[LOGO]
CONSECO(R)
Step up(TM)
June 30, 2000
(unaudited)
Mid-Year Report
Investing in step with your life.
Conseco 20 Fund
Conseco Equity Fund
Conseco Balanced Fund
Conseco Convertible Securities Fund
Conseco High Yield Fund
Conseco Fixed Income Fund
Conseco Fund Group
<PAGE>
Welcome
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Formed in 1996, Conseco Fund Group (CFG) is headquartered on the corporate
campus of Conseco, Inc. in Carmel, Ind., just a few miles north of Indianapolis.
We currently offer eight actively managed mutual funds featuring investment
objectives ranging from aggressive growth to more conservative income funds. Our
two newest funds, the Conseco Science & Technology Fund and the Conseco
Large-Cap Fund, opened July 1. Each fund offers four share classes to help you
precisely tailor your mutual fund portfolio.
Driven by rigorous investigation and bottom-up analysis, our funds reflect
the total-return investment philosophy of our investment adviser, Conseco
Capital Management, Inc. (CCM), which is designed to help financial
professionals and individual investors pursue growth and retain principal
without undue risk.
Formed in 1981, CCM serves as our investment adviser and manages shareholder
investments in CFG's fund portfolios. With a minimal initial fund investment of
$250, our investors receive the same top-notch, asset-management expertise and
experience enjoyed by a long list of institutional clients, including public and
corporate pension plans, insurance companies, college endowments, foundations,
Taft-Hartley funds, hospitals, religious organizations and wealthy individuals.
As of June 30, 2000, CCM had more than $34 billion in taxable and tax-exempt
assets under management.
CCM is a wholly owned subsidiary of, and the principal investment adviser
for, Conseco, Inc., one of middle America's leading sources for insurance,
investments and lending products. Through its subsidiaries and as nationwide
network of distributors, Conseco helps 13 million customers step up to a better,
more secure future.
Investment in our funds can be arranged through your registered broker/dealer
or registered investment advisor. For more information on how we can help you
meet your financial objectives, please ask your financial consultant, or call us
toll-free at 800-986-3384.
You also can visit our newly redesigned and expanded Web site at
www.consecofunds.com.
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
Table of Contents
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A Message from the President .............................................. ii
Statements of Assets and Liabilities ...................................... 2
Statements of Operations .................................................. 4
Statements of Changes in Net Assets ....................................... 6
Conseco 20 Fund
Portfolio Manager's Review.............................................. 10
Schedule of Investments................................................. 12
Conseco Equity Fund
Portfolio Manager's Review.............................................. 14
Schedule of Investments................................................. 16
Conseco Balanced Fund
Portfolio Managers' Review.............................................. 18
Schedule of Investments ................................................ 20
Conseco Convertible Securities Fund
Portfolio Managers' Review.............................................. 26
Schedule of Investments................................................. 28
Conseco High Yield Fund
Portfolio Managers' Review.............................................. 32
Schedule of Investments................................................. 34
Conseco Fixed Income Fund
Portfolio Manager's Review.............................................. 38
Schedule of Investments................................................. 40
Notes to Financial Statements ............................................. 46
Financial Highlights ...................................................... 50
Portfolio Managers ........................................................ 60
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.
i
<PAGE>
A Message from the President
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Dear Fellow Shareholder:
In a world that demands split-second timing, our team-managed, total-return
investment process continues to prove its ongoing value, as we leverage the
dynamics of a volatile market.
The equity markets have played directly to our investment strengths, enabling
us to showcase our outstanding team of analysts, traders and portfolio managers.
These talented individuals responded by performing brilliantly.
Our extensive research capabilities and adherence to fundamental analysis
provided above-average returns in the equity, balanced and convertible
categories.
High performance in the face of extreme volatility
Consequently, during the first half of the year, we were able to successfully:
* Chart a course through the volatility in the equity markets --
especially technology
* Counter the Nasdaq's precipitous drop in the second quarter
* Deliver solid dividend income from a downtrodden bond market
* Attract new assets and shareholders at a brisk pace
* Keep redemptions to a minimum -- evidence of strong, long-term
confidence by our shareholders
The Conseco 20 Fund, our aggressive-growth, all-cap focused portfolio,
outperformed the benchmark year-to-date, during the past 12 months and since
inception (Class A shares). Thus far, total assets have increased nearly 98
percent, or more than $212.5 million.
Our mid-cap growth portfolio, the Conseco Equity Fund, produced returns well
ahead of the benchmark year-to-date, during the past 12 months, three years and
since inception (Class A shares). This risk-adjusted return earned a top-tier,
five-star ranking from Morningstar.(1) By mid-year, total assets increased $56.5
million.
The Conseco Balanced Fund led its benchmarks since inception and outpaced its
fixed-income index across the board (Class A shares). This stock-and-bond fund
narrowly missed matching the performance of its all-equity index for
year-to-date, one-year and average-annual three-year performance, proving the
strength of our asset management expertise. As a result, the fund earned a
four-star, risk-adjusted performance ranking by Morningstar, placing it among
the top third of its peer group.(1) The fund also ranked #2 of 637 funds by
Barron's and the portfolio managers were among the publication's selection of
the industry's Top 100 Mutual Fund Managers.(2)
The Conseco Convertible Securities Fund continued to offer investors
excellent potential to offset market and sector volatility, and enjoy
appreciation in the underlying stock (Class A shares). It led the benchmark
year-to-date, matched its index during the past 12 months, and outpaced its
index since inception. Thus far, new assets in the fund have increased $20.4
million.
Caught amid the worst high-yield market on record, the Conseco High Yield
Fund is holding its own in a grueling investment marathon demanding discipline,
consistency and acute credit analysis (Class A shares). Although the fund is
down from its two previous years, and lags its benchmark year-to-date and during
the last 12 months, it's encouraging to see this long-term investment income
vehicle outpacing its benchmark since inception in January 1998.
Weathering a 1.75% federal funds rate hike, inflation fears and heightened
market concerns about credit risk, the Conseco Fixed Income Fund underperformed
its benchmark. However, the quality and potential of this fund is reiterated in
its three-star ranking from Morningstar.(2)
New funds designed to strengthen your asset allocations
The volatile market is here to stay and astute asset allocation is a must for
your investment portfolio's success.
To help you more fully employ this strategy, we opened two exciting funds
July 1: The Conseco Science & Technology Fund and the Conseco Large-Cap Fund.
Each is an extension of our mid-cap expertise and capitalizes on our analytical
prowess.
The Conseco Science & Technology Fund is an aggressive-growth, all-cap
portfolio featuring 50-70 current and emerging leaders in sectors such as
genomics, software and hardware, Internet infrastructure, biotechnology and
wireless.(3)
The Conseco Large-Cap Fund is a growth portfolio featuring 70-90 top names
identified by our team of analysts, many of which will evolve from the Conseco
Equity Fund.(3) A select number of names will come from the upper end of the
large-cap spectrum, but most will be undiscovered opportunities we find at the
lower end of the large-cap range, as well as those companies on the verge of
catapulting from the mid-cap and smaller arenas.
Quality of service achieves top ranking
Two of the industry's leading news organizations -- Institutional Investor
and Fund Marketing Alert -- acknowledged the high quality of our service to
financial consultants and their clients, in addition to the asset growth that
followed. In March, they named Conseco Fund Group Senior Vice President for
Marketing and Sales Bruce Johnston one of the financial services industry's
leaders and the "1999 Fund Marketer of the Year."
ii
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
Bungled headlines misinform shareholders
For the most part, we've received accurate coverage from the news media. In
fact, we receive high marks from news organizations every day. During the past
60 days, our equity portfolio management team's expertise and insight has been
spotlighted on CNBC, Bloomberg and CNNfn.
However, you may have caught a few publications that have created inaccurate
representations of Conseco Capital Management, Inc. (CCM). I can assure you that
these stories distort the facts and I'd like to set the record straight.
* The issues of the parent company, Conseco, Inc., are irrelevant to
CCM's investment performance.
* The parent company's issues have been factors in the departure of
individuals with varying degrees of fixed-income expertise, experience
and service at CCM. This is a non-event at CCM, and our turnover rate
remains well below the industry average.
* Our team approach, featuring a talent-rich, deep bench has prevailed
for 13 years -- through thick and thin -- and is central to the success
and consistency of our institutional and mutual fund investment
performance.
* The core equity and fixed-income investment experts have served CCM for
more than seven years.
* Since 1989, our fixed-income team has been led by Greg Hahn, CFA, chief
fixed income investment officer and senior vice president of CCM. Tom
Pence, CFA, chief equity investment officer and senior vice president
of CCM, has been at the helm of the equity team since 1993.
* CCM's consistent investment success breeds a following among our
competitors and it's a fact of life in this industry -- people are
lured to other opportunities.
* We prepare for and sustain long-term investment performance by using a
disciplined, team-oriented approach. Markets go up and down; managers,
traders, and support staff come and go -- the training and development
of the team, coupled with the disciplined investment process, remains
constant.
Superstars operating unilaterally are not found in our system -- the CCM team
always prevails.
Growth, performance, stability
New Conseco CEO Gary Wendt brings prestige, leadership and a legendary
penchant for building success in the financial services industry to the parent
company -- engendering stability and focusing on sound issue resolution. This,
coupled with our performance and structure is all upside for CCM's clients and
the fund family's shareholders. It's not business as usual -- it's considerably
better.
I hope you now have a high-resolution picture of the state of the union of
the fund family and its investment adviser. We're passionately committed to
delivering top-drawer shareholder service and investment performance to you.
I'm supremely confident we're on the right path.
Sincerely,
Maxwell E. Bublitz, CFA
President
Conseco Fund Group
Director, President & CEO
Conseco Capital Management, Inc.
Senior Vice President of Investments
Conseco, Inc.
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(1) Morningstar proprietary ratings reflect historical risk-adjusted
performance. The ratings are subject to change every month. Morningstar
ratings are calculated from a fund's 3-, 5- and 10-year average annual
returns in excess of 90-day T-bill returns with appropriate fee adjustments
and a risk factor that reflects fund performance below 90-day T-bill
returns. The top 10% of the funds in a broad asset class receive five
stars; the next 22.5% receive four stars; the next 35% receive three stars;
the next 22.5% receive two stars; and the bottom 10% receive one star.
(2) Survey source: Value Line Mutual Fund Survey. Past performance does not
guarantee future results, and individual investors' results will vary.
Ratings do not include sales loads. Transaction costs related to investing
in these stocks will affect overall performance results. Barrons is not
affiliated with and does not sponsor, endorse or approve Conseco Fund Group
mutual funds.
(3) Concentrated portfolios are susceptible to more market volatility than
diversified funds and, therefore, are subject to greater price fluctuation.
iii
<PAGE>
Statements of Assets and Liabilities
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June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
Conseco Conseco Conseco
Conseco Conseco Conseco Convertible High Fixed
20 Equity Balanced Securities Yield Income
Fund Fund Fund Fund Fund Fund
------------ ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities at cost...... $411,745,810 $198,093,895 $58,037,108 $71,907,314 $131,430,785 $66,739,720
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Investments in securities at value..... $428,114,944 $203,607,702 $59,400,916 $86,548,256 $124,428,993 $65,294,905
Interest and dividends receivable...... 94,845 58,675 353,160 388,859 2,238,252 1,030,394
Receivable for securities sold......... 7,322,745 11,120,043 3,443,193 2,655,438 -- 5,805,492
Receivable for shares sold............. 3,280,297 1,755,949 333,786 597,458 519,032 185,285
Cash................................... 2,541,431 -- -- 3,210,773 1,514,201 766,268
Organization costs..................... 49,256 28,405 28,405 -- 49,256 28,405
Prepaid assets......................... 31,837 22,701 23,250 27,076 30,670 --
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Total assets........................ 441,435,355 216,593,475 63,582,710 93,427,860 128,780,404 73,110,749
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LIABILITIES AND NET ASSETS:
Payable to Conseco, Inc. and
subsidiaries......................... 539,631 187,192 16,454 128,678 145,602 96,113
Accrued expenses....................... 100,865 123,272 31,835 40,199 48,778 96,764
Distributions payable.................. -- -- 704 1,415 1,694 --
Payable to custodian................... -- 1,596,915 4,004,444 -- -- --
Payable for shares redeemed............ 415,830 1,218,546 43,177 756,883 576,848 107,298
Payable for securities purchased....... 10,283,457 11,040,060 1,553,132 1,000,000 1,450,000 6,719,852
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Total liabilities................... 11,339,783 14,165,985 5,649,746 1,927,175 2,222,922 7,020,027
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Net assets.......................... $430,095,572 $202,427,490 $57,932,964 $91,500,685 $126,557,482 $66,090,722
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NET ASSETS CONSIST OF:
Paid-in capital........................ $341,693,943 $133,902,212 $44,430,330 $67,369,615 $140,085,752 $69,892,349
Accumulated undistributed net
investment income (loss)............. (2,155,089) (584,047) 6,444 199,587 55,066 23,789
Accumulated undistributed net
realized gain (loss on investments... 74,187,584 63,595,518 12,132,382 9,290,541 (6,581,544) (2,380,601)
Net unrealized appreciation
(depreciation) on investments........ 16,369,134 5,513,807 1,363,808 14,640,942 (7,001,792) (1,444,815)
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Net assets.......................... $430,095,572 $202,427,490 $57,932,964 $91,500,685 $126,557,482 $66,090,722
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</TABLE>
The accompanying notes are an integral part of these financial statements.
2
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
--------------------------------------------------------------------------------
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
Conseco Conseco Conseco
Conseco Conseco Conseco Convertible High Fixed
20 Equity Balanced Securities Yield Income
Fund Fund Fund Fund Fund Fund
------------ ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, offering price and
redemption price per share:
Class A Shares:
Shares outstanding (unlimited shares
authorized).......................... 4,158,058 1,670,774 2,093,648 1,717,908 3,735,831 3,074,186
Net assets............................. $ 99,113,370 $ 32,688,549 $31,785,252 $28,619,152 $34,731,786 $29,606,079
Net asset value and redemption price
per share (Note 1)................... $. 23.84 $ 19.56 $ 15.18 $ 16.66 $ 9.30 $ 9.63
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). 1.45 1.19 0.93 1.02 0.57 0.51
Maximum offering price per share....... $ 25.29 $ 20.75 $ 16.11 $ 17.68 $ 9.87 $ 10.14
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Class B Shares:
Shares outstanding (unlimited shares
authorized).......................... 6,069,161 635,283 449,124 2,137,747 5,124,046 571,584
Net assets............................. $142,361,818 $ 12,291,002 $ 6,748,906 $35,463,817 $47,464,549 $ 5,492,890
Net asset value, offering price and
redemption price per share (Note 1).. $ 23.46 $ 19.35 $ 15.03 $ 16.59 $ 9.26 $ 9.61
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Class C Shares:
Shares outstanding (unlimited shares
authorized).......................... 4,626,009 509,054 308,042 831,757 2,495,177 238,018
Net assets............................. $108,810,623 $ 9,849,953 $ 4,656,763 $13,830,970 $23,069,957 $ 2,297,439
Net asset value, offering price and
redemption price per share (Note 1).. $ 23.52 $ 19.35 $ 15.12 $ 16.63 $ 9.25 $ 9.65
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Class Y Shares:
Shares outstanding (unlimited shares
authorized).......................... 3,371,019 7,433,813 964,988 815,152 2,282,645 2,967,265
Net assets............................. $ 79,809,761 $147,597,986 $14,742,043 $13,586,746 $21,291,190 $28,694,314
Net asset value, offering price and
redemption price per share (Note 1).. $ 23.68 $ 19.85 $ 15.28 $ 16.67 $ 9.33 $ 9.67
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
3
<PAGE>
Statements of Operations
--------------------------------------------------------------------------------
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
Conseco Conseco Conseco
Conseco Conseco Conseco Convertible High Fixed
20 Equity Balanced Securities Yield Income
Fund Fund Fund Fund Fund Fund
------------ ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest............................... $ 678,866 $ 272,408 $ 815,357 $ 1,686,095 $ 6,211,980 $ 2,456,654
Dividends.............................. 90,984 154,726 76,670 397,928 73,688 63,670
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Total investment income............. 769,850 427,134 892,027 2,084,023 6,285,668 2,520,324
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EXPENSES:
Investment advisory fees............... 1,219,302 633,036 189,860 411,296 448,661 146,837
Distribution and service fees.......... 1,174,453 136,809 123,419 240,416 441,250 134,769
Administration fee..................... 348,372 180,868 54,246 96,776 128,189 65,261
Transfer agent fee..................... 26,936 16,572 59,986 22,750 27,118 14,752
Registration and filing fees........... 72,578 6,888 24,906 26,208 33,610 1,028
Custody fees........................... 11,102 10,930 19,110 6,232 16,738 2,558
Audit fees............................. 10,192 5,815 3,822 3,414 4,048 2,238
Amortization of organization costs..... 9,810 9,395 9,395 -- 9,810 9,395
Legal fees............................. 1,638 1,638 1,746 2,728 4,320 1,092
Reports -- printing.................... 44,186 4,368 3,638 2,002 8,732 2,912
Director fees and expenses............. 5,278 3,042 2,002 548 3,188 2,022
Insurance.............................. 546 728 182 364 728 364
Other.................................. 546 1,092 2,046 364 2,528 728
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Total expenses...................... 2,924,939 1,011,181 494,358 813,098 1,128,920 383,956
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Less expense reductions and
reimbursements (Note 3).............. -- -- 99,710 64,610 110,820 53,404
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Net expenses........................ 2,924,939 1,011,181 394,648 748,488 1,018,100 330,552
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Net investment income (loss)........ (2,155,089) (584,047) 497,379 1,335,535 5,267,568 2,189,772
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NET REALIZED AND UNREALIZED GAINS (LOSSES)
ON INVESTMENTS:
Net realized gains (losses) on sales
of investments....................... 57,337,492 51,755,500 10,289,378 9,189,536 (3,717,010) (691,006)
Net change in unrealized appreciation
or depreciation on investments (25,688,038) (26,146,534) (4,371,287) (1,578,182) (6,120,760) 837,102
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Net realized and unrealized gains
(losses) on investments 31,649,454 25,608,966 5,918,091 7,611,354 (9,837,770) 146,096
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Net increase (decrease) in net assets
from operations...................... $ 29,494,365 $ 25,024,919 $6,415,470 $8,946,889 $(4,570,202) $2,335,868
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</TABLE>
The accompanying notes are an integral part of these financial statements.
4
<PAGE>
Statements of Changes in Net Assets
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<TABLE>
<CAPTION>
Conseco 20 Fund Conseco Equity Fund Conseco Balanced Fund
---------------------------------- ---------------------------------- ----------------------------------
Six Months Ended Six Months Ended Six Months Ended
June 30, 2000 Year Ended June 30, 2000 Year Ended June 30, 2000 Year Ended
(unaudited) December 31, 1999 (unaudited) December 31, 1999 (unaudited) December 31, 1999
---------------- ----------------- ---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income
(loss).................. $ (2,155,089) $ (1,022,303) $ (584,047) $ (513,950) $ 497,379 $ 723,535
Net realized gains on sale
of investments.......... 57,337,492 30,983,607 51,755,500 37,999,342 10,289,378 6,886,972
Net change in unrealized
appreciation or
depreciation on
investments............. (25,688,038) 34,276,573 (26,146,534) 15,927,962 (4,371,287) 3,085,847
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Net increase from
operations............ 29,494,365 64,237,877 25,024,919 53,413,354 6,415,470 10,696,354
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DIVIDENDS TO SHAREHOLDERS FROM
NET INVESTMENT INCOME:
Class A shares............ -- -- -- -- (291,878) (510,331)
Class B shares............ -- -- -- -- (35,253) (87,593)
Class C shares............ -- -- -- -- (24,989) (25,562)
Class Y shares............ -- -- -- -- (138,815) (100,814)
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Total dividends from net
investment income.... -- -- -- -- (490,935) (724,300)
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DISTRIBUTIONS TO SHAREHOLDERS OF
NET CAPITAL GAINS:
Class A shares............ -- (2,781,016) -- (5,527,099) -- (3,025,465)
Class B shares............ -- (3,782,583) -- (602,715) -- (266,632)
Class C shares............ -- (1,921,015) -- (513,936) -- (205,809)
Class Y shares............ -- (3,127,718) -- (19,135,544) -- (823,600)
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Total distributions of
net capital gains.... -- (11,612,332) -- (25,779,294) -- (4,321,506)
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CAPITAL SHARE TRANSACTIONS:
Shares sold............... 299,612,007 199,779,377 144,407,300 71,111,944 13,866,315 8,327,184
Reinvested dividends and
distributions........... -- 3,961,545 -- 23,540,151 154,728 3,110,149
Shares redeemed........... (116,605,556) (83,040,841) (112,954,420) (65,606,063) (8,248,466) (3,551,802)
------------------------------------------------------------------------------------------------------------------------------------
Net increase from capital
share transactions... 183,006,451 120,700,081 31,452,880 29,046,032 5,772,577 7,885,531
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Total increase in
net assets........... 212,500,816 173,325,626 56,477,799 56,680,092 11,697,112 13,536,079
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NET ASSETS:
Beginning of period....... 217,594,756 44,269,130 145,949,691 89,269,599 46,235,852 32,699,773
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End of period............. $430,095,572 $217,594,756 $202,427,490 $145,949,691 $57,932,964 $46,235,852
------------------------------------------------------------------------------------------------------------------------------------
Including undistributed net
investment income (loss) $ (2,155,089) $ -- $ (584,047) $ -- $ 6,444 $ --
</TABLE>
The accompanying notes are an integral part of these financial statements.
6
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Conseco 20 Fund Conseco Equity Fund Conseco Balanced Fund
---------------------------------- ---------------------------------- ----------------------------------
Six Months Ended Six Months Ended Six Months Ended
June 30, 2000 Year Ended June 30, 2000 Year Ended June 30, 2000 Year Ended
(unaudited) December 31, 1999 (unaudited) December 31, 1999 (unaudited) December 31, 1999
---------------- ----------------- ---------------- ----------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
SHARE DATA:
Class A shares:
Sold...................... 4,450,740 4,232,232 4,171,697 2,640,042 130,651 99,536
Reinvested dividends and
distributions........... -- 34,269 -- 91,028 990 131,606
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Total.................. 4,450,740 4,266,501 4,171,697 2,731,070 131,641 231,142
-----------------------------------------------------------------------------------------------------------------------------------
Redeemed.................. (2,877,764) (4,325,212) (4,312,858) (3,006,790) (402,149) (96,395)
-----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) 1,572,976 (58,711) (141,161) (275,720) (270,508) 134,747
-----------------------------------------------------------------------------------------------------------------------------------
Shares outstanding:
Beginning of period.... 2,585,082 2,643,793 1,811,935 2,087,655 2,364,156 2,229,409
End of period.......... 4,158,058 2,585,082 1,670,774 1,811,935 2,093,648 2,364,156
-----------------------------------------------------------------------------------------------------------------------------------
Class B shares:
Sold...................... 2,902,121 3,054,669 435,061 122,282 257,602 115,984
Reinvested dividends and
distributions........... -- 29,256 -- 9,282 548 5,470
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Total................. 2,902,121 3,083,925 435,061 131,564 258,150 121,454
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Redeemed.................. (324,452) (164,644) (16,097) (46,275) (22,303) (20,292)
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Net increase........... 2,577,669 2,919,281 418,964 85,289 235,847 101,162
-----------------------------------------------------------------------------------------------------------------------------------
Shares outstanding:
Beginning of period.... 3,491,492 572,211 216,319 131,030 213,277 112,115
End of period.......... 6,069,161 3,491,492 635,283 216,319 449,124 213,277
-----------------------------------------------------------------------------------------------------------------------------------
Class C shares:
Sold...................... 3,107,173 1,752,294 343,534 143,420 161,100 130,938
Reinvested dividends and
distributions........... -- 19,979 -- 856 232 1,509
-----------------------------------------------------------------------------------------------------------------------------------
Total.................. 3,107,173 1,772,273 343,534 144,276 161,332 132,447
-----------------------------------------------------------------------------------------------------------------------------------
Redeemed.................. (294,253) (193,027) (18,917) (8,979) (21,450) (66,879)
-----------------------------------------------------------------------------------------------------------------------------------
Net increase........... 2,812,920 1,579,246 324,617 135,297 139,882 65,568
-----------------------------------------------------------------------------------------------------------------------------------
Shares outstanding:
Beginning of period.... 1,813,089 233,843 184,437 49,140 168,160 102,592
End of period.......... 4,626,009 1,813,089 509,054 184,437 308,042 168,160
-----------------------------------------------------------------------------------------------------------------------------------
Class Y shares:
Sold...................... 2,135,642 2,746,992 2,421,170 2,084,675 388,146 369,267
Reinvested dividends and
distributions........... -- 113,354 -- 1,055,856 8,369 65,854
-----------------------------------------------------------------------------------------------------------------------------------
Total.................. 2,135,642 2,860,346 2,421,170 3,140,531 396,515 435,121
-----------------------------------------------------------------------------------------------------------------------------------
Redeemed.................. (1,488,009) (150,556) (1,665,751) (1,263,226) (107,561) (111,244)
-----------------------------------------------------------------------------------------------------------------------------------
Net increase........... 647,633 2,709,790 755,419 1,877,305 288,954 323,877
-----------------------------------------------------------------------------------------------------------------------------------
Shares outstanding:
Beginning of period.... 2,723,386 13,596 6,678,394 4,801,089 676,034 352,157
End of period.......... 3,371,019 2,723,386 7,433,813 6,678,394 964,988 676,034
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
Statements of Changes in Net Assets
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Conseco Convertible Securities Fund Conseco High Yield Fund Conseco Fixed Income Fund
---------------------------------- ---------------------------------- ----------------------------------
Six Months Ended Six Months Ended Six Months Ended
June 30, 2000 Year Ended June 30, 2000 Year Ended June 30, 2000 Year Ended
(unaudited) December 31, 1999 (unaudited) December 31, 1999 (unaudited) December 31, 1999
---------------- ----------------- ---------------- ----------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income..... $ 1,335,535 $ 850,716 $ 5,267,568 $ 8,907,486 $ 2,189,772 $ 3,952,149
Net realized gains (losses)
on sales of investments 9,189,536 709,998 (3,717,010) (1,875,854) (691,006) (1,545,396)
Net change in unrealized
appreciation or
depreciation on
investments............. (1,578,182) 13,674,727 (6,120,760) 45,213 837,102 (2,546,409)
--------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
from operations....... 8,946,889 15,235,441 (4,570,202) 7,076,845 2,335,868 (139,656)
--------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS
FROM NET INVESTMENT INCOME:
Class A shares............ (325,091) (717,148) (1,493,855) (4,202,545) (951,774) (1,960,510)
Class B shares............ (297,681) (52,733) (1,898,220) (2,690,656) (154,150) (231,198)
Class C shares............ (115,690) (15,161) (876,242) (951,375) (76,884) (121,935)
Class Y shares............ (397,486) (66,901) (944,185) (1,076,564) (983,175) (1,625,267)
--------------------------------------------------------------------------------------------------------------------------------
Total dividends from net
investment income..... (1,135,948) (851,943) (5,212,502) (8,921,140) (2,165,983) (3,938,910)
--------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
OF NET CAPITAL GAINS:
Class A shares............ -- (258,716) -- -- -- (94,314)
Class B shares............ -- (120,598) -- -- -- (11,058)
Class C shares............ -- (34,914) -- -- -- (6,488)
Class Y shares............ -- (259,871) -- -- -- (71,443)
--------------------------------------------------------------------------------------------------------------------------------
Total distributions of
net capital gains.... -- (674,099) -- -- -- (183,303)
--------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold............... 51,642,659 57,943,854 48,631,760 158,370,742 9,962,406 60,359,426
Reinvested dividends and
distributions........... 384,012 321,652 1,001,719 998,499 940,583 1,693,516
Shares redeemed........... (39,417,550) (28,508,736) (45,880,812) (69,329,562) (10,592,124) (40,426,510)
--------------------------------------------------------------------------------------------------------------------------------
Net increase from capital
share transactions... 12,609,121 29,756,770 3,752,667 90,039,679 310,865 21,626,432
--------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease)
in net assets........ 20,420,062 43,466,169 (6,030,037) 88,195,384 480,750 17,364,563
--------------------------------------------------------------------------------------------------------------------------------
Net assets:
Beginning of period...... 71,080,623 27,614,454 132,587,519 44,392,135 65,609,972 48,245,409
--------------------------------------------------------------------------------------------------------------------------------
End of period............. $91,500,685 $71,080,623 $126,557,482 $132,587,519 $66,090,722 $65,609,972
--------------------------------------------------------------------------------------------------------------------------------
Including undistributed net
investment income....... $ 199,587 $ -- $ 55,066 $ -- $ 23,789 $ --
</TABLE>
The accompanying notes are an integral part of these financial statements.
8
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Conseco Convertible Securities Fund Conseco High Yield Fund Conseco Fixed Income Fund
---------------------------------- ---------------------------------- ----------------------------------
Six Months Ended Six Months Ended Six Months Ended
June 30, 2000 Year Ended June 30, 2000 Year Ended June 30, 2000 Year Ended
(unaudited) December 31, 1999 (unaudited) December 31, 1999 (unaudited) December 31, 1999
---------------- ----------------- ---------------- ----------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
SHARE DATA:
Class A shares:
Sold...................... 581,887 986,869 2,670,168 6,221,921 307,783 3,002,369
Reinvested dividends and
distributions........... 1,495 498 15,232 16,109 2,757 2,154
--------------------------------------------------------------------------------------------------------------------------------
Total.................. 583,382 987,367 2,685,400 6,238,030 310,540 3,004,523
--------------------------------------------------------------------------------------------------------------------------------
Redeemed.................. (400,858) (1,963,130) (3,209,118) (4,799,560) (430,689) (2,815,791)
--------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) 182,524 (975,763) (523,718) 1,438,470 (120,149) 188,732
--------------------------------------------------------------------------------------------------------------------------------
Shares outstanding:
Beginning of period.... 1,535,384 2,511,147 4,259,549 2,821,079 3,194,335 3,005,603
End of period.......... 1,717,908 1,535,384 3,735,831 4,259,549 3,074,186 3,194,335
--------------------------------------------------------------------------------------------------------------------------------
Class B shares:
Sold....................... 1,318,213 932,283 904,820 3,951,066 105,240 359,137
Reinvested dividends and
distributions........... 2,836 1,651 17,812 15,200 1,389 1,243
--------------------------------------------------------------------------------------------------------------------------------
Total.................. 1,321,049 933,934 922,632 3,966,266 106,629 360,380
--------------------------------------------------------------------------------------------------------------------------------
Redeemed.................. (103,537) (13,815) (557,519) (338,125) (80,653) (71,662)
--------------------------------------------------------------------------------------------------------------------------------
Net increase........... 1,217,512 920,119 365,113 3,628,141 25,976 288,718
--------------------------------------------------------------------------------------------------------------------------------
Shares outstanding:
Beginning of period.... 920,235 116 4,758,933 1,130,792 545,608 256,890
End of period.......... 2,137,747 920,235 5,124,046 4,758,933 571,584 545,608
--------------------------------------------------------------------------------------------------------------------------------
Class C shares:
Sold...................... 629,552 281,486 953,846 1,908,621 67,696 307,198
Reinvested dividends and
distributions........... 1,713 606 12,147 9,577 614 775
--------------------------------------------------------------------------------------------------------------------------------
Total.................. 631,265 282,092 965,993 1,918,198 68,310 307,973
--------------------------------------------------------------------------------------------------------------------------------
Redeemed.................. (74,875) (6,841) (334,708) (424,668) (106,054) (84,911)
--------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) 556,390 275,251 631,285 1,493,530 (37,744) 223,062
--------------------------------------------------------------------------------------------------------------------------------
Shares outstanding:
Beginning of period.... 275,367 116 1,863,892 370,362 275,762 52,700
End of period.......... 831,757 275,367 2,495,177 1,863,892 238,018 275,762
--------------------------------------------------------------------------------------------------------------------------------
Class Y shares:
Sold...................... 578,661 2,024,253 517,043 3,545,296 553,403 2,436,511
Reinvested dividends and
distributions........... 17,619 18,704 59,928 18,471 93,281 78,083
--------------------------------------------------------------------------------------------------------------------------------
Total.................. 596,280 2,042,957 576,971 3,563,767 646,684 2,514,594
--------------------------------------------------------------------------------------------------------------------------------
Redeemed.................. (1,813,150) (11,051) (688,977) (1,292,582) (483,994) (1,115,550)
--------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) (1,216,870) 2,031,906 (112,006) 2,271,185 162,690 1,399,044
--------------------------------------------------------------------------------------------------------------------------------
Shares outstanding:
Beginning of period.... 2,032,022 116 2,394,651 123,466 2,804,575 1,405,531
End of period.......... 815,152 2,032,022 2,282,645 2,394,651 2,967,265 2,804,575
--------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
Conseco 20 Fund
------------------------------------------------------------------------------
Portfolio Manager's Review
The fund's one-year total return of 53.74% and since-inception, average-
annual return of 41.27% (inception date: 01/01/98) outperformed the S&P 500
Index returns of 7.24% and 19.15%, respectively, and the S&P 400 Midcap Index
returns of 16.98% and 17.26%, respectively.
Its year-to-date return of 8.65% beat the S&P 500 performance of -0.42%, but
just missed the 8.97% return of the S&P 400. (Fund returns reflect Class A share
performance with sales load.)
In addition, the fund placed in the top 24% of mutual funds with similar
investment objectives for its one-year results, according to Lipper Analytical
Services, Inc.(1) Lipper rankings are based on performance without the sales
load.
Upside: Top-performing names drive fund's performance
The biggest contributor to the fund this quarter was Integrated Device
Technology, Inc. During a research visit late last year, the portfolio
management team's analysts learned that the company has focused on its
electronic components for the communication sector, targeting companies like
Cisco Systems, Inc. and Nortel Networks Corp. This strategic product and
marketing shift is beginning to be recognized in the market. Consequently, the
steadfast research approach we took with Integrated Device Technology rewarded
us with a 51% return.
Other solid contributors for the quarter included Vitria Technology, Inc.
in technology; Alza Corp. in healthcare; and Nabors Industries, Inc. and
Weatherford International, Inc. in oil-field services.
Downside: Some past performers realize setbacks
The second quarter was extremely volatile for the markets overall,
particularly technology stocks. In fact, the Nasdaq technically went into bear
market territory, if only briefly. These market gyrations are attributable to
herd psychology, which fortunately (or unfortunately) can reverse rather
quickly. Based on our proprietary, bottom-up research, we remain convinced that
the long-term fundamentals are in place to support higher prices for the stocks
in which we invest.
Growth of $10,000
Conseco 20 Fund
DATE (Class A Shares) S&P 500 Index S&P 400 Midcap Index
---- ---------------- ------------- --------------------
12/31/97 $9,425.00 $10,000.00 $10,000.00
1/30/98 $9,905.68 $10,111.00 $9,810.00
2/27/98 $10,763.35 $10,840.00 $10,622.27
3/31/98 $11,658.73 $11,395.01 $11,101.33
4/30/98 $11,470.23 $11,510.10 $11,304.49
5/29/98 $10,725.65 $11,312.13 $10,795.78
6/30/98 $11,225.18 $11,771.40 $10,863.80
7/31/98 $10,621.98 $11,645.45 $10,442.28
8/31/98 $8,802.95 $9,961.51 $8,498.97
9/30/98 $9,302.48 $10,600.05 $9,292.78
10/30/98 $9,717.18 $11,461.83 $10,123.55
11/30/98 $10,556.00 $12,156.42 $10,628.72
12/31/98 $12,064.00 $12,856.63 $11,912.67
1/29/99 $12,111.13 $13,394.03 $11,449.26
2/26/99 $11,771.83 $12,977.48 $10,849.32
3/31/99 $12,318.48 $13,496.58 $11,152.02
4/30/99 $13,034.78 $14,018.90 $12,031.91
5/28/99 $13,326.95 $13,688.05 $12,083.65
6/30/99 $14,542.78 $14,447.74 $12,731.33
7/30/99 $14,552.20 $13,996.97 $12,460.16
8/31/99 $15,155.40 $13,926.98 $12,032.77
9/30/99 $15,221.38 $13,545.38 $11,660.96
10/29/99 $15,947.10 $14,402.81 $12,255.67
11/30/99 $18,058.30 $14,695.18 $12,899.09
12/31/99 $20,566.58 $15,560.73 $13,665.30
1/31/00 $21,312.10 $14,779.58 $13,279.94
2/29/00 $27,385.65 $14,500.25 $14,209.53
3/31/00 $25,119.25 $15,918.37 $15,398.87
4/28/00 $22,604.35 $15,439.23 $14,859.91
5/31/00 $20,825.02 $15,122.72 $14,674.16
6/30/00 $23,722.00 $15,496.26 $14,889.87
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/00. Past performance is no
guarantee of future results.
Two of our larger names encountered head winds during the market sell-off.
EchoStar Communications Corp., an investment that we have highlighted for the
last two quarters, retreated amid concerns that satellite television providers
can no longer offer a superior value proposition versus the new digital cable
offerings. We disagree with Wall Street's assessment. Instead, we believe the
fundamentals of the company are strong and the company will remain an investment
in the portfolio until evidence to the contrary convinces us to sell.
Research In Motion, Ltd. continues to assert itself as a leader in wireless
data. The company's e-mail pagers are becoming the wireless device of choice for
people who need to be connected in real time with their enterprise e-mail. Even
though the stock is still up more than 300% from our initial investment, the 54%
decline during the second quarter was disappointing. As we enter the second half
of 2000, Research In Motion has some powerful partnerships and alliances that
will begin to contribute to the company's growth. From a long-term investment
perspective, we're convinced this company will be a driving force in the
wireless data industry.
------------------------------------------------------------------------------
(1) Reflects performance for the Class A shares versus the Lipper Multi-Cap
Growth category for the period ending June 30, 2000. The Conseco 20 Fund
was ranked 97 out of 406 funds. Lipper Analytical Services is an
independent organization that compiles performance data on investment
companies.
10
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
Inside out: Fundamental research process surrounds companies
Looking forward, volatility continues -- it has become a standard in the
markets. And, excess valuations in the technology sector continue to be
deflated. Many investors who were caught holding investments they did not
understand are being forced to divest and redirect their focus on companies with
solid fundamentals and earnings.
The current environment plays to our strengths: investigative research,
steadfast discipline and opportune responsiveness. We are committed to creating
shareholder value for you by working to uncover some of the best growth
companies in today's market using our time-tested, bottom-up research process.
Erik J. Voss, CFA
Vice President
Portfolio Manager
Average annual total return(2) (as of 06/30/00)
Inception Year-to- Since
date date 1 year 3 year inception
--------- -------- ------ ------ ---------
Class A.................... 01/01/98 8.65% 53.74% -- 41.27%
Class B.................... 02/18/98 9.25% 54.04% -- 36.00%
Class C.................... 03/10/98 13.81% 60.54% -- 36.97%
Class Y.................... 04/06/98 15.57% 63.85% -- 37.20%
S&P 500 Index.............. 01/01/98 -0.42% 7.24% -- 19.15%
S&P 400 Midcap Index....... 01/01/98 8.97% 16.98% -- 17.26%
------------------------------------------------------------------------------
Top five sectors (as of 06/30/00)
Business Services................................................ 13.7%
Semiconductors, Related Devices.................................. 13.6%
Electrical, Other Electrical Equipment, except Computers......... 11.7%
Radiotelephone Communication..................................... 11.6%
Communications by Phone, Television, Radio, Cable................ 10.5%
------------------------------------------------------------------------------
Top ten holdings (as of 06/30/00)
Gemstar International Group, Ltd................................. 8.7%
EchoStar Communications Corp..................................... 7.0%
VoiceStream Wireless Corp........................................ 5.5%
Nabors Industries, Inc........................................... 5.4%
Applied Micro Circuits Corp...................................... 4.2%
Integrated Device Technology, Inc................................ 4.1%
ALLTEL Corp...................................................... 3.7%
Weatherford International, Inc................................... 3.7%
NEXTLINK Communications, Inc..................................... 3.7%
McLeodUSA, Inc. ................................................. 3.5%
* Current net assets: $430,095,572
* Increase in net assets YTD: $212,500,816
* Percentage increase in net assets YTD: 97.7%
* Beta: 0.79 (Class A shares)(3)
------------------------------------------------------------------------------
(2) 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
expense reimbursements through April 30, 2001. If the expense
reimbursements were not in place, the fund's return would have been lower.
Total return is shown with the applicable sales load or contingent-deferred
sales charge. The maximum sales load for the Conseco 20 Fund is 5.75%. The
S&P 400 Midcap Index is an unmanaged index considered to be representative
of the mid-cap stock arena in general. The S&P 500 Index is an unmanaged
index considered to be representative of the U.S. stock market in general.
(3) Beta measures the fund's volatility compared against the S&P 500.
11
<PAGE>
Conseco 20 Fund
------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
COMMON STOCKS (95.4%)
Business Services (13.7%)
58,530 I2 Technologies, Inc. (a).......................... $ 6,185,199
222,810 Portal Software, Inc. (a).......................... 14,231,989
54,350 Software.com, Inc. (a)............................. 7,058,706
27,960 VeriSign, Inc. (a)................................. 4,934,940
104,570 VERITAS Software Corp. (a)......................... 11,818,044
237,780 Vitria Technology, Inc. (a)........................ 14,534,302
-----------
58,763,180
-----------
Chemicals and Allied Products (4.8%)
70,430 ALZA Corp. (a)..................................... 4,164,174
65,650 Amgen, Inc. (a).................................... 4,611,912
181,180 Biogen, Inc. (a)................................... 11,686,110
-----------
20,462,196
-----------
Communications by Phone, Television, Radio, Cable (10.5%)
912,520 EchoStar Communications Corp. - Class A (a)........ 30,212,967
730,540 McLeodUSA, Inc. - Class A (a)...................... 15,113,046
-----------
45,326,013
-----------
Electrical, Other Electrical Equipment, except Computers (11.7%)
610,480 Gemstar International Group, Ltd. (a).............. 37,515,904
186,300 Nortel Networks Corp............................... 12,714,975
-----------
50,230,879
-----------
Fabricated Metal Products, except Machinery and
Transportation Equipment (1.5%)
135,360 Danaher Corp....................................... 6,691,860
-----------
Industrial, Commercial Machinery, Computers (10.4%)
214,160 Cooper Cameron Corp. (a)........................... 14,207,662
275,695 Symbol Technologies, Inc........................... 14,887,530
394,890 Weatherford International, Inc. (a)................ 15,721,558
-----------
44,816,750
-----------
Oil and Gas Extraction (8.3%)
563,550 Nabors Industries, Inc. (a)........................ 23,422,547
516,650 R&B Falcon Corp. (a)............................... 12,173,566
-----------
35,596,113
-----------
Phone Communication, except Radiotelephone (7.4%)
258,470 ALLTEL Corp....................................... $16,008,986
413,580 NEXTLINK Communications, Inc. (a)................. 15,690,191
-----------
31,699,177
-----------
Radiotelephone Communication (11.6%)
304,190 Research in Motion, Ltd. (a)...................... 13,732,141
309,780 TeleCorp PCS, Inc. (a)............................ 12,488,006
204,477 VoiceStream Wireless Corp. (a).................... 23,780,036
-----------
50,000,183
-----------
Semiconductors, Related Devices (13.6%)
182,530 Applied Micro Circuits Corp. (a).................. 18,024,837
296,690 Integrated Device Technology, Inc................. 17,764,314
99,430 JDS Uniphase Corp. (a)............................ 11,919,171
124,100 RF Micro Devices, Inc. (a)........................ 10,874,263
-----------
58,582,585
-----------
Transportation Equipment (1.9%)
91,770 General Motors Corp. - Class H (a)................ 8,052,817
-----------
Total common stock (cost $393,852,619)............ 410,221,753
-----------
SHORT-TERM INVESTMENTS (4.1%)
5,900,000 General Electric Capital, 6.800%, due
07/03/2000..................................... 5,897,771
6,000,000 Koch Industries, 6.890%, due 07/03/2000........... 5,997,703
6,000,000 Morgan Stanley Group, 6.850%, due 07/03/2000...... 5,997,717
------------
Total short-term investments (cost $17,893,191)... 17,893,191
------------
Total investments (cost $411,745,810) (99.5%)................... 428,114,944
------------
Other assets, less liabilities (0.5%)........................... 1,980,628
------------
Total net assets (100.0%) ...................................... $430,095,572
------------
-----------
(a) Non-income producing security.
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
[GRAPHIC]
<PAGE>
Conseco Equity Fund
-----------------------------------------------------------------------------
Portfolio Manager's Review
The fund capitalized on market volatility with a year-to-date return of
13.31%, a one-year total return of 60.70% and a three-year average-annual total
return of 32.63%, beating the S&P 400 Midcap Index returns of 8.97%, 16.98% and
20.34%, and the S&P 500 Index returns of -0.42%, 7.24% and 19.67%, respectively.
(Fund returns reflect Class A share performance with sales load.)
One-year and three-year performance boosted the fund to 11 of 155 funds and 3
of 82 funds, respectively, in the Lipper Midcap Core Funds peer group.(1)
In addition to this success, the fund earned the prestigious five-star
Morningstar rating (of a possible five stars) for its three-year return.(2) Both
Lipper and Morningstar rankings are based on performance without the sales load.
Market volatility presents investment opportunities
Fueled by a series of Fed interest-rate hikes -- as well as extended
valuations -- the equity market corrected some of the "irrational exuberance"
that led to an 80% return for the Nasdaq during the previous four quarters. This
correction was healthy -- and the portfolio management team took advantage of
the opportunity to increase positions in some of our favorite growth stocks at
bargain prices. We expect these investments to contribute significantly to the
fund's performance during the second half of this year.
To offset the effects of second-quarter volatility, we remained highly
selective through disciplined, bottom-up research. The team overweighted the
fund in the technology, telecommunications and energy sectors. Our process
enabled us to identify companies that generate high returns on invested capital
(ROIC) and have established a leading presence in their respective industries.
In addition, valuation -- which is always a concern -- took on increased
scrutiny due to the already overpriced names in the market.
Research team uncovers strong names and sectors
In addition to technology, we believe that the energy sector is one of the
best ways to play to the strength in the global economy. Rising oil and natural
gas demand -- combined with constrained supply -- continues to offer tremendous
upside to names in this sector. The fund benefited significantly from positions
in R&B Falcon Corp., ENSCO International, Inc. and Nabors Industries, Inc., all
drilling companies, and Cooper Cameron Corp., a service provider.
Growth of $10,000
Conseco Equity Fund
DATE (Class A Shares) S&P 500 Index S&P 400 Midcap Index
---- ------------------- ------------- --------------------
1/2/97 $9,425.00 $10,000.00 $10,000.00
1/31/97 $9,679.48 $10,625.00 $10,375.00
2/28/97 $9,396.73 $10,707.88 $10,289.93
3/31/97 $8,963.18 $10,267.78 $9,851.57
4/30/97 $8,868.93 $10,880.77 $10,106.73
5/30/97 $9,792.58 $11,543.41 $10,990.06
6/30/97 $10,226.13 $12,060.55 $11,298.88
7/31/97 $10,998.98 $13,020.57 $12,417.47
8/29/97 $11,206.33 $12,291.42 $12,402.57
9/30/97 $12,271.35 $12,964.99 $13,115.71
10/31/97 $11,677.58 $12,531.96 $12,545.18
11/28/97 $11,762.40 $13,112.19 $12,730.85
12/31/97 $11,583.33 $13,337.72 $13,224.81
1/30/98 $11,740.28 $13,485.77 $12,973.54
2/27/98 $12,807.58 $14,458.09 $14,047.74
3/31/98 $13,778.61 $15,198.34 $14,681.30
4/30/98 $13,767.90 $15,351.85 $14,949.96
5/29/98 $12,835.75 $15,087.80 $14,277.22
6/30/98 $13,210.75 $15,700.36 $14,367.16
7/31/98 $12,289.32 $15,532.37 $13,809.72
8/31/98 $9,975.03 $13,286.39 $11,239.73
9/30/98 $10,500.03 $14,138.04 $12,289.52
10/30/98 $11,014.32 $15,287.47 $13,388.20
11/30/98 $11,978.61 $16,213.89 $14,056.27
12/31/98 $13,449.47 $17,147.81 $15,754.27
1/29/99 $13,160.12 $17,864.59 $15,141.43
2/26/99 $12,474.25 $17,309.00 $14,348.02
3/31/99 $13,160.12 $18,001.36 $14,748.33
4/30/99 $13,642.37 $18,698.01 $15,911.97
5/28/99 $13,588.78 $18,256.74 $15,980.39
6/30/99 $14,847.46 $19,269.98 $16,836.94
7/30/99 $15,008.50 $18,668.76 $16,478.32
8/31/99 $15,062.18 $18,575.42 $15,913.11
9/30/99 $15,180.27 $18,066.45 $15,421.39
10/29/99 $16,210.89 $19,210.06 $16,207.89
11/30/99 $17,885.66 $19,600.02 $17,058.80
12/31/99 $21,009.32 $20,754.46 $18,072.09
1/31/00 $21,254.66 $19,712.59 $17,562.46
2/29/00 $27,401.21 $19,340.02 $18,791.83
3/31/00 $26,678.09 $21,231.47 $20,364.71
4/28/00 $23,811.42 $20,592.41 $19,651.94
5/31/00 $21,977.79 $20,170.26 $19,406.29
6/30/00 $25,316.00 $20,668.47 $19,691.57
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/00. Past performance is no
guarantee of future results.
Likewise, the telecommunications sector is one of the fastest-growing sectors
in the market -- and we maintained our overweighted position in the fund. This
sector experienced excessive volatility during the quarter due to capital market
concerns and was not a strong contributor.
-------------------------------------------------------------------------------
(1) Reflects performance for the Class A shares for the period ending June 30,
2000. Lipper Analytical Services is an independent organization that
compiles performance data on investment companies.
(2) Morningstar proprietary ratings reflect historical risk-adjusted
performance. The ratings are subject to change every month. Morningstar
ratings are calculated from a fund's 3-, 5- and 10-year average annual
returns in excess of 90-day T-bill returns with appropriate fee adjustments
and a risk factor that reflects fund performance below 90-day T-bill
returns. The top 10% of the funds in a broad asset class receive five
stars; the next 22.5% receive four stars; the next 35% receive three
stars; the next 22.5% receive two stars; and the bottom 10% receive
one star.
<PAGE>
Morningstar Ranking(2): * * * * * (of 3,642 funds) CONSECO FUND GROUP
-------------------------------------------------------------------------------
2000 Mid-Year Report
Strong fundamentals, poor investor perception
There were some positions that detracted from performance in the past six
months. EchoStar Communications Corp., one of our top performers, experienced a
pullback due to the increased visibility of digital cable's roll out. This
period led to unwarranted investor perception that the satellite industry was
losing its competitive edge.
Another past winner for us, Research In Motion, Ltd., also experienced a
setback as growth slowed in the quarter due to delayed contracts and increased
capital spending. Nonetheless, our analysts think the fundamentals of both names
are strong and we will continue to hold these positions.
Disciplined process drives performance
Going forward, our overemphasis in the technology, telecommunications and
energy sectors will continue. We also will participate opportunistically in the
biotechnology sector, which has seen a significant rise in valuation. And, we
will keep a watchful eye on the retail sector, which may be positioning itself
for outperformance later in the year.
Overall, we are cautiously optimistic that strong operating results will
ensue across the market. However, it is essential for us to focus on names that
have significant bottom-line growth trends and offer compelling valuations.
Although the markets have experienced significant volatility, we feel that our
bottom-up, team-driven approach will continue to lead us toward companies with
superior, long-term performance.
Thomas J. Pence, CFA
Senior Vice President
Chief Equity Investment Officer
Portfolio Manager
Conseco Capital Management, Inc.
Average annual total return(3) (as of 06/30/00)
Inception Year-to- Since
date date 1 year 3 year inception
--------- -------- ------ ------ ---------
Class A.................... 01/02/97 13.31% 60.70% 32.63% 30.39%
Class B ................... 01/28/98 13.96% 61.41% -- 33.21%
Class C.................... 02/19/98 18.84% 68.28% -- 32.83%
Class Y.................... 01/02/97 20.52% 71.47% 35.99% 33.32%
S&P 500 Index.............. 01/02/97 -0.42% 7.24% 19.67% 23.05%
S&P 400 Midcap Index....... 01/02/97 8.97% 16.98% 20.34% 21.36%
------------------------------------------------------------------------------
Top five sectors (as of 06/30/00)
Communications by Phone, Television, Radio, Cable................ 22.1%
Business Services................................................ 19.0%
Electrical, Other Electrical Equipment, except Computers ........ 18.8%
Oil and Gas Extraction........................................... 8.4%
Industrial, Commercial Machinery, Computers...................... 6.4%
------------------------------------------------------------------------------
Top ten holdings (as of 06/30/00)
Gemstar International Group, Ltd................................. 4.3%
VoiceStream Wireless Corp........................................ 3.5%
Symbol Technologies, Inc......................................... 3.1%
EchoStar Communications Corp..................................... 3.1%
NEXTLINK Communications, Inc..................................... 2.6%
McLeodUSA, Inc................................................... 2.3%
Portal Software, Inc............................................. 2.3%
Morgan Stanley Group............................................. 2.2%
Copper Mountain Networks, Inc.................................... 2.1%
Applied Micro Circuits Corp...................................... 2.0%
* Current net assets: $202,427,490
* Increase in net assets YTD: $56,477,799
* Percentage increase in net assets YTD: 38.7%
* Beta: 1.05 (Class A shares)(4)
-------------------------------------------------------------------------------
(3) Past performance is no guarantee of future results. Your investment
return and principal will fluctuate and your shares may be worth more or
less than their original cost. Total return is provided in accordance with
SEC guidelines for comparative purposes and reflects certain contractual
expense reimbursements through April 30, 2001. If the expense reimbursements
were not in place, the fund's return would have been lower. Total return is
shown with the applicable sales load or contingent-deferred sales charge.
The maximum sales load for the Conseco Equity Fund is 5.75%. The S&P 400
Midcap Index is an unmanaged index considered to be representative of the
midcap stock arena in general. The S&P 500 Index is an unmanaged index
considered to be representative of the U.S. stock market in general.
(4) Beta measures the fund's volatility compared to the S&P 400.
15
<PAGE>
Conseco Equity Fund
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- ------------
COMMON STOCKS (94.4%)
Amusement and Recreation Services (0.5%)
23,870 International Speedway Corp........................$ 987,621
-----------
Business Services (19.0%)
64,520 Acxiom Corp. (a)................................... 1,758,170
21,020 Concord EFS, Inc. (a).............................. 546,520
31,620 E.piphany, Inc. (a)................................ 3,331,860
62,450 Intuit, Inc. (a)................................... 2,583,869
85,080 Lamar Advertising Co. (a).......................... 3,685,027
49,130 NOVA Corp. (a)..................................... 1,372,569
29,570 Optimal Robotics Corp. (a)......................... 1,134,749
71,330 Portal Software, Inc. (a).......................... 4,556,204
19,380 Siebel Systems, Inc. (a)........................... 3,169,841
30,303 SmartServ Online, Inc. (a)......................... 2,138,255
29,920 Software.com, Inc. (a)............................. 3,885,860
25,290 SunGard Data Systems, Inc. (a)..................... 783,990
9,730 TIBCO Software, Inc. (a)........................... 1,043,390
8,700 VeriSign, Inc. (a)................................. 1,535,550
27,412 VERITAS Software Corp.............................. 3,097,984
43,170 Vignette Corp. (a)................................. 2,245,515
25,230 Vitria Technology, Inc. (a)........................ 1,542,184
-----------
38,411,537
-----------
Chemicals and Allied Products (2.7%)
36,830 Alkermes, Inc. (a)................................. 1,735,614
16,880 ALZA Corp. (a)..................................... 998,030
43,250 Biogen, Inc. (a)................................... 2,789,625
-----------
5,523,269
-----------
Communications by Phone, Television, Radio, Cable (22.1%)
62,560 AT&T Canada, Inc. - Class B (a).................... 2,076,209
48,140 ALLTEL Corp........................................ 2,981,671
94,550 Crown Castle International Corp. (a)............... 3,451,075
51,800 Digex, Inc. (a).................................... 3,519,162
188,730 EchoStar Communications Corp. - Class A (a)........ 6,249,774
220,730 McLeodUSA, Inc. - Class A (a)...................... 4,566,352
Communications by Phone, Television, Radio, Cable (continued)
74,160 Metromedia Fiber Network, Inc. - Class A (a)....... $2,943,225
60,200 Network Plus Corp. (a)............................. 854,465
136,410 NEXTLINK Communications, Inc. (a).................. 5,170,946
56,135 Research in Motion, Ltd. (a)....................... 2,540,109
80,870 TeleCorp PCS, Inc. (a)............................. 3,260,071
60,620 VoiceStream Wireless Corp. (a)..................... 7,047,424
-----------
44,660,483
-----------
Depository Institutions (2.1%)
48,210 North Fork Bancorporation, Inc..................... 729,176
39,540 PNC Financial Services Group, Inc.................. 1,853,438
61,220 Washington Mutual, Inc............................. 1,767,728
-----------
4,350,342
-----------
Electric, Gas, Water, Cogeneration, Sanitary Services (1.4%)
55,600 El Paso Energy Corp................................ 2,832,125
-----------
Electrical, Other Electrical Equipment, except Computers (18.8%)
41,740 Applied Micro Circuits Corp. (a)................... 4,121,825
80,500 Atmel Corp. (a).................................... 2,984,468
12,990 Celestica, Inc. (a)................................ 644,629
47,920 Copper Mountain Networks, Inc. (a)................. 4,222,950
39,430 CTS Corp........................................... 1,774,350
22,300 Eaton Corp......................................... 1,494,100
14,040 Flextronics International, Ltd. (a)................ 964,373
141,940 Gemstar International Group, Ltd. (a).............. 8,722,657
65,140 Integrated Device Technology, Inc. (a)............. 3,900,257
41,370 Jabil Circuit, Inc. (a)............................ 2,052,986
22,480 QLogic Corp. (a)................................... 1,485,085
36,320 RF Micro Devices, Inc. (a)......................... 3,182,540
31,540 TranSwitch Corp. (a)............................... 2,433,553
-----------
37,983,773
-----------
Engineering, Accounting, Research, Management Services (0.9%)
26,960 PerkinElmer, Inc................................... 1,782,730
-----------
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
CONSECO FUND GROUP
-------------------------------------------------------------------------------
2000 Mid-Year Report
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- -----------
Fabricated Metal Products, except Machinery
and Transportation Equipment (1.3%)
53,710 Danaher Corp....................................... $2,655,288
-----------
Health Services (0.4%)
46,320 Community Health System, Inc. (a).................. 749,805
-----------
Home Furniture and Equipment Stores (0.4%)
15,740 RadioShack Corp.................................... 745,683
-----------
Industrial, Commercial Machinery, Computers (6.4%)
39,160 Cooper Cameron Corp. (a)........................... 2,584,560
32,990 Novellus Systems, Inc. (a)......................... 1,865,997
117,990 Symbol Technologies, Inc........................... 6,371,460
55,180 Weatherford International, Inc. (a)................ 2,201,538
-----------
13,023,555
-----------
Insurance Carriers (2.5%)
16,210 Ambac Financial Group, Inc......................... 888,511
36,870 Jefferson Pilot Corp............................... 2,080,850
55,750 Lincoln National Corp.............................. 2,028,575
-----------
4,997,936
-----------
Measuring Instruments, Photo Goods, Watches (1.9%)
15,800 Credence Systems Corp. (a)......................... 871,962
14,380 PE Corp. - PE Biosystems Group..................... 947,283
51,890 SCI Systems, Inc. (a).............................. 2,033,439
-----------
3,852,684
-----------
Miscellaneous Retail (0.6%)
50,270 ValueVision International, Inc. (a)................ 1,206,480
-----------
Motion Pictures (1.3%)
40,620 Macrovision Corp. (a).............................. 2,595,621
-----------
Non-Depository Credit Institutions (0.3%)
6,350 Providian Financial Corp........................... 571,500
-----------
Oil and Gas Extraction (8.4%)
81,851 ENSCO International, Inc........................... $ 2,931,289
83,520 Helmerich & Payne, Inc............................. 3,090,867
85,260 Nabors Industries, Inc. (a)........................ 3,543,619
110,205 R&B Falcon Corp. (a)............................... 2,596,705
78,010 Rowan Companies, Inc. (a).......................... 2,369,554
73,460 Santa Fe International Corp........................ 2,564,216
------------
17,096,250
------------
Petroleum Refining and Related Products (1.1%)
69,940 Valero Energy Corp................................. 2,220,595
------------
Real Estate Operators, Agents, Managers (1.3%)
84,710 Starwood Hotels & Resorts Worldwide, Inc........... 2,758,369
------------
Security and Commodity Brokers (1.0%)
69,360 Franklin Resources, Inc............................ 2,106,810
------------
Total common stock (cost $185,598,649)............. 191,112,456
------------
SHORT-TERM INVESTMENTS (6.2%)
4,000,000 General Electric Capital, 6.800%, due
07/03/2000...................................... 3,998,489
4,000,000 Koch Industries, 6.890%, due 07/03/2000............ 3,998,469
4,500,000 Morgan Stanley Group, 6.850%, due 07/03/2000....... 4,498,288
------------
Total short-term investments (cost $12,495,246).... 12,495,246
------------
Total investments (cost $198,093,895) (100.6%)................... 203,607,702
------------
Other assets, less liabilities (-0.6%)........................... (1,180,212)
------------
Total net assets (100.0%)........................................ $202,427,490
============
---------------
(a) Non-income producing security.
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
Conseco Balanced Fund
------------------------------------------------------------------------------
Portfolio Managers' Review
The fund achieved a one-year total return of 28.90% beating the 16.98% return
of the S&P 400 Midcap Index and the 4.57% return of the Lehman Brothers
Aggregate Index.
The fund's year-to-date return of 6.74% and average-annual, three-year
performance of 19.54%, which includes both stocks and bonds, narrowly missed
outperforming the all-equity S&P 400. The Midcap Index returned 8.97%
year-to-date and 20.34% for its average-annual, three-year return. However, the
fund decidedly beat the all-bond Lehman Brothers Index, which earned a 3.99%
year-to-date return and a 6.04% average-annual total return over the past three
years. (Fund returns reflect Class A share performance with sales load.)
Excellent ranking scores prove the fund's success. It beat most of its peer
group, ranking 6 out of 231 funds for one-year returns and 5 out of 171 funds
for its three-year returns in the Lipper Flexible Portfolio category.(1)
In addition, the Conseco Balanced Fund continued its excellent track record
by maintaining a four-star Morningstar rating (out of a possible five stars),
placing it in the top 32.5% of its peer group.(2) Both Lipper Analytical
Services and Morningstar rankings are based on performance without the sales
load included.
Fixed income navigates volatile market waters
The bond markets experienced volatility similar to the harrowing times of
Fall 1998, but for different reasons. The Fed continued to pull money out of the
system and forced interest rates higher in an effort to slow the economy and
head-off a spurt in inflation. Spreads across all sectors widened. Event risk --
the risk that an issuer may become impaired or downgraded due to an acquisition,
merger, stock buy-back or other change to its balance sheet -- also increased.
Toward the end of the second quarter, the fixed-income market reached a
critical inflection point in investor sentiment. Economic data, both in the
manufacturing and consumer sectors, suggested that a modest slow down was
underway. As the market surmised, the Fed moved to the sideline and bonds
rallied sharply, leaving a constructive landscape for the second half of the
year.
Growth of $10,000
Conseco Balanced Fund Lehman Brothers S&P 400
DATE (Class A Shares) Aggregate Bond Index Midcap Index
---- --------------------- -------------------- ------------
1/2/97 $9,425.00 $10,000.00 $10,000.00
1/31/97 $9,556.95 $10,031.00 $10,375.00
2/28/97 $9,434.43 $10,056.08 $10,289.93
3/31/97 $9,123.40 $9,944.46 $9,851.57
4/30/97 $9,123.40 $10,093.62 $10,106.73
5/30/97 $9,720.26 $10,189.51 $10,990.06
6/30/97 $10,051.85 $10,310.77 $11,298.88
7/31/97 $10,623.51 $10,589.16 $12,417.47
8/29/97 $10,709.26 $10,499.15 $12,402.57
9/30/97 $11,447.67 $10,653.49 $13,115.71
10/31/97 $11,083.64 $10,807.96 $12,545.18
11/28/97 $11,112.38 $10,857.68 $12,730.85
12/31/97 $11,045.33 $10,967.34 $13,224.81
1/30/98 $11,261.50 $11,107.72 $12,973.54
2/27/98 $11,920.31 $11,098.84 $14,047.74
3/31/98 $12,508.09 $11,136.57 $14,681.30
4/30/98 $12,570.73 $11,194.48 $14,949.96
5/29/98 $12,153.10 $11,300.83 $14,277.22
6/30/98 $12,450.66 $11,396.89 $14,367.16
7/31/98 $11,968.16 $11,420.82 $13,809.72
8/31/98 $10,677.99 $11,606.98 $11,239.73
9/30/98 $10,992.66 $11,878.58 $12,289.52
10/30/98 $11,172.18 $11,815.63 $13,388.20
11/30/98 $11,710.72 $11,882.98 $14,056.27
12/31/98 $12,420.34 $11,918.63 $15,754.27
1/29/99 $12,335.34 $12,003.25 $15,141.43
2/26/99 $11,952.85 $11,793.19 $14,348.02
3/31/99 $12,360.84 $11,858.05 $14,748.33
4/30/99 $12,670.66 $11,896.00 $15,911.97
5/28/99 $12,553.14 $11,791.31 $15,980.39
6/30/99 $13,321.82 $11,753.58 $16,836.94
7/30/99 $13,343.27 $11,704.22 $16,478.32
8/31/99 $13,364.73 $11,698.37 $15,913.11
9/30/99 $13,443.56 $11,834.07 $15,421.39
10/29/99 $13,960.62 $11,877.85 $16,207.89
11/30/99 $14,714.67 $11,876.66 $17,058.80
12/31/99 $16,076.69 $11,819.66 $18,072.09
1/31/00 $16,052.89 $11,780.65 $17,562.46
2/29/00 $18,932.66 $11,923.20 $18,791.83
3/31/00 $18,607.08 $12,080.58 $20,364.71
4/28/00 $17,484.44 $12,045.55 $19,651.94
5/31/00 $16,720.09 $12,039.53 $19,406.29
6/30/00 $18,220.00 $12,289.95 $19,691.57
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/00. Past performance is no
guarantee of future results.
Equity capitalizes on undervalued securities in an up-and-down market
Fueled by a series of interest-rate hikes from the Fed and extended
valuations, the market took a healthy correction, taming some of the "irrational
exuberance" that led to an 80% return for the Nasdaq during the prior four
quarters. We took advantage of this opportunity to increase positions in some of
our favorite growth stocks at low prices.
Technology and telecommunications are still favored as the fastest-growing
sectors of the economy. We also remain bullish on the energy sector to play to
the strength in the global economy.
Our top performer during the quarter was Integrated Device Technology, Inc.
The company continued its migration toward networking and specialty
-------------------------------------------------------------------------------
(1) Reflects performance for the Class A shares for the period ending June 30,
2000. Lipper Analytical Services is an independent organization that
compiles performance data on investment companies.
(2) Morningstar proprietary ratings reflect historical risk-adjusted
performance. The ratings are subject to change every month. Morningstar
ratings are calculated from a fund's 3-, 5- and 10-year average annual
returns in excess of 90-day T-bill returns with appropriate fee adjustments
and a risk factor that reflects fund performance below 90-day T-bill
returns. The top 10% of the funds in a broad asset class receive five
stars; the next 22.5% receive four stars; the next 35% receive three stars;
the next 22.5% receive two stars; and the bottom 10% receive one star.
18
<PAGE>
CONSECO FUND GROUP
Morningstar Ranking(2): * * * * (of 3,642 funds) 2000 Mid-Year Report
-------------------------------------------------------------------------------
chip products. With ample capacity, rising margins, new products, modest
valuation and an accelerating sales-growth rate, the company is beginning to
gain broader acceptance in the market and produce outsized returns for
investors.
On the flip side, telecommunications slowed the fund's performance. We
attribute this sector weakness to overall equity market conditions. Nonetheless,
we remain confident that the fund's investments will generate solid returns
going forward.
What lies ahead
The energy sector --including positions in oil drillers R&B Falcon Corp.,
Ensco International, Inc., Nabors Industries, Inc. and service company Cooper
Cameron Corp. -- propelled the fund. Looking forward, rising oil and natural gas
demand combined with constrained supply continues to bode well for this sector
and these investments remain significant weightings in the portfolio.
As we enter the second half of 2000, we expect volatility to persist.
However, we are cautiously optimistic that the strong operating results from a
broad array of companies will drive stocks higher. As always, we continue to
rely on our bottom-up, total-return investment research. It is our in-depth
understanding of the fundamentals of each company that allows us to be
opportunistic in times of weakness and prudent when prices are high. We feel
this is the best way to navigate the fund through a volatile market.
Gregory J. Hahn, CFA Thomas J. Pence, CFA
Senior Vice President, Portfolio Analytics Senior Vice President
Chief Fixed Income Investment Officer Chief Equity Investment Officer
Portfolio Manager Portfolio Manager
Conseco Capital Management, Inc. Conseco Capital Management, Inc.
Average annual total return(3) (as of 06/30/00)
Inception Year-to- Since
date date 1 year 3 year inception
--------- -------- ------ ------ ---------
Class A.................... 01/02/97 6.74% 28.90% 19.54% 18.70%
Class B.................... 02/10/98 7.41% 29.37% -- 17.53%
Class C.................... 02/13/98 11.90% 34.85% -- 19.25%
Class Y.................... 01/02/97 13.59% 37.57% 22.55% 21.33%
LBA Index.................. 01/02/97 3.99% 4.57% 6.04% 6.07%
S&P 400 Midcap Index....... 01/02/97 8.97% 16.98% 20.34% 21.36%
-----------------------------------------------------------------------------
Top five sectors (as of 06/30/00)
Electrical, Other Electrical Equipment, except Computers......... 14.9%
Communications by Phone, Television, Radio, Cable................ 14.5%
Business Services................................................ 9.3%
Industrial, Commercial Machinery, Computers...................... 6.5%
Oil and Gas Extraction........................................... 6.4%
-----------------------------------------------------------------------------
Top ten holdings (as of 06/30/00)
U.S. Treasury Bond............................................... 3.0%
General Electric Capital......................................... 2.7%
Gemstar International Group, Ltd................................. 2.7%
Morgan Stanley Group............................................. 2.6%
Koch Industries.................................................. 2.6%
R & B Falcon Corp................................................ 2.3%
Integrated Device Technology, Inc................................ 2.1%
Nortel Networks Corp............................................. 2.1%
VoiceStream Wireless Corp........................................ 2.0%
EchoStar Communications Corp..................................... 2.0%
* Current net assets: $57,932,964
* Increase in net assets YTD: $11,697,112
* Percentage increase in net assets YTD: 25.3%
* Beta: 1.19 (Class A shares)(4)
------------------------------------------------------------------------------
(3) 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 expense
reimbursements through April 30, 2001. If the expense reimbursements were
not in place, the fund's return would have been lower. Total return is
shown with the applicable sales load or contingent-deferred sales charge.
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 S&P 400 Midcap Index is
an unmanaged index considered to be representative of the mid-cap stock
arena in general.
(4) Beta measures the fund's volatility compared to a 50%/50% blend of
the S&P 400 and the LBA Index.
19
<PAGE>
Conseco Balanced Fund
------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- ----------
COMMON STOCKS (58.7%)
Building Materials, Hardware, Garden-Retail (0.6%)
7,000 The Home Depot, Inc................................ $ 349,562
----------
Business Services (9.3%)
9,980 America Online, Inc. (a)........................... 526,445
1,940 Computer Sciences Corp. (a)........................ 144,894
5,510 First Data Corp.................................... 273,434
5,060 Microsoft Corp. (a)................................ 404,800
3,470 Oracle Corp. (a)................................... 291,697
11,870 Portal Software, Inc. (a).......................... 758,197
2,450 Siebel Systems, Inc. (a)........................... 400,728
4,540 Software.com, Inc. (a)............................. 589,633
1,960 VeriSign, Inc. (a)................................. 345,940
8,080 VERITAS Software Corp. (a)......................... 908,269
8,380 Vignette Corp. (a)................................. 435,891
4,610 Vitria Technology, Inc. (a)........................ 281,786
----------
5,361,714
----------
Chemicals and Allied Products (1.2%)
3,160 ALZA Corp. (a)..................................... 186,835
7,930 Biogen, Inc. (a)................................... 511,485
----------
698,320
----------
Communications by Phone, Television, Radio, Cable (12.0%)
6,220 AT&T Wireless Group (a)............................ 173,382
11,920 ALLTEL Corp........................................ 738,693
8,380 Crown Castle International Corp. (a)............... 305,870
6,110 Digex, Inc. (a).................................... 415,098
34,790 EchoStar Communications Corp. - Class A (a)........ 1,151,875
3,500 Level 3 Communications, Inc. (a)................... 308,000
29,070 McLeodUSA, Inc. - Class A (a)...................... 601,386
15,400 Metromedia Fiber Network, Inc. - Class A (a)....... 611,187
22,420 NEXTLINK Communications, Inc. (a).................. 850,559
6,195 Research in Motion, Ltd. (a)....................... 280,324
Communications by Phone, Television, Radio, Cable (continued)
10,183 VoiceStream Wireless Corp. (a)..................... $1,184,251
6,830 WorldCom, Inc. (a)................................. 313,326
----------
6,933,951
----------
Depository Institutions (2.7%)
8,220 The Bank of New York Co., Inc...................... 382,230
5,780 The Chase Manhattan Corp........................... 266,241
8,320 FleetBoston Financial Corp......................... 283,048
6,020 PNC Financial Services Group, Inc.................. 282,187
11,290 Washington Mutual, Inc............................. 325,999
----------
1,539,705
----------
Electric, Gas, Water, Cogeneration, Sanitary Services (0.7%)
7,910 El Paso Energy Corp................................ 402,916
----------
Electrical, Other Electrical Equipment, except Computers (14.9%)
8,830 Applied Micro Circuits Corp. (a)................... 871,962
12,280 Atmel Corp. (a).................................... 452,825
4,730 Copper Mountain Networks, Inc. (a)................. 416,831
1,540 E-TEK Dynamics, Inc. (a)........................... 406,271
3,900 Eaton Corp......................................... 261,300
9,080 Emerson Electric Co................................ 548,205
2,600 Flextronics International, Ltd. (a)................ 178,588
25,870 Gemstar International Group, Ltd. (a).............. 1,589,792
20,330 Integrated Device Technology, Inc. (a)............. 1,217,259
7,520 Jabil Circuit, Inc. (a)............................ 373,180
17,780 Nortel Networks Corp............................... 1,213,485
6,380 RF Micro Devices, Inc. (a)......................... 559,048
5,710 Tellabs, Inc. (a).................................. 390,778
2,080 Vitesse Semiconductor Corp. (a).................... 153,010
----------
8,632,534
----------
Fabricated Metal Products, except Machinery
and Transportation Equipment (0.7%)
8,650 Danaher Corp....................................... 427,634
----------
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- ----------
Food and Kindred Products (0.5%)
5,540 The Coca-Cola Co................................... $ 317,584
----------
Industrial, Commercial Machinery, Computers (6.5%)
2,320 Applied Materials, Inc. (a)........................ 210,250
14,160 Cisco Systems, Inc. (a)............................ 895,674
6,830 Cooper Cameron Corp. (a)........................... 450,780
4,050 EMC Corp. (a)...................................... 311,597
7,810 Novellus Systems, Inc. (a)......................... 441,753
18,770 Symbol Technologies, Inc........................... 1,013,580
10,950 Weatherford International, Inc. (a)................ 443,092
----------
3,766,726
----------
Insurance Carriers (0.3%)
2,950 Jefferson Pilot Corp............................... 166,491
----------
Measuring Instruments, Photo Goods, Watches (0.9%)
5,700 KLA Tencor Corp. (a)............................... 333,806
2,690 PE Corp.-PE Biosystems Group....................... 177,204
----------
511,010
----------
Motion Pictures (1.5%)
36,440 AT&T Corp. - Liberty Media Group - Class A (a)..... 883,670
----------
Non-Depository Credit Institutions (0.5%)
4,470 Federal Home Loan Mortgage Corp.................... 181,035
1,190 Providian Financial Corp........................... 107,100
----------
288,135
----------
Oil and Gas Extraction (4.1%)
3,800 Enron Corp......................................... 245,100
17,587 ENSCO International, Inc........................... 629,834
15,590 Nabors Industries, Inc. (a)........................ 647,959
20,945 R&B Falcon Corp. (a)............................... 493,517
7,190 Transocean Sedco Forex, Inc........................ 384,216
----------
2,400,626
----------
Petroleum Refining and Related Industries (0.8%)
6,000 Exxon Mobil Corp................................... $ 471,090
----------
Real Estate Operators, Agents, Managers (0.5%)
8,930 Starwood Hotels & Resorts Worldwide, Inc........... 290,783
----------
Security and Commodity Brokers (0.2%)
3,720 Franklin Resources, Inc............................ 112,995
----------
Transportation Equipment (0.8%)
5,390 General Motors Corp. - Class H (a)................. 472,972
----------
Total common stocks (cost $31,164,957)............. 34,028,418
----------
PREFERRED STOCKS (4.4%)
Communications by Phone, Television, Radio, Cable (0.1%)
20 IXC Communications, Inc., Series B, PIK (c),
12.500%......................................... 20,433
----------
Insurance Carriers (0.3%)
8,000 Lincoln National Capital, TOPrS (c), 6.400%........ 195,250
----------
Measuring Instruments, Photo Goods, Watches (0.7%)
6,268 River Holding Corp., Series B, PIK (c), 11.500%.... 377,653
----------
Non-Depository Credit Institutions (1.0%)
6,000 Centaur Funding Corp., 9.080%,
(b) Cost - $637,948; Acquired - 01/14/1999
and 01/13/2000.................................. 596,438
----------
Oil and Gas Extraction (2.3%)
1,182 R&B Falcon Corp., PIK (c), 13.875%................. 1,338,177
----------
Total preferred stock (cost $2,666,453)............ 2,527,951
----------
The accompanying notes are an integral part of these financial statements.2
21
<PAGE>
Conseco Balanced Fund
------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- ----------
PREFERRED STOCK -- CONVERTIBLE (1.3%)
Communications by Phone, Television, Radio, Cable (0.5%)
12,000 Intermedia Communications, Inc., 7.000%,
(b) Cost - $300,000; Acquired - 10/24/1997...... $ 309,000
----------
Electric, Gas, Water, Cogeneration, Sanitary Services (0.8%)
6,000 The AES Trust II, 5.500%, (b) Cost - $300,000;
Acquired - 10/24/1997........................... 486,750
----------
Total preferred stocks - convertible (cost $600,000) 795,750
----------
WARRANTS (0.0%)
Amusement and Recreation Services (0.0%)
100 Park `N View, Inc. (a)............................. --
----------
Miscellaneous Manufacturing (0.0%)
200 V2 Music Holdings (a).............................. --
----------
Total warrants (cost $-)........................... --
----------
CORPORATE BONDS (22.0%)
Amusement and Recreation Services (0.3%)
150,000 Mirage Resorts, Inc., 6.625%, due 02/01/2005....... 138,929
100,000 Park `N View, Inc., Series B, 13.000%,
due 05/15/2008.................................. 40,500
----------
179,429
----------
Auto Repair and Parking (0.6%)
400,000 Amerco-MTN, 7.470%, due 01/15/2027................. 347,152
----------
Chemicals and Allied Products (1.6%)
350,000 Agrium, Inc., 7.700%, due 02/01/2017............... 303,180
625,000 Lyondell Chemical Co., Series A, 9.625%,
due 05/01/2007.................................. 617,188
----------
920,368
----------
Communications by Phone, Television, Radio, Cable (1.9%)
500,000 360Networks, Inc., 13.000%, due 05/01/2008,
(b) Cost - $488,080; Acquired - 04/20/2000...... $ 502,500
25,000 Bellsouth Capital Funding Corp., 7.875%,
due 02/15/2030.................................. 24,951
550,000 Crown Castle International Corp., 10.750%,
due 08/01/2011.................................. 560,313
----------
1,087,764
----------
Depository Institutions (2.3%)
300,000 Centura Bank, 6.500%, due 03/15/2009............... 272,406
150,000 Key Bank, National Association, 6.500%,
due 04/15/2008.................................. 137,762
335,000 Sovereign Bancorp, Inc., 10.250%, due 05/15/2004... 332,488
650,000 Union Planters Bank, National Association,
6.500%, due 03/15/2008.......................... 570,009
----------
1,312,665
----------
Electric, Gas, Water, Cogeneration, Sanitary Services (3.6%)
400,000 Commonwealth Edison Co., 8.375%,
due 02/15/2023.................................. 394,683
850,000 El Paso Natural Gas, 7.500%, due 11/15/2026........ 789,943
350,000 PSEG Energy Holdings, 9.125%, due 02/10/2004,
(b) Cost - $349,426; Acquired - 02/03/2000...... 354,343
400,000 Tennessee Gas Pipeline, 7.000%, due 10/15/2028..... 350,256
200,000 Waste Management, Inc., 6.625%, due 07/15/2002..... 190,660
----------
2,079,885
----------
General Merchandise Stores (0.2%)
150,000 Shopko Stores, Inc., 6.500%, due 08/15/2003........ 143,588
----------
Insurance Carriers (0.8%)
550,000 MMI Capital Trust I, Series B, 7.625%, 12/15/2027.. 475,104
----------
Lumber and Wood Products, except Furniture (0.9%)
500,000 West Fraser Mill, 7.250%, due 09/15/2002,
(b) Cost - $499,920; Acquired - 01/06/1997...... 493,698
----------
The accompanying notes are an integral part of these financial statements.
22
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
--------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- ----------
Measuring Instruments, Photo Goods, Watches (1.4%)
300,000 Raytheon Co., 8.200%, due 03/01/2006,
(b) Cost - $301,578; Acquired - 03/16/2000...... $ 304,997
500,000 Raytheon Co., 8.300%, due 03/01/2010,
(b) Cost - $499,310; Acquired - 03/02/2000...... 510,570
----------
815,567
----------
Miscellaneous Manufacturing (0.2%)
110,000 V2 Music Holdings, 6.500%, due 06/30/2012.......... 111,144
----------
Motion Pictures (2.2%)
100,000 Liberty Media Corp., 8.500%, due 07/15/2029,
(b) Cost - $97,230; Acquired - 08/11/1999....... 94,687
800,000 Liberty Media Corp., 8.250%, due 02/01/2030,
(b) Cost - $793,592; Acquired - 01/26/2000...... 736,520
450,000 Time Warner, Inc., 8.180%, due 08/15/2007.......... 460,561
----------
1,291,768
----------
Non-Depository Credit Institutions (0.2%)
100,000 FMR Corp., 7.570%, due 06/15/2029,
(b) Cost - $100,000; Acquired - 06/17/1999...... 95,045
----------
Petroleum Refining and Related Industries (1.8%)
350,000 Pennzoil Co., 10.125%, due 11/15/2009.............. 398,626
625,000 Phillips Petroleum Co., 8.750%, due 05/25/2010..... 662,887
----------
1,061,513
----------
Real Estate Investment Trusts (REITS) (0.4%)
150,000 CarrAmerica Realty Corp., 6.625%,
due 03/01/2005.................................. 139,402
100,000 Corporate Property Investors, Inc., 9.000%,
due 03/15/2002, (b) Cost - $109,680;
Acquired - 03/17/1998........................... 100,925
----------
240,327
----------
Real Estate Operators, Agents, Managers (1.4%)
500,000 Pinnacle Holdings, Inc., STEP (c) 0.000%/10.000%,
due 03/15/2008.................................. $ 347,500
500,000 Regency Centers, L.P., 7.400%, due 04/01/2004...... 480,135
----------
827,635
----------
Tobacco Products (0.6%)
350,000 R.J. Reynolds Tobacco Holdings, Inc., 7.375%,
due 05/15/2003.................................. 326,391
----------
Transportation Equipment (1.6%)
360,000 Lockheed Martin Corp., 8.200%,
due 12/01/2009.................................. 364,011
550,000 Northrop-Grumman Corp., 9.375%,
due 10/15/2024.................................. 560,383
----------
924,394
----------
Total corporate bonds (cost $14,238,838)........... 12,733,437
----------
FOREIGN BONDS (1.0%)
550,000 United Mexican States, 9.875%, due 02/01/2010...... 570,625
----------
Total foreign bonds (cost $586,025)................ 570,625
----------
MUNICIPAL BONDS (0.9%)
250,000 Capital Projects Finance Authority,
Florida Revenue, 8.000%, due 12/01/2001......... 246,563
350,000 Mississippi Development Bank, Special Obligation,
Series 1998, 8.500%, due 12/01/2018............. 299,425
----------
Total municipal bonds (cost $600,000).............. 545,988
----------
The accompanying notes are an integral part of these financial statements.
23
<PAGE>
Conseco Balanced Fund
------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- ----------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.5%)
266,935 First Union National Bank Commercial Mortgage,
99-C4 A1, 7.184%, due 12/15/2031................ $ 265,623
-----------
Total collateralized mortgage obligations
(cost $267,312)................................. 265,623
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (5.8%)
40,000 U.S. Treasury Bond, 5.250%, due 11/15/2028......... 35,413
1,725,000 U.S. Treasury Bond, 6.125%, due 08/15/2029......... 1,743,868
400,000 U.S. Treasury Note, 6.625%, due 05/15/2007......... 408,375
540,000 U.S. Treasury Note, 6.500%, due 02/15/2010......... 558,562
575,000 U.S. Treasury Note, 6.750%, due 05/15/2005......... 588,656
-----------
Total U.S. government and agency obligations
(cost $3,315,273)............................... 3,334,874
-----------
SHORT-TERM INVESTMENTS (7.9%)
1,600,000 General Electric Capital, 6.800%, due 07/03/2000... $1,599,395
1,500,000 Koch Industries, 6.890%, due 07/03/2000............ 1,499,426
1,500,000 Morgan Stanley Group, 6.850%, due 07/03/2000....... 1,499,429
-----------
Total short-term investments (cost $4,598,250)..... 4,598,250
-----------
Total investments (cost $58,037,108) (102.5%).................... 59,400,916
-----------
Other assets, less liabilities (-2.5%)........................... (1,467,952)
-----------
Total net assets (100.0%)........................................ $57,932,964
===========
-------------------
(a) Non-income producing security.
(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.
TOPrS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
24
<PAGE>
GRAPHIC
<PAGE>
Conseco Convertible Securities Fund
-------------------------------------------------------------------------------
Portfolio Manager's Review
The fund successfully produced a 6.42% year-to-date return trouncing the
0.75% return of the Merrill Lynch Broad Convertible Index. The fund's
since-inception return of 31.67% (inception date: 09/28/98) also beat the
index's 29.75% performance, while the fund's one-year results matched the
index's 28.40% return. (Fund returns reflect Class A share performance with
sales load.)
The fund also placed in the top 30% of its peer group for the Lipper
Convertible Securities category.(1)
Market insight
The U.S. equity markets took a sharp drop at the beginning of the second
quarter then partially rebounded during the month of June.
Many of the highest-flying stocks from the beginning of the year were the
worst hit. Combined with the market's drop during the last few weeks of March,
the net effect was to reacquaint many complacent investors with the true meaning
of the term risk.
Investors in the fund enjoyed the 0.76 beta(3) -- a measurement of volatility
that compares the fund to its index -- recording risk nearly 25% below the
fund's benchmark, while soundly beating the benchmark's year-to-date
performance. The diversification posture of the fund remains consistent,
representing nearly every sector of the economy.
The fund outpaced 70% of its peers and its benchmark due to the performance
of the stocks underlying the individual convertible investments held.
One of the best-performing names in the portfolio during the second quarter
was ASM Lithography Holding, whose underlying stock was up 18.46%.
Looking ahead
We will remain underweighted in the Internet sector due to valuation concerns
applied to companies in that group. Even the recent "haircut" (some would call
it a "scalping") applied to valuations in this sector was insufficient to
generate long-term investment value.
Growth of $10,000
Conseco Convertible Securities Fund Merrill Lynch
DATE (Class A shares) Convertible Bond Index
---- ----------------------------------- ----------------------
9/28/98 $9,425.00 $10,000.00
9/30/98 $9,321.33 $9,791.00
10/30/98 $9,472.13 $10,025.00
11/30/98 $9,885.70 $10,469.11
12/31/98 $10,465.75 $11,085.74
1/29/99 $11,175.90 $11,603.45
2/26/99 $10,783.08 $11,189.20
3/31/99 $10,958.20 $11,669.22
4/30/99 $11,480.16 $12,180.33
5/28/99 $11,457.39 $12,091.42
6/30/99 $12,212.07 $12,554.52
7/30/99 $12,416.06 $12,476.68
8/31/99 $12,429.21 $12,396.83
9/30/99 $12,402.96 $12,497.24
10/29/99 $12,901.21 $12,950.89
11/30/99 $13,873.56 $13,928.69
12/31/99 $14,664.92 $16,001.27
1/31/00 $15,533.22 $15,868.46
2/29/00 $17,418.05 $17,479.11
3/31/00 $17,156.53 $17,099.82
4/28/00 $16,109.01 $16,020.82
5/31/00 $15,282.65 $15,213.37
6/30/00 $16,559.00 $16,120.09
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/00. Past performance is no
guarantee of future results.
Our investment strategy in this sector remains fixed. Ultimately, the
Internet will revolutionize society and change the way we live. It's currently
the fastest-growing sector of the convertible securities market.
Therefore, we intend to invest primarily in companies that provide the
facilitating software and hardware technology to Internet companies. We do not
foresee directly investing in pure dot-com names unless they meet our stringent
criteria, specifically strong fundamentals and appropriate evaluation that
includes closely scrutinized earnings analysis.
However, the recent market volatility does not change our outlook on the
fund's positioning relative to the core names held in the portfolio. Names such
as Nextel Communications, Inc. and Level 3 Communications, Inc., remain
attractive long-term investments in spite of short-term market gyrations.
Oil services is a new sector we have targeted for growth. As oil prices and
long-term growth projections have risen, valuations in this sector have been
driven substantially higher. The fund has benefited from this trend through
names such as Transocean Offshore, Inc. and Pride International, Inc.
26
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
The Conseco Convertible Securities Fund research team continues its
forward-looking analysis. Rather than reacting to market and industry activity,
we constantly strive to be one step ahead. To achieve this goal, we work in
concert with the fixed-income and equity research functions to leverage their
industry resources, investigative prowess and seasoned insight.
As in the past, we steadfastly will employ CCM's total-team-investment
management approach to due diligence as we research viable securities with
attractive valuations. In so doing, we will adhere to the process that continues
to serve the fund well.
Paul M. Kocoras Hirouye Teshome
Research Analyst Senior Securities Analyst
Co-Portfolio Manager Co-Portfolio Manager
Conseco Capital Management, Inc. Conseco Capital Management, Inc.
-------------------------------------------------------------------------------
(1) Reflects performance for the Class A shares for the period ending June 30,
2000. The Conseco Convertible Securities Fund ranked 19 out of 64 funds.
Lipper Analytical Services is an independent organization that compiles
performance data on investment companies.
(2) 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 expense
reimbursements through April 30, 2001. If the expense reimbursements were
not in place, the fund's return would have been lower. Total return is
shown with the applicable sales load or contingent-deferred sales charge.
The maximum sales load for the Conseco Convertible Securities Fund is
5.75%. Our benchmark index, the Merrill Lynch Broad Convertible (MLBC)
Index is an unmanaged index considered to be representative of the
convertible securities market in general.
(3) Beta measures the fund's volatility compared to the MLBC Index.
Average total return(2) (as of 06/30/00)
Inception Year-to- Since
date date 1 year 3 year inception
--------- -------- ------ ------ ---------
Class A ................... 09/28/98 6.42% 27.80% -- 31.67%
Class B.................... 09/28/98 6.96% 28.02% -- 31.56%
Class C.................... 09/28/98 11.51% 33.51% -- 34.64%
Class Y.................... 09/28/98 13.18% 36.25% -- 36.67%
MLBC Index................. 09/28/98 0.75% 28.40% -- 29.75%
-------------------------------------------------------------------------------
Top five sectors (as of 06/30/00)
Communications by Phone, Television, Radio, Cable................ 24.3%
Electrical, Other Electrical Equipment, except Computers......... 21.7%
Industrial, Commercial Machinery, Computers...................... 8.0%
Chemicals and Allied Products.................................... 7.9%
Paper and Allied Products........................................ 7.8%
-------------------------------------------------------------------------------
Top ten holdings (as of 06/30/00)
Level One Communications, Inc.................................... 7.9%
APP Global Finance V, Ltd........................................ 6.0%
Nextel Communications, Inc....................................... 5.2%
ASM Lithography.................................................. 4.4%
Antec Corp....................................................... 3.6%
IDEC Pharmaceuticals............................................. 3.5%
Level 3 Communications, Inc...................................... 3.3%
SCI Systems...................................................... 3.2%
Liberty Media Group.............................................. 3.2%
Hewlett Packard Co............................................... 3.1%
* Current net assets: $91,500,685
* Increase in net assets YTD: $20,420,062
* Percentage increase in net assets YTD: 28.7%
* Beta: 0.76 (Class A shares)(3)
27
<PAGE>
Conseco Convertible Securities Fund
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
COMMON STOCKS (7.2%)
Business Services (1.1%)
12,000 Microsoft Corp. (a)................................ $ 960,000
-----------
Communications by Phone, Television, Radio, Cable (0.0%)
383 MGC Communications, Inc. (a)....................... 22,956
-----------
Electrical, Other Electrical Equipment, except Computers (3.6%)
78,800 Antec Corp. (a).................................... 3,275,125
-----------
Industrial, Commercial Machinery, Computers (2.5%)
36,000 Cisco Systems, Inc. (a)............................ 2,288,250
-----------
Total common stocks (cost $2,934,940).............. 6,546,331
-----------
PREFERRED STOCKS CONVERTIBLE (21.4%)
Chemicals and Allied Products (0.9%)
23,450 WBK STRYPES Trust, STRYPES (c)..................... 773,850
-----------
Communications by Phone, Television, Radio, Cable (13.7%)
5,000 Adelphia Communications Corp., Series D, 5.500%,
conv into ADLAC common stock.................... 715,625
30,000 MediaOne Group, Inc., 6.250%, PIES (c),
conv into VOD common stock...................... 2,698,125
4,000 Nextel Communications, Inc., 0.000%,
conv into NXTL common stock,
(b) Cost - $1,014,700; Acquired - 12/18/1998 (a) 4,772,000
11,500 NEXTLINK Communications, Inc., 6.500%,
conv into NXLK common stock..................... 2,013,938
5,300 Omnipoint Corp., 7.000%, conv into VSTR
common stock.................................... 902,988
15,000 Rhythms Net, 6.750%, conv into RTHM
common stock, (b) Cost - $1,500,000;
Acquired - 02/28/2000........................... 686,250
4,000 TCI Pacific Communications, Inc., Series A,
5.000%, conv into T common stock................ 740,500
-----------
12,529,426
-----------
Depository Institutions (2.7%)
50,000 Sovereign Capital Trust II, 7.500%, conv into
SVRN common stock............................... $ 2,450,000
-----------
Electric, Gas, Water, Cogeneration, Sanitary Services (0.6%)
10,000 AES Trust Corp., 6.000%, conv into AES
common stock, (b) Cost - $500,000;
Acquired - 05/12/2000........................... 587,500
-----------
Industrial, Commercial Machinery, Computers (0.9%)
21,000 Coltec Capital Trust, 5.250%, conv into GR
common stock (a)................................ 842,625
-----------
Insurance Carriers (1.1%)
13,500 Life Re Capital Trust II, 6.000%, conv into
SWCEY common stock.............................. 1,039,500
-----------
Miscellaneous Retail (0.8%)
10,000 CVS Corp., 6.000%, conv into
CVS common stock................................ 708,125
-----------
Railroad Transportation (0.7%)
15,000 Canadian National Railroad Co., 5.500%,
conv into CNI common stock...................... 675,000
-----------
Total preferred stocks convertible (cost $16,600,109) 19,606,026
-----------
CONVERTIBLE BONDS (57.4%)
Chemicals and Allied Products (7.0%)
1,000,000 Elan International Financial, 0.000% (d),
due 12/14/2018, conv into ELN common stock,
(b) Cost - $551,612; Acquired - 12/09/1998...... 730,000
2,000,000 IDEC Pharmaceuticals, 0.000% (d),
due 02/16/2019, conv into IDPH common stock,
(b) Cost - $1,579,413; Acquired - 10/26/1999.... 3,160,000
The accompanying notes are an integral part of these financial statements.
28
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
Chemicals and Allied Products (continued)
1,500,000 Invitrogen Corp., 5.500%, due 03/01/2007,
conv into IVGN common stock,
(b) Cost - $1,500,000; Acquired - 02/25/2000.... $ 1,567,500
1,000,000 Roche Holdings, Inc., 0.000% (d), due 01/19/2015,
conv into DNA common stock,
(b) Cost - $672,085; Acquired - 01/13/2000...... 902,500
-----------
6,360,000
-----------
Communications by Phone, Television, Radio, Cable (9.6%)
1,000,000 Allied Riser, 7.500%, due 06/15/2007, conv into
ARCC common stock, (b) Cost - $1,000,000;
Acquired - 06/23/2000........................... 1,006,250
2,000,000 Global Telesystems, Inc., 5.750%, due 07/01/2010,
conv into GTSG common stock..................... 1,150,000
1,000,000 ITC Deltacom, Inc., 4.500%, due 05/15/2006,
conv into ITCD common stock,
(b) Cost - $1,000,000; Acquired - 05/06/1999.... 1,011,250
2,000,000 Level 3 Communications, Inc., 6.000%,
due 09/15/2009, conv into LVLT common stock..... 2,977,500
1,000,000 Nextel Communications, Inc., 4.750%,
due 07/01/2007, conv into NXTL common stock..... 2,642,500
-----------
8,787,500
-----------
Durable Goods Wholesale (1.2%)
3,000,000 Ingram Micro, Inc., 0.000% (d), due 06/09/2018,
conv into IM common stock....................... 1,125,000
-----------
Electrical, Other Electrical Equipment, except Computers (18.1%)
3,000,000 ASM Lithography, 4.250%, due 11/30/2004,
conv into ASML common stock,
(b) Cost - $3,354,925; Acquired - 11/19/1999,
05/12/2000, 05/16/2000 and 05/19/2000........... 4,012,500
1,500,000 Cypress Semiconductor, 4.000%, due 02/01/2005,
conv into CY common stock....................... 1,726,875
1,000,000 Juniper Networks, 4.750%, due 03/15/2007,
conv into JNPR common stock..................... 1,093,750
Electrical, Other Electrical Equipment, except Computers (continued)
1,700,000 Level One Communications, Inc., 4.000%,
due 09/01/2004, conv into LEVL
common stock.................................... $ 7,203,750
1,500,000 Stmicroelectronics NV, 0.000% (d),
due 09/22/2009, conv into STM common stock...... 2,546,250
-----------
16,583,125
-----------
Engineering, Accounting, Research, Management Services (0.2%)
250,000 Affymetrix, Inc., 4.750%, due 02/15/2007,
conv into AFFX common stock,
(b) Cost - $250,000; Acquired - 02/08/2000...... 192,187
-----------
General Merchandise Stores (1.4%)
1,500,000 Costco Companies, Inc., 0.000% (d),
due 08/19/2017, conv into
COST common stock............................... 1,243,125
-----------
Health Services (1.6%)
500,000 Human Genome Sciences, Inc., 5.000%,
due 02/01/2007, conv into HGSI common stock,
(b) Cost - $525,000; Acquired - 01/27/2000...... 660,625
1,000,000 Human Genome Sciences, Inc., 3.750%,
due 03/15/2007, conv into HGSI common stock,
(b) Cost - $1,000,000; Acquired - 03/07/2000.... 827,500
-----------
1,488,125
-----------
Industrial, Commercial Machinery, Computers (4.6%)
3,000,000 Hewlett Packard Co., 0.000% (d), due 10/14/2017,
conv into HWP common stock...................... 2,835,000
2,000,000 Solectron Corp., 0.000% (d), due 01/27/2019,
conv into SLR common stock...................... 1,357,500
-----------
4,192,500
-----------
The accompanying notes are an integral part of these financial statements.
29
<PAGE>
Conseco Convertible Securities Fund
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
Insurance Carriers (1.8%)
2,388,000 Wellpoint Health Networks, Inc., 0.000% (d),
due 07/02/2019, conv into WLP common stock...... $ 1,665,630
-----------
Measuring Instruments, Photo Goods, Watches (3.2%)
3,000,000 SCI Systems, 3.000%, due 03/15/2007,
conv into SCI common stock...................... 2,958,750
-----------
Motion Pictures (3.2%)
2,000,000 Liberty Media Group, 4.000%, due 11/15/2029,
conv into PCS common stock,
(b) Cost - $2,000,000; Acquired - 11/10/1999.... 2,890,000
-----------
Paper and Allied Products (1.8%)
1,350,000 APP Global Finance V, Ltd., 2.000%,
due 07/25/2000, conv into PAP common stock,
(b) Cost - $1,644,209; Acquired - 11/25/1998,
04/29/1999 and 06/04/1999....................... 1,644,209
-----------
Oil and Gas Extraction (3.7%)
2,000,000 Pride International, Inc., 0.000% (d),
due 04/24/2018, conv into PDE common stock...... 817,500
4,200,000 Transocean Offshore, Inc., 0.000% (d),
due 05/24/2020, conv into RIG common stock...... 2,520,000
-----------
3,337,500
-----------
Total convertible bonds (cost $44,394,017)......... 52,467,651
-----------
CORPORATE BONDS (7.0%)
Communications by Phone, Television, Radio, Cable (1.0%)
1,000,000 Worldwide Fiber, Inc., 12.000%, due 08/01/2009,
(b) Cost - $1,000,000; Acquired - 07/23/1999.... $ 950,000
-----------
Paper and Allied Products (6.0%)
4,500,000 APP Global Finance V, Ltd., 2.000%,
due 07/25/2000.................................. 5,478,819
-----------
Total corporate bonds (cost $6,478,819)............ 6,428,819
-----------
SHORT-TERM INVESTMENTS (1.6%)
1,500,000 Morgan Stanley Group, 6.850%,
due 07/03/2000.................................. 1,499,429
-----------
Total short-term investments (cost $1,499,429)..... 1,499,429
-----------
Total investments (cost $71,907,314) (94.6%)..................... 86,548,256
-----------
Other assets, less liabilities (5.4%)............................ 4,952,429
-----------
Total net assets (100.0%)........................................ $91,500,685
===========
-------------------
(a) Non-income producing security.
(b) Restricted under Rule 144A of the Securities Act of 1933.
(c) PIES -Premium Income Exchangeable Securities.
STRYPES - Structured Yield Product Exchangeable for Stock.
(d) Zero Coupon - Bonds that make no interest payments.
The accompanying notes are an integral part of these financial statements.
30
<PAGE>
[GRAPHIC]
<PAGE>
Conseco High Yield Fund
-------------------------------------------------------------------------------
Portfolio Manager's Review
Running the high-yield marathon
In our 1999 Annual Report to Shareholders, we compared investing in
high-yield to running a marathon -- it required discipline, consistency and
patience.
These principles continue to be true as we maintain our commitment to a
disciplined, research-driven investment process that historically has led to
higher returns than those of many of the fund's peers.
The fund beat the Merrill Lynch High Yield Index with an average-annual total
return of 2.43% compared to the index's 1.60% since inception (inception date:
01/01/98).
However, the index earned a year-to-date return of -1.19% and a one-year
return of -1.37% while the fund returned -8.60% and -5.20%, respectively. (All
fund returns reflect Class A share performance with sales load.)
A combination of several credits experiencing financial and operational
difficulties, as well as the fund's exposure to convertible securities in the
telecommunications and technology industries, resulted in lower returns than
historically have been posted.
Nonetheless, the fund fared better than more than half of its peers, ranking
143 of 351 funds in the Lipper High Current Yields category.(1) Lipper rankings
are based on performance without the sales load included.
Facing strong head winds
The high-yield market continues to experience one of the most difficult
periods in its history. The combination of mutual fund outflows, increased
defaults, and rising interest rates has produced a difficult head wind to
overcome.
Adding to the general weakness of the high-yield market, liquidity has proven
to be a problem. For the last six months, $5.95 billion has poured out of
high-yield mutual funds. This follows 1999 where the high-yield market in
general saw net redemptions.
The decline in new high-yield issues has mitigated weak asset flows. Through
the first six months of 2000, only about $30 billion of new issues have been
written -- down from more than $60 billion during the same period in 1999.
Growth of $10,000
Conseco High Yield Fund Merrill Lynch
DATE (Class A Shares) High Yield Bond Index
---- ----------------------- ---------------------
12/31/97 $9,425.00 $10,000.00
1/30/98 $9,686.54 $10,149.00
2/27/98 $9,918.30 $10,190.61
3/31/98 $10,194.76 $10,278.25
4/30/98 $10,309.31 $10,326.56
5/29/98 $10,338.05 $10,398.84
6/30/98 $10,458.15 $10,450.84
7/31/98 $10,559.64 $10,510.41
8/31/98 $9,844.97 $10,056.36
9/30/98 $9,876.80 $10,076.47
10/30/98 $9,479.66 $9,911.22
11/30/98 $9,971.53 $10,362.18
12/31/98 $10,043.14 $10,365.29
1/29/99 $10,348.75 $10,467.90
2/26/99 $10,436.36 $10,388.35
3/31/99 $10,546.83 $10,477.69
4/30/99 $10,819.57 $10,641.14
5/28/99 $10,568.70 $10,567.71
6/30/99 $10,557.88 $10,547.64
7/30/99 $10,652.12 $10,563.46
8/31/99 $10,507.98 $10,456.77
9/30/99 $10,504.79 $10,417.03
10/29/99 $10,587.65 $10,356.61
11/30/99 $10,835.56 $10,474.68
12/31/99 $10,950.00 $10,529.15
1/31/00 $10,894.59 $10,476.50
2/29/00 $11,062.20 $10,485.93
3/31/00 $10,893.71 $10,339.13
4/28/00 $10,607.28 $10,343.26
5/31/00 $10,220.15 $10,229.48
6/30/00 $10,618.05 $10,404.41
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/00. Past performance is no
guarantee of future results.
This first-half pace is on track to record the lowest level of new issues
since 1995. We anticipate the decrease in new issues to bring high-yield supply
and demand back into balance.
High-yield bond defaults also drove down returns. According to Moody's, the
trailing 12 months default rate was nearly 7%. Market default rates peaked in
late 1999 at upwards of 8% and have gradually declined. The fund's default rate
over the last 12 months was approximately 3%. Since the fund's inception, our
default rate has remained well below the overall market and reflects the
strength of our research capability.
Focusing on the road ahead
Despite the difficult high-yield environment, we remain optimistic about
the future. Looking forward to the next six months, we believe the high-yield
market is poised to stabilize and improve.
------------------------------------------------------------------------------
(1) Reflects performance for the Class A shares for the period ending June 30,
2000. Lipper Analytical Services is an independent organization that
compiles performance data on investment companies.
32
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
------------------------------------------------------------------------------
The Fed appears to be near the end of its tightening bias and the economy
remains on firm ground. In addition, the high-yield market provides historically
attractive levels on both an absolute yield basis and relative to treasuries.
Although -- on average -- our default rates are lower than those of the
market, default rates for the market in general will likely remain relatively
high. Consequently, we will continue to rely on our superior, bottom-up research
and intense credit analysis to uncover hidden values in a tough market.
Robert L. Cook, CFA Eric D. Todd, CFA
Vice President Vice President
Co-Portfolio Manager Co-Portfolio Manager
Conseco Capital Management, Inc. Conseco Capital Management, Inc.
Average annual total return(2) (as of 06/30/00)
Inception Year-to- Since
date date 1 year 3 year inception
--------- -------- ------ ------ ---------
Class A ................... 01/01/98 -8.60% -5.20% -- 2.43%
Class B ................... 02/19/98 -8.20% -4.99% -- 0.33%
Class C ................... 02/19/98 -4.22% -0.87% -- 2.01%
Class Y.................... 03/02/98 -2.76% 1.09% -- 3.38%
MLHY Index................. 01/01/98 -1.19% -1.37% -- 1.60%
-------------------------------------------------------------------------------
30-day SEC yield (as of 06/30/00)
Class A.......................................................... 7.32%
Class B.......................................................... 7.25%
Class C.......................................................... 7.24%
Class Y.......................................................... 8.24%
-------------------------------------------------------------------------------
Top five sectors (as of 06/30/00)
Cable and Other Pay Television Stations.......................... 14.0%
Communications by Phone, Television, Radio, Cable ............... 12.5%
Oil and Gas Extraction........................................... 9.7%
Electrical, Other Electrical Equipment, except Computers......... 8.4%
Radiotelephone Communications.................................... 8.3%
-------------------------------------------------------------------------------
Top ten holdings (as of 06/30/00)
Pinnacle Holdings, Inc........................................... 4.4%
Juniper Networks................................................. 4.3%
Dictaphone Corp.................................................. 3.8%
Nextel Communications, Inc....................................... 3.7%
ICG Holdings, Inc................................................ 3.5%
R&B Falcon Corp.................................................. 3.4%
Koch Industries.................................................. 2.8%
Coaxial Communications of Central Ohio, Inc...................... 2.6%
Amkor Technologies, Inc.......................................... 2.4%
Sovereign Bancorp, Inc........................................... 2.4%
* Current net assets: $126,557,482
* Decrease in net assets YTD: $6,030,037
* Percentage decrease in net assets YTD: 4.5%
* Average effective duration: 3.10 years
* Average maturity: 6.58 years
-------------------------------------------------------------------------------
(2) 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 expense
reimbursements through April 30, 2001. If the expense reimbursements were
not in place, the fund's return would have been lower. Total return is
shown with the applicable sales load or contingent-deferred sales charge.
The maximum sales load for the Conseco High Yield Fund is 5.75%. The
Merrill Lynch High Yield (MLHY) Index is 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.
33
<PAGE>
Conseco High Yield Fund
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
COMMON STOCKS (1.3%)
Communications by Phone, Television, Radio, Cable (1.3%)
125,829 WebLink Wireless, Inc. (a)......................... $ 1,667,234
-----------
Total common stock (cost $1,755,079)............... 1,667,234
-----------
CORPORATE BONDS (70.4%)
Amusement and Recreation Services (2.0%)
1,700,000 Mirage Resorts, Inc., 6.750%, due 02/01/2008....... 1,502,758
2,450,000 Park 'N View, Inc., Series B, 13.000%,
due 05/15/2008.................................. 992,250
-----------
2,495,008
-----------
Apparel and Other Finished Products (0.3%)
500,000 Kasper A.S.L., Ltd., 13.000%, due 03/31/2004....... 322,500
-----------
Business Services (2.0%)
1,450,000 Exodus Communications, Inc., 11.625%,
due 07/15/2010, (b) Cost - $1,450,000;
Acquired - 06/28/2000........................... 1,457,250
1,400,000 Interpool, Inc., 7.200%, due 08/01/2007............ 1,132,247
-----------
2,589,497
-----------
Cable and Other Pay Television Stations (12.1%)
1,400,000 Cable Satisfaction International, Inc., 12.750%,
due 03/01/2010.................................. 1,368,500
2,300,000 Charter Communications Holdings, LLC, 8.625%,
due 04/01/2009.................................. 2,032,625
2,000,000 Classic Cable, Inc., Series B, 9.375%,
due 08/01/2009.................................. 1,755,000
2,000,000 Classic Cable, Inc., 10.500%, due 03/01/2010....... 1,855,000
3,400,000 Coaxial Communications of Central Ohio, Inc.,
10.000%, due 08/15/2006......................... 3,238,500
650,000 CSC Holdings, Inc., 7.250%, due 07/15/2008......... 603,988
1,300,000 CSC Holdings, Inc., 8.125%, due 07/15/2009......... 1,267,102
1,500,000 CSC Holdings, Inc., 9.875%, due 02/15/2013......... 1,545,000
Cable and Other Pay Television Stations (continued)
2,000,000 Northland Cable Television, Inc., 10.250%,
due 11/15/2007.................................. $ 1,670,000
-----------
15,335,715
-----------
Chemicals and Allied Products (1.8%)
1,155,000 Lyondell Chemical Co., Series A, 9.625%,
due 05/01/2007.................................. 1,140,563
1,175,000 Lyondell Chemical Co., 10.875%,
due 05/01/2009.................................. 1,172,063
-----------
2,312,626
-----------
Coal Mining (0.2%)
1,000,000 Lodestar Holdings, Inc., 11.500%,
due 05/15/2005.................................. 205,000
-----------
Communications by Phone, Television, Radio, Cable (4.3%)
850,000 Advanstar Communications, Inc., 9.250%,
due 05/01/2008.................................. 820,250
700,000 Antenna TV SA, 9.000%, due 08/01/2007.............. 639,625
1,250,000 Clearnet Communications, Inc., STEP (c)
0.000%/14.750%, due 12/15/2005.................. 1,296,875
4,400,000 Crown Castle International Corp., STEP (c)
0.000%/10.375%, due 05/15/2011.................. 2,711,500
-----------
5,468,250
-----------
Depository Institutions (2.3%)
3,000,000 Sovereign Bancorp, Inc., 10.500%,
due 11/15/2006.................................. 2,977,500
-----------
Electric, Gas, Water, Cogeneration, Sanitary Services (0.0%)
250,000 GNI Group, Inc., Series B, 10.875%,
due 07/15/2005.................................. 31,250
-----------
The accompanying notes are an integral part of these financial statements.
34
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
Electrical, Other Electrical Equipment, except Computers (3.0%)
3,000,000 Amkor Technologies, Inc., 10.500%,
due 05/01/2009.................................. $ 3,018,750
750,000 EchoStar DBS Corp., 9.375%, due 02/01/2009......... 723,750
-----------
3,742,500
-----------
Health Services (0.8%)
500,000 Tenet Healthcare Corp., 8.625%, due 12/01/2003..... 495,065
500,000 Tenet Healthcare Corp., Series B, 7.625%,
due 06/01/2008.................................. 460,625
-----------
955,690
-----------
Insurance Carriers (2.0%)
1,800,000 Oxford Health Plans, 11.000%, due 05/15/2005....... 1,872,000
1,400,000 Reliance Group Holdings, 9.000%,
due 11/15/2000.................................. 602,000
-----------
2,474,000
-----------
Metal Mining (2.2%)
2,800,000 Golden Northwest Aluminum, Inc., 12.000%,
due 12/15/2006.................................. 2,814,000
-----------
Miscellaneous Manufacturing Industries (0.9%)
1,250,000 True Temper Sports, Inc., Series B, 10.875%,
due 12/01/2008.................................. 1,195,313
-----------
Non-Depository Credit Institutions (0.4%)
500,000 Metris Companies, Inc., 10.125%,
due 07/15/2006.................................. 477,500
-----------
Office Machines (3.8%)
4,750,000 Dictaphone Corp., 11.750%, due 08/01/2005.......... 4,845,000
-----------
Oil and Gas Extraction (6.3%)
50,000 Cliffs Drilling Co., Series D, 10.250%,
due 05/15/2003.................................. $ 50,375
2,200,000 Grey Wolf, Inc., 8.875%, due 07/01/2007............ 2,101,000
1,300,000 Parker Drilling Co., Series D, 9.750%,
due 11/15/2006.................................. 1,264,250
2,000,000 Perez Companc SA, 9.000%, due 05/01/2006,
(b) Cost - $1,874,403; Acquired - 04/30/1999.... 1,765,000
2,000,000 Pride Petroleum Services, Inc., 9.375%,
due 05/01/2007.................................. 2,005,000
500,000 R&B Falcon Corp., Series B, 6.750%,
due 04/15/2005.................................. 452,500
400,000 Triton Energy, Ltd., 9.250%, due 04/15/2005........ 398,000
-----------
8,036,125
-----------
Paper and Allied Products (3.7%)
2,650,000 Doman Industries, Ltd., 12.000%,
due 07/01/2004.................................. 2,663,250
2,500,000 Gaylord Container Corp., Series B, 9.750%,
due 06/15/2007.................................. 1,987,500
-----------
4,650,750
-----------
Phone Communications, except Radiotelephone (5.4%)
5,250,000 ICG Holdings, Inc., STEP (c) 0.000%/12.500%,
due 05/01/2006.................................. 4,370,625
2,000,000 Qwest Communications International, Series B,
7.500%, due 11/01/2008.......................... 1,944,102
500,000 Time Warner Telecom, LLC, 9.750%,
due 07/15/2008.................................. 486,250
-----------
6,800,977
-----------
Primary Metal Industries (1.7%)
2,050,000 NS Group, Inc., 13.500%, due 07/15/2003............ 2,101,250
-----------
The accompanying notes are an integral part of these financial statements.
35
<PAGE>
Conseco High Yield Fund
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
Radiotelephone Communications (6.3%)
1,500,000 Arch Communications, Inc., 13.750%,
due 04/15/2008.................................. $ 1,215,000
2,900,000 Focal Communications Corp., Series B,
STEP (c) 0.000%/12.125%, due 02/15/2008......... 1,972,000
2,250,000 Microcell Telecommunications, Inc., Series B,
STEP (c) 0.000%/14.000%, due 06/01/2006......... 2,086,875
750,000 Omnipoint Corp., Series A, 11.625%,
due 08/15/2006.................................. 813,750
2,500,000 USA Mobile Communications, Inc., 9.500%,
due 02/01/2004.................................. 1,912,500
-----------
8,000,125
-----------
Real Estate Investment Trusts (REITS) (1.2%)
750,000 CRIIMI Mae, Inc., 9.125%, due 12/01/2002 (a)....... 641,250
900,000 HMH Properties, Inc., 8.450%, due 12/01/2008....... 838,125
-----------
1,479,375
-----------
Real Estate Operators, Agents, Managers (4.9%)
750,000 Felcor Suites, 7.625%, due 10/01/2007.............. 652,760
7,950,000 Pinnacle Holdings, Inc., STEP (c) 0.000%/10.000%,
due 03/15/2008.................................. 5,525,250
-----------
6,178,010
-----------
Telephone Communication (1.0%)
1,400,000 Maxcom Telecommunications, 13.750%,
due 04/01/2007, (b) Cost - $1,400,000;
Acquired - 03/15/2000........................... 1,239,000
-----------
Transit and Passenger Transportation (1.8%)
4,000,000 Laidlaw, Inc., 7.650%, due 05/15/2006 (a).......... 980,000
1,500,000 Tenneco Automotive, Inc., Series B, 11.625%,
due 10/15/2009.................................. 1,342,500
-----------
2,322,500
-----------
Total corporate bonds (cost $95,141,929)........... 89,049,461
-----------
CONVERTIBLE BONDS (10.8%)
Communications by Phone, Television, Radio, Cable (5.4%)
1,500,000 Level 3 Communications, Inc., 6.000%,
due 09/15/2009, conv into LVLT common stock..... $ 2,233,125
1,750,000 Nextel Communications, Inc., 4.750%,
due 07/01/2007, conv into NXTL common stock..... 4,624,375
-----------
6,857,500
-----------
Electrical, Other Electrical Equipment, except Computers (5.4%)
5,000,000 Juniper Networks, 4.750%, due 03/15/2007,
conv into JNPR common stock..................... 5,468,750
750,000 Lattice Semiconductor Corp., 4.750%,
due 11/01/2006, conv into LSCC common stock..... 1,350,000
-----------
6,818,750
-----------
Total convertible bonds (cost $13,341,696)......... 13,676,250
-----------
PREFERRED STOCK (9.0%)
Cable and Other Pay Television Stations (1.9%)
22,319 CSC Holdings, Inc., PIK (c), 11.125%............... 2,351,900
-----------
Communications by Phone, Television, Radio, Cable (1.5%)
10,000 Adelphia Communications Corp., Series B,
13.000%......................................... 1,006,250
1,600 Benedek Communications Corp., PIK (c), 11.500%..... 882,000
9 IXC Communications, Inc., Series B,
PIK (c), 12.500%................................ 9,250
1 Nextel Communications, Inc., Series D,
PIK (c), 13.000%................................ 146
-----------
1,897,646
-----------
Measuring Instruments, Photo Goods, Watches (0.2%)
3,760 River Holding Corp., Series B, PIK (c), 11.500%.... 226,592
-----------
Oil and Gas Extraction (3.4%)
3,824 R&B Falcon Corp., PIK (c), 13.875%................. 4,330,970
-----------
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
Radiotelephone Communications (2.0%)
2,660 Rural Cellular Corp., Series B, PIK (c), 11.375%... $ 2,507,050
-----------
Textile Mill Products (0.0%)
5,195 Anvil Holdings, Series B, 13.000%.................. 34,417
-----------
Total preferred stock (cost $11,771,796)........... 11,348,575
-----------
PREFERRED STOCKS -- CONVERTIBLE (1.4%)
Phone Communication, except Radiotelephone (1.4%)
10,000 NEXTLINK Communications, Inc., 6.500%,
conv into NXLK common stock..................... 1,751,250
-----------
Total preferred stocks - convertible (cost $2,471,800) 1,751,250
-----------
WARRANTS (0.0%)
Amusement and Recreation Services (0.0%)
2,450 Park 'N View, Inc. (a)............................. 2
-----------
Cable and Other Pay Television Stations (0.0%)
1,400 Cable Satisfaction International, Inc. (a)......... 38,850
-----------
Total warrants (cost $51,114)...................... 38,852
-----------
SHORT-TERM INVESTMENTS (5.4%)
1,700,000 General Electric Capital, 6.800%,
due 07/03/2000............................... $ 1,699,358
3,500,000 Koch Industries, 6.890%, due 07/03/2000......... 3,498,660
1,700,000 Morgan Stanley Group, 6.850%,
due 07/03/2000............................... 1,699,353
------------
Total short-term investments (cost $6,897,371).. 6,897,371
------------
Total investments (cost $131,430,785) (98.3%)................. 124,428,993
------------
Other assets, less liabilities (1.7%)......................... 2,128,489
------------
Total net assets (100.0%)..................................... $126,557,482
============
--------------------
(a) Non-income producing security.
(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.
37
<PAGE>
Conseco Fixed Income Fund
-------------------------------------------------------------------------------
Portfolio Manager's Review
The bond markets experienced volatility unseen since the global liquidity
crisis of August 1998. Consequently, the fund produced a three-year,
average-annual return of 3.52%, a one-year return of -0.78% and a year-to-date
return of -1.60% compared to the Lehman Brothers Aggregate (LBA) Index of 6.04%,
4.57% and 3.99%, respectively. (Fund returns reflect Class A share performance
with sales load.)
Despite sluggish returns, the fund placed 19 out of 145 funds in the Lipper
Corporate Debt Funds category.(1) And, the fund earned a three-star Morningstar
rating.(2) Both Lipper and Morningstar rankings are based on performance without
the sales load included.
A look at the fixed-income market
The Fed continued to pull money out of the system and forced interest rates
1.75% higher in an effort to slow the economy and head-off a spurt in inflation.
Short-term Treasuries reversed their typical trend and produced higher yields
than the 30-year bond.
In addition, other circumstances added to uncertainty in the fixed-income
market. Spreads across many sectors widened to levels in excess of those seen
during Fall 1998. Event risk -- the risk that an issuer becomes impaired or
downgraded due to an acquisition, merger, stock buy-back or other change to its
balance sheet -- became an increasing concern. Heightened volatility in the
equity markets only added fuel to the fire.
Signs of changing times
Toward the end of the second quarter, signs of a rallying fixed-income market
began to emerge despite investor indifference to U.S. Treasuries and corporate
debt. National economic data signaled to the Fed that inflation was under
control -- manufacturing and consumer sectors showed a definitive moderation in
activity, May and June new housing starts were down almost 7% from the fourth
quarter of 1999 and the unemployment rate rose back above 4%.
Growth of $10,000
Conseco Fixed Income Fund Lehman Brothers
DATE (Class A Shares) Aggregate Bond Index
---- ------------------------- --------------------
1/2/97 $9,500.00 $10,000.00
1/31/97 $9,576.00 $10,031.00
2/28/97 $9,614.11 $10,056.08
3/31/97 $9,518.36 $9,944.46
4/30/97 $9,585.72 $10,093.62
5/30/97 $9,692.23 $10,189.51
6/30/97 $9,823.60 $10,310.77
7/31/97 $10,092.14 $10,589.16
8/29/97 $9,993.97 $10,499.15
9/30/97 $10,137.02 $10,653.49
10/31/97 $10,255.81 $10,807.96
11/28/97 $10,298.63 $10,857.68
12/31/97 $10,323.63 $10,967.34
1/30/98 $10,459.17 $11,107.72
2/27/98 $10,477.61 $11,098.84
3/31/98 $10,557.89 $11,136.57
4/30/98 $10,619.93 $11,194.48
5/29/98 $10,723.95 $11,300.83
6/30/98 $10,786.60 $11,396.89
7/31/98 $10,818.08 $11,420.82
8/31/98 $10,881.34 $11,606.98
9/30/98 $11,008.49 $11,878.58
10/30/98 $10,928.64 $11,815.63
11/30/98 $11,062.30 $11,882.98
12/31/98 $11,105.26 $11,918.63
1/29/99 $11,224.91 $12,003.25
2/26/99 $11,048.02 $11,793.19
3/31/99 $11,130.22 $11,858.05
4/30/99 $11,164.35 $11,896.00
5/28/99 $11,043.20 $11,791.31
6/30/99 $10,983.16 $11,753.58
7/30/99 $10,983.60 $11,704.22
8/31/99 $10,952.83 $11,698.37
9/30/99 $11,036.16 $11,834.07
10/29/99 $11,067.50 $11,877.85
11/30/99 $11,103.56 $11,876.66
12/31/99 $11,075.11 $11,819.66
1/31/00 $11,045.11 $11,780.65
2/29/00 $11,164.95 $11,923.20
3/31/00 $11,298.16 $12,080.58
4/28/00 $11,259.02 $12,045.55
5/31/00 $11,194.36 $12,039.53
6/30/00 $11,470.73 $12,289.95
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/00. Past performance is no
guarantee of future results.
As promised, the Fed stepped back and fixed income rallied sharply, leaving a
constructive landscape for the balance of the year. Furthermore, volatility in
the equity market subsided, lending additional support.
Inside the fund
CCM's proprietary, fundamental research and the fund's structure are critical
to providing a competitive level of income without incurring significant risk in
this environment.
It is our desire to manage the fund with a prudent level of risk.
Consequently, the portfolio's duration of slightly more than five years
approximates the LBA Index. The fund has a relatively high exposure to the
corporate bond sector, most notably through a large position in BBB-rated,
short-maturity bonds to help increase income.
A look ahead
We plan to maintain our defensive approach through careful credit selection.
We also expect that interest-rate volatility, high event risk and
------------------------------------------------------------------------------
(1) According to Lipper Analytical Services, Inc. The ranking reflects
performance for the Conseco Fixed Income Fund Class A shares for
the period ending June 30, 2000. Lipper Analytical Services is an
independent organization that compiles performance data on investment
companies.
38
<PAGE>
CONSECO FUND GROUP
Morningstar Ranking(2): * * * (of 1,684 funds) 2000 Mid-Year Report
-------------------------------------------------------------------------------
an unforgiving credit market will continue. Nonetheless, the bond outlook is
improving and should continue if the market becomes convinced that the Fed will
remain on the sidelines.
Underweighted in the fund, consumer and commercial finance sectors should
experience continued deterioration in loan quality and shrinking interest rates.
Increased risk in several other industry groups should ensue -- and we will
remain underweighted in retail, auto parts, conglomerates and paper/forest
industries.
Finally, generous credit spreads in AAA-rated, mortgage-backed and
short-lived, asset-backed securities should produce significant returns if
intermediate interest rates remain relatively stable.
We expect short-term maturities to remain relatively unchanged and long
maturity yields to trend lower as inflation fears subside and outstanding
Treasury debt supply dwindles from reduced auction sizes and announced buybacks.
Barring unforeseen event risk, the second half should be favorable for
fixed-income performance.
Gregory J. Hahn, CFA
Senior Vice President, Portfolio Analytics
Chief Fixed Income Investment Officer
Portfolio Manager
Conseco Capital Management, Inc.
Average annual total return(3) (as of 06/30/00)
Inception Year-to- Since
date date 1 year 3 year inception
--------- -------- ------ ------ ---------
Class A.................... 01/02/97 -1.60% -0.78% 3.52% 4.00%
Class B.................... 03/20/98 -1.86% -1.20% -- 1.07%
Class C.................... 03/05/98 2.24% 3.02% -- 3.48%
Class Y.................... 01/02/97 3.89% 5.11% 5.95% 6.18%
LBA Index.................. 01/02/97 3.99% 4.57% 6.04% 6.07%
-------------------------------------------------------------------------------
30-day SEC yield (as of 06/30/00)
Class A.......................................................... 6.15%
Class B.......................................................... 6.13%
Class C.......................................................... 6.08%
Class Y.......................................................... 7.12%
-------------------------------------------------------------------------------
Top five sectors (as of 06/30/00)
U.S. Government and Agency Obligations........................... 15.3%
Electric, Gas, Water, Cogeneration, Sanitary Services............ 14.4%
Communications by Phone, Television, Radio, Cable................ 7.2%
Municipal Bonds.................................................. 6.1%
Oil and Gas Extraction........................................... 5.9%
-------------------------------------------------------------------------------
Top ten holdings (as of 06/30/00)
U.S. Treasury Bond............................................... 3.1%
U.S. Treasury Note............................................... 2.9%
R&B Falcon Corp.................................................. 2.2%
AES Eastern Energy............................................... 2.2%
Coastal Corp..................................................... 2.0%
Phillips Petroleum Co............................................ 1.9%
Liberty Media Corp............................................... 1.8%
El Paso Natural Gas.............................................. 1.8%
Union Planters Bank.............................................. 1.7%
East Coast Power................................................. 1.6%
* Current net assets: $66,090,722 * Effective duration: 5.14 years
* Increase in net assets $480,750 * Average maturity: 13.32 years
* Percentage increase in net assets YTD: 0.7%
-------------------------------------------------------------------------------
(2) Morningstar proprietary ratings reflect historical risk-adjusted
performance. The ratings are subject to change every month. Morningstar
ratings are calculated from a fund's 3-, 5- and 10-year average annual
returns in excess of 90-day T-bill returns with appropriate fee
adjustments and a risk factor that reflects fund performance below
90-day T-bill returns. The top 10% of the funds in a broad asset
class receive 5 stars; the next 22.5% receive 4 stars; the next
35% receive 3 stars; the next 22.5% receive 2 stars and the bottom
10% receive 1 star.
(3) 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 expense
reimbursements through April 30, 2001. If the expense reimbursements were
not in place, the fund's return would have been lower. Total return is
shown with the applicable sales load or contingent-deferred sales charge.
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.
39
<PAGE>
Conseco Fixed Income Fund
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
CORPORATE BONDS (63.3%)
Amusement and Recreational Services (0.5%)
325,000 Mirage Resorts, Inc., 6.625%, due 02/01/2005........ $ 301,013
-----------
Auto Repair and Parking (1.5%)
200,000 Amerco-MTN, 7.440%, due 10/02/2006.................. 197,041
100,000 Amerco-MTN, 6.710%, due 10/15/2008.................. 99,289
575,000 Amerco-MTN, 7.470%, due 01/15/2027.................. 499,031
225,000 Amerco-MTN, 8.800%, due 02/04/2005.................. 215,505
-----------
1,010,866
-----------
Business Services (0.8%)
500,000 Exodus Communications, Inc., 11.625%,
due 07/15/2010, (a) Cost - $500,000;
Acquired - 06/28/2000............................ 502,500
-----------
Chemicals and Allied Products (2.4%)
650,000 Agrium, Inc., 7.700%, due 02/01/2017................ 563,048
725,000 Lyondell Chemical Co., Series A, 9.625%,
due 05/01/2007................................... 715,938
300,000 Smith International, Inc., 7.000%,
due 09/15/2007................................... 287,421
-----------
1,566,407
-----------
Communications by Phone, Television, Radio, Cable (7.2%)
650,000 360Networks, Inc., 13.000%, due 05/01/2008,
(a) Cost - $634,504; Acquired - 04/20/2000....... 653,250
400,000 Charter Communications Holdings LLC, 8.250%,
due 04/01/2007................................... 355,000
600,000 Charter Communications Holdings LLC, STEP (c)
0.000%/11.750%, due 01/15/2010................... 344,250
375,000 Continental Cablevision, Inc., 9.500%,
due 08/01/2013................................... 406,576
600,000 Continental Cablevision, Inc., 8.300%,
due 05/15/2006................................... 620,664
600,000 Crown Castle International Corp., 10.750%,
due 08/01/2011................................... 611,250
Communications by Phone, Television, Radio, Cable (continued)
475,000 Deutsche Telekom International Finance,
8.250%, due 06/15/2030........................... $ 491,768
400,000 Northland Cable Television, Inc., 10.250%,
due 11/15/2007................................... 334,000
300,000 Telecommunications, Inc., 9.800%,
due 02/01/2012................................... 344,907
250,000 Telecommunications, Inc., 10.125%,
due 04/15/2022................................... 305,242
300,000 WorldCom, Inc., 8.000%, due 05/15/2006.............. 303,671
-----------
4,770,578
-----------
Depository Institutions (4.2%)
500,000 Centura Bank, 6.500%, due 03/15/2009................ 454,010
300,000 Key Bank, National Association, 6.500%,
due 04/15/2008................................... 275,523
250,000 St. Paul Bancorp, Inc., 7.125%, due 02/15/2004...... 242,230
700,000 Sovereign Bancorp, Inc., 10.250%,
due 05/15/2004................................... 694,750
1,250,000 Union Planters Bank, National Association,
6.500%, due 03/15/2008........................... 1,096,171
-----------
2,762,684
-----------
Electric, Gas, Water, Cogeneration, Sanitary Services (14.4%)
1,500,000 AES Eastern Energy, 9.000%, due 01/02/2017,
(a) Cost - $1,456,875; Acquired - 05/11/1999
and 08/27/1999................................... 1,461,217
1,300,000 Coastal Corp., 7.750%, due 06/15/2010............... 1,293,460
1,200,000 East Coast Power, 7.536%, due 06/30/2017,
(a) Cost - $1,205,982; Acquired - 04/14/1999
and 04/15/1999................................... 1,083,367
650,000 El Paso Energy Corp., Series B, 6.750%,
due 05/15/2009................................... 606,619
1,250,000 El Paso Natural Gas, 7.500%, due 11/15/2026......... 1,161,681
375,000 Kinder Morgan Energy Partners, L.P., 8.000%,
due 03/15/2005................................... 376,753
500,000 MCN Investment Corp., 6.350%, due 04/02/2002........ 487,880
The accompanying notes are an integral part of these financial statements.
40
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
Electric, Gas, Water, Cogeneration, Sanitary Services (continued)
400,000 NRG Northeast Generating LLC, 8.065%,
due 12/15/2004, (a) Cost - $400,000;
Acquired - 02/15/2000........................... $ 401,991
1,000,000 PSEG Energy Holdings, 10.000%, due 10/01/2009,
(a) Cost - $1,050,530; Acquired - 06/21/2000.... 1,050,976
250,000 Southwest Gas Co., 9.750%, due 06/15/2002.......... 258,335
400,000 Tennessee Gas Pipeline, 7.000%, due 10/15/2028..... 350,256
500,000 USA Waste Services, Inc., 6.125%, due 07/15/2001... 484,288
550,000 Waste Management, Inc., 6.625%, due 07/15/2002..... 524,314
-----------
9,541,137
-----------
Food and Kindred Products (2.2%)
500,000 Nabisco, Inc., 6.000%, due 02/15/2011.............. 492,829
1,000,000 PanAmerican Beverage, Inc., 8.125%,
due 04/01/2003.................................. 954,451
-----------
1,447,280
-----------
General Merchandise Stores (0.5%)
350,000 Shopko Stores, Inc., 6.500%, due 08/15/2003........ 335,038
-----------
Hotels, Other Lodging Places (0.3%)
200,000 Marriott International, Inc., 6.625%,
due 11/15/2003.................................. 192,517
-----------
Insurance Carriers (2.9%)
300,000 Delphi Financial Group, Inc., 8.000%,
due 10/01/2003.................................. 291,776
1,100,000 Farmers Insurance Exchange Capital, 7.050%,
due 07/15/2028, (a) Cost - $890,750;
Acquired - 06/07/2000........................... 884,696
200,000 Horace Mann Educators, 6.625%, due 01/15/2006...... 189,205
600,000 MMI Capital Trust I, Series B, 7.625%,
due 12/15/2027.................................. 518,295
-----------
1,883,972
-----------
Lumber and Wood Products, except Furniture (1.0%)
700,000 West Fraser Mill, 7.250%, due 09/15/2002,
(a) Cost - $698,278; Acquired - 01/06/1997
and 04/30/1997.................................. $ 691,177
-----------
Measuring Instruments, Photo Goods, Watches (1.5%)
1,000,000 Raytheon Co., 8.200%, due 03/01/2006,
(a) Cost - $1,005,260; Acquired - 03/16/2000.... 1,016,657
-----------
Motion Pictures (2.8%)
1,300,000 Liberty Media Corp., 8.250%, due 02/01/2030, (a) Cost -
$1,293,003; Acquired - 01/26/2000
and 02/03/2000.................................. 1,196,845
700,000 Time Warner, Inc., 7.570%, due 02/01/2024.......... 663,505
-----------
1,860,350
-----------
Non-Depository Credit Institutions (0.9%)
500,000 FMR Corp., 7.570%, due 06/15/2029,
(a) Cost - $495,780; Acquired - 07/22/1999...... 475,223
100,000 General Motors Acceptance Corp., 7.750%,
due 01/19/2010.................................. 99,659
-----------
574,882
-----------
Oil and Gas Extraction (3.7%)
650,000 Noble Drilling Corp., 7.500%, due 03/15/2019....... 616,338
775,000 Occidental Petroleum Corp., 6.400%,
due 04/01/2003.................................. 743,297
100,000 USX Corporation, 9.375%, due 02/15/2012............ 110,717
1,000,000 Yosemite Securities Trust I, 8.250%, due 11/15/2004,
(a) Cost - $999,745; Acquired - 11/04/1999...... 996,489
-----------
2,466,841
-----------
Paper and Allied Products (0.7%)
500,000 Potlatch Corp., 6.250%, due 03/15/2002............. 489,100
-----------
The accompanying notes are an integral part of these financial statements.
41
<PAGE>
Conseco Fixed Income Fund
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
Petroleum Refining and Related Industries (3.0%)
1,200,000 Phillips Petroleum Co., 8.750%, due 05/25/2010..... $ 1,272,743
725,000 Valero Energy Corp., 8.375%, due 06/15/2005........ 737,051
-----------
2,009,794
-----------
Pipe Lines, except Natural Gas (2.0%)
1,000,000 Osprey Trust/Osprey I, 8.310%, due 01/15/2003,
(a) Cost - $1,000,000; Acquired - 09/16/1999.... 1,003,799
305,000 Pemex Finance, Ltd., 9.030%, due 02/15/2011,
(a) Cost - $305,534; Acquired - 02/03/2000...... 314,884
-----------
1,318,683
-----------
Printing, Publishing and Allied Products (1.0%)
675,000 Belo (A.H.) Corp., 7.125%, due 06/01/2007.......... 627,196
-----------
Railroad Transportation (0.6%)
500,000 Union Pacific Corp., 6.625%, due 02/01/2029........ 414,400
-----------
Real Estate Investment Trusts (REITS) (3.9%)
500,000 CarrAmerica Realty Corp., 6.625%,
due 03/01/2005.................................. 464,674
900,000 Colonial Realty, L.P., 7.500%, due 07/15/2001...... 891,849
200,000 Corporate Property Investors, Inc., 9.000%,
due 03/15/2002, (a) Cost - $219,360;
Acquired - 03/17/1998........................... 201,851
1,000,000 ERP Operating, L.P., 6.150%, due 09/15/2000........ 996,889
-----------
2,555,263
-----------
Real Estate Operators, Agents, Managers (0.9%)
500,000 Pinnacle Holdings, Inc., STEP (c)
0.000%/10.000%, due 03/15/2008.................. 347,500
250,000 Regency Centers, L.P., 7.400%, due 04/01/2004...... 240,068
-----------
587,568
-----------
Security and Commodity Brokers (0.4%)
300,000 Lehman Brothers Holdings, Inc., Series E, MTN,
6.625%, due 12/27/2002.......................... $ 292,157
-----------
Tobacco Products (0.9%)
600,000 R.J. Reynolds Tobacco Holdings, Inc., 7.375%,
due 05/15/2003.................................. 559,528
-----------
Transportation Equipment (3.1%)
600,000 Lockheed Martin Corp., 8.500%, due 12/01/2029...... 612,620
650,000 Lockheed Martin Corp., 8.200%, due 12/01/2009...... 657,243
750,000 Northrop-Grumman Corp., 9.375%,
due 10/15/2024.................................. 764,159
-----------
2,034,022
-----------
Total corporate bonds (cost $42,680,880)........... 41,811,610
-----------
FOREIGN BONDS (2.0%)
700,000 Republic of South Africa, 9.125%, due 05/19/2009... 687,750
600,000 United Mexican States, 9.875%, due 02/01/2010...... 622,500
-----------
Total foreign bonds (cost $1,353,919).............. 1,310,250
-----------
MUNICIPAL BONDS (6.1%)
390,000 Alaska Individual Development & Authority Lease,
6.375%, due 05/01/2003.......................... 376,451
800,000 Azusa Pacific University California, Revenue,
7.250%, due 04/01/2009.......................... 771,872
595,000 Duarte California Certificates of Participation,
Series B, 6.250%, due 04/01/2005................ 557,854
248,500 Fort Worth Texas, Higher Education, Finance Corp.,
Revenue, 7.500%, due 10/01/2006................. 245,789
300,000 Mississippi Development Bank, Special Obligation,
Series 1998, 8.500%, due 12/01/2018............. 256,650
The accompanying notes are an integral part of these financial statements.
42
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
MUNICIPAL BONDS (continued)
145,000 Reeves County Texas Certificate of Participation,
6.700%, due 03/31/2005.......................... $ 140,424
800,000 Reeves County Texas Certificate of Participation,
7.250%, due 06/01/2011.......................... 754,032
1,000,000 Wickliffe Kentucky Solid Waste, Revenue,
7.670%, due 01/15/2027.......................... 944,020
-----------
Total municipal bonds (cost $4,310,185 )........... 4,047,092
-----------
ASSET BACKED SECURITIES (3.7%)
150,000 COMED Transitional Funding Trust, 98-1 A7,
5.740%, due 12/25/2010.......................... 134,669
500,000 Contimortgage Home Equity Loan Trust,
98-2 A7, 6.570%, due 03/15/2023................. 468,403
400,000 First Union Lehman Bros Commercial Mortgage
Trust, 97-C2 A2, 6.600%, due 05/18/2007......... 386,962
500,000 Green Tree Recreational Equipment & Consumer
Trust, 98-C A5, 6.280%, due 02/15/2014,
(b) Cost - $499, 997; Acquired - 09/04/1998..... 489,498
160,799 Green Tree Recreational Equipment & Consumer
Trust, 97-C B, 6.750%, due 02/15/2018,
(b) Cost - $160,761; Acquired - 09/08/1997...... 154,851
871,113 Mortgage Capital Funding, Inc., 98-MC2 A1,
6.325%, due 10/18/2007.......................... 839,650
-----------
Total asset backed securities (cost $2,587,250).... 2,474,033
-----------
COLLATERIZED MORTGAGE OBLIGATIONS (3.6%)
948,337 Fanniemae Grantor Trust, 99-T2 A1, 7.500%,
due 01/19/2039.................................. 926,536
100,000 Federal National Mortgage Assn., 94-63, 7.000%,
due 04/25/2024.................................. 94,917
118,718 Iroquois Trust, 97-1A, 7.000%, due 12/15/2006...... 118,069
66,944 Midland Realty Acceptance Corp., 96-C1 A1,
7.315%, due 08/25/2028.......................... 66,986
500,000 Paine Webber Mortgage Acceptance Corp.,
96-M1 A2, 6.900%, due 01/02/2012................ 496,813
COLLATERIZED MORTGAGE OBLIGATIONS (continued)
611,423 Paine Webber Mortgage Acceptance Corp.,
99-4 2B, 6.316% due 01/28/2009.................. $ 584,506
103,024 Rural Housing Trust, 87-1 3B, 7.330%,
due 04/01/2026.................................. 102,659
-----------
Total collaterized mortgage obligations
(cost $2,458,484)............................. 2,390,486
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (15.3%)
324,226 Federal Home Loan Mortgage Corp., #G00479,
9.000%, due 04/01/2025.......................... 335,477
452,933 Federal Home Loan Mortgage Corp., #G00943,
6.000%, due 07/01/2028.......................... 415,352
968,760 Federal Home Loan Mortgage Corp., #C28063,
6.500% due 07/01/2029........................... 915,026
790,760 Federal Home Loan Mortgage Corp., #C32933,
7.500%, due 11/01/2029.......................... 780,674
985,273 Federal Home Loan Mortgage Corp., #C00910,
7.500%, due 01/01/2030.......................... 972,707
982,095 Federal Home Loan Mortgage Corp., #C35364,
7.500%, due 01/01/2030.......................... 969,569
82,432 Federal National Mortgage Assn., #250307,
7.500%, due 07/01/2025.......................... 81,605
52,546 Federal National Mortgage Assn., #250758,
7.000%, due 11/01/2026.......................... 50,820
199,666 Federal National Mortgage Assn., #532521,
8.000%, due 04/01/2030.......................... 200,610
899,477 Federal National Mortgage Assn., #538315,
8.000%, due 05/01/2030.......................... 904,572
1,875,000 U.S. Treasury Note, 6.500%, due 02/15/2010......... 1,939,859
500,000 U.S. Treasury Bond, 6.375%, due 06/30/2002......... 500,293
2,000,000 U.S. Treasury Bond, 6.750%, due 05/15/2005......... 2,047,187
-----------
Total U.S. government and agency obligations
(cost $10,173,605).............................. 10,113,751
-----------
The accompanying notes are an integral part of these financial statements.
43
<PAGE>
Conseco Fixed Income Fund
-------------------------------------------------------------------------------
Schedule of Investments (unaudited)
June 30, 2000
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------------- --------
PREFERRED STOCK (4.8%)
Insurance Carriers (0.8%)
20,000 Lincoln National Capital, TOPrS (c), 6.400%........ $ 488,126
-----------
Measuring Instruments, Photo Goods, Watches (0.2%)
2,507 River Holding Corp., Series B, PIK (c), 11.500%.... 151,061
-----------
Non-Depository Credit Institutions (1.6%)
10,500 Centaur Funding Corp., 9.080%,
(a) Cost - $1,058,919; Acquired - 12/09/1998
and 01/13/2000.................................. 1,043,766
-----------
Oil and Gas Extraction (2.2%)
1,293 R&B Falcon Corp., PIK (c), 13.875%................. 1,464,730
-----------
Total preferred stock (cost $3,175,397)............ 3,147,683
-----------
Total investments (cost $66,739,720) (98.8%)..................... $65,294,905
-----------
Other assets, less liabilities (1.2%)............................ 795,817
-----------
Total net assets (100.0%)........................................ $66,090,722
===========
--------------------
(a) Restricted under Rule 144A of the Securities Act of 1933.
(b) Conseco Finance Corp. (formerly Green Tree Financial Corp.), a wholly owned
subsidiary of Conseco, Inc. effective June 30, 1998, is the seller to and
servicer for the Trust issuing the Certificates.
(c) 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.
44
<PAGE>
[GRAPHIC]
<PAGE>
Notes to Financial Statements
------------------------------------------------------------------------------
June 30, 2000 (unaudited)
1. Organization
Conseco Fund Group (the "Trust") is an open-end 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 20 Fund, Conseco Equity Fund, Conseco
Balanced Fund, Conseco Convertible Securities Fund, Conseco High Yield Fund and
Conseco Fixed Income Fund. The Conseco Equity, Conseco Balanced and Conseco
Fixed Income Funds became operational and available for sale on January 2, 1997.
The Conseco 20 and Conseco High Yield Funds commenced operations on January 1,
1998. The Conseco Convertible Securities Fund became operational and available
for sale on September 28, 1998.
Each one of the Funds has a distinct investment strategy. 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 Conseco Equity Fund
invests in selected equity securities and other securities having the investment
characteristics of common stocks. The Conseco Balanced Fund invests in several
asset classes including debt securities, equity securities and money-market
instruments. The Conseco Convertible Securities Fund invests primarily in
below-investment-grade securities that are convertible into common stock. The
Conseco High Yield Fund invests primarily in below-investment-grade securities,
commonly known as "junk bonds" or high-yield securities. The Conseco Fixed
Income Fund invests primarily in investment-grade debt securities.
The Funds offer four classes of shares: Class A, Class B, Class C and Class
Y. 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 shares 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 Investments
----- ---------- ----------- -----------
Conseco Balanced - bonds.................. $ 3,238,816 $ 3,193,285 5.38%
Conseco Balanced - preferred stock........ 1,237,948 1,392,188 2.34%
Conseco Convertible Securities - bonds.... 16,077,244 19,554,521 22.59%
Conseco Convertible Securities -
preferred stock ........................ 3,014,700 6,045,750 6.99%
Conseco High Yield - bonds................ 4,724,403 4,461,250 3.59%
Conseco Fixed Income - bonds.............. 12,155,601 11,934,922 18.28%
Conseco Fixed Income - preferred stock.... 1,058,919 1,043,766 1.60%
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 addition, Conseco Capital Management, Inc., ("the Adviser"), a wholly
owned subsidiary of Conseco, Inc. ("Conseco"), which serves as investment
adviser to the funds, has determined that the securities are liquid securities
through a procedure approved by the Board of Trustees of the Trust ("Trustees").
In each Fund of the Trust, Fund securities which are traded on stock
exchanges are valued at the last sale price as of the close of business on the
day the securities are being valued, or lacking any sales, at the mean between
the closing bid and
46
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
June 30, 2000 (unaudited)
asked prices. Securities traded in the over-the-counter
market are valued by third-party pricing services. 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 Trustees. Debt
securities with maturities of sixty (60) days or less are valued at amortized
cost.
Dividends to Shareholders
Dividends from the Conseco Convertible Securities, Conseco High Yield and
Conseco Fixed Income Funds will be declared and distributed monthly. Dividends
from the Balanced Fund will be declared and distributed quarterly. Dividends
from the Conseco 20 and Conseco Equity Funds will be declared and distributed
annually. 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 that 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 (losses). 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
five years beginning with the initial date of sale of shares to the public. Such
costs were advanced by 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.
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 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 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, 2000:
Fund Amount
------ ----------
Conseco 20....................................................... $1,219,302
Conseco Equity................................................... 633,036
Conseco Balanced................................................. 189,860
Conseco Convertible Securities................................... 411,296
Conseco High Yield............................................... 448,661
Conseco Fixed Income............................................. 146,837
Under the investment advisory agreement, the Adviser receives an investment
advisory fee equal to an annual rate of 0.70% of the average daily net asset
value of the Conseco 20, Conseco Equity, Conseco Balanced, and Conseco High
Yield Funds, 0.85% of the average daily net asset value of the Conseco
Convertible Fund, and 0.45% of the average daily net asset value of the
Conseco Fixed Income Fund. 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. The Adviser has
contractually agreed to reimburse the Funds to the extent that the ratio of
expenses to net assets on an annual basis exceeds the following:
47
<PAGE>
Notes to Financial Statements
-------------------------------------------------------------------------------
June 30, 2000 (unaudited)
Fund Class A Class B Class C Class Y
----- ------- ------- ------- -------
Conseco 20......................... 1.75% 2.25% 2.25% 1.25%
Conseco Equity..................... 1.50% 2.00% 2.00% 1.00%
Conseco Balanced................... 1.50% 2.00% 2.00% 1.00%
Conseco Convertible Securities..... 1.55% 2.05% 2.05% 1.05%
Conseco High Yield................. 1.40% 1.90% 1.90% 0.90%
Conseco Fixed Income............... 1.25% 1.60% 1.60% 0.60%
The Adviser may discontinue these contractual limits at any time after
April 30, 2001.
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 reimburse the
Funds to the extent that the ratio of expenses to net assets on an annual basis
exceeds the expense limitations as stated above for the investment advisory
agreement. The Administrator may discontinue these contractual limits at any
time after April 30, 2001. The following summarizes the total fees incurred for
such services for the six months ended June 30, 2000:
Fund Amount
------ --------
Conseco 20....................................................... $348,372
Conseco Equity................................................... 180,868
Conseco Balanced................................................. 54,246
Conseco Convertible Securities................................... 96,776
Conseco High Yield............................................... 128,189
Conseco Fixed Income............................................. 65,261
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. The Distributor is a registered broker-dealer and member
of the National Association of Securities Dealers, Inc. ("NASD"). Shares of each
Fund will be continuously offered and are sold by selected brokers, dealers and
other financial intermediaries who have executed selling agreements with the
Distributor. The Distributor bears all the expenses of providing services
pursuant to the Underwriting Agreement including the payment of the expenses
relating to the distribution of prospectuses for sales purposes, as well as any
advertising or sales literature.
The Trust has adopted distribution and service plans (the "Plans"), dated
March 28, 1997 for Class A shares for the Conseco Equity, Conseco Balanced and
Conseco Fixed Income Funds and December 31, 1997 for Class B and Class C shares
for the Conseco Equity, Conseco Balanced and Conseco Fixed Income Funds and
Class A, Class B and Class C shares for the Conseco 20, Conseco Convertible
Securities and Conseco High Yield 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 20, Conseco Equity, Conseco Balanced,
Conseco Convertible Securities and Conseco High Yield Funds' Plans authorize
payments to the Distributor up to 0.50%, and the Conseco Fixed Income Fund's
Plans authorize payments to the Distributor up to 0.65%, annually of each Fund's
average daily net assets attributable to its Class A shares. Class B and Class C
shares' Plans authorize 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 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, 2000:
Fund Amount
------ ----------
Conseco 20....................................................... $1,174,453
Conseco Equity................................................... 136,809
Conseco Balanced................................................. 123,419
Conseco Convertible Securities................................... 240,416
Conseco High Yield............................................... 441,250
Conseco Fixed Income............................................. 134,769
48
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
June 30, 2000 (unaudited)
4. Investment Transactions
The cost of investments and the composition of gross unrealized
appreciation and depreciation of investments at June 30, 2000, are shown below:
<TABLE>
<CAPTION>
Conseco Conseco Conseco Conseco Conseco Conseco
20 Equity Balanced Convertible High Yield Fixed Income
Fund Fund Fund Securities Fund Fund Fund
------------ ------------ ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Gross unrealized appreciation.............. $ 46,323,072 $ 19,962,857 $ 4,279,257 $19,558,970 $ 3,771,615 $ 472,395
Gross unrealized depreciation.............. (29,953,938) (14,449,050) (2,915,449) (4,918,028) (10,773,407) (1,917,210)
----------------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation). $ 16,369,134 $ 5,513,807 $ 1,363,808 $14,640,942 $ (7,001,792) $(1,444,815)
----------------------------------------------------------------------------------------------------------------------------------
Cost of investments........................ $411,745,810 $198,093,895 $ 58,037,108 $71,907,314 $131,430,785 $66,739,720
----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The aggregate cost of purchases and the aggregate proceeds from sales of
investments for the six months ended June 30, 2000, are shown below:
<TABLE>
<CAPTION>
Conseco Conseco Conseco Conseco Conseco Conseco
20 Equity Balanced Convertible High Yield Fixed Income
Fund Fund Fund Securities Fund Fund Fund
------------ ------------ ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Purchases:
U.S. Government......................... $ -- $ -- $ 18,785,491 $ -- $ -- $35,869,576
Other................................... 910,958,559 416,408,280 104,277,462 68,415,037 168,833,801 77,459,881
Sales:
U.S. Government......................... $ -- $ -- $ 16,351,731 $ -- $ -- $34,873,307
Other................................... 732,960,542 389,850,569 102,008,506 62,699,942 162,287,953 77,340,033
</TABLE>
5. Federal Income Taxes
As of December 31, 1999, the following Funds have capital loss
carryforwards available to offset capital gains in the future, if any:
Amount Expires
---------- ----------
Conseco High Yield................................. $2,529,608 2006
Conseco Fixed Income............................... 1,667,267 2007
Net realized gains or losses may differ for Federal income tax purposes
primarily as a result of wash sales and post-October losses which may not be
recognized for tax purposes until the first of the following fiscal year. Such
amounts may be used to offset future capital gains. The following summarizes the
amount of post-October losses deferred, on a tax basis, for the year ended
December 31, 1999:
Fund Amount Fund Amount
---- --------- ---- --------
Conseco 20........... $1,600,343 Conseco Convertible Securities.. $209,545
Conseco Equity....... 448,872 Conseco High Yield.............. 334,926
Conseco Balanced..... 26,327 Conseco Fixed Income............ 22,327
6. New Funds
The Trust established two new funds, the Conseco Science & Technology Fund
and the Conseco Large-Cap Fund, which became operational and available for sale
on July 1, 2000. The Conseco Science & Technology Fund invests primarily in
companies that employ creators and users of innovation. The Conseco Large-Cap
Fund invests in a diversified selection of U.S. large-capitalization companies
with market capitalization in excess of $5 billion.
49
<PAGE>
Financial Highlights
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Conseco 20 Fund Conseco Equity Fund
---------------------------- ------------------------------------
Six Months Year Ended Six Months
Ended December 31, Ended Year Ended December 31,
June 30, 2000 ------------- June 30, 2000 -----------------------
Class A Shares (unaudited) 1999 1998 (unaudited) 1999 1998 1997
------------------------------ -------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period...... $20.68 $12.80 $10.00 $16.27 $12.55 $11.07 $10.00
Income from investment operations (a):
Net investment income (loss)...................... (0.10) (0.18) (0.02) (0.09) (0.14) -- (0.04)
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments...... 3.26 9.19 2.82 3.38 7.18 1.79 2.33
-------------------------------------------------------------------------------------------------------------------------
Total income from investment operations.......... 3.16 9.01 2.80 3.29 7.04 1.79 2.29
-------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income.............. -- -- -- -- -- (0.01) --
Distribution of net capital gains................. -- (1.13) -- -- (3.32) (0.30) (1.22)
-------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. -- (1.13) -- -- (3.32) (0.31) (1.22)
-------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period......... $23.84 $20.68 $12.80 $19.56 $16.27 $12.55 $11.07
-------------------------------------------------------------------------------------------------------------------------
Total return (b)(c)(d)............................ 15.28% 70.40% 28.00% 20.22% 56.21% 16.11% 22.90%
-------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period.. $99,113 $53,463 $33,845 $32,688 $29,480 $26,203 $4,877
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................... 1.50% 1.70% 2.15% 1.46% 1.66% 2.10% 4.85%
After expense reimbursement.................... 1.50% 1.68% 1.75% 1.46% 1.50% 1.50% 1.50%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................... (1.06%) (1.04%) (0.62%) (0.99%) (0.99%) (0.60%) (3.70%)
After expense reimbursement.................... (1.06%) (1.02%) (0.22%) (0.99%) (0.83%) -- (0.35%)
</TABLE>
<TABLE>
<CAPTION>
Conseco Balanced Fund
------------------------------------------
Six Months
Ended Year Ended December 31,
June 30, 2000 ---------------------------
Class A Shares (unaudited) 1999 1998 1997
--------------------------------------------
<S> <C> <C> <C> <C>
Net asset value per share, beginning of period...... $13.51 $11.69 $10.73 $10.00
Income from investment operations (a):
Net investment income (loss)...................... 0.13 0.22 0.30 0.28
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments...... 1.66 3.18 1.03 1.43
-------------------------------------------------------------------------------------------------
Total income from investment operations.......... 1.79 3.40 1.33 1.71
-------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income.............. (0.12) (0.23) (0.24) (0.27)
Distribution of net capital gains................. -- (1.35) (0.13) (0.71)
-------------------------------------------------------------------------------------------------
Total distributions.............................. (0.12) (1.58) (0.37) (0.98)
-------------------------------------------------------------------------------------------------
Net asset value per share, end of period......... $15.18 $13.51 $11.69 $10.73
-------------------------------------------------------------------------------------------------
Total return (b)(c)(d)............................ 13.25% 29.44% 12.45% 17.19%
-------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period.. $31,785 $31,932 $26,064 $ 1,076
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................... 1.87% 1.96% 2.26% 12.44%
After expense reimbursement.................... 1.50% 1.50% 1.50% 1.50%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................... 1.41% 1.41% 1.90% (8.44%)
After expense reimbursement.................... 1.78% 1.87% 2.66% 2.50%
</TABLE>
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 1998 and 1997.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 1.75% for the Conseco 20 and 1.50% for the
Conseco Equity and Conseco Balanced Funds. These contractual limits may be
discontinued at any time after April 30, 2001.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized for periods of less than one full year.
(e) Annualized for periods of less than one full year.
50
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Conseco Convertible Securities Fund Conseco High Yield Fund
----------------------------------- --------------------------------
Six Months Six Months
Ended Year Period Ended Year Ended
June 30, Ended Ended June 30, December 31,
2000 December 31, December 31, 2000 ------------------
Class A Shares (unaudited) 1999 1998 (unaudited) 1999 1998
------------------------------------ ---------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period.... $14.93 $11.00 $10.00 $10.00 $10.00 $10.00
Income from investment operations (a):
Net investment income........................... 0.22 0.46 0.10 0.42 1.00 0.76
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 1.70 3.89 1.00 (0.72) (0.13) (0.10)
-------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations. 1.92 4.35 1.10 (0.30) 0.87 0.66
-------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.19) (0.27) (0.10) (0.40) (0.87) (0.66)
Distribution of net capital gains............... -- (0.15) -- -- -- --
-------------------------------------------------------------------------------------------------------------------------
Total distributions............................ (0.19) (0.42) (0.10) (0.40) (0.87) (0.66)
-------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period....... $16.66 $14.93 $11.00 $ 9.30 $10.00 $10.00
-------------------------------------------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 12.92% 40.12% 11.04% (3.02%) 9.03% 6.56%
-------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $28,619 $22,927 $27,611 $34,732 $42,591 $28,199
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 1.68% 1.95% 2.12% 1.57% 1.66% 2.12%
After expense reimbursement.................. 1.55% 1.55% 1.55% 1.40% 1.40% 1.40%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 2.62% 1.71% 3.23% 8.24% 8.67% 7.04%
After expense reimbursement.................. 2.75% 2.11% 3.80% 8.41% 8.93% 7.76%
</TABLE>
<TABLE>
<CAPTION>
Conseco Fixed Income Fund
------------------------------------------
Six Months
Ended Year Ended
June 30, December 31,
2000 -----------------------------
Class A Shares (unaudited) 1999 1998 1997
-------------------------------------------
<S> <C> <C> <C> <C>
Net asset value per share, beginning of period.... $ 9.60 $10.21 $10.13 $10.00
Income from investment operations (a):
Net investment income........................... 0.31 0.63 0.55 0.66
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 0.03 (0.65) 0.20 0.18
------------------------------------------------------------------------------------------------
Total income (loss) from investment operations. 0.34 (0.02) 0.75 0.84
------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.31) (0.56) (0.55) (0.58)
Distribution of net capital gains............... -- (0.03) (0.12) (0.13)
------------------------------------------------------------------------------------------------
Total distributions............................ (0.31) (0.59) (0.67) (0.71)
------------------------------------------------------------------------------------------------
Net asset value per share, end of period....... $ 9.63 $ 9.60 $10.21 $10.13
------------------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 3.57% (0.27%) 7.57% 8.66%
------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $29,606 $30,681 $30,684 $ 153
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 1.41% 1.64% 1.94% 13.67%
After expense reimbursement.................. 1.25% 1.25% 1.25% 1.25%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 6.31% 5.30% 4.59% (6.91%)
After expense reimbursement.................. 6.47% 5.69% 5.28% 5.51%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 1998 and 1997.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 1.55% for the Conseco Convertible Securities,
1.40% for the Conseco High Yield and 1.25% for the Conseco Fixed Income
Funds. These contractual limits may be discontinued at any time after April
30, 2001.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized for periods of less than one full year.
(e) Annualized for periods of less than one full year.
(f) Period from September 28, 1998 (commencement of operations) through December
31, 1998.
</FN>
</TABLE>
51
<PAGE>
Financial Highlights
-------------------------------------------------------------------------------
June 30, 2000
<TABLE>
<CAPTION>
Conseco 20 Fund Conseco Equity Fund
---------------------------------- -------------------------------------
Six Months Six Months
Ended Year Period Ended Year Period
June 30, Ended Ended June 30, Ended Ended
2000 December 31, December 31, 2000 December 31, December 31,
Class B Shares (unaudited) 1999 1998(f) (unaudited) 1999 1998(g)
--------------------------------- ------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period.... $20.40 $12.71 $11.21 $16.13 $12.47 $11.09
Income from investment operations (a):
Net investment income (loss).................... (0.15) (0.10) (0.07) (0.07) (0.14) (0.06)
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 3.21 8.94 1.57 3.29 7.07 1.75
-------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations........ 3.06 8.84 1.50 3.22 6.93 1.69
-------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ -- -- -- -- -- (0.01)
Distribution of net capital gains............... -- (1.15) -- -- (3.27) (0.30)
-------------------------------------------------------------------------------------------------------------------------------
Total distributions............................ -- (1.15) -- -- (3.27) (0.31)
-------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period....... $23.46 $20.40 $12.71 $19.35 $16.13 $12.47
-------------------------------------------------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 15.00% 69.56% 13.38% 19.96% 55.63% 15.20%
-------------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $142,362 $71,233 $7,270 $12,291 $3,489 $1,634
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 2.00% 2.20% 2.73% 1.96% 2.16% 4.85%
After expense reimbursement.................. 2.00% 2.18% 2.25% 1.96% 2.00% 2.00%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. (1.55%) (1.54%) (1.26%) (1.48%) (1.49%) (3.45%)
After expense reimbursement.................. (1.55%) (1.52%) (0.78%) (1.48%) (1.33%) (0.60%)
</TABLE>
<TABLE>
<CAPTION>
Conseco Balanced Fund
------------------------------------
Six Months
Ended Year Period
June 30, Ended Ended
2000 December 31, December 31,
Class B Shares (unaudited) 1999 1998(f)
-----------------------------------
<S> <C> <C> <C>
Net asset value per share, beginning of period.... $13.38 $11.61 $11.20
Income from investment operations (a):
Net investment income (loss).................... 0.08 0.12 0.19
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 1.67 3.18 0.57
-----------------------------------------------------------------------------------------
Total income from investment operations........ 1.75 3.30 0.76
-----------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.10) (0.18) (0.22)
Distribution of net capital gains............... -- (1.35) (0.13)
-----------------------------------------------------------------------------------------
Total distributions............................ (0.10) (1.53) (0.35)
-----------------------------------------------------------------------------------------
Net asset value per share, end of period....... $15.03 $13.38 $11.61
-----------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 13.07% 28.79% 6.83%
-----------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $6,749 $2,854 $1,301
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 2.37% 2.46% 3.93%
After expense reimbursement.................. 2.00% 2.00% 2.00%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 0.93% 0.91% 0.16%
After expense reimbursement.................. 1.30% 1.37% 2.09%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 1998 and 1997.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 2.25% for the Conseco 20 and 2.00% for the
Conseco Equity and Conseco Balanced Funds. These contractual limits may be
discontinued at any time after April 30, 2001.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized for periods of less than one full year.
(e) Annualized for periods of less than one full year.
(f) Period from February 18, 1998 (commencement of operations) through December
31, 1998.
(g) Period from January 28, 1998 (commencement of operations) through
December 31, 1998.
(h) Period from February 10, 1998 (commencement of operations) through December
31, 1998.
</FN>
</TABLE>
52
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
June 30, 2000
<TABLE>
<CAPTION>
Conseco Convertible Securities Fund Conseco High Yield Fund
----------------------------------- -------------------------------------
Six Months Six Months
Ended Year Period Ended Year Period
June 30, Ended Ended June 30, Ended Ended
2000 December 31, December 31, 2000 December 31, December 31,
Class B Shares (unaudited) 1999 1998(f) (unaudited) 1999 1998(g)
----------------------------------- -------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period.... $14.88 $11.00 $10.00 $9.97 $9.97 $10.44
Income from investment operations (a):
Net investment income........................... 0.15 0.06 0.08 0.38 0.55 0.60
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 1.72 4.21 1.00 (0.71) 0.28 (0.48)
---------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations. 1.87 4.27 1.08 (0.33) 0.83 0.12
---------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.16) (0.24) (0.08) (0.38) (0.83) (0.59)
Distribution of net capital gains............... -- (0.15) -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
Total distributions............................ (0.16) (0.39) (0.08) (0.38) (0.83) (0.59)
---------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period....... $16.59 $14.88 $11.00 $9.26 $9.97 $9.97
---------------------------------------------------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 12.59% 39.40% 10.89% (3.36%) 8.57% 1.12%
---------------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $35,464 $13,690 $ 1 $47,464 $47,433 $11,271
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 2.18% 2.45% 154.76% 2.07% 2.16% 2.75%
After expense reimbursement.................. 2.05% 2.05% 2.05% 1.90% 1.90% 1.90%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 2.12% 1.21% (149.69%) 7.72% 8.17% 6.42%
After expense reimbursement.................. 2.25% 1.61% 3.02% 7.89% 8.43% 7.27%
</TABLE>
<TABLE>
<CAPTION>
Conseco Fixed Income Fund
------------------------------------
Six Months
Ended Year Period
June 30, Ended Ended
2000 December 31, December 31,
Class B Shares (unaudited) 1999 1998(h)
-----------------------------------
<S> <C> <C> <C>
Net asset value per share, beginning of period.... $9.59 $10.19 $10.24
Income from investment operations (a):
Net investment income........................... 0.29 0.41 0.36
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 0.02 (0.46) 0.14
-----------------------------------------------------------------------------------------
Total income (loss) from investment operations. 0.31 (0.05) 0.50
-----------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.29) (0.52) (0.45)
Distribution of net capital gains............... -- (0.03) (0.10)
-----------------------------------------------------------------------------------------
Total distributions............................ (0.29) (0.55) (0.55)
-----------------------------------------------------------------------------------------
Net asset value per share, end of period....... $9.61 $9.59 $10.19
-----------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 3.30% (0.49%) 4.97%
-----------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $5,493 $5,230 $2,619
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 1.76% 1.99% 2.77%
After expense reimbursement.................. 1.60% 1.60% 1.60%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 5.94% 4.95% 3.66%
After expense reimbursement.................. 6.10% 5.34% 4.83%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 1998 and 1997.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 2.05% for the Conseco Convertible Securities,
1.90% for the Conseco High Yield and 1.60% for the Conseco Fixed Income
Funds. These contractual limits may be discontinued at any time after April
30, 2001.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized for periods of less than one full year.
(e) Annualized for periods of less than one full year.
(f) Period from September 28, 1998 (commencement of operations) through December
31, 1998.
(g) Period from February 19, 1998 (commencement of operations) through
December 31, 1998.
(h) Period from March 20, 1998 (commencement of operations) through December
31, 1998.
</FN>
</TABLE>
53
<PAGE>
Financial Highlights
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Conseco 20 Fund Conseco Equity Fund
---------------------------------- -------------------------------------
Six Months Six Months
Ended Year Period Ended Year Period
June 30, Ended Ended June 30, Ended Ended
2000 December 31, December 31, 2000 December 31, December 31,
Class C Shares (unaudited) 1999 1998(f) (unaudited) 1999 1998(g)
--------------------------------- ------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period.... $20.46 $12.75 $11.82 $16.12 $12.54 $11.98
Income from investment operations (a):
Net investment income (loss).................... (0.14) (0.09) (0.07) (0.09) (0.07) (0.06)
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 3.20 8.96 1.00 3.32 7.02 0.93
-------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations........ 3.06 8.87 0.93 3.23 6.95 0.87
-------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ -- -- -- -- -- (0.01)
Distribution of net capital gains............... -- (1.16) -- -- (3.37) (0.30)
-------------------------------------------------------------------------------------------------------------------------------
Total distributions............................ -- (1.16) -- -- (3.37) (0.31)
-------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period....... $23.52 $20.46 $12.75 $19.35 $16.12 $12.54
-------------------------------------------------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 14.96% 69.54% 7.87% 20.04% 55.89% 7.21%
-------------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $108,811 $37,093 $2,982 $9,850 $2,972 $616
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 2.00% 2.20% 2.72% 1.96% 2.16% 8.51%
After expense reimbursement.................. 2.00% 2.18% 2.25% 1.96% 2.00% 2.00%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. (1.55%) (1.54%) (1.28%) (1.48%) (1.49%) (7.19%)
After expense reimbursement.................. (1.55%) (1.52%) (0.81%) (1.48%) (1.33%) (0.68%)
</TABLE>
<TABLE>
<CAPTION>
Conseco Fixed Income Fund
------------------------------------
Six Months
Ended Year Period
June 30, Ended Ended
2000 December 31, December 31,
Class C Shares (unaudited) 1999 1998(h)
-----------------------------------
<S> <C> <C> <C>
Net asset value per share, beginning of period.... $13.46 $11.66 $11.31
Income from investment operations (a):
Net investment income (loss).................... 0.08 0.13 0.20
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 1.67 3.20 0.48
----------------------------------------------------------------------------------------
Total income from investment operations........ 1.75 3.33 0.68
----------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.09) (0.18) (0.20)
Distribution of net capital gains............... -- (1.35) (0.13)
----------------------------------------------------------------------------------------
Total distributions............................ (0.09) (1.53) (0.33)
----------------------------------------------------------------------------------------
Net asset value per share, end of period....... $15.12 $13.46 $11.66
----------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 13.03% 28.81% 6.10%
----------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $4,657 $2,264 $1,197
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 2.37% 2.46% 3.40%
After expense reimbursement.................. 2.00% 2.00% 2.00%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 0.93% 0.91% 0.68%
After expense reimbursement.................. 1.30% 1.37% 2.08%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 1998 and 1997.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 2.25% for the Conseco 20 and 2.00% for the
Conseco Equity and Conseco Balanced Funds. These contractual limits may be
discontinued at any time after April 30, 2001.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized for periods of less than one full year.
(e) Annualized for periods of less than one full year.
(f) Period from March 10, 1998 (commencement of operations) through December 31,
1998.
(g) Period from February 19, 1998 (commencement of operations) through
December 31, 1998.
(h) Period from February 13, 1998 (commencement of operations) through
December 31, 1998.
</FN>
</TABLE>
54
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Conseco Convertible Securities Fund Conseco High Yield Fund
----------------------------------- -------------------------------------
Six Months Six Months
Ended Year Period Ended Year Period
June 30, Ended Ended June 30, Ended Ended
2000 December 31, December 31, 2000 December 31, December 31,
Class C Shares (unaudited) 1999 1998(f) (unaudited) 1999 1998(g)
----------------------------------- -------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period.... $14.91 $11.00 $10.00 $9.95 $9.95 $10.44
Income from investment operations (a):
Net investment income........................... 0.15 0.06 0.08 0.37 0.50 0.59
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 1.73 4.23 1.00 (0.69) 0.33 (0.50)
-------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations. 1.88 4.29 1.08 (0.32) 0.83 0.09
-------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.16) (0.23) (0.08) (0.38) (0.83) (0.58)
Distribution of net capital gains............... -- (0.15) -- -- -- --
-------------------------------------------------------------------------------------------------------------------------------
Total distributions............................ (0.16) (0.38) (0.08) (0.38) (0.83) (0.58)
-------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period....... $16.63 $14.91 $11.00 $9.25 $9.95 $9.95
-------------------------------------------------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 12.63% 39.52% 10.89% (3.26%) 8.60% 0.88%
-------------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $13,831 $4,107 $ 1 $23,070 $18,541 $3,685
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 2.18% 2.45% 154.76% 2.07% 2.16% 3.03%
After expense reimbursement.................. 2.05% 2.05% 2.05% 1.90% 1.90% 1.90%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 2.12% 1.21% (149.69%) 7.74% 8.17% 6.09%
After expense reimbursement.................. 2.25% 1.61% 3.02% 7.91% 8.43% 7.22%
</TABLE>
<TABLE>
<CAPTION>
Conseco Fixed Income Fund
------------------------------------
Six Months
Ended Year Period
June 30, Ended Ended
2000 December 31, December 31,
Class C Shares (unaudited) 1999 1998(h)
-----------------------------------
<S> <C> <C> <C>
Net asset value per share, beginning of period.... $9.63 $10.23 $10.13
Income from investment operations (a):
Net investment income........................... 0.29 0.41 0.38
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 0.02 (0.45) 0.26
-----------------------------------------------------------------------------------------
Total income (loss) from investment operations. 0.31 (0.04) 0.64
-----------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.29) (0.53) (0.44)
Distribution of net capital gains............... -- (0.03) (0.10)
-----------------------------------------------------------------------------------------
Total distributions............................ (0.29) (0.56) (0.54)
-----------------------------------------------------------------------------------------
Net asset value per share, end of period....... $9.65 $ 9.63 $10.23
-----------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 3.28% (0.47%) 6.44%
-----------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $2,298 $2,655 $ 539
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 1.76% 1.99% 5.91%
After expense reimbursement.................. 1.60% 1.60% 1.60%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 5.88% 4.95% 0.67%
After expense reimbursement.................. 6.04% 5.34% 4.98%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 1998 and 1997.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 2.05% for the Conseco Convertible Securities,
1.90% for the Conseco High Yield and 1.60% for the Conseco Fixed Income
Funds. These contractual limits may be discontinued at any time after April
30, 2001.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized for periods of less than one full year.
(e) Annualized for periods of less than one full year.
(f) Period from September 28, 1998 (commencement of operations) through December
31, 1998.
(g) Period from February 19, 1998 (commencement of operations) through
December 31, 1998.
(h) Period from March 5, 1998 (commencement of operations) through
December 31, 1998.
</FN>
</TABLE>
55
<PAGE>
Financial Highlights
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Conseco 20 Fund Conseco Equity Fund
----------------------------- -------------------------------------
Six Months Year Ended Six Months
Ended December 31, Ended Year Ended December 31,
June 30, 2000 ------------- June 30, 2000 -----------------------
Class Y Shares (unaudited) 1999 1998(f) (unaudited) 1999 1998 1997
------------------------------ --------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period.... $20.49 $12.68 $12.33 $16.47 $12.67 $11.13 $10.00
Income from investment operations (a):
Net investment income (loss).................... (0.06) (0.01) 0.04 (0.05) (0.03) 0.05 --
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 3.25 9.04 0.31 3.43 7.24 1.83 2.35
-----------------------------------------------------------------------------------------------------------------------------
Total income from investment operations........ 3.19 9.03 0.35 3.38 7.21 1.88 2.35
-----------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ -- -- -- -- -- (0.04) --
Distribution of net capital gains............... -- (1.22) -- -- (3.41) (0.30) (1.22)
-----------------------------------------------------------------------------------------------------------------------------
Total distributions............................ -- (1.22) -- -- (3.41) (0.34) (1.22)
-----------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period....... $23.68 $20.49 $12.68 $19.85 $16.47 $12.67 $11.13
-----------------------------------------------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 15.57% 71.36% 2.84% 20.52% 57.13% 16.82% 23.50%
-----------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $79,810 $55,806 $ 172 $147,598 $110,008 $60,816 $60,334
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 1.00% 1.20% 3.77% 0.96% 1.16% 1.42% 1.24%
After expense reimbursement.................. 1.00% 1.18% 1.25% 0.96% 1.00% 1.00% 1.00%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. (0.56%) (0.54%) (1.90%) (0.49%) (0.49%) (0.02%) (0.21%)
After expense reimbursement.................. (0.56%) (0.52%) 0.62% (0.49%) (0.33%) 0.40% 0.03%
</TABLE>
<TABLE>
<CAPTION>
Conseco Balanced Fund
------------------------------------------
Six Months
Ended Year Ended December 31,
June 30, 2000 ---------------------------
Class A Shares (unaudited) 1999 1998 1997
--------------------------------------------
<S> <C> <C> <C> <C>
Net asset value per share, beginning of period.... $13.59 $11.75 $10.78 $10.00
Income from investment operations (a):
Net investment income (loss).................... 0.16 0.24 0.32 0.19
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 1.69 3.24 1.06 1.58
-------------------------------------------------------------------------------------------------
Total income from investment operations........ 1.85 3.48 1.38 1.77
-------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.16) (0.29) (0.28) (0.28)
Distribution of net capital gains............... -- (1.35) (0.13) (0.71)
-------------------------------------------------------------------------------------------------
Total distributions............................ (0.16) (1.64) (0.41) (0.99)
-------------------------------------------------------------------------------------------------
Net asset value per share, end of period....... $15.28 $13.59 $11.75 $10.78
-------------------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 13.59% 30.07% 12.90% 17.87%
-------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $14,742 $ 9,186 $4,138 $12,037
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 1.37% 1.46% 2.19% 2.14%
After expense reimbursement.................. 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 1.92% 1.91% 1.48% 1.62%
After expense reimbursement.................. 2.29% 2.37% 2.67% 2.76%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 1998 and 1997.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 1.25% for the Conseco 20 and 1.00% for the
Conseco Equity and Conseco Balanced Funds. These contractual limits may be
discontinued at any time after April 30, 2001.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized for periods of less than one full year.
(e) Annualized for periods of less than one full year.
(f) Period from April 6, 1998 (commencement of operations) through
December 31, 1998.
</FN>
</TABLE>
56
<PAGE>
CONSECO FUND GROUP
2000 Mid-Year Report
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Conseco Convertible Securities Fund Conseco High Yield Fund
----------------------------------- --------------------------------
Six Months Six Months
Ended Year Period Ended Year Period
June 30, Ended Ended June 30, Ended Ended
2000 December 31, December 31, 2000 December 31, December 31,
Class Y Shares (unaudited) 1999 1998(f) (unaudited) 1999 1998(g)
------------------------------------ ---------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period.... $14.94 $11.00 $10.00 $10.03 $10.02 $10.49
Income from investment operations (a):
Net investment income........................... 0.45 0.04 0.11 0.43 0.45 0.62
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 1.51 4.38 1.00 (0.70) 0.48 (0.48)
--------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations. 1.96 4.42 1.11 (0.27) 0.93 0.14
--------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.23) (0.33) (0.11) (0.43) (0.92) (0.61)
Distribution of net capital gains............... -- (0.15) -- -- -- --
--------------------------------------------------------------------------------------------------------------------------
Total distributions............................ (0.23) (0.48) (0.11) (0.43) (0.92) (0.61)
--------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period....... $16.67 $14.94 $11.00 $ 9.33 $10.03 $10.02
--------------------------------------------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 13.18% 40.91% 11.17% (2.76%) 9.64% 1.36%
--------------------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $13,587 $30,357 $ 1 $21,291 $24,021 $1,237
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 1.18% 1.45% 149.31% 1.07% 1.16% 3.24%
After expense reimbursement.................. 1.05% 1.05% 1.05% 0.90% 0.90% 0.90%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 3.11% 2.21% (144.39%) 8.74% 9.17% 5.32%
After expense reimbursement.................. 3.24% 2.61% 3.87% 8.91% 9.43% 7.66%
</TABLE>
<TABLE>
<CAPTION>
Conseco Fixed Income Fund
------------------------------------------
Six Months
Ended
June 30, Year Ended December 31,
2000 -----------------------------
Class Y Shares (unaudited) 1999 1998 1997
-------------------------------------------
<S> <C> <C> <C> <C>
Net asset value per share, beginning of period.... $ 9.64 $10.25 $10.15 $10.00
Income from investment operations (a):
Net investment income........................... 0.34 0.58 0.65 0.68
Net realized gains (losses) and change in unrealized
appreciation or depreciation on investments.... 0.03 (0.54) 0.17 0.21
------------------------------------------------------------------------------------------------
Total income (loss) from investment operations. 0.37 0.04 0.82 0.89
------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income............ (0.34) (0.62) (0.60) (0.61)
Distribution of net capital gains............... -- (0.03) (0.12) (0.13)
------------------------------------------------------------------------------------------------
Total distributions............................ (0.34) (0.65) (0.72) (0.74)
------------------------------------------------------------------------------------------------
Net asset value per share, end of period....... $ 9.67 $ 9.64 $10.25 $10.15
------------------------------------------------------------------------------------------------
Total return (b)(c)(d).......................... 3.89% 0.38% 8.32% 9.18%
------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $28,694 $27,044 $14,403 $21,876
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement................. 0.76% 0.99% 1.46% 1.44%
After expense reimbursement.................. 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to average
net assets (b)(e):
Before expense reimbursement................. 6.96% 5.95% 5.40% 5.44%
After expense reimbursement.................. 7.12% 6.34% 6.26% 6.28%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 1998 and 1997.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 1.05% for the Conseco Convertible Securities,
0.90% for the Conseco High Yield and 0.60% for the Conseco Fixed Income
Funds. These contractual limits may be discontinued at any time after April
30, 2001.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized for periods of less than one full year.
(e) Annualized for periods of less than one full year.
(f) Period from September 28, 1998 (commencement of operations) through
December 31, 1998.
(g) Period from March 2, 1998 (commencement of operations) through
December 31, 1998.
</FN>
</TABLE>
57
<PAGE>
Financial Highlights
-------------------------------------------------------------------------------
June 30, 2000
<TABLE>
<CAPTION>
Conseco 20 Fund Conseco Equity Fund
----------------------------- -------------------------------------
Six Months Year Ended Six Months
Ended December 31, Ended Year Ended December 31,
June 30, 2000 ------------- June 30, 2000 -----------------------
Supplemental data for all classes: (unaudited) 1999 1998 (unaudited) 1999 1998 1997
------------------------------ --------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net assets (dollars in thousands), end of period.. $430,096 $217,595 $44,269 $202,427 $145,950 $89,270 $65,211
Portfolio turnover rate .......................... 224% 280% 412% 225% 364% 350% 199%
</TABLE>
<TABLE>
<CAPTION>
Conseco Balanced Fund
------------------------------------------
Six Months
Ended Year Ended December 31,
June 30, 2000 ---------------------------
Class A Shares (unaudited) 1999 1998 1997
--------------------------------------------
<S> <C> <C> <C> <C>
Net assets (dollars in thousands), end of period.. $57,933 $46,236 $32,700 $13,113
Portfolio turnover rate .......................... 232% 321% 341% 507%
</TABLE>
<TABLE>
<CAPTION>
Conseco Convertible Securities Fund Conseco High Yield Fund
----------------------------------- --------------------------------
Six Months Six Months
Ended Year Period Ended Year Ended
June 30, Ended Ended June 30, December 31,
2000 December 31, December 31, 2000 ------------------
(unaudited) 1999 1998(a) (unaudited) 1999 1998
------------------------------------ ---------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net assets (dollars in thousands), end of period.. $ 91,501 $ 71,081 $27,614 $126,557 $132,588 $44,392
Portfolio turnover rate........................... 73% 115% 13% 139% 312% 432%
</TABLE>
<TABLE>
<CAPTION>
Conseco Fixed Income Fund
------------------------------------------
Six Months
Ended
June 30, Year Ended December 31,
2000 -----------------------------
Class Y Shares (unaudited) 1999 1998 1997
-------------------------------------------
<S> <C> <C> <C> <C>
Net assets (dollars in thousands), end of period.. $66,091 $65,610 $48,245 $22,029
Portfolio turnover rate........................... 174% 361% 421% 368%
<FN>
(a) Period from September 28, 1998 (commencement of operations) through
December 31, 1998.
</FN>
</TABLE>
58
<PAGE>
[GRAPHIC]
<PAGE>
Portfolio Managers
-------------------------------------------------------------------------------
Gregory J. Hahn, CFA
Senior Vice President
Chief Fixed Income Investment Officer
Portfolio Manager, Conseco Fixed Income Fund
Co-Portfolio Manager, Conseco Balanced Fund
Conseco Capital Management, Inc.
Hahn manages the Conseco Fixed Income Fund, co-manages the Conseco Balanced
Fund and oversees more than $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.
Robert L. Cook,
CFA Senior Fixed Income Securities Analyst
Co-Portfolio Manager, Conseco High Yield Fund
Conseco Capital Management, Inc.
Cook co-manages the Conseco High Yield Fund as well as more than $150 million
in high-yield institutional client assets. Prior to joining CCM in 1994 as a
fixed-income analyst in the high-yield arena, he served as a financial analyst
at PNC Securities Corp.
Cook earned his bachelor's degree in finance from Indiana University,
Bloomington.
Thomas J. Pence, CFA
Senior Vice President
Chief Equity Investment Officer
Portfolio Manager, Conseco Equity Fund
Co-Portfolio Manager, Conseco Balanced Fund
Conseco Capital Management, Inc.
Pence manages the Conseco Equity Fund, co-manages the Conseco Balanced Fund
and oversees more than $2 billion in institutional equity. Prior to joining CCM
in 1991, he worked for the Forum Group, where he specialized in project finance.
Pence 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.
Paul M. Kocoras
Research Analyst
Co-Portfolio Manager, Conseco Convertible Securities Fund
Conseco Capital Management, Inc.
Kocoras co-manages the Conseco Convertible Securities Fund. Prior to joining
CCM in June 2000, Kocoras worked as a convertible research analyst in S&P 500
futures at the Chicago Mercantile Exchange and completed an internship at the
University of Chicago.
Kocoras earned a bachelor's degree in finance from Indiana University,
Bloomington.
60
<PAGE>
CONSECO FUND GROUP
Portfolio Managers 2000 Mid-Year Report
-------------------------------------------------------------------------------
Hirouye Teshome
Senior Securities Analyst
Co-Portfolio Manager, Conseco Convertible Securities Fund
Conseco Capital Management, Inc.
Teshome co-manages the Conseco Convertible Securities Fund and is responsible
for software development, modeling and maintenance for analyzing fixed income
securities.
Prior to joining CCM in 1997, Teshome earned both his bachelor's and master's
degrees in electrical engineering from Purdue University, Lafayette, Ind., as
well as a masters of business administration degree from Indiana University,
Bloomington. He is currently a candidate for Level II of the CFA.
Eric D. Todd
Vice President
Co-Portfolio Manager, Conseco High Yield Fund
Conseco Capital Management, Inc.
Todd co-manages the Conseco High Yield Fund as well as more than $150 million
in high-yield institutional client accounts. As director of structured products,
he also manages more than $1.8 billion in private investment funds, primarily in
high yield.
Prior to joining CCM in 1991 as a fixed-income analyst, Todd graduated magna
cum laude from Indiana State University, Terre Haute, with a bachelor's degree
in finance and business administration.
Erik J. Voss, CFA
Vice President
Conseco Capital Management, Inc.
Portfolio Manager, Conseco 20 Fund
Voss manages the Conseco 20 Fund, more than $800 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, he was an equity analyst for Gardner Lewis Asset Management for
three years.
Voss earned a bachelor's degree in mathematics and a master's degree in
finance from the University of Wisconsin, Madison.
61
<PAGE>
-------------------------------------------------------------------------------
BOARD OF TRUSTEES
William P. Daves, Jr.
Chairman of the Board
Insurance and healthcare industries consultant
Chairman and CEO, FFG Insurance Co.
Gregory J. Hahn, CFA
Senior VP, Portfolio Analytics
Chief Fixed Income Investment Officer
Conseco Capital Management, Inc.
Dr. R. Jan LeCroy
Director, Southwest Securities Group, Inc.
Former President, Dallas Citizens Council
David N. Walthall
Principal, Walthall Asset Management
Maxwell E. Bublitz, CFA
President, Conseco Fund Group
Director, President and CEO, Conseco Capital Management, Inc.
Senior VP of Investments, Conseco, Inc.
Harold W. Hartley, CFA
Director, Ennis Business Forms, Inc.
Former Executive VP, Tenneco Financial Services, Inc.
Dr. Jess H. Parrish
Higher education consultant
Former President, Midland College
<PAGE>
-------------------------------------------------------------------------------
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
<PAGE>
Conseco Science & Technology Fund (opened July 1, 2000) CSTAX
Conseco 20 Fund CTWAX
Conseco Equity Fund CEYAX
Conseco Large-Cap Fund (opened July 1, 2000) CELAX
Conseco Balanced Fund COAAX
Conseco Convertible Securities Fund CCSAX
Conseco High Yield Fund CHYAX
Conseco Fixed Income Fund COFAX
The Nasdaq symbols are for Class A shares. For more
information, please contact us today at:
CONSECO FUND GROUP
distributed by
CONSECO EQUITY SALES, INC.
11815 N. Pennsylvania Street, Carmel, IN 46032
Shareholder Services: 800.986.3384
Broker/Dealer and RIA Services: 800.825.1530 www.consecofunds.com
