Fund Securities Fund
------------ ------------ -------------
<S> <C> <C> <C>
Gross unrealized appreciation...................... $ 244,931 $ 1,899,396 $6,923,643
Gross unrealized depreciation...................... (1,666,318) (4,019,951) (772,886)
- --------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation)......... $(1,421,387) $(2,120,555) $6,150,757
- --------------------------------------------------------------------------------------------------------------------
Conseco Conseco Conseco
Balanced Equity 20
Fund Fund Fund
------------ ------------ -------------
Gross unrealized appreciation...................... $2,806,252 $11,946,199 $8,279,866
Gross unrealized depreciation...................... (768,774) (747,097) (384,024)
- --------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation)......... $2,037,478 $11,199,102 $7,895,842
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
44
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- ------------------------------------------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
(UNAUDITED)
The aggregate cost of purchases and the aggregate proceeds from sales of
investments for the six months ended June 30, 1999 are shown below:
Conseco Conseco Conseco
Fixed Income High Yield Convertible
Fund Fund Securities Fund
------------ ------------ ---------------
<S> <C> <C> <C>
Purchases:
Investments, excluding U.S. government
securities and short-term investments........... $108,584,226 $202,704,154 $34,089,140
U.S. government securities....................... 66,889,741 -- --
Sales:
Investments, excluding U.S. government
securities and short-term investments........... 83,287,379 149,390,049 28,608,030
U.S. government securities....................... 64,857,932 -- --
Conseco Conseco Conseco
Balanced Equity 20
Fund Fund Fund
------------ ------------ -------------
Purchases:
Investments, excluding U.S. government
securities and short-term investments........... $ 48,194,393 $147,491,722 $90,640,953
U.S. government securities....................... 8,004,248 -- --
Sales:
Investments, excluding U.S. government
securities and short-term investments........... 42,705,688 144,912,140 74,897,352
U.S. government securities....................... 8,277,422 -- --
</TABLE>
5. FEDERAL INCOME TAXES
As of December 31, 1998, the following Funds have capital loss
carryforwards available to offset capital gains in the future, if any:
Amount Expires
------------ ------------
Conseco High Yield.............. $ 687,761 2006
Conseco Balanced................ 647,689 2006
Conseco 20...................... 1,197,867 2006
45
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
JUNE 30, 1999
Conseco Conseco Conseco
Fixed Income Fund High Yield Fund Convertible Securities Fund
----------------------------- --------------------- ------------------------------
For the
period from
Six Months Six Months Six Months commencement
Ended Years Ended Year Ended of operations
June 30, Ended June 30, Ended June 30, (September 28,
1999 December 31, 1999 December 1999 1998) through
Class A Shares (unaudited) 1998 1997 (unaudited) 31, 1998 (unaudited) December 31, 1998
--------- ------------- ---------- -------- ----------- -----------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period.............. $10.21 $10.13 $10.00 $10.00 $10.00 $11.00 $10.00
Income from investment operations (a):
Net investment income (loss)..... 0.27 0.55 0.66 0.50 0.76 0.15 0.10
Net realized gains (losses) and
change in unrealized appreciation
(depreciation) on investments... (0.38) 0.20 0.18 0.01 (0.10) 1.67 1.00
- --------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations.................... (0.11) 0.75 0.84 0.51 0.66 1.82 1.10
- --------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment
income.......................... (0.25) (0.55) (0.58) (0.45) (0.66) (0.15) (0.10)
Distribution of net capital gains (0.03) (0.12) (0.13) -- -- (0.02) --
- --------------------------------------------------------------------------------------------------------------------
Total distributions............. (0.28) (0.67) (0.71) (0.45) (0.66) (0.17) (0.10)
- --------------------------------------------------------------------------------------------------------------------
Net asset value per share,
end of period................. $9.82 $10.21 $10.13 $10.06 $10.00 $12.65 $11.00
- --------------------------------------------------------------------------------------------------------------------
Total return (b) (c)............... (1.10%)(d) 7.57% 8.66% 5.13%(d) 6.56% 16.69%(d) 11.04%(d)
- --------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period................... $36,769 $30,684 $153 $53,237 $28,199 $36,174 $27,611
Ratio of net expenses to average
net assets (b) (e).............. 1.25% 1.25% 1.25% 1.40% 1.40% 1.55% 1.55%
Ratio of total expenses to average
net assets (e).................. 1.66% 1.94% 13.67% 1.75% 2.12% 2.02% 2.12%
Ratio of net investment income
(loss) to average net assets (b) (e) 5.34% 5.28% 5.51% 9.70% 7.76% 2.67% 3.80%
<FN>
(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 contractually agreed to
waive their fees and/or reimburse Fund expenses, through April 30, 2000, to
the extent that the ratio of expenses to average net assets exceeds on an
annual basis 1.25% for the Conseco Fixed Income, 1.40% for the Conseco High
Yield, 1.55% for the Conseco Convertible Securities, 1.50% for the Conseco
Balanced and Conseco Equity, and 1.75% for the Conseco 20 Funds.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized.
(e) Annualized.
</FN>
46
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
JUNE 30, 1999
Conseco Conseco Conseco
Balanced Fund Equity Fund 20 Fund
--------------------------- --------------------------- -------------------------
Six Months Six Months Six Months
Ended Years Ended Years Ended Year
June 30, Ended June 30, Ended June 30, Ended
1999 December 31, 1999 December 31, 1999 December 31,
Class A Shares (unaudited) 1998 1997 (unaudited) 1998 1997 (unaudited) 1998
---------- ---------------------------- ----------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period.............. $11.69 $10.73 $10.00 $12.55 $11.07 $10.00 $12.80 $10.00
Income from investment operations (a):
Net investment income (loss)..... 0.12 0.30 0.28 (0.05) -- (0.04) (0.06) (0.02)
Net realized gains (losses) and
change in unrealized appreciation
(depreciation) on investments... 0.72 1.03 1.43 1.35 1.79 2.33 2.69 2.82
- --------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations.................... 0.84 1.33 1.71 1.30 1.79 2.29 2.63 2.80
- --------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment
income.......................... (0.11) (0.24) (0.27) -- (0.01) -- -- --
Distribution of net capital gains -- (0.13) (0.71) (0.02) (0.30) (1.22) -- --
- --------------------------------------------------------------------------------------------------------------------
Total distributions............. (0.11) (0.37) (0.98) (0.02) (0.31) (1.22) -- --
- --------------------------------------------------------------------------------------------------------------------
Net asset value per share,
end of period................. $12.42 $11.69 $10.73 $13.83 $12.55 $11.07 $15.43 $12.80
- --------------------------------------------------------------------------------------------------------------------
Total return (b) (c)............... 7.26%(d) 12.45% 17.19% 10.39%(d) 16.11% 22.90% 20.55%(d) 28.00%
- --------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period................... $27,634 $26,064 $1,076 $29,819 $26,203 $4,877 $43,256 $33,845
Ratio of net expenses to average
net assets (b) (e).............. 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.75% 1.75%
Ratio of total expenses to average
net assets (e).................. 2.29% 2.26% 12.44% 1.96% 2.10% 4.85% 1.66% 2.15%
Ratio of net investment income
(loss) to average net assets (b) (e) 2.01% 2.66% 2.50% (0.75%) -- (0.35%) (0.86%) (0.22%)
<FN>
(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 contractually agreed to
waive their fees and/or reimburse Fund expenses, through April 30, 2000, to
the extent that the ratio of expenses to average net assets exceeds on an
annual basis 1.25% for the Conseco Fixed Income, 1.40% for the Conseco High
Yield, 1.55% for the Conseco Convertible Securities, 1.50% for the Conseco
Balanced and Conseco Equity, and 1.75% for the Conseco 20 Funds.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized.
(e) Annualized.
</FN>
</TABLE>
47
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
JUNE 30, 1999
Conseco Conseco Conseco
Fixed Income Fund High Yield Fund Convertible Securities Fund
---------------------------- ------------------------ ---------------------------
For the For the For the
period from period from period from
commencement commencement commencement
Six Months of operations Six Months of operations Six Months of operations
Ended (March 20, Ended (February 19, Ended (September 28,
June 30, 1998) through June 30, 1998) through June 30, 1998) through
Class B Shares 1999 December 31, 1999 December 31, 1999 December 31,
(unaudited) 1998 (unaudited) 1998 (unaudited) 1998
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period.............. $10.19 $10.24 $ 9.97 $10.44 $11.00 $10.00
Income from investment operations (a):
Net investment income (loss)..... 0.25 0.36 0.47 0.60 0.11 0.08
Net realized gains (losses) and
change in unrealized appreciation
(depreciation) on investments... (0.36) 0.14 0.02 (0.48) 1.69 1.00
- --------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations.................... (0.11) 0.50 0.49 0.12 1.80 1.08
- --------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment
income.......................... (0.24) (0.45) (0.43) (0.59) (0.15) (0.08)
Distribution of net capital gains (0.03) (0.10) -- -- (0.02) --
- --------------------------------------------------------------------------------------------------------------------
Total distributions............. (0.27) (0.55) (0.43) (0.59) (0.17) (0.08)
- --------------------------------------------------------------------------------------------------------------------
Net asset value per share,
end of period................. $9.81 $10.19 $10.03 $9.97 $12.63 $11.00
- --------------------------------------------------------------------------------------------------------------------
Total return (b) (c) (d)........... (1.16%) 4.97% 4.91% 1.12% 16.47% 10.89%
- --------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period................... $4,302 $2,619 $32,322 $11,271 $1,588 $1
Ratio of net expenses to average
net assets (b) (e).............. 1.60% 1.60% 1.90% 1.90% 2.05% 2.05%
Ratio of total expenses to average
net assets (e).................. 2.14% 2.77% 2.25% 2.75% 2.84% 154.76%
Ratio of net investment income
(loss) to average net assets (b) (e) 5.00% 4.83% 9.24% 7.27% 2.06% 3.02%
<FN>
(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 contractually agreed to
waive their fees and/or reimburse Fund expenses, through April 30, 2000, to
the extent that the ratio of expenses to average net assets exceeds on an
annual basis 1.25% for the Conseco Fixed Income, 1.40% for the Conseco High
Yield, 1.55% for the Conseco Convertible Securities, 1.50% for the Conseco
Balanced and Conseco Equity, and 1.75% for the Conseco 20 Funds.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized.
(e) Annualized.
</FN>
</TABLE>
48
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
JUNE 30, 1999
Conseco Conseco Conseco
Balanced Fund Equity Fund 20 Fund
---------------------------- -------------------------- -------------------------
For the For the For the
period from period from period from
commencement commencement commencement
Six Months of operations Six Months of operations Six Months of operations
Ended (February 10, Ended (January 28, Ended (February 18,
June 30, 1998) through June 30, 1998) through June 30, 1998) through
Class B Shares 1999 December 31, 1999 December 31, 1999 December 31,
(unaudited) 1998 (unaudited) 1998 (unaudited) 1998
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period.............. $11.61 $11.20 $12.47 $11.09 $12.71 $11.21
Income from investment operations (a):
Net investment income (loss)..... 0.09 0.19 (0.08) (0.06) (0.09) (0.07)
Net realized gains (losses) and
change in unrealized appreciation
(depreciation) on investments... 0.71 0.57 1.34 1.75 2.68 1.57
- --------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations.................... 0.80 0.76 1.26 1.69 2.59 1.50
- --------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment
income.......................... (0.09) (0.22) -- (0.01) -- --
Distribution of net capital gains -- (0.13) (0.02) (0.30) -- --
- --------------------------------------------------------------------------------------------------------------------
Total distributions............. (0.09) (0.35) (0.02) (0.31) -- --
- --------------------------------------------------------------------------------------------------------------------
Net asset value per share,
end of period................. $12.32 $11.61 $13.71 $12.47 $15.30 $12.71
- --------------------------------------------------------------------------------------------------------------------
Total return (b) (c) (d)........... 7.00% 6.83% 10.14% 15.20% 20.38% 13.38%
- --------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period................... $1,875 $1,301 $2,313 $1,634 $18,786 $7,270
Ratio of net expenses to average
net assets (b) (e).............. 2.00% 2.00% 2.00% 2.00% 2.25% 2.25%
Ratio of total expenses to average
net assets (e).................. 2.79% 3.93% 2.71% 4.85% 2.16% 2.73%
Ratio of net investment income
(loss) to average net assets (b) (e) 1.48% 2.09% (1.26%) (0.60%) (1.38%) (0.78%)
<FN>
(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 contractually agreed to
waive their fees and/or reimburse Fund expenses, through April 30, 2000, to
the extent that the ratio of expenses to average net assets exceeds on an
annual basis 1.60% for the Conseco Fixed Income, 1.90% for the Conseco High
Yield, 2.05% for the Conseco Convertible Securities, 2.00% for the Conseco
Balanced and Conseco Equity and 2.25% for the Conseco 20 Funds.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized.
(e) Annualized.
</FN>
</TABLE>
49
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
JUNE 30, 1999
Conseco Conseco Conseco
Fixed Income Fund High Yield Fund Convertible Securities Fund
---------------------------- ------------------------ ---------------------------
For the For the For the
period from period from period from
commencement commencement commencement
Six Months of operations Six Months of operations Six Months of operations
Ended (March 5, Ended (February 19, Ended (September 28,
June 30, 1998) through June 30, 1998) through June 30, 1998) through
Class C Shares 1999 December 31, 1999 December 31, 1999 December 31,
(unaudited) 1998 (unaudited) 1998 (unaudited) 1998
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period.............. $10.23 $10.13 $ 9.95 $10.44 $11.00 $10.00
Income from investment operations (a):
Net investment income (loss)..... 0.25 0.38 0.47 0.59 0.11 0.08
Net realized gains (losses) and
change in unrealized appreciation
(depreciation) on investments... (0.37) 0.26 0.02 (0.50) 1.70 1.00
- --------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations.................... (0.12) 0.64 0.49 0.09 1.81 1.08
- --------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment
income.......................... (0.24) (0.44) (0.43) (0.58) (0.14) (0.08)
Distribution of net capital gains (0.03) (0.10) -- -- (0.02) --
- --------------------------------------------------------------------------------------------------------------------
Total distributions............. (0.27) (0.54) (0.43) (0.58) (0.16) (0.08)
- --------------------------------------------------------------------------------------------------------------------
Net asset value per share,
end of period................. $9.84 $10.23 $10.01 $ 9.95 $12.65 $11.00
- --------------------------------------------------------------------------------------------------------------------
Total return (b) (c) (d)........... (1.22%) 6.44% 4.92% 0.88% 16.53% 10.89%
- --------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period.................. $2,534 $539 $11,390 $3,685 $497 $1
Ratio of net expenses to average
net assets (b) (e)............. 1.60% 1.60% 1.90% 1.90% 2.05% 2.05%
Ratio of total expenses to average
net assets (e)................. 2.33% 5.91% 2.26% 3.03% 3.62% 154.76%
Ratio of net investment income
(loss) to average net assets (b) (e) 5.04% 4.98% 9.23% 7.22% 2.02% 3.02%
<FN>
(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 contractually agreed to
waive their fees and/or reimburse Fund expenses, through April 30, 2000, to
the extent that the ratio of expenses to average net assets exceeds on an
annual basis 1.25% for the Conseco Fixed Income, 1.40% for the Conseco High
Yield, 1.55% for the Conseco Convertible Securities, 1.50% for the Conseco
Balanced and Conseco Equity, and 1.75% for the Conseco 20 Funds.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized.
(e) Annualized.
</FN>
</TABLE>
50
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- ---------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
JUNE 30, 1999
Conseco Conseco Conseco
Balanced Fund Equity Fund 20 Fund
--------------------------- -------------------------- -------------------------
For the For the For the
period from period from period from
commencement commencement commencement
Six Months of operations Six Months of operations Six Months of operations
Ended (February 13, Ended (February 19, Ended (March 10,
June 30, 1998) through June 30, 1998) through June 30, 1998) through
Class C Shares 1999 December 31, 1999 December 31, 1999 December 31,
(unaudited) 1998 (unaudited) 1998 (unaudited) 1998
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period.............. $11.66 $11.31 $12.54 $11.98 $12.75 $11.82
Income from investment operations (a):
Net investment income (loss)..... 0.09 0.20 (0.08) (0.06) (0.09) (0.07)
Net realized gains (losses) and
change in unrealized
appreciation (depreciation)
on investments.................. 0.72 0.48 1.34 0.93 2.68 1.00
- ---------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations.................... 0.81 0.68 1.26 0.87 2.59 0.93
- ---------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment
income.......................... (0.09) (0.20) -- (0.01) -- --
Distribution of net capital gains -- (0.13) (0.02) (0.30) -- --
- ---------------------------------------------------------------------------------------------------------------------
Total distributions............. (0.09) (0.33) (0.02) (0.31) -- --
- ---------------------------------------------------------------------------------------------------------------------
Net asset value per share,
end of period................. $12.38 $11.66 $13.78 $12.54 $15.34 $12.75
- ---------------------------------------------------------------------------------------------------------------------
Total return (b) (c) (d)........... 6.97% 6.10% 10.35% 7.21% 20.31% 7.87%
- ---------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period................... $1,581 $1,197 $830 $616 $7,897 $2,982
Ratio of net expenses to average
net assets (b) (e).............. 2.00% 2.00% 2.00% 2.00% 2.25% 2.25%
Ratio of total expenses to average
net assets (e).................. 2.80% 3.40% 3.18% 8.51% 2.19% 2.72%
Ratio of net investment income
(loss) to average net assets (b) (e) 1.47% 2.08% (1.26%) (0.68%) (1.40%) (0.81%)
<FN>
(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 contractually agreed to
waive their fees and/or reimburse Fund expenses, through April 30, 2000, to
the extent that the ratio of expenses to average net assets exceeds on an
annual basis 1.25% for the Conseco Fixed Income, 1.40% for the Conseco High
Yield, 1.55% for the Conseco Convertible Securities, 1.50% for the Conseco
Balanced and Conseco Equity, and 1.75% for the Conseco 20 Funds.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized.
(e) Annualized.
</FN>
</TABLE>
51
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
JUNE 30, 1999
Conseco Conseco Conseco
Fixed Income Fund High Yield Fund Convertible Securities Fund
----------------------------- ------------------------- ----------------------------
For the For the
period from period from
commencement commencement
Six Months Six Months of operations Six Months of operations
Ended Years Ended (March 2, 1998) Ended (September 28,
June 30, Ended June 30, through June 30, 1998) through
1999 December 31, 1999 December 31, 1999 December 31,
Class Y Shares (unaudited) 1998 1997 (unaudited) 1998 (unaudited) 1998
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period.............. $10.25 $10.15 $10.00 $10.02 $10.49 $11.00 $10.00
Income from investment operations (a):
Net investment income (loss)..... 0.31 0.65 0.68 0.55 0.62 0.18 0.11
Net realized gains (losses) and
change in unrealized appreciation
(depreciation) on investments... (0.38) 0.17 0.21 -- (0.48) 1.68 1.00
- -------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations.................... (0.07) 0.82 0.89 0.55 0.14 1.86 1.11
- -------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment
income.......................... (0.29) (0.60) (0.61) (0.48) (0.61) (0.18) (0.11)
Distribution of net capital gains (0.03) (0.12) (0.13) -- -- (0.02) --
- -------------------------------------------------------------------------------------------------------------------------
Total distributions............. (0.32) (0.72) (0.74) (0.48) (0.61) (0.20) (0.11)
- -------------------------------------------------------------------------------------------------------------------------
Net asset value per share,
end of period................. $9.86 $10.25 $10.15 $10.09 $10.02 $12.66 $11.00
- -------------------------------------------------------------------------------------------------------------------------
Total return (b)................... (0.78%)(c) 8.32% 9.18% 5.45%(c) 1.36%(c) 17.06%(c) 11.17%(c)
- -------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period................... $27,958 $14,403 $21,876 $12,843 $1,237 $278 $1
Ratio of net expenses to average
net assets (b) (d).............. 0.60% 0.60% 0.60% 0.90% 0.90% 1.05% 1.05%
Ratio of total expenses to average
net assets (d).................. 1.01% 1.46% 1.44% 1.24% 3.24% 3.08% 149.31%
Ratio of net investment income
to average net assets (b) (d)... 5.99% 6.26% 6.28% 10.27% 7.66% 3.06% 3.87%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) The Adviser and Administrator have contractually agreed to waive their fees
and/or reimburse Fund expenses, through April 30, 2000, to the extent that
the ratio of expenses to average net assets exceeds on an annual basis 0.60%
for the Conseco Fixed Income, 0.90% for the Conseco High Yield, 1.05% for the
Conseco Convertible Securities, 1.00% for the Conseco Balanced and Conseco
Equity and 1.25% for the Conseco 20 Funds.
(c) Not annualized.
(d) Annualized.
</FN>
</TABLE>
52
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- ---------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
JUNE 30, 1999
Conseco Conseco Conseco
Balanced Fund Equity Fund 20 Fund
---------------------------- ----------------------- -----------------------------
For the
Period from
Six Months Six Months Six Months commencement
Ended Years Ended Years Ended of operations
June 30, Ended June 30, Ended June 30, (September 28,
1999 December 31, 1999 December 31, 1999 1999) through
Class Y Shares (unaudited) 1998 1997 (unaudited) 1998 1997 (unaudited) December 31, 1998
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period.............. $11.75 $10.78 $10.00 $12.67 $11.13 $10.00 $12.68 $12.33
Income from investment operations (a):
Net investment income (loss)..... 0.15 0.32 0.19 (0.02) 0.05 -- (0.03) 0.04
Net realized gains (losses) and
change in unrealized appreciation
(depreciation) on investments... 0.72 1.06 1.58 1.36 1.83 2.35 2.68 0.31
- ----------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations.................... 0.87 1.38 1.77 1.34 1.88 2.35 2.65 0.35
- ----------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment
income.......................... (0.14) (0.28) (0.28) -- (0.04) -- -- --
Distribution of net capital gains -- (0.13) (0.71) (0.02) (0.30) (1.22) -- --
- ----------------------------------------------------------------------------------------------------------------------------
Total distributions............. (0.14) (0.41) (0.99) (0.02) (0.34) (1.22) -- --
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value per share,
end of period................. $12.48 $11.75 $10.78 $13.99 $12.67 $11.13 $15.33 $12.68
- ----------------------------------------------------------------------------------------------------------------------------
Total return (b)................... 7.48%(c) 12.90% 17.87% 10.70%(c) 16.82% 23.50% 20.99%(c) 2.84%(c)
- ----------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period................... $6,746 $4,138 $12,037 $64,573 $60,816 $60,334 $2,667 $172
Ratio of net expenses to average
net assets (b) (d).............. 1.00% 1.00% 1.00% 1.00% 1.00% 1.00% 1.25% 1.25%
Ratio of total expenses to average
net assets (d).................. 1.86% 2.19% 2.14% 1.45% 1.42% 1.24% 1.30% 3.77%
Ratio of net investment income
to average net assets (b) (d)... 2.49% 2.67% 2.76% (0.25%) 0.40% 0.03% (0.44%) 0.62%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) The Adviser and Administrator have contractually agreed to waive their fees
and/or reimburse Fund expenses, through April 30, 2000, to the extent that
the ratio of expenses to average net assets exceeds on an annual basis 0.60%
for the Conseco Fixed Income, 0.90% for the Conseco High Yield, 1.05% for the
Conseco Convertible Securities, 1.00% for the Conseco Balanced and Conseco
Equity and 1.25% for the Conseco 20 Funds.
(c) Not annualized.
(d) Annualized.
</FN>
</TABLE>
53
<PAGE>
<TABLE>
<CAPTION>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
JUNE 30, 1999
Conseco Conseco Conseco
Fixed Income Fund High Yield Fund Convertible Securities Fund
----------------------------- --------------------------------------------------
Six Months Six Months Six Months
Ended Years Ended Year Ended Period
June 30, Ended June 30, Ended June 30, Ended
1999 December 31, 1999 December 1999 December 31,
Supplemental data for all classes (unaudited) 1998 1997 (unaudited) 31, 1998 (unaudited) 1998 (a)
--------------------------- ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net assets (dollars in thousands),
end of period.................... $71,563 $48,245 $22,029 $109,792 $44,392 $38,537 $27,614
Portfolio turnover rate (b)........ 267.20% 420.83% 367.82% 203.92% 432.08% 102.58% 12.95%
</TABLE>
<TABLE>
<CAPTION>
Conseco Conseco Conseco
Balanced Fund Equity Fund 20 Fund
---------------------------- -------------------------- ------------------------
Six Months Six Months Six Months
Ended Years Ended Years Ended Year
June 30, Ended June 30, Ended June 30, Ended
1999 December 31, 1999 December 31, 1999 December 31,
(unaudited) 1998 1997 (unaudited) 1998 1997 (unaudited) 1998
--------------------------- -------------------------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net assets (dollars in thousands),
end of period................... $37,836 $32,700 $13,113 $97,535 $89,270 $65,211 $72,606 $44,269
Portfolio turnover rate (b)........ 153.25% 341.20% 506.64% 168.25% 350.13% 199.12% 149.59% 411.71%
<FN>
- -----------------
(a) For the period from commencement of operations (September 28, 1998) through
December 31, 1998.
(b) Not annualized.
</FN>
</TABLE>
54
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
YEAR 2000 READINESS
Conseco, Inc. and Conseco Capital Management, Inc. (CCM) are keenly aware of the
potential effects of the "Year 2000 (Y2K) Computer Problem" and its potential
impact on operations, as well as the industry in general. Our chief concerns for
Y2K are the interdependencies of the industry and third-party applications.
CCM has compiled a listing of assurances from our vendors and we are
relying on them to be Y2K compliant. Please note: It is virtually impossible for
CCM to guarantee Y2K compliance by all vendors as the industry is working on a
best "effort" approach.
In light of this, CCM has instituted the following action plan to
assure the "Year 2000 (Y2K) Computer Problem" does not impact our operations:
* Compiled a detailed inventory of all mission-critical computer
applications starting in late 1997.
* Identified internal information systems, third-party vendors and
custodial relationships that had issues with the Y2K problem.
* Obtained assurances and new systems computer code to remediate Y2K
problems from third-party vendors.
* Remediated any internal information systems that had Y2K issues.
* Performed full information systems testing during February and March
1999 of all remediated computer code to include preparation for full
point-to-point testing during the SIA/DTC Streetwide Testing in March
and April 1999, and communications tests with custodial banks and
third-party providers.
* Compiled contingency plans to handle trading and investing in the
event that an unforeseen problem arises in which case CCM's current
contingency plans for any catastrophic event will go into immediate
effect. These contingency plans are manual-based and will be
sufficient to support CCM's core business functions to include
delivery and settlement of all transactions.
This information is provided under the Year 2000 Information and
Readiness Disclosure Act. CCM's Form ADV-Y2K has been filed with the Securities
and Exchange Commission and is available upon request.
55
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
Gregory J. Hahn, CFA
Senior Vice President
Conseco Capital Management, Inc.
Portfolio Manager, Conseco Fixed Income Fund
Co-Portfolio Manager, Conseco Balanced Fund
Hahn manages the Conseco Fixed Income Fund, co-manages the Conseco Balanced
Fund and oversees $2 billion in fixed income for institutional accounts. Prior
to joining Conseco Capital Management, Inc. (CCM) in 1989, he was a portfolio
manager for Unified Management, where he was responsible for money market,
municipal and corporate bond mutual funds. Hahn earned a bachelor's degree in
business administration from the University of Wisconsin, Madison, and a master
of business administration degree from Indiana University, Bloomington.
Peter C. Andersen, CFA
Vice President
Conseco Capital Management, Inc.
Portfolio Manager, Conseco High Yield Fund
Andersen has managed the Conseco High Yield Fund since joining the firm in
1997 along with $3.6 billion of institutional funds in the high-yield market.
Andersen earned a bachelor's degree in physics from Northeastern University,
Boston, a master's degree in physics from Yale and a master's degree in
administration from Harvard.
Andrew S. Chow, CFA
Vice President
Conseco Capital Management, Inc.
Portfolio Manager, Conseco Convertible Securities Fund
Chow manages the Conseco Convertible Securities Fund and more than $3 billion
in institutional assets. Prior to joining CCM in 1991, Chow was manager of
quantitative analysis at Washington Square Capital, where he was responsible for
mortgage-backed securities, non-dollar bonds and derivatives. He earned a
bachelor's degree in economics from the University of California, Berkeley, and
a master of business administration degree from Carnegie Mellon University,
Pittsburgh.
Thomas J. Pence, CFA
Senior Vice President
Conseco Capital Management, Inc.
Portfolio Manager, Conseco Equity Fund
Co-Portfolio Manager, Conseco Balanced Fund
Pence manages the Conseco Equity Fund, co-manages the Conseco Balanced Fund
and oversees more than $600 million in institutional equity. Prior to joining
CCM in 1991, Pence worked for the Forum Group, where he specialized in project
finance. He earned a bachelor of science degree in business from Indiana
University, Bloomington, and a master of business administration degree from the
University of Notre Dame, South Bend, Ind.
Erik J. Voss, CFA
2nd Vice President
Conseco Capital Management, Inc.
Portfolio Manager, Conseco 20 Fund
Voss manages the Conseco 20 Fund, more than $500 million in institutional
assets, and is responsible for assisting in the research and portfolio
management of the company's institutional equity portfolios. Prior to joining
CCM in 1997, Voss was an equity analyst for Gardner Lewis Asset Management for
three years. He earned a bachelor's degree in mathematics and a master's degree
in finance from the University of Wisconsin, Madison.
56
<PAGE>
CONSECO FUND GROUP
1999 Mid-Year Report
- --------------------------------------------------------------------------------
BOARD OF TRUSTEES
William P. Daves, Jr. Maxwell E. Bublitz, CFA
Chairman of the Board President, Conseco Fund Group
Insurance and healthcare industries consultant President and CEO,
Chairman and CEO, FFG Insurance Co. Conseco Capital Management,
Inc.
Senior VP of Investments,
Conseco, Inc.
Gregory J. Hahn, CFA Harold W. Hartley, CFA
Senior VP, Portfolio Analytics Director, Ennis Business Forms,
Conseco Capital Management, Inc. Inc.
Former Executive VP, Tenneco
Financial Services, Inc.
Dr. R. Jan LeCroy Dr. Jess H. Parrish
Director, Southwest Securities Group, Inc. Higher education consultant
Former President, Dallas Citizens Council Former President, Midland
College
David N. Walthall
Principal, Walthall Asset Management
INVESTMENT ADVISER DISTRIBUTOR
Conseco Capital Management, Inc. Conseco Equity Sales, Inc.
Carmel, IN Carmel, IN
TRANSFER AGENT CUSTODIAN
Firstar Mutual Fund Services, LLC The Bank of New York
Milwaukee, WI New York, NY
INDEPENDENT PUBLIC ACCOUNTANT LEGAL COUNSEL
PricewaterhouseCoopers LLP Kirkpatrick & Lockhart LLP
Indianapolis, IN Washington, DC
57
<PAGE>
This page left blank intentionally.
