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CONSECO(R)
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CONSECO SERIES TRUST
DECEMBER 31, 1999
ANNUAL REPORT
Money Market Portfolio
Government Securities Portfolio
Fixed Income Portfolio
Balanced Portfolio
Equity Portfolio
<PAGE>
CONSECO SERIES TRUST
TABLE OF CONTENTS
1999 ANNUAL REPORT
================================================================================
A Message from the President............................................... 2
Statements of Assets and Liabilities as of December 31, 1999............... 3
Statements of Operations for the year ended December 31, 1999.............. 3
Statements of Changes in Net Assets for the years ended December 31, 1999
and December 31, 1998 .................................................. 4
MONEY MARKET PORTFOLIO
Portfolio Manager's Review.............................................. 6
Schedule of Investments as of December 31, 1999......................... 7
GOVERNMENT SECURITIES PORTFOLIO
Portfolio Manager's Review.............................................. 9
Schedule of Investments as of December 31, 1999......................... 10
FIXED INCOME PORTFOLIO
Portfolio Manager's Review.............................................. 12
Schedule of Investments as of December 31, 1999......................... 13
BALANCED PORTFOLIO
Portfolio Manager's Review.............................................. 16
Schedule of Investments as of December 31, 1999......................... 17
EQUITY PORTFOLIO
Portfolio Manager's Review.............................................. 20
Schedule of Investments as of December 31, 1999......................... 21
Notes to Financial Statements.............................................. 23
Financial Highlights....................................................... 26
Report of Independent Accountants.......................................... 31
<PAGE>
CONSECO SERIES TRUST
A MESSAGE FROM THE PRESIDENT
================================================================================
Dear Contract Owner:
Midway through the year, I reported to you that the portfolios were solidly
positioned and poised for the new millennium. I am exceptionally pleased to
report that we picked up the mid-year performance pace, closing out the year
with a strong finishing kick.
We swept through the Y2K scenario without issue. Common sense and cool heads
prevailed in the marketplace and our extensive preparations paid off, enabling
us to deliver and settle all transactions according to plan.
The Equity Portfolio sent a clear signal about the power of research and
asset allocation. Our diversified mid-cap growth offering began a steady climb
in April as investors cashed in their large-cap holdings to seek equally strong
- -- or stronger -- earnings from more reasonably priced mid-size companies. Well
positioned to capitalize on this investor flight, the Equity Portfolio produced
a 50.28%1 one-year total return, outperforming the S&P 500 Index that had a
one-year total return of 21.04%.
As an asset class, fixed income languished in this "best of times, worst of
times" market environment as investors fretted over interest rates, rushed to
equities and pushed down bond prices.
The Fixed Income Portfolio fought its way through this tough environment with
carefully considered credit selections. Fundamentally strong, this portfolio has
solid long-term, potential for our investors.
Thanks to a skillful blend of mid-cap and high-yielding bond holdings, the
Balanced Portfolio enhanced income and produced a one-year total return of
30.83%1. This portfolio outperformed it benchmarks -- the S&P 500 Index and the
Lehman Brothers Government/Corporate Index.
Further on in this report, each portfolio manager provides you with a much
more in-depth snapshot of his portfolio's structures and performance.
What's ahead? Evaluation, evaluation, evaluation.
Low, relatively flat inflation will continue. Even though 100 basis points of
tightening is already embedded in the bond market, you should expect more
incremental rate hikes by the Fed. To move forward, the bond market needs a
strong, clarifying statement from the Fed that will encourage investment in this
fundamental asset class.
Measured sentiment between equities and bonds have never been wider.
Consequently, plenty of asset allocation choices are on the horizon. Look behind
the dot-coms, techs and telecoms; you will see a bear market. Within this
scenario reside a wide assortment of opportunities -- only once or twice in the
market's history have there been better times to invest.
These trends -- especially Internet expansion -- strongly suggest an
increasingly greater role for financial advice and a wholesale return to
actively managed, bottom-up investment. Consequently, I submit to you that
research, astute analysis, informed risk assessment and asset allocation will
play increasingly critical roles in the success of your investment portfolio.
In an environment such as this, our portfolios are managed to excel in the
middle of the risk curve and are designed to help you more confidently plan for
your financial future. Moreover, our intense integration of rigorous research,
analysis, trading and portfolio management is relatively unusual in the mutual
fund industry. The 30 analysts that carefully monitor the Conseco Series Trust
portfolios help us to create portfolios that are unmatched in the risk/reward
spectrum.
During 2000, you will encounter a wide array of investment opportunities and
asset allocation challenges. Our versatile portfolios are designed to play a
core role within your portfolio -- with well-positioned names exhibiting the
potential to deliver solid returns.
As you strive to improve your financial foundation and achieve your
investment objectives during 2000, we hope you will continue to keep us in your
portfolio.
Sincerely,
/s/ MAXWELL E. BUBLITZ
- ---------------------------------
Maxwell E. Bublitz, CFA
President
Conseco Series Trust
- --------------------------------------------------------------------------------
1 Past performance is not predictive of future performance. Total return is
provided in accordance with SEC guidelines for comparative purposes and
reflects certain contractual fee waivers and/or expense reimbursements
through April 30, 2000. If the waivers were not in place, the portfolio's
returns would have been lower. Also, please note that performance does not
include separate account expenses.
2
<PAGE>
CONSECO SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
===================================================================================================================================
MONEY GOVERNMENT FIXED
MARKET SECURITIES INCOME BALANCED EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
===================================================================================================================================
<S> <C> <C> <C> <C> <C>
Assets:
Investments in securities at value (cost or
amortized cost $86,540,308, $13,474,834,
$29,381,277, $44,486,113, and $236,922,275
respectively) .............................. $ 86,540,308 $ 12,945,823 $ 28,346,918 $ 50,869,113 $ 293,689,068
Cash ....................................... 577 162 151 153 408
Interest and dividends receivable .......... 138,739 182,605 481,016 319,343 45,113
Receivable for securities sold ............. -- -- -- 1,129,153 10,506,154
Receivable for shares sold ................. -- -- 86,423 24,191 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total assets ............................. 86,679,624 13,128,590 28,914,508 52,341,953 304,240,743
- -----------------------------------------------------------------------------------------------------------------------------------
Liabilities:
Accrued expenses ........................... 23,763 7,037 15,536 28,139 169,103
Payable for securities purchased ........... -- -- -- 372,706 3,569,478
Payable for shares redeemed ................ 963,408 17,330 -- -- 64,672
- -----------------------------------------------------------------------------------------------------------------------------------
Total liabilities ........................ 987,171 24,367 15,536 400,845 3,803,253
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets ............................. $ 85,692,453 $ 13,104,223 $ 28,898,972 $ 51,941,108 $ 300,437,490
===================================================================================================================================
Net assets consist of:
Proceeds from the sales of shares since
organization, less cost of shares redeemed
and net equalization ....................... $ 85,692,453 $ 14,118,876 $ 30,571,544 $ 45,558,108 $ 241,246,693
Accumulated undistributed net investment
income on investments ...................... -- -- 8,029 13,938 --
Accumulated undistributed net realized
gains (losses) on investments .............. -- (485,642) (646,242) (13,938) 2,424,004
Net unrealized appreciation (depreciation) on
investments ................................ -- (529,011) (1,034,359) 6,383,000 56,766,793
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets ............................. $ 85,692,453 $ 13,104,223 $ 28,898,972 $ 51,941,108 $ 300,437,490
===================================================================================================================================
Shares outstanding (unlimited number of
shares authorized) ......................... 85,692,453 1,195,528 3,079,108 3,545,653 12,962,862
Net asset value, redemption price and
offering price per share ................... $ 1.00 $ 10.96 $ 9.39 $ 14.65 $ 23.18
===================================================================================================================================
</TABLE>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
===================================================================================================================================
MONEY GOVERNMENT FIXED
MARKET SECURITIES INCOME BALANCED EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
===================================================================================================================================
<S> <C> <C> <C> <C> <C>
Investment income:
Interest ................................... $ 2,345,626 $ 653,699 $ 1,865,505 $ 1,343,669 $ 445,507
Dividends .................................. -- 6,400 63,030 256,439 1,118,561
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment income .................. 2,345,626 660,099 1,928,535 1,600,108 1,564,068
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses:
Investment advisory fees ................... 219,494 52,459 135,467 290,656 1,527,354
Administration agreement ................... 26,225 5,209 12,100 19,144 88,225
Administration fees ........................ 10,201 3,505 10,336 17,608 103,832
Custody fees ............................... 9,650 2,308 5,944 9,737 50,882
Directors expenses ......................... 6,465 1,547 3,982 6,523 34,086
Reports - printing ......................... 5,292 1,266 3,260 5,339 27,903
Audit fees ................................. 4,079 976 2,513 4,115 21,508
Pricing service ............................ -- 762 1,960 3,210 16,783
Reporting service fees ..................... 2,022 484 1,246 2,041 10,664
Legal fees ................................. 1,311 314 808 1,323 6,914
Insurance .................................. 178 42 110 180 939
Other ...................................... 1,394 924 3,457 6,812 18,766
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses ........................... 286,311 69,796 181,183 366,688 1,907,856
- -----------------------------------------------------------------------------------------------------------------------------------
Less: expenses charged to the Adviser (Note 3) 109,747 -- -- 44,716 117,489
- -----------------------------------------------------------------------------------------------------------------------------------
Net expenses ............................. 176,564 69,796 181,183 321,972 1,790,367
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) ............. 2,169,062 590,303 1,747,352 1,278,136 (226,299)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gains (losses)
on investments:
Net realized gains (losses) on sales
of investments .......................... (5,026) (253,273) (594,992) 8,598,436 86,990,337
Net change in unrealized appreciation
(depreciation) on investments ........... -- (587,100) (1,231,899) 2,658,246 14,254,138
===================================================================================================================================
Net realized and unrealized gains
(losses) on investments ................. (5,026) (840,373) (1,826,891) 11,256,682 101,244,475
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations ......................... $ 2,164,036 $ (250,070) $ (79,539) $ 12,534,818 $ 101,018,176
===================================================================================================================================
The accompanying notes are an integral part of these financial statements.
</TABLE>
3
<PAGE>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEARS ENDED DECEMBER 31,
<TABLE>
<CAPTION>
===========================================================================================================================
MONEY MARKET GOVERNMENT
PORTFOLIO SECURITIES PORTFOLIO
1999 1998 1999 1998
===========================================================================================================================
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) ....................... $ 2,169,062 $ 698,639 $ 590,303 $ 325,840
Net realized gains (losses) on sales
of investments .................................. (5,026) (453) (253,273) 27,265
Net change in unrealized appreciation
(depreciation) on investments ................... -- -- (587,100) 19,664
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations .............................. 2,164,036 698,186 (250,070) 372,769
- ---------------------------------------------------------------------------------------------------------------------------
Net income equalization (Note 2) ...................... -- -- (8,040) (8,047)
- ---------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends to shareholders from net
investment income ............................... (2,164,036) (698,186) (812,087) (339,729)
Distributions to shareholders of net
capital gains ................................... -- -- -- --
Distributions to shareholders of return
of capital ...................................... -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders .............. (2,164,036) (698,186) (812,087) (339,729)
- ---------------------------------------------------------------------------------------------------------------------------
Capital share transactions:
Net proceeds from sales of shares .................. 149,770,185 37,710,202 8,602,699 5,982,203
Net asset value of shares issued from
reinvestment of dividends and distributions ...... 2,164,036 698,186 820,127 347,776
Cost of shares redeemed ............................ (87,460,119) (25,792,773) (3,154,925) (2,718,728)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from capital
share transactions ............................. 64,474,102 12,615,615 6,267,901 3,611,251
- ---------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ..................... 64,474,102 12,615,615 5,197,704 3,636,244
- ---------------------------------------------------------------------------------------------------------------------------
Net assets, beginning of period ....................... 21,218,351 8,602,736 7,906,519 4,270,275
- ---------------------------------------------------------------------------------------------------------------------------
Net assets, end of period ............................. $ 85,692,453 $ 21,218,351 $ 13,104,223 $ 7,906,519
===========================================================================================================================
Share data:
Sold ............................................... 149,770,185 37,710,202 748,838 491,676
Issued in reinvestment of dividends and
distributions ................................... 2,164,036 698,186 72,150 28,679
Redeemed ........................................... (87,460,119) (25,792,773) (276,415) (224,071)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase ................................... 64,474,102 12,615,615 544,573 296,284
===========================================================================================================================
The accompanying notes are an integral part of these financial statements.
</TABLE>
4
<PAGE>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEARS ENDED DECEMBER 31,
<TABLE>
<CAPTION>
===================================================================================================================================
FIXED BALANCED EQUITY
INCOME PORTFOLIO PORTFOLIO PORTFOLIO
1999 1998 1999 1998 1999 1998
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) .......... $ 1,747,352 $ 1,350,944 $ 1,278,136 $ 1,217,595 $ (226,299) $ 1,209,790
Net realized gains (losses) on sales
of investments ..................... (594,992) 137,501 8,598,436 (468,931) 86,990,337 4,922,021
Net change in unrealized appreciation
(depreciation) on investments ...... (1,231,899) (204,295) 2,658,246 2,427,677 14,254,138 25,965,179
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets from operations ............ (79,539) 1,284,150 12,534,818 3,176,341 101,018,176 32,096,990
- -----------------------------------------------------------------------------------------------------------------------------------
Net income equalization (Note 2) ......... (10,808) (14,031) (2,235) (52,424) (4) (46)
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends to shareholders from net
investment income .................. (1,747,352) (1,350,944) (1,278,138) (1,217,595) (118,185) (2,790,228)
Distributions to shareholders of net
capital gains ...................... -- -- (8,129,505) -- (84,221,849) (4,922,022)
Distributions to shareholders of
return of capital .................. -- (128,334) -- (1,386,070) -- (10,605,440)
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (1,747,352) (1,479,278) (9,407,643) (2,603,665) (84,340,034) (18,317,690)
- -----------------------------------------------------------------------------------------------------------------------------------
Capital share transactions:
Net proceeds from sales of shares ..... 9,468,340 8,212,548 4,798,421 17,767,542 6,329,932 27,848,498
Net asset value of shares issued
from reinvestment of dividends
and distributions .................. 1,758,160 1,493,309 9,409,878 2,656,089 84,340,039 18,317,737
Cost of shares redeemed ............... (4,475,290) (6,788,092) (11,296,020) (2,962,396) (41,911,535) (41,930,174)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
capital share transactions ........ 6,751,210 2,917,765 2,912,279 17,461,235 48,758,436 4,236,061
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ........ 4,913,511 2,708,606 6,037,219 17,981,487 65,436,574 18,015,315
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, beginning of period .......... 23,985,461 21,276,855 45,903,889 27,922,402 235,000,916 216,985,601
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period ................ $ 28,898,972 $ 23,985,461 $ 51,941,108 $ 45,903,889 $ 300,437,490 $ 235,000,916
===================================================================================================================================
Share data:
Sold .................................. 975,387 810,448 330,450 1,296,774 265,451 1,402,600
Issued in reinvestment of dividends
and distributions .................. 183,074 147,717 645,150 190,932 3,638,854 826,092
Redeemed .............................. (467,148) (669,613) (788,443) (225,383) (1,828,311) (2,103,306)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase ........................ 691,313 288,552 187,157 1,262,323 2,075,994 125,386
===================================================================================================================================
The accompanying notes are an integral part of these financial statements.
</TABLE>
5
<PAGE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
================================================================================
PORTFOLIO MANAGER'S REVIEW
In stark contrast to the U.S. equities market, 1999 has unfortunately proven
to be one of the worst markets for the fixed income investor. Through the year,
30-year interest rates increased from 5.09% to 6.48% by year-end, registering
its worst total return year ever. The S&P 500 completed its fifth consecutive
year of 20.00% growth or more with a year-to-date return of 21.04%.
The Federal Reserve's Monetary Policy took center stage during 1999. The
ongoing tug-of-war between manageable economic growth and resurgence in the rate
of inflation continued to pull on the markets through the year. As the Fed
gradually increased short-term interest rates, effectively unwinding the easing
moves designed to prop up the global markets in late 1998, inflation remained
largely in check. While increases in productivity through new technology have
been disinflationary, a chronically tight labor market and rising commodity
prices (particularly oil) have put upward pressure on inflation.
Also, impacting the money market sector was Y2K. Its impact on the market
started in the first quarter of 1999 with record corporate issuance.
Corporations continued to access the fixed income markets at a record pace
through the third quarter as they sought to refinance debt and term out
commercial paper.
As we enter a new year and a new millennium, we expect the current portfolio
structure, which has served us well through the past year, will remain intact
through the first quarter of 2000. This structure emphasizes a high level of
income while maintaining liquidity to allow for funding needs and enabling us to
adjust quickly to any Fed decisions.
The objectives of the money market portfolio have not changed. We attempt to
balance safety, liquidity, and total return in managing a fully diversified
portfolio of money market securities. These objectives are met by investing in
United States Government and agency obligations, top-tier commercial paper, and
highly rated short corporate debt.
/s/ GREGORY J. HAHN
- ------------------------------------
Gregory J. Hahn, CFA
Senior Vice President
Conseco Capital Management, Inc.
6
<PAGE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
MUNICIPAL BONDS
(11.2% of Net Assets) (a)
2,000,000 Abilene, Texas Health Facilities Development,
Revenue, SAVR (c), 6.590%, due 09/22/2025 ............ $ 2,000,000
1,000,000 Boca Raton Community Hospital, 6.050%,
due 12/01/2028 (b) ................................... 1,000,000
1,000,000 California Housing Finance Agency, Revenue,
5.200%, due 08/01/2029 (b) ........................... 1,000,000
400,000 Clinic Building Company, Inc., 6.520%,
due 12/01/2018 (b) ................................... 400,000
700,000 Community Health Systems, 6.050%,
due 10/03/2003 (b) ................................... 700,000
985,000 Community Health Systems, 6.050%,
due 10/03/2003 (b) ................................... 985,000
2,500,000 Georgetown University DC, SAVR (c), 6.200%,
due 04/01/2029 ....................................... 2,500,000
500,000 Volusia County Florida Individual Development
Authority, Revenue, SAVR (c), 6.670%,
due 02/01/2000 ....................................... 500,000
500,000 Yellowood Acres, Inc., SAVR (c), 6.670%,
due 12/01/2028 ....................................... 500,000
-----------
TOTAL MUNICIPAL BONDS ................................ $ 9,585,000
===========
CERTIFICATES OF DEPOSIT
(5.8% of Net Assets) (a)
DEPOSITORY INSTITUTIONS (5.8%)
2,500,000 Deutsche Bank Financial, Inc., 5.970%,
due 01/28/2000 ....................................... 2,499,949
2,500,000 Svenska Handelbanken, Inc., 6.060%,
due 01/24/2000 ....................................... 2,500,099
-----------
TOTAL CERTIFICATES OF DEPOSIT ........................ $ 5,000,048
===========
COMMERCIAL PAPER
(72.3% of Net Assets) (a)
AIR TRANSPORTATION (2.3%)
2,000,000 Kitty Hawk Funding Corp., 6.050%,
due 01/28/2000 ....................................... 1,990,589
-----------
AUTO REPAIR, SERVICES, PARKING (4.1%)
3,500,000 Hertz Corp., 5.940%, due 01/10/2000 .................. 3,494,225
-----------
CHEMICALS AND ALLIED PRODUCTS (8.7%)
2,000,000 American Home Products Corp., 6.020%,
due 01/18/2000 ....................................... 1,993,980
3,000,000 Monsanto Co., 6.050%, due 01/26/2000 ................. 2,986,892
2,500,000 The Proctor and Gamble Co., 5.860%,
due 01/25/2000 ....................................... 2,489,826
-----------
7,470,698
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (3.4%)
500,000 Bell Atlantic Network Funding Corp., 6.400%,
due 01/11/2000 ....................................... 499,022
2,400,000 Bellsouth Telecommunications, Inc., 6.050%,
due 02/04/2000 ....................................... 2,385,883
-----------
2,884,905
-----------
DEPOSITORY INSTITUTIONS (7.0%)
3,000,000 Citibank Capital Markets Assets, 6.100%,
due 01/24/2000 ....................................... $ 2,987,800
3,000,000 Montauk Funding Corp., 6.080%,
due 01/28/2000 ....................................... 2,985,813
-----------
5,973,613
-----------
ELECTRICAL, OTHER ELECTRICAL EQUIPMENT,
EXCEPT COMPUTERS (1.8%)
1,500,000 Motorola, Inc., 5.950%, due 01/18/2000 ............... 1,495,538
-----------
FOOD AND KINDRED PRODUCTS (5.2%)
3,000,000 Coca Cola Co., 5.800%, due 02/28/2000 ................ 2,971,483
1,500,000 General Mills, Inc., 5.670%, due 01/10/2000 .......... 1,497,638
-----------
4,469,121
-----------
INSURANCE CARRIERS (2.9%)
2,500,000 MetLife Funding, 5.870%, due 01/26/2000 .............. 2,489,401
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (8.1%)
2,500,000 Enterprise Funding Corp., 5.980%,
due 02/10/2000 ....................................... 2,482,974
2,500,000 General Electric Capital Corp., 5.870%,
due 01/18/2000 ....................................... 2,492,663
2,000,000 General Motors Acceptance Corp., 5.950%,
due 01/28/2000 ....................................... 1,990,744
-----------
6,966,381
-----------
OIL AND GAS EXTRACTION (3.3%)
2,800,000 Petrofina Deleware, Inc., 6.000%, due 01/27/2000 ..... 2,787,400
-----------
PAPER AND ALLIED PRODUCTS (3.5%)
3,000,000 Weyerhaeuser Co., 6.100%, due 02/18/2000 ............. 2,975,092
-----------
PRINTING, PUBLISHING & ALLIED LINES (1.7%)
1,500,000 Gannett Co., 5.950%, due 01/14/2000 .................. 1,496,529
-----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS (2.3%)
2,000,000 Nike, Inc., 5.950%, due 01/10/2000 ................... 1,996,694
-----------
SECURITY AND COMMODITY BROKERS (9.3%)
2,500,000 Franklin Resources, Inc., 5.870%, due 02/14/2000 ..... 2,481,656
2,000,000 Goldman Sachs Group, L.P., 5.980%,
due 01/18/2000 ....................................... 1,994,020
2,000,000 Merrill Lynch & Company, Inc., 5.960%,
due 01/18/2000 ....................................... 1,994,040
1,500,000 Morgan Stanley Dean Witter & Co., Inc., 6.050%,
due 01/13/2000 ....................................... 1,496,723
-----------
7,966,439
-----------
STONE, CLAY, GLASS, AND CONCRETE PRODUCTS (3.5%)
3,000,000 Minnesota Mining and Manufacturing Co., 5.950%,
due 02/25/2000 ....................................... 2,972,233
-----------
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
TRANSPORTATION EQUIPMENT (5.2%)
1,500,000 Allied Signal, Inc., 5.930%, due 01/20/2000 ......... $ 1,495,058
3,000,000 DaimlerChrysler AG, 6.090%, due 01/21/2000 .......... 2,989,344
-----------
4,484,402
-----------
TOTAL COMMERCIAL PAPER .............................. $61,913,260
===========
NUMBER
OF SHARES
- -----------
SHORT-TERM INVESTMENTS
(11.7% of Net Assets) (a)
10,042,000 AIM Liquid Asset Portfolio .......................... 10,042,000
-----------
TOTAL SHORT-TERM INVESTMENTS ........................ $10,042,000
===========
TOTAL INVESTMENTS
(101.0% of Net Assets) .............................. $86,540,308
===========
Cash, Receivables and Other Assets,
net of Liabilities (-1.0% of Net Assets) ............ (847,855)
-----------
NET ASSETS (100.0%) ................................. $85,692,453
===========
- ---------------------------------------------------------
(a) Using S.I.C. codes prepared by the Technical Committee on Industrial
Classifications.
(b) Variable Coupon Rate.
(c) SAVR - Select Auction Variable Rate.
The accompanying notes are an integral part of these financial statements.
8
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
================================================================================
PORTFOLIO MANAGER'S REVIEW
During 1999, the fixed income market experienced one of its worst years ever.
The Federal Reserve's goal of keeping inflation in check with manageable
economic growth saw a tightening monetary policy. The Fed gradually increased
short-term interest rates with three 25 basis point moves, which pushed 30-year
interest rates from 5.09% to 6.48% by year-end. The year 1999 also witnessed Y2K
fears fueling increased market volatility.
With the rise in interest rates, the markets were far from orderly during
1999. Our investment style emphasizes security selection combined with a
disciplined portfolio structure that controls risk. We do not attempt to time
changes in interest rates; our discipline is to remain fully invested. While
these markets challenge our investment style, they also present investors with
opportunities.
To take advantage of these opportunities, it is best to view the Government
Securities Portfolio broken down into three maturity sections or buckets: short,
intermediate, and long. In the short maturity bucket, CCM's strategy is to
substitute asset-backed products, commercial mortgage-backed products, and
corporate securities in lieu of U.S. Treasuries. Credits in these investment
categories will provide us the opportunity to significantly enhance our yield
relative to that of the index.
In the intermediate segment of the portfolio, our strategy is to hold
mortgaged-backed and agency debt. Currently, the portfolio is underweight in
mortgage-backed product and slightly overweight in agency debt versus the index.
The strategy has benefited performance, given the mortgage market's recent
environment. We will look to increase our mortgage-backed exposure as attractive
relative value is presented.
Our long maturity strategy in the Government Securities Portfolio is to
primarily hold U.S. Treasuries. We will look to purchase off-the-run treasuries
on a relative value basis on the expectation that government buy-backs will
cause these bonds to out-perform.
In the year to come, we will continue to emphasize a high level of coupon
income, a duration which is within 2% of the benchmark, and an ongoing focus on
the spread sectors: mortgage-backed and asset-backed products. We believe that
our disciplined investment process coupled with our expertise in portfolio
management, trading, and research will allow us to take full advantage of many
relative value opportunities in year 2000.
/s/ GREGORY J. HAHN
- ------------------------------------
Gregory J. Hahn, CFA
Senior Vice President
Conseco Capital Management, Inc.
[The following table represents a chart in the printed piece.]
================================================================================
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE GOVERNMENT SECURITIES
PORTFOLIO, THE LEHMAN BROTHERS GOVERNMENT AND THE LEHMAN BROTHERS MBS INDEX
Accumulated Value (Thousands)
- --------------------------------------------------------------------------------
GOVERNMENT SECURITIES
DATE GOVERNMENT SECURITIES LEHMAN BROTHERS LEHMAN BROTHERS
PORTFOLIO GOVERNMENT INDEX MBS INDEX
--------- ---------------- ---------
12/31/89 10,000 10,000 10,000
12/31/90 11,304 10,872 11,072
12/31/91 13,081 12,538 12,813
12/31/92 13,990 13,444 13,705
12/31/93 15,271 14,877 14,642
12/31/94 14,843 14,374 14,407
12/31/95 17,418 17,011 16,827
12/31/96 17,897 17,482 17,727
12/31/97 19,375 19,158 19,409
12/31/98 20,746 21,045 20,760
12/31/99 20,237 20,576 21,146
- ----------------------------------
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------
1 YEAR 5 YEARS 10 YEARS
- ----------------------------------
- -2.48% 6.61% 7.30%
- ----------------------------------
Past performance is not predictive
of future performance. Performance
does not include separate account
expenses.
================================================================================
9
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
CORPORATE BONDS
(10.8% of Net Assets) (a)
AIR TRANSPORTATION (1.2%)
150,000 Airborne Freight Corp., 8.875%,
due 12/15/2002 ....................................... $ 156,375
----------
APPAREL AND OTHER FINISHED PRODUCTS (0.7%)
100,000 Tommy Hilfiger Corp., 6.500%, due 06/01/2003 ......... 95,125
----------
DEPOSITORY INSTITUTIONS (1.5%)
200,000 Dime Bancorp, Inc., 7.000%, due 07/25/2001 ........... 198,250
----------
FOOD AND KINDRED PRODUCTS (1.5%)
100,000 Nabisco, Inc., 6.000%, due 02/15/2011 ................ 98,625
100,000 Tyson Foods, Inc., 6.080%, due 02/01/2010 ............ 100,000
----------
198,625
----------
FOOD STORES (0.8%)
100,000 Safeway, Inc., 5.750%, due 11/15/2000 ................ 99,375
----------
MEASURING INSTRUMENTS, PHOTO GOODS,
WATCHES (0.7%)
100,000 Bausch & Lomb, Inc., 6.150%, due 08/01/2001 .......... 98,500
----------
REAL ESTATE INVESTMENT TRUSTS
(REITS) (1.7%)
225,000 Camden Property Trust, 6.750%, due 11/15/2001 ........ 221,063
----------
SECURITY AND COMMODITY BROKERS (2.7%)
100,000 Lehman Brothers Holdings, Inc., 7.000%,
due 05/15/2003 ....................................... 98,500
150,000 Lehman Brothers Holdings, Inc., Series D, MTN,
9.000%, due 09/28/2001 ............................... 153,750
100,000 Morgan Stanley Dean Witter & Co., 5.875%,
due 04/24/2000 ....................................... 99,882
----------
352,132
----------
TOTAL CORPORATE BONDS (COST $1,440,846) .............. $1,419,445
==========
MUNICIPAL BONDS
(10.3% of Net Assets) (a)
280,000 Alaska Industrial Development & Export Auth.,
6.625%, due 05/01/2006 ............................... 262,850
200,000 Azusa Pacific University California, Revenue,
7.250%, due 04/01/2009 ............................... 192,250
330,000 Cherokee County Georgia Water and Sewer
Authority, Revenue, 6.750%, due 08/01/2009 ........... 311,850
115,000 Halifax Florida Hospital, Revenue, Series B,
6.375%, due 04/01/2001 ............................... 113,994
300,000 Las Vegas, Nevada, 6.700%, due 07/01/2008 ............ 285,000
200,000 Pinellas County Florida Housing Finance
Authority Multifamily Mtg., Revenue,
6.750%, due 07/01/2011 ............................... 187,000
----------
TOTAL MUNICIPAL BONDS (COST $1,428,344) .............. $1,352,944
==========
ASSET BACKED SECURITIES
(11.1% of Net Assets) (a)
47,015 Bear Stearns Commercial Mortgage
Securities, Inc., 99-C1 A1, 5.910%, due 05/14/2008 ... $ 44,579
200,000 EQCC Home Equity Loan Trust, 97-1 A7, 7.120%,
due 05/15/2028 ....................................... 194,015
300,000 Fingerhut Master Trust, 98-1 A, 6.070%,
due 02/15/2005 ....................................... 295,188
101,120 Green Tree Recreational Equipment & Consumer
Trust, 97-C B, 6.750%, due 02/15/2018 (b)
Cost--$101,097; Acquired--09/08/1997 ................. 94,468
100,000 Metris Master Trust, 97-1 B, 7.110%,
due 10/20/2005 ....................................... 97,903
225,000 Residential Asset Securities Corporation,
99-KS2 AI3, 6.600%, due 06/25/2020 .................... 222,759
250,000 Residential Funding Mortgage Securities,
99-HI8 AI2, 7.030%, due 07/25/2010 .................... 248,528
27,393 Tiers Asset-Backed Securities, Series CHAMT
Trust 97-7, 6.688%, due 11/15/2003 .................... 27,393
236,966 The Money Store Home Equity Trust, 93-C A3,
5.750%, due 10/15/2022 ................................ 227,188
TOTAL ASSET BACKED SECURITIES
(COST $1,484,623) ..................................... $1,452,021
==========
COLLATERALIZED MORTGAGE OBLIGATIONS
(4.4% of Net Assets) (a)
600,000 Federal Home Loan Mortgage Corp.,
2149 Trust, 6.500%, due 01/15/2022 .................... 570,226
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $589,148) ....................................... $ 570,226
==========
U. S. GOVERNMENT AND AGENCY OBLIGATIONS
(59.4% of Net Assets) (a)
250,000 Federal Home Loan Bank, 6.020%, due 10/29/2003 ........ 238,663
100,000 Federal Home Loan Bank, 5.275%, due 11/20/2003 ........ 94,314
500,000 Federal Home Loan Bank, 7.080%, due 07/21/2006 ........ 486,748
250,000 Federal Home Loan Bank, 5.250%, due 01/29/2004 ........ 236,165
197,631 Federal Home Loan Mortgage Corp., # C29168,
6.500%, due 07/01/2029 ................................ 186,514
90,197 Federal Home Loan Mortgage Corp., # D66012,
7.000%, due 11/01/2025 ................................ 87,350
148,045 Federal Home Loan Mortgage Corp.,
Multi Family Pool, 6.775%, due 11/01/2003 ............. 145,946
917,847 Federal Home Loan Mortgage Corp., # C00880,
6.500%, due 11/01/2029 ................................ 866,218
399,556 Federal Home Loan Mortgage Corp., # C28063,
6.500%, due 07/01/2029 ................................ 377,080
299,562 Federal Home Loan Mortgage Corp., # C32176,
7.000%, due 10/01/2029 ................................ 290,107
The accompanying notes are an integral part of these financial statements.
10
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
U. S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
499,239 Federal Home Loan Mortgage Corp., # C32330,
7.500%, due 10/01/2029 ............................... $ 494,559
399,721 Federal Home Loan Mortgage Corp., # C32933,
7.500%, due 11/01/2029 ............................... 395,973
48,965 Federal Home Loan Mortgage Corp., # E00441,
7.500%, due 07/01/2011 ............................... 49,363
45,249 Federal National Mortgage Assn., # 174166,
8.000%, due 06/01/2002 ............................... 45,631
78,255 Federal National Mortgage Assn., #190922,
7.500%, due 07/01/2001 ............................... 78,940
78,470 Federal National Mortgage Assn., # 303780,
7.000%, due 03/01/2026 ............................... 75,896
250,000 Federal National Mortgage Assn., MTN, 6.430%,
due 02/06/2008 ....................................... 231,259
200,000 Federal National Mortgage Assn., MTN, 6.110%,
due 07/14/2003 ....................................... 194,631
500,000 Federal National Mortgage Assn., MTN, 6.200%,
due 04/01/2009 ....................................... 461,209
200,000 Federal National Mortgage Assn., MTN, 5.330%,
due 10/22/2003 ....................................... 190,271
150,000 Federal National Mortgage Assn., 6.000%,
due 02/23/2009 ....................................... 134,741
650,000 Federal National Mortgage Assn., Series B,
MTN, 6.040%, due 02/25/2009 .......................... 585,540
301,492 Government National Mortgage Assn., # 408675,
7.500%, due 01/15/2026 ............................... 298,288
1,400 Government National Mortgage Assn., # 044522,
13.000%, due 03/15/2011 .............................. 1,616
4,456 Government National Mortgage Assn., # 119896,
13.000%, due 11/15/2014 .............................. 5,143
200,000 U.S. Treasury Bond, 8.000%, due 11/15/2021 ........... 227,089
100,000 U.S. Treasury Bond, 6.375%, due 08/15/2027 ........... 96,047
875,000 U.S. Treasury Bond, 5.250%, due 11/15/2028 ........... 721,479
425,000 U.S. Treasury Bond, 5.250%, due 02/15/2029 ........... 352,105
150,000 U.S. Treasury Note, 5.500%, due 02/15/2008 ........... 140,552
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $8,168,873) .................................... $ 7,789,437
===========
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
PREFERRED STOCKS
(0.8% of Net Assets) (a)
INSURANCE CARRIERS (0.8%)
4,000 Lincoln National Corp., 6.400%, TOPrS (c) ............ $ 98,750
-----------
TOTAL PREFERRED STOCKS (COST $100,000) ............... $ 98,750
===========
SHORT-TERM INVESTMENTS
(2.0% of Net Assets) (a)
263,000 AIM Liquid Asset Portfolio ........................... 263,000
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $263,000) ...................................... $ 263,000
===========
TOTAL INVESTMENTS
(COST $13,474,834)
(98.8% of Net Assets) ................................ $12,945,823
===========
Cash, Receivables and Other Assets,
net of Liabilities (1.2% of Net Assets) .............. 158,400
-----------
NET ASSETS (100.0%) .................................. $13,104,223
===========
- ---------------------------------------------------------
(a) Using S.I.C. codes prepared by the Technical Committee on Industrial
Classifications
(b) Security issued by Conseco Finance Corp. (formerly Green Tree Financial
Corp.) (Conseco Finance), a wholly owned subsidiary of Conseco, Inc.
effective June 30, 1998. Conseco Finance originates, purchases, sells and
services consumer and commercial finance loans throughout the United States
(c) TOPrS- Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
11
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
================================================================================
PORTFOLIO MANAGER'S REVIEW
Despite one of the worst-ever fixed-income markets, we have worked to
maintain a steady focus on long-term goals. Our investment style emphasizes
security selection combined with a disciplined portfolio structure that controls
risk. We don't attempt to time changes in interest rates; our discipline is to
remain fully invested. While these markets challenge our investment style, they
also present investors with opportunities.
During the fourth quarter, we held our position in Cable & Wireless
Communications (Baa1/A-), which we expect will be tendered for U.S. Treasuries
plus 10 basis points. Dime Bancorp (Ba1/BBB-) was reviewed recently for upgrade
by Moody's based on its merger with Hudson United Bank.
In addition, Union Planters Bank bonds (Baa1/BBB) remained undervalued due to
a sluggish bank sector. These bonds lagged further behind as the Financial
Accounting Standards Board contemplated the accounting treatment for bonds
issued with mandatory put and call provisions.
Heavily affecting the fixed-income market was the Federal Reserve's monetary
policy. The ongoing tug-of-war between manageable economic growth and resurgence
in the rate of inflation continued to pull on the markets through the year. As
the Fed gradually increased short-term interest rates, inflation remained
largely in check. Even with disinflationary increases in productivity through
new technology, a chronically tight labor market and rising commodity prices
(particularly oil) have put upward pressure on inflation.
Another top story was Y2K. Its impact on the market started in the first
quarter of 1999 with a record number of corporate issues. Corporations continued
to access the fixed income markets at a record pace through the third quarter as
they sought to refinance debt and term out commercial paper.
With the general rise in interest rates and corporate issues, the markets
were far from orderly during 1999.
Moving into the Year 2000, we expect the current portfolio structure, which
has served us well through the past year, will remain intact through the first
quarter.
This structure emphasizes a high level of coupon income, a duration within 2%
of the benchmark and a continued emphasis on the spread sectors: corporate,
mortgage-backed securities/asset-backed securities and taxable municipal bonds.
Within the corporate sector, we remain constructive on the media, cable and
energy sectors. However, as the economy slows, we expect several sectors may
underperform including airlines, chemicals and retail.
/s/ GREGORY J. HAHN
- ------------------------------------
Gregory J. Hahn, CFA
Senior Vice President
Conseco Capital Management, Inc.
[The following table represents a chart in the printed piece.]
================================================================================
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE FIXED INCOME
PORTFOLIO AND THE LEHMAN BROTHERS GOVERNMENT/CORPORATE INDEX
- -----------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -----------------------------------
SINCE
1 YEAR 5 YEARS INCEPTION(1)
- -----------------------------------
- -0.44% 7.92% 5.44%
- -----------------------------------
(1) The inception date of this Port-
folio was May 1, 1993. Past perfor-
mance is not predictive of future
performance. Performance does not
include separate account expenses.
Accumulated Value (Thousands)
- --------------------------------------------------------------------------------
FIXED INCOME PORTFOLIO LEHMAN BROTHERS
DATE PORTFOLIO GOVERNMENT/CORPORATE|INDEX
- ---- --------- --------------------------
5/1/93 10,000 10,000
12/31/93 10,599 10,602
12/31/94 10,314 10,230
12/31/95 12,196 12,198
12/31/96 12,802 12,552
12/31/97 14,072 13,777
12/31/98 14,941 15,082
12/31/99 14,883 14,757
================================================================================
12
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
CORPORATE BONDS
(63.0% of Net Assets) (a)
AIR TRANSPORTATION (2.6%)
391,392 Continental Airlines, Inc., Series 98-1A-ETC,
6.650%, due 03/15/2019 ................................ $ 347,698
156,321 Delta Airlines, Inc. 1992 ETC-C, 8.540%,
due 01/02/2007 ........................................ 158,861
250,000 Delta Airlines, Inc., Series C, MTN, 6.650%,
due 03/15/2004 ........................................ 239,375
----------
745,934
----------
APPAREL AND OTHER FINISHED PRODUCTS (0.8%)
250,000 Tommy Hilfiger Corp., 6.500%, due 06/01/2003 .......... 237,812
----------
AUTO REPAIR AND PARKING (2.2%)
100,000 Amerco -MTN, 6.710%, due 10/15/2008 ................... 87,500
300,000 Amerco -MTN, 7.470%, due 01/15/2027 ................... 286,500
250,000 Avis Rent A Car, Inc., 11.000%, due 05/01/2009 ........ 264,375
----------
638,375
----------
CHEMICALS AND ALLIED PRODUCTS (0.6%)
200,000 Smith International, Inc., 7.000%,
due 09/15/2007 ........................................ 188,000
----------
COMMUNICATIONS BY PHONE,
TELEVISION, RADIO, CABLE (7.5%)
300,000 ALLTEL Corp., 6.800%, due 05/01/2029 .................. 261,750
250,000 British Sky Broadcasting, 8.200%,
due 07/15/2009 ........................................ 241,250
200,000 Cable and Wireless Communications PLC,
6.750%, due 12/01/2008 ................................ 198,500
200,000 Charter Communications, Inc., 8.250%,
due 04/01/2007 ........................................ 185,500
250,000 Continental Cablevision, Inc., 9.500%,
due 08/01/2013 ........................................ 276,875
130,000 Level 3 Communications, Inc., 9.125%,
due 05/01/2008 ........................................ 122,850
120,000 Level 3 Communications, Inc., 0.000%,
due 12/01/2008 ........................................ 72,600
300,000 Nextel Communications, Inc., 9.750%,
due 08/15/2004 ........................................ 309,000
200,000 Sprint Capital Corp., 6.900%, due 05/01/2019 .......... 182,500
250,000 Telecommunications, Inc., 10.125%,
due 04/15/2022 ........................................ 310,000
----------
2,160,825
----------
DEPOSITORY INSTITUTIONS (7.7%)
300,000 Dime Bancorp, Inc., 7.000%, due 07/25/2001 ............ 297,375
500,000 PNC Funding Corp., 7.500%, due 11/01/2009 ............. 490,625
750,000 St. Paul Bancorp, Inc., 7.125%, due 02/15/2004 ........ 735,000
250,000 Sovereign Bancorp, Inc., 10.250%, due 05/15/2004 ...... 254,375
500,000 Union Planters Bank, National Association, 6.500%,
due 03/15/2018 ........................................ 451,875
----------
2,229,250
----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (9.3%)
600,000 AES Eastern Energy, 9.000%, due 01/02/2017, (d)
Cost--$581,880; Acquired--05/11/1999 &
08/27/1999 ............................................ $ 565,140
500,000 Coastal Corp., 6.700%, due 02/15/2027 ................. 473,750
300,000 Commonwealth Edison Co., 8.375%,
due 02/15/2023 ........................................ 296,625
150,000 MCN Investment Corp., 6.350%, due 04/02/2012 .......... 146,063
250,000 PSI Energy, Inc., 7.850%, due 10/15/2007 .............. 252,500
200,000 USA Waste Services, Inc., 7.000%,
due 07/15/2028 ........................................ 141,250
500,000 Utilicorp United, Inc., 7.625%, due 11/15/2009 ........ 480,625
200,000 Waste Management, Inc., 6.625%, due 07/15/2002 ........ 188,000
150,000 Yorkshire Power Finance, Ltd., Series B, 6.496%,
due 02/25/2008 ........................................ 134,438
----------
2,678,391
----------
ELECTRICAL EQUIPMENT, EXCEPT COMPUTERS (0.9%)
300,000 Motorola, Inc., 6.500%, due 11/15/2028 ................ 256,875
----------
FOOD AND KINDRED PRODUCTS (1.7%)
500,000 Pan American Beverage, Inc., 8.125%,
due 04/01/2003 ........................................ 478,125
----------
FOOD STORES (0.9%)
250,000 Kroger Co., 6.000%, due 07/01/2000 .................... 249,063
----------
GENERAL MERCHANDISE STORES (1.2%)
350,000 Shopko Stores, Inc., 6.500%, due 08/15/2003 ........... 334,688
----------
HOTELS, OTHER LODGING PLACES (0.7%)
200,000 Marriott International, Inc., 6.625%,
due 11/15/2003 ........................................ 192,250
----------
INSURANCE CARRIERS (2.7%)
150,000 Delphi Financial Group, Inc., 8.000%,
due 10/01/2003 ........................................ 149,438
500,000 Mutual Life Insurance Co. of New York, STEP (c)
0.000%/11.250%, due 8/15/2024, (d)
Cost--$666,635; Acquired--06/23/1999 .................. 626,604
----------
776,042
----------
LUMBER AND WOOD PRODUCTS, EXCEPT FURNITURE (1.0%)
300,000 West Fraser Mill, 7.250%, due 09/15/2002, (d)
Cost--$297,753; Acquired--09/26/1995 .................. 294,375
----------
MOTION PICTURES, FILMS (0.9%)
250,000 Liberty Media Corp., 8.500%, due 07/15/2029,
(d) Cost--$249,117; Acquired--08/11/1999
& 12/14/1999 .......................................... 251,875
----------
NON-DEPOSITORY CREDIT INSTITUTIONS (1.3%)
250,000 DSPL Finance Co., 9.120%, due 12/30/2010, (d)
Cost--$250,000; Acquired--08/15/1996 .................. 100,000
300,000 Fidelity Investments, 7.570%, due 06/15/2029, (d)
Cost--$297,468; Acquired--07/22/1999 .................. 289,500
----------
389,500
----------
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
OIL AND GAS EXTRACTION (7.2%)
250,000 LASMO (USA), Inc., 8.375%, due 06/01/2023 ............ $ 256,875
300,000 Noble Drilling Corp., 7.500%, due 03/15/2019 ......... 282,000
200,000 Occidental Petroleum Corp., 6.750%,
due 11/15/2002 ....................................... 196,500
250,000 Pride Petroleum Services, Inc., 9.375%,
due 05/01/2007 ....................................... 250,625
300,000 R&B Falcon Corp., 9.500%, due 12/15/2008 ............. 303,750
800,000 Yosemite Securities Trust I, 8.250%,
due 11/15/2004 (d) Cost--$799,784
Acquired--11/04/1999 ................................. 788,942
-----------
2,078,692
-----------
PAPER AND ALLIED PRODUCTS (0.8%)
250,000 Potlatch Corp., 6.250%, 03/15/2002 ................... 244,375
-----------
PETROLEUM REFINING AND RELATED INDUSTRIES (0.7%)
50,000 Pennzoil Co., 10.125%, due 11/15/2009 ................ 54,563
150,000 Pennzoil Co., 10.250%, due 11/01/2005 ................ 163,500
-----------
218,063
-----------
PIPE LINES, EXCEPT NATURAL GAS (1.9%)
200,000 Osprey Trust/Osprey I, 8.310%, due 01/15/2003
(d) Cost--$200,000 Acquired--09/16/1999 .............. 198,000
350,000 Pemex Finance, Ltd., 9.690%, due 08/15/2009 .......... 360,500
-----------
558,500
-----------
PRIMARY METAL INDUSTRIES (0.9%)
250,000 Easco Corp., Series B, 10.000%, due 03/15/2001 ....... 252,500
-----------
REAL ESTATE (0.5%)
250,000 Pinnacle Holdings, Inc., STEP (c) 0.000%/10.000%,
03/15/2008 ........................................... 163,750
-----------
REAL ESTATE INVESTMENT TRUSTS
(REITS) (4.3%)
100,000 CarrAmerica Realty Corp., 6.625%,
due 03/01/2005 ....................................... 91,625
250,000 Colonial Realty, L.P., 7.500%, due 07/15/2001 ........ 247,813
200,000 Corporate Property Investors, Inc., 9.000%,
due 03/15/2002 (d) Cost--$219,360;
Acquired--03/17/1998 ................................. 204,250
500,000 ERP Operating, L.P., 6.150%, due 09/15/2000 .......... 496,639
100,000 United Dominion Realty Trust, Inc., 8.125%,
due 11/15/2000 ....................................... 99,250
100,000 United Dominion Realty Trust, Inc., MTN, 7.600%,
due 01/25/2002 ....................................... 96,750
-----------
1,236,327
-----------
SECURITY AND COMMODITY BROKERS (3.1%)
750,000 Lehman Brothers Holdings, Inc., 7.000%,
05/15/2003 ........................................... 738,750
150,000 Salomon Smith Barney Holdings, Inc.,
Series C, MTN, 6.500%, due 08/15/2003 ................ 146,438
-----------
885,188
-----------
TOBACCO PRODUCTS (1.6%)
500,000 R.J. Reynolds Tobacco Holdings, Inc., 7.375%,
due 05/15/2003 ....................................... 471,875
-----------
TOTAL CORPORATE BONDS (COST $18,870,146) ............. $18,210,650
===========
MUNICIPAL BONDS
(5.3% of Net Assets) (a)
200,000 Azusa Pacific University California, Revenue,
7.250%, due 04/01/2009 ............................... $ 192,250
330,000 Doylestown Pennsylvania, Hospital Authority,
Revenue, 8.375%, due 07/01/2008 ...................... 322,988
82,000 Fort Worth Texas, Higher Education, Finance Corp.,
Revenue, 7.500%, due 10/01/2006 ...................... 81,078
505,000 North Carolina Eastern Municipal Power Agency
Revenue, 7.050%, due 01/01/2007 ...................... 481,644
180,000 Reeves County Texas Certificates of Participation,
6.700%, due 03/31/2005 ............................... 174,150
300,000 Reeves County Texas Certificates of Participation,
7.250%, due 06/01/2011 ............................... 280,875
-----------
TOTAL MUNICIPAL BONDS (COST $1,599,605) .............. $ 1,532,985
===========
ASSET BACKED SECURITIES
(10.4% of Net Assets) (a)
188,061 Bear Stearns Commercial Mortgage Securities, Inc.,
99-C1 A1, 5.910%, due 05/14/2008 ..................... 178,315
100,000 COMED Transitional Funding Trust, 98-1 A7,
5.740%, due 12/25/2010 ............................... 90,166
500,000 Contimortgage Home Equity Loan Trust, 98-2 A7,
6.570%, due 12/15/2005 ............................... 472,645
71,398 Copelco Capital Funding Corp., 98-A A2,
5.780%, due 08/15/2000 ............................... 71,379
400,000 EQCC Home Equity Loan Trust, 96-4 A6, 6.880%,
due 07/15/2014 ....................................... 397,895
200,000 EQCC Home Equity Loan Trust, 97-1 A7, 7.120%,
due 05/15/2028 ....................................... 194,015
48,068 First Union Commercial Mortgage, 99-C2 A1,
6.363%, due 06/15/2008 ............................... 46,269
200,000 First Union-Lehman Brothers Commercial
Mortgage, 97-C2 A2, 6.600%, due 05/18/2007 ........... 193,902
377,510 GMAC Commercial Mortgage Securities, Inc.,
99-C1 A1, 5.830%, due 05/15/2033 ..................... 352,188
325,000 Green Tree Home Equity Loan Trust, 99-D A2,
7.050%, due 09/15/2030, (b) Cost--$324,960;
Acquired--08/13/1999 ................................. 323,733
200,000 Green Tree Financial Corp., 94-4 A5, 8.300%,
due 07/15/2019, (b) Cost--$197,813;
Acquired--09/01/1994 ................................. 201,013
37,410 Green Tree Recreational Equipment & Consumer
Trust, 96-A A1, 5.550%, due 02/15/2018, (b)
Cost--$37,375; Acquired 01/19/1996 ................... 37,009
202,240 Green Tree Recreational Equipment & Consumer
Trust, 97-C B, 6.750%, due 02/15/2018, (b)
Cost--$202,193; Acquired 09/08/1997 .................. 188,936
280,000 Nationslink Funding Corp., 98-2 A1, 6.001%,
due 11/20/2007 ....................................... 265,601
-----------
TOTAL ASSET BACKED SECURITIES
(COST $3,144,067) .................................... $ 3,013,066
===========
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS
(1.2% of Net Assets) (a)
13,161 Federal Home Loan Mortgage Corp., Structured
Pass Through Securities, T-4 A1, 7.625%,
due 08/25/2022 ....................................... $ 13,126
50,000 Federal Home Loan Mortgage Corp.,
2149 Trust, 6.500%, due 01/15/2022 ................... 47,519
154,679 Iroquois Trust, 97-1 A, 7.000%, due 12/15/2006 ....... 153,832
142,198 Rural Housing Trust, 87-1 3B, 7.330%,
due 04/01/2026 ....................................... 141,982
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $359,815) ....................................... $ 356,459
===========
U. S. GOVERNMENT AND AGENCY
OBLIGATIONS
(14.5% of Net Assets) (a)
140,330 Federal Home Loan Mortgage Corp., # G00479,
9.000%, due 04/01/2025 ............................... 146,162
374,754 Federal Home Loan Mortgage Corp., # G00943,
6.000%, due 07/01/2028 ............................... 343,485
309,823 Federal Home Loan Mortgage Corp., # E73076,
6.000%, due 11/01/2013 ............................... 294,525
431,092 Federal Home Loan Mortgage Corp., # C00712,
6.500%, due 02/01/2029 ............................... 406,843
849,054 Federal Home Loan Mortgage Corp., # C28063,
6.500%, due 07/01/2029 ............................... 801,294
849,406 Federal Home Loan Mortgage Corp., # C32933,
7.500%, due 11/01/2029 ............................... 841,443
181,063 Federal Home Loan Mortgage Corp., # E00592,
6.000%, due 12/01/2013 ............................... 172,123
21,260 Federal National Mortgage Assn., # 062289,
6.710%, due 03/01/2028 (e) ........................... 20,914
108,640 Federal National Mortgage Assn., # 183567,
7.500%, due 11/01/2022 ............................... 107,485
127,914 Federal National Mortgage Assn., # 286122,
7.000%, due 06/01/2024 ............................... 123,716
112,161 Federal National Mortgage Assn., #349410,
7.000%, due 08/01/2026 ............................... 108,481
39,751 Government National Mortgage Assn., # 354859,
9.000%, due 07/15/2024 ............................... 41,626
1,321 Government National Mortgage Assn., # 051699,
15.000%, due 07/15/2011 .............................. 1,553
1,821 Government National Mortgage Assn., # 056522,
14.000%, due 08/15/2012 .............................. 2,132
505,000 U.S. Treasury Bond, 5.250%, due 02/15/2029 ........... 418,384
375,000 U.S. Treasury Note, 6.000%, due 08/15/2009 ........... 363,535
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (COST $4,318,388) ........................ $ 4,193,701
===========
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
PREFERRED STOCKS
(3.0% of Net Assets) (a)
INSURANCE CARRIERS (1.4%)
16,000 Lincoln National Corp., 6.400%, TOPrS (c) ............ $ 395,000
-----------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (0.4%)
1,777 River Holding Corp., 11.500%, Series B, PIK (c) ...... 106,620
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (1.2%)
350 Centaur Funding Corp., 9.080%, (d) Cost--$358,256;
Acquired--01/04/1999 & 12/09/1998 .................... 357,437
-----------
TOTAL PREFERRED STOCKS (COST $908,256) .............. $ 859,057
===========
SHORT-TERM INVESTMENTS
(0.6% of Net Assets)(a)
181,000 AIM Liquid Asset Portfolio ........................... 181,000
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $181,000) ...................................... $ 181,000
===========
TOTAL INVESTMENTS
(COST $29,381,277) (98.0% of Net Assets) ............. $28,346,918
===========
Cash, Receivables and Other Assets,
net of Liabilities (2.0% of Net Assets) .............. 552,054
-----------
NET ASSETS (100%) .................................... $28,898,972
===========
- ---------------------------------------------------------
(a) Using S.I.C. codes prepared by the Technical Committee on Industrial
Classifications
(b) Security issued by Conseco Finance Corp. (formerly Green Tree Financial
Corp.) (Conseco Finance), a wholly owned subsidiary of Conseco, Inc.
effective June 30, 1998. Conseco Finance originates, purchases, sells and
services consumer and commercial finance loans throughout the United States
(c) PIK--Payment In Kind
STEP--Bonds where the coupon increases or steps up at a predetermined rate
TOPrS--Trust Originated Preferred Securities
(d) Restricted under Rule 144A of the Securities Act of 1933
(e) Floating Rate Bond
The accompanying notes are an integral part of these financial statements.
15
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
================================================================================
PORTFOLIO MANAGERS' REVIEW
During 1999, the equity market saw a record year driven by an ever-increasing
amount of selectivity among sectors, while the fixed income market experienced
one of its worst years ever. In this environment, growth oriented investors
materially outperformed value investors. The charge forward in equities, which
propelled the market to new highs, was focused in technology,
telecommunications, and the Internet. Despite lofty valuations, these high
growth segments of the market became "safe havens," as investors rode out
concerns about full employment, wage pressure and inflation.
In the fixed income market, U.S. Treasury yields increased by over 170 basis
points in 1999, as a result of three Fed rate hikes of 25 basis points and
continued inflationary fears. Although the Treasury market suffered, the
exceptional strength of the U.S. economy boosted performance of the spread
sectors. Excess returns (measured by return over U.S. Treasurys) in the
corporate and asset-backed sectors (ABS) were the highest since 1991 and 1992,
respectively. The high yield market posted the highest excess return of all
spread sectors, followed by the corporate, ABS and mortgage-backed sectors
(MBS).
Throughout 1999, the Balanced Portfolio benefited from our efforts to
identify the fastest growing segments of the market and select the best
companies within each segment. As always, we continue to employ a balanced
approach to security selection, based on strong bottom-up fundamental research.
Although the fixed income market did not perform well during the year, our
bond holdings performed their function of reducing volatility in the fund. In
equities, the fund benefited from over-weighting in communication services,
consumer staples, and technology sectors. Limited exposure to sectors such as
financials and basic materials also helped buoy performance.
In the technology sector, our core holding in Echostar Communications Corp.
(Echostar) continued to post large gains during the fourth quarter. The passage
of new legislation in November 1999 allows Echostar to compete with cable
companies in the local broadcast market, which is a key catalyst to our
investment theme. Another strong performer in technology has been Integrated
Device Technology, Inc (IDTI). After suffering through excess capacity in the
Static Random Access Memory (SRAM) market for several years, IDTI is emerging as
a well positioned player in specialty memory with a focus on communications and
switching. Ample capacity and a renewed focus on secular growth products is
setting the company up for higher returns on invested capital and strong returns
for shareholders. Fourth quarter returns were also driven by select software
names. Managing new storage environments and incorporating legacy data with the
Internet emerged as key fundamental investment ideas. Our portfolio benefited
from this theme via our investment in Veritas Software Corp., a leader in the
storage industry.
In communications, Voicestream Wireless Corporation was an exceptional
performer. The company is in the midst of compiling a nationwide wireless
network based on the GSM standard. This creates a valuable platform from which
the company can capitalize on increasing use of mobile devices aimed at
accessing the Internet. Another core holding in communications, Research In
Motion, LTD (RIMM), was up nearly 50% for the fourth quarter. In November, the
company completed a significant distribution agreement with Dell Computer to
market RIMM's Blackberry pager under the Dell name.
Biotechnology has been an emerging area of focus for us during the last
couple of quarters. Our interest is based on the fact that large pharmaceutical
companies need to refill their pipelines as patents for key drugs continue to
expire. Research spending is migrating toward the development of new drugs and
exciting developments surround the efforts to map the human genome. Numerous
company visits have yielded investments in some of the players in this area. PE
Biosystems Group, a company that provides equipment used in genomic research, is
one such investment.
While we are pleased by our numerous successes during the fourth quarter, the
period was not without challenges. Our core holding in Waters Corporation was a
drag on our performance. It remains in the portfolio, and we expect it to regain
its footing and to be a strong performer in the year ahead. Another name that
did not perform as expected was US Foodservice. Although it continues to be a
strong fundamental story, it came under heavy selling pressure in the second
half of the year. We anticipate that its strong fundamentals will not go
unnoticed in 2000.
As we close 1999, the year will be remembered as one of narrow focus and high
valuations. It was also one in which our shareholders were rewarded by an
investment process based on strong bottom-up fundamental research and security
selection across asset classes. With valuations at record levels, it may be
unrealistic to expect similar returns in 2000. Going into the new year, we will
be keeping a keen eye on interest rates and the pick up in growth in Europe and
Asia. As always, we will be steadfast in our approach to investing in companies
with outstanding growth opportunities.
/s/ THOMAS J. PENCE /s/ GREGORY J. HAHN
- -------------------------------------- ------------------------------------
Thomas J. Pence Gregory J. Hahn
Senior Vice President Senior Vice President
Conseco Capital Management, Inc. Conseco Capital Management, Inc.
[The following table represents a chart in the printed piece.]
================================================================================
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE BALANCED PORTFOLIO
AND THE S&P 500 INDEX AND THE LEHMAN BROTHERS GOVERNMENT/CORPORATE INDEX
- ----------------------------------
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------
1 YEAR 5 YEARS 10 YEARS
- ----------------------------------
30.83% 24.85% 16.85%
- ----------------------------------
Past performance is not predictive
of future performance. Performance
does not include separate account
expenses.
Accumulated Value (Thousands)
- --------------------------------------------------------------------------------
BALANCED STANDARD & POOR'S 500 LEHMAN BROTHERS
DATE PORTFOLIO INDEX GOVERNMENT/CORPORATE INDEX
- ---- --------- --------------------- --------------------------
12/31/89 10,000 10,000 10,000
12/31/90 11,071 9,689 10,828
12/31/91 13,499 12,641 12,574
12/31/92 14,994 13,605 13,528
12/31/93 16,615 14,976 15,020
12/31/94 16,529 15,174 14,493
12/31/95 21,734 20,876 17,281
12/31/96 27,884 25,669 17,782
12/31/97 33,410 34,232 19,518
12/31/98 36,270 44,012 21,366
12/31/99 47,461 53,272 20,907
================================================================================
16
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS
(57.5% of Net Assets) (a)
APPAREL AND ACCESSORY STORES (0.5%)
13,970 Too, Inc. (b) ........................................ $ 240,983
-----------
BUSINESS SERVICES (12.5%)
3,380 BMC Software, Inc. (b) ............................... 270,190
2,925 Citrix Systems, Inc. (b) ............................. 359,775
8,410 Concord EFS, Inc. (b) ................................ 216,557
1,610 Electronic Arts, Inc. (b) ............................ 135,240
3,940 Fiserv, Inc. (b) ..................................... 150,949
8,130 go.com (b) ........................................... 193,591
910 i2 Technologies, Inc. (b) ............................ 177,450
8,870 Legato Systems, Inc. (b) ............................. 610,362
9,620 Microsoft Corp. (b) .................................. 1,123,135
2,120 Retek, Inc. (b) ...................................... 159,530
1,720 Sapient Corp. (b) .................................... 242,413
2,380 Scient Corp. (b) ..................................... 205,722
3,100 Siebel Systems, Inc. (b) ............................. 260,400
18,225 Sotheby's Holdings, Inc.--Class A .................... 546,750
3,410 Symantec, Corp. (b) .................................. 199,911
9,940 Technology Solutions Co. (b) ......................... 325,535
9,215 VERITAS Software Corp. (b) ........................... 1,318,896
-----------
6,496,406
-----------
CHEMICALS AND ALLIED PRODUCTS (2.3%)
2,950 Enzon, Inc. (b) ...................................... 127,956
8,780 Gilead Sciences, Inc. (b) ............................ 475,218
1,800 Medimmune, Inc. (b) .................................. 298,575
1,470 Protein Design Labs, Inc. (b) ........................ 102,900
5,220 Transkaryotic Therapies, Inc. (b) .................... 200,970
-----------
1,205,619
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (13.3%)
4,180 Adelphia Communications Corp.--Class A (b) ........... 274,313
24,620 American Mobile Satellite Corp. (b) .................. 518,546
8,270 American Tower Corp.--Class A (b) .................... 252,748
50 Broadwing, Inc. ...................................... 1,844
11,480 Charter Communications, Inc.--Class A (b) ............ 251,125
9,280 Echostar Communications Corp. (b) .................... 904,800
5,965 Infinity Broadcasting Corp. (b) ...................... 215,861
9,075 MCI Worldcom, Inc. (b) ............................... 481,538
9,750 McLeodUSA, Inc. (b) .................................. 574,031
11,310 NEXTLINK Communications, Inc. (b) .................... 939,431
2,080 Omnipoint Corp. (b) .................................. 250,900
22,440 Research in Motion, Ltd. (b) ......................... 1,036,459
2,230 Teligent, Inc.--Class A (b) .......................... 137,703
5,400 VoiceStream Wireless Corp. (b) ....................... 768,485
4,290 WinStar Communications, Inc. (b) ..................... 321,214
-----------
6,928,998
-----------
DEPOSITORY INSTITUTIONS (0.9%)
1,530 First Virginia Banks, Inc. ........................... 65,790
6,050 National Commerce Bancorporation ..................... 137,262
13,760 North Fork Bancorporation, Inc. ...................... 240,800
-----------
443,852
-----------
ELECTRIC, GAS, WATER,
COGENERATION, SANITARY SERVICES (1.0%)
4,210 American Water Works Company, Inc. ................... $ 89,463
5,660 Illinova Corp. ....................................... 196,685
6,400 The Montana Power Co. ................................ 230,797
-----------
516,945
-----------
ELECTRICAL, OTHER ELECTRICAL
EQUIPMENT, EXCEPT COMPUTERS (6.2%)
7,080 Advanced Micro Devices, Inc. (b) ..................... 204,881
4,670 CTS Corp. ............................................ 352,001
3,800 Conexant Systems, Inc. (b) ........................... 252,225
8,360 Digital Microwave Corp. (b) .......................... 195,942
32,750 Integrated Device Technology, Inc. (b) ............... 949,750
2,060 PMC--Sierra, Inc. (b) ................................ 330,243
7,240 TeleCorp PCS, Inc. (b) ............................... 276,930
6,160 Tellabs, Inc. (b) .................................... 395,398
1,430 The DII Group, Inc. (b) .............................. 101,486
3,510 Vitesse Semiconductor Corp. (b) ...................... 184,057
-----------
3,242,913
-----------
ENGINEERING, ACCOUNTING, RESEARCH,
MANAGEMENT SERVICES (0.8%)
830 Affymetrix, Inc. (b) ................................. 140,841
1,740 Millennium Pharmaceuticals, Inc. (b) ................. 212,280
1,380 Whittman-Hart, Inc. (b) .............................. 74,003
-----------
427,124
-----------
FABRICATORS METAL, EX MACHINERY,
COMPUTER EQUIPMENT (0.9%)
9,280 Danaher Corp. ........................................ 447,760
-----------
FOOD AND KINDRED PRODUCTS (1.9%)
7,410 Adolph Coors Co. ..................................... 389,025
12,680 Ralston Purina Group ................................. 353,455
7,540 Tootsie Roll Industries, Inc. ........................ 248,353
-----------
990,833
-----------
GENERAL MERCHANDISE STORES (0.6%)
2,720 Cost Plus, Inc. (b) .................................. 96,900
1,500 Costco Wholesale Corp. (b) ........................... 136,875
5,510 Family Dollar Stores, Inc. ........................... 89,879
-----------
323,654
-----------
HOME FURNITURE AND
EQUIPMENT STORES (0.6%)
6,640 Circuit City Stores, Inc. ............................ 299,212
-----------
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS, (4.4%)
13,950 Adaptec, Inc. (b) .................................... $ 695,756
1,700 Extreme Networks, Inc. (b) ........................... 141,950
19,240 Symbol Technologies, Inc. ............................ 1,222,933
4,990 Weatherford International, Inc. (b) .................. 199,291
-----------
2,259,930
-----------
MEASURING INSTRUMENTS, PHOTO GOODS,
WATCHES (5.0%)
4,490 Agilent Technologies, Inc. (b) ....................... 347,131
3,970 Credence Systems Corp. (b) ........................... 343,405
5,880 Guidant Corp. (b) .................................... 276,360
6,360 PE Corp.--PE Biosystems Group ........................ 765,184
15,990 Waters Corp. (b) ..................................... 847,470
-----------
2,579,550
-----------
NON-DURABLE GOODS WHOLESALE (1.6%)
50,710 U.S. Foodservice (b) ................................. 849,393
-----------
OIL AND GAS EXTRACTION (2.8%)
4,530 BJ Services Co. (b) .................................. 189,408
5,630 Burlington Resources, Inc. ........................... 186,139
14,240 Diamond Offshore Drilling, Inc. ...................... 435,203
11,890 ENSCO International, Inc. ............................ 271,984
6,030 Nabors Industries, Inc. (b) .......................... 186,556
25,710 Ocean Energy, Inc. (b) ............................... 199,253
-----------
1,468,543
-----------
PRINTING, PUBLISHING AND ALLIED (1.4%)
13,478 A. H. Belo Corp.--Class A ............................ 256,918
5,430 The E.W. Scripps Co.--Class A ........................ 243,329
400 The Washington Post Co.--Class B ..................... 222,350
-----------
722,597
-----------
WATER TRANSPORTATION (0.8%)
8,950 Royal Caribbean Cruises, Ltd. ........................ 441,342
-----------
TOTAL COMMON STOCKS (COST $23,167,350) .............. $29,885,654
===========
PREFERRED STOCKS
(2.1% of Net Assets) (a)
INSURANCE CARRIERS (0.6%)
12,000 Lincoln National Corp., 6.400%, TOPrS (c) ........... 296,250
-----------
MEASURING INSTRUMENTS, PHOTO GOODS,
WATCHES (0.7%)
5,926 River Holding Corp., 11.500%, Series B, PIK (c) ..... 355,560
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (0.8%)
400 Centaur Funding Corp., 9.080%, (d)
Cost--$452,112; Acquired--01/14/1999 ................ 408,500
-----------
TOTAL PREFERRED STOCKS (COST $1,252,112) ............ $ 1,060,310
===========
PREFERRED STOCKS--CONVERTIBLE
(3.6% of Net Assets) (a)
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (1.8%)
28,000 Intermedia Communications, Inc.,
7.000% (d) Cost--$ 700,000;
Acquired--10/24/1997 ................................ 952,000
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (1.8%)
14,000 The AES Trust II, 5.500% CUM CVT (d)
Cost--$700,000; Acquired--10/24/1997 ................ $ 962,500
-----------
TOTAL PREFERRED STOCKS--CONVERTIBLE
(COST $1,400,000) .................................... $ 1,914,500
===========
WARRANTS
(0.0% of Net Assets) (a)
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (0.0%)
250 Park `N View, Inc. ................................... 1,250
-----------
MISCELLANEOUS MANUFACTURING (0.0%)
400 V2 Music Holdings .................................... 0
-----------
TOTAL WARRANTS (COST $42,500) ........................ $ 1,250
===========
PRINCIPAL
AMOUNT
- ---------
CORPORATE BONDS
(27.9% of Net Assets) (a)
APPAREL AND OTHER FINISHED PRODUCTS (0.3%)
200,000 Tommy Hilfiger Corp., 6.500%, due 06/01/2003 ......... 190,250
-----------
AUTO REPAIR AND PARKING (0.9%)
200,000 Amerco -MTN, 7.470%, due 01/15/2027 .................. 191,000
250,000 Avis Rent A Car, Inc., 11.000%, due 05/01/2009 ....... 264,375
-----------
455,375
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (2.3%)
250,000 ALLTEL Corp., 6.800%, due 05/01/2029 ................. 218,125
400,000 British Sky Broadcasting, 8.200%, due 07/15/2009 ..... 386,000
200,000 Cable and Wireless Communications PLC, 6.375%,
due 03/06/2003 ....................................... 198,000
200,000 Nextel Communications, Inc., 9.750%,
due 08/15/2004 ....................................... 206,000
250,000 Park ` N View, Inc., Series B, 13.000%,
due 05/15/2008 ....................................... 188,125
-----------
1,196,250
-----------
DEPOSITORY INSTITUTIONS (5.4%)
400,000 Centura Banks, 6.500%, due 03/15/2009 ................ 361,000
600,000 Dime Bancorp, Inc., 7.000%, due 07/25/2001 ........... 594,750
200,000 Key Bank, National Association, BKNT, 6.500%,
due 04/15/2008 ....................................... 184,500
600,000 PNC Funding Corp., 7.500%, due 11/01/2009 ............ 588,750
300,000 Sovereign Bancorp, Inc., 10.250%, due 05/15/2004 ..... 305,250
875,000 Union Planters Bank, National Association, 6.500%,
due 03/15/2018 ....................................... 790,781
-----------
2,825,031
-----------
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (5.1%)
300,000 MCN Investment Corp., 6.350%, due 04/02/2012 ......... $ 292,125
825,000 PSI Energy, Inc., 7.850%, due 10/15/2007 ............. 833,250
350,000 USA Waste Services, Inc., 7.000%, due 07/15/2028 ..... 247,188
350,000 Waste Management, Inc., 6.625%, due 07/15/2002 ....... 329,000
1,050,000 Yorkshire Power Finance, Ltd., Series B, 6.496%,
due 02/25/2008 ....................................... 941,063
-----------
2,642,626
-----------
ELECTRICAL, OTHER ELECTRICAL EQUIPMENT,
EXCEPT COMPUTERS (2.3%)
400,000 Motorola, Inc., 6.500%, due 11/15/2028 ............... 342,500
900,000 Texas Instruments, Inc., 7.000%, due 08/15/2004 ...... 880,875
-----------
1,223,375
-----------
GENERAL MERCHANDISE STORES (0.6%)
300,000 Shopko Stores, Inc., 6.500%, due 08/15/2003 .......... 286,875
-----------
INSURANCE CARRIERS (1.4%)
100,000 Delphi Financial Group, Inc., 8.000%,
due 10/01/2003 ....................................... 99,625
500,000 Mutual Life Insurance Co. of New York, STEP (c)
0.000%/11.250%, due 08/15/2024, (d)
Cost--$643,975; Acquired--10/19/1999 ................. 626,604
-----------
726,229
-----------
MISCELLANEOUS MANUFACTURING (0.3%)
400,000 V2 Music Holdings, STEP (c) 0.000%/14.000%,
due 04/15/2008, (d) Cost--$253,655;
Acquired--11/09/1998 ................................. 135,819
-----------
MOTION PICTURES, FILMS (0.2%)
100,000 Liberty Media Corp, 8.500%, due 07/15/2029,
(d) Cost--$97,230; Acquired--08/11/1999 .............. 100,750
-----------
OIL AND GAS EXTRACTION (1.2%)
600,000 R&B Falcon Corp., 9.500%, due 12/15/2008 ............. 607,500
-----------
PETROLEUM REFINING AND RELATED INDUSTRIES (1.7%)
100,000 Lyondell Chemical Co., Series A, 9.625%,
due 05/01/2007 ....................................... 103,000
100,000 Lyondell Chemical Co., 10.875%, due 05/01/2009 ....... 104,000
600,000 Pennzoil Co., 10.125%, due 11/15/2009 ................ 654,750
-----------
861,750
-----------
PIPE LINE, EXCEPT NATURAL GAS (0.8%)
400,000 Osprey Trust/Osprey I, 8.310%, due 01/15/2003,
(d) Cost--$400,000; Acquired--09/16/1999 ............. 396,000
-----------
PRIMARY METAL INDUSTRIES (0.4%)
200,000 Easco Corp., Series B, 10.000%,
due 03/15/2001 ....................................... 202,000
-----------
REAL ESTATE (0.6%)
500,000 Pinnacle Holdings, Inc., STEP (c) 0.000%/10.000%,
due 03/15/2008 ....................................... 327,303
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (2.7%)
150,000 CarrAmerica Realty Corp., 6.625%,
due 03/01/2005 ....................................... 137,438
500,000 Colonial Realty, L.P., 7.500%, due 07/15/2001 ........ 495,625
200,000 Corporate Property Investors, Inc., 9.000%,
due 03/15/2002, (d) Cost--$219,360;
Acquired--03/17/1998 ................................. $ 204,250
300,000 Regency Centers, L.P., 7.400%,
due 04/01/2004 ....................................... 287,625
300,000 United Dominion Realty Trust, Inc., MTN,
7.600%, due 01/25/2002 ............................... 290,250
-----------
1,415,188
-----------
SECURITY AND COMMODITY BROKERS (0.2%)
100,000 Salomon Smith Barney Holdings, Inc., Series C,
MTN, 6.500%, due 08/15/2003 .......................... 97,625
-----------
STONE, CLAY, GLASS, CONCRETE (0.4%)
200,000 USG Corp., 9.250%, due 09/15/2001 .................... 210,500
-----------
TOBACCO PRODUCTS (0.7%)
400,000 R.J. Reynolds Tobacco Holdings, Inc., 7.375%,
due 05/15/2003 ....................................... 377,500
-----------
TRANSPORTATION EQUIPMENT (0.4%)
200,000 Ford Motor Co., 7.450%, due 07/16/2031 ............... 193,000
-----------
TOTAL CORPORATE BONDS (COST $14,994,578) ............. $14,470,946
===========
MUNICIPAL BONDS
(1.2% of Net Assets) (a)
250,000 Capital Projects Finance Authority,
Florida Revenue, 8.000%, due 12/01/2001 .............. 246,250
450,000 Mississippi Development Bank, Special Obligation,
Series 1998, 8.500%, due 12/01/2018 .................. 382,500
-----------
TOTAL MUNICIPAL BONDS (COST $700,000) ................ $ 628,750
===========
ASSET BACKED SECURITIES
(0.8% of Net Assets) (a)
150,000 COMED Transitional Funding Trust, 98-1 A7, 5.740%,
due 12/25/2010 ....................................... 135,249
280,000 First Union National Bank Commercial
Mortgage, 99-C4 A1, 7.184%, due 09/15/2008 ........... 278,395
-----------
TOTAL ASSET BACKED SECURITIES
(COST $431,354) ...................................... $ 413,644
===========
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(1.5% of Net Assets) (a)
950,000 U.S. Treasury Bond, 5.250%, due 02/15/2029 ........... 787,059
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $791,219) ...................................... $ 787,059
===========
SHORT-TERM INVESTMENTS
(3.3% of Net Assets) (a)
1,707,000 AIM Liquid Asset Portfolio ........................... 1,707,000
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $1,707,000) .................................... $ 1,707,000
===========
TOTAL INVESTMENTS
(COST $44,486,113) (97.9% of Net Assets) ............. $50,869,113
===========
Cash, Receivables and Other Assets, net of
Liabilities (2.1% of Net Assets) ..................... 1,071,995
-----------
NET ASSETS (100.0%) .................................. $51,941,108
===========
- ---------------------------------------------------------
(a) Using S.I.C. codes prepared by the Technical Committee on Industrial
Classifications.
(b) Non-dividend paying common stock.
(c) PIK--Payment In Kind.
STEP--Bonds where the coupon increases or steps up at a predetermined rate.
TOPrS--Trust Originated Preferred Securities.
(d) Restricted under Rule 144A of the Securities Act of 1933.
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
CONSECO SERIES TRUST
EQUITY PORTFOLIO
================================================================================
PORTFOLIO MANAGER'S REVIEW
We are pleased to report that 1999 was a record year for the Equity
Portfolio's performance. During the year, the fund returned 50.28%1 compared to
the Standard and Poor's 500 Index which returned 21.04%.
During the year, growth investors enjoyed significant out-performance
relative to value investors as the market rewarded companies with the prospect
of rapid, highly visible revenue growth. Many of the beneficiaries of this
market focus were found in the areas of technology, telecommunications and the
Internet, which drove the NASDAQ market to record highs in the second half of
the year. With concerns about the possibility of full employment leading to
future wage pressure and inflation, the exciting growth prospects for many of
these companies were viewed as the best place to ride out a period of higher
rates and increasing costs.
During the period, the fund benefited from our continuing efforts to invest
in what we believe to be the fastest growing areas of our economy. As always,
our bottom-up research-intensive approach sought to identify companies in those
areas where we believe high returns on capital could either be sustained or
increased. By the end of the fourth quarter of 1999, this approach resulted in a
significant overweighting of your portfolio in the areas of technology,
telecommunications, biotechnology, and consumer staples.
In the technology sector, our core holding in Echostar Communications once
again provided strong performance. As we expected, the company began to reap the
benefits of rolling out its local television service in several key markets
after the November passage of legislation allowing the DISH network to compete
head-to-head with local cable providers. Another strong tech holding for us was
Integrated Device Technology, a company in the Static Random Access Memory
(SRAM) market for semiconductors that translated excess capacity in a
capacity-constrained market for specialty memory devices into dramatic
improvements in return on invested capital. Strong performance was also posted
by our position in Veritas Software, which the market began to view as one of
the key beneficiaries of the trend to move storage solutions out of the
enterprise and onto the Internet.
In telecommunications, a strong performer for us during the fourth quarter
was Voicestream Wireless Corporation, a provider of digital PCS wireless
communication services. Voicestream is in the midst of a merger with Omnipoint
Corp. and Aerial Communications Corp., two other key digital wireless players in
the U.S. operating under the GSM standard. With this combination, expected to
close early in 2000, Voicestream will be in possession of an extremely valuable,
nationwide digital platform, and uniquely positioned to benefit from the
expanded use of mobile devices to access the Internet. Also producing solid
returns for us in the telecommunication area was our core holding in Research in
Motion (RIMM), up nearly 50% during the fourth quarter alone. In November, RIMM
got a large boost in credibility after Michael Dell signed an agreement with the
company to market RIMM's Blackberry pager under the Dell name. In addition,
McLeodUSA, Inc. and Nextlink Communications Inc. continued to produce solid
fundamentals and stock performance.
Finally, we spoke earlier this year about biotechnology being a new area of
focus for us. Our interest was based upon the fact that many large
pharmaceutical companies were facing the end of the patent protection periods
for key drugs. Additionally, we have been very excited about the prospects for
new drug therapies that will likely be identified as a result of the completion
of an international concerted effort to map the human genome - an effort
expected to be completed later this year. After spending some time in San
Francisco visiting PE Biosystems Group, we became very excited about the
potential role this company will play in the mapping of the genome, the
identification of new disease targets and the development of drugs to treat
these targets. We see PE Biosystems Group as uniquely positioned to benefit from
an explosion in pharmaceutical research and development over the next five to
ten years. As investors began to recognize this potential, the stock appreciated
over 100% in the second half of the year. We have purchased other stocks to
participate in this trend toward using genomics as a platform for future drug
development including Millenium Pharmaceuticals, Inc.
While we are quite pleased with our recent performance, the period was not
without challenges. Two of our larger holdings, Waters Corporation and U.S.
Foodservice, came under significant selling pressure. Both of these sell-offs
were related to perceptions in the market that we do not believe are
substantiated by any deterioration in fundamentals. Nevertheless, we have
significantly increased our research efforts in both of these names as we begin
the new year.
In summary, 1999 will long be remembered by us as a year in which our
stockholders were richly rewarded by our process of identifying some of the most
exciting mid-cap growth stocks in the market. While it may be unrealistic to
expect similar returns in 2000, we will continue to rely upon our research team
to provide the guideposts. Clearly, higher interest rates in the face of already
high valuations will present a challenging environment. However, we think
investors will continue to gravitate towards the companies and industries with
the strongest earnings until we see a slowdown in the overall economy. With
capital spending picking up in Europe and Asia, the growth outlook appears solid
for the near-term.
/s/ THOMAS J. PENCE
- --------------------------------------
Thomas J. Pence, CFA
Senior Vice President
Conseco Capital Management, Inc.
- ---------------------------------------------------
1 Past performance is no guarantee of future results. Additionally, performance
does not include separate account expenses. Your investment return and
principal will fluctuate and your shares may be worth more or less that their
original cost.
[The following table represents a chart in the printed piece.]
================================================================================
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE EQUITY PORTFOLIO AND
THE S&P 500 INDEX
- ----------------------------------
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------
1 YEAR 5 YEARS 10 YEARS
- ----------------------------------
50.28% 35.08% 21.18%
- ----------------------------------
Past performance is not predictive
of future performance. Performance
does not include separate account
expenses.
Accumulated Value (Thousands)
- --------------------------------------------------------------------------------
DATE EQUITY PORTFOLIO S&P'S 500 INDEX
- ---- ---------------- ---------------
12/31/89 10,000 10,000
12/31/90 10,141 9,689
12/31/91 12,755 12,641
12/31/92 15,128 13,605
12/31/93 16,424 14,976
12/31/94 16,752 15,174
12/31/95 22,834 20,876
12/31/96 33,108 25,669
12/31/97 39,930 34,232
12/31/98 45,432 44,012
12/31/99 68,287 53,272
================================================================================
20
<PAGE>
CONSECO SERIES TRUST
EQUITY PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS
(91.8% of Net Assets) (a)
APPAREL AND ACCESSORY STORES (0.8%)
134,090 Too, Inc. (b) ........................................ $ 2,313,052
-----------
BUSINESS SERVICES (17.0%)
30,590 BMC Software, Inc. (b) ............................... 2,445,303
8,290 Broadvision, Inc. (b) ................................ 1,409,814
23,795 Citrix Systems, Inc. (b) ............................. 2,926,785
65,590 Concord EFS, Inc. (b) ................................ 1,688,942
14,790 Electronic Arts, Inc. (b) ............................ 1,242,360
36,920 Fiserv, Inc. (b) ..................................... 1,414,479
78,570 go.com (b) ........................................... 1,870,908
8,660 i2 Technologies, Inc. (b) ............................ 1,688,700
85,820 Legato Systems, Inc. (b) ............................. 5,905,446
20,340 Retek, Inc. (b) ...................................... 1,530,585
16,080 Sapient Corp. (b) .................................... 2,266,283
22,040 Scient Corp. (b) ..................................... 1,905,093
28,540 Siebel Systems, Inc. (b) ............................. 2,397,360
168,470 Sotheby's Holdings, Inc.--Class A .................... 5,054,100
30,180 Symantec Corp. (b) ................................... 1,769,302
92,220 Technology Solutions Co. (b) ......................... 3,020,205
86,760 VERITAS Software Corp. (b) ........................... 12,417,525
-----------
50,953,190
-----------
CHEMICALS AND ALLIED PRODUCTS (3.9%)
28,660 Enzon, Inc. (b) ...................................... 1,243,128
84,240 Gilead Sciences, Inc. (b) ............................ 4,559,490
17,310 Medimmune, Inc. (b) .................................. 2,871,296
14,200 Protein Design Labs, Inc. (b) ........................ 994,000
49,890 Transkaryotic Therapies, Inc. (b) .................... 1,920,765
-----------
11,588,679
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (20.2%)
40,350 Adelphia Communications Corp.--Class A (b) ........... 2,647,969
232,410 American Mobile Satellite Corp. (b) .................. 4,895,019
79,030 American Tower Corp.--Class A (b) .................... 2,415,315
480 Broadwing, Inc. ...................................... 17,700
109,490 Charter Communications, Inc.--Class A (b) ............ 2,395,094
87,050 Echostar Communications Corp. (b) .................... 8,487,375
57,823 Infinity Broadcasting Corp. (b) ...................... 2,092,499
90,780 McLeodUSA, Inc.--Class A (b) ......................... 5,344,673
109,920 NEXTLINK Communications, Inc. (b) .................... 9,130,175
20,090 Omnipoint Corp. (b) .................................. 2,423,356
206,745 Research in Motion, Ltd. (b) ......................... 9,549,138
19,250 Teligent, Inc.--Class A (b) .......................... 1,188,688
50,880 VoiceStream Wireless Corp. (b) ....................... 7,240,835
39,370 WinStar Communications, Inc. (b) ..................... 2,947,829
-----------
60,775,665
-----------
DEPOSITORY INSTITUTIONS (1.7%)
31,670 Compass Bancshares, Inc. ............................. 706,621
14,140 First Virginia Banks, Inc. ........................... 608,020
59,420 National Commerce Bancorporation ..................... 1,348,121
135,140 North Fork Bancorporation, Inc. ...................... 2,364,950
-----------
5,027,712
-----------
EDUCATIONAL SERVICES (0.4%)
60,440 DeVry, Inc. (b) ...................................... $ 1,125,695
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (1.6%)
38,820 American Water Works Company, Inc. ................... 824,925
54,010 Illinova Corp. ....................................... 1,876,847
62,120 The Montana Power Co. ................................ 2,240,171
-----------
4,941,943
-----------
ELECTRICAL, OTHER ELECTRICAL EQUIPMENT,
EXCEPT COMPUTERS (10.3%)
64,890 Advanced Micro Devices, Inc. (b) ..................... 1,877,787
45,190 CTS Corp. ............................................ 3,406,196
32,660 Conexant Systems, Inc. (b) ........................... 2,167,808
117,880 Digital Microwave Corp. (b) .......................... 2,762,871
308,360 Integrated Device Technology, Inc. (b) ............... 8,942,440
18,860 PMC--Sierra, Inc. (b) ................................ 3,023,484
66,150 TeleCorp PCS, Inc. (b) ............................... 2,530,238
56,720 Tellabs, Inc. (b) .................................... 3,640,743
12,460 The DII Group, Inc. (b) .............................. 884,274
32,320 Vitesse Semiconductor Corp. (b) ...................... 1,694,796
-----------
30,930,637
-----------
ENGINEERING, ACCOUNTING, RESEARCH,
MANAGEMENT SERVICES (1.3%)
8,050 Affymetrix, Inc. (b) ................................. 1,365,988
16,240 Millennium Pharmaceuticals, Inc. (b) ................. 1,981,280
12,700 Whittman-Hart, Inc. (b) .............................. 681,038
-----------
4,028,306
-----------
FABRICATORS METAL, EXCEPT MACHINERY AND
TRANSPORTATION EQUIPMENT (1.4%)
89,090 Danaher Corp. ........................................ 4,298,593
-----------
FOOD AND KINDRED PRODUCTS (3.5%)
72,290 Adolph Coors Co. ..................................... 3,795,225
119,490 Ralston Purina Group ................................. 3,330,784
68,270 Tootsie Roll Industries, Inc. ........................ 2,248,677
69,110 Tyson Foods, Inc.--Class A ........................... 1,123,038
-----------
10,497,724
-----------
GENERAL MERCHANDISE STORES (1.0%)
26,530 Cost Plus, Inc. (b) .................................. 945,131
14,460 Costco Wholesale Corp. (b) ........................... 1,319,475
49,700 Family Dollar Stores, Inc. ........................... 810,706
-----------
3,075,312
-----------
HOME FURNITURE AND
EQUIPMENT STORES (0.9%)
59,940 Circuit City Stores, Inc. ............................ 2,701,016
-----------
The accompanying notes are an integral part of these financial statements.
21
<PAGE>
CONSECO SERIES TRUST
EQUITY PORTFOLIO
Schedule of Investments
DECEMBER 31, 1999
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS (7.0%)
129,010 Adaptec, Inc. (b) .................................. $ 6,434,374
16,720 Extreme Networks, Inc. (b) ......................... 1,396,120
177,270 Symbol Technologies, Inc. .......................... 11,267,636
45,950 Weatherford International, Inc. (b) ................ 1,835,151
------------
20,933,281
------------
INSURANCE CARRIERS (1.7%)
33,160 Allmerica Financial Corp. .......................... 1,844,525
1,832 Berkshire Hathaway, Inc.--Class B (b) .............. 3,352,560
------------
5,197,085
------------
MEASURING INSTRUMENTS, PHOTO GOODS,
WATCHES (8.2%)
43,230 Agilent Technologies, Inc. (b) ..................... 3,342,198
36,040 Credence Systems Corp. (b) ......................... 3,117,460
57,000 Guidant Corp. (b) .................................. 2,679,000
61,630 PE Corp.--PE Biosystems Group ...................... 7,414,829
153,520 Waters Corp. (b) ................................... 8,136,560
------------
24,690,047
------------
NON-DURABLE GOODS WHOLESALE (2.8%)
496,370 U.S. Foodservice (b) ............................... 8,314,198
------------
OIL AND GAS EXTRACTION (4.5%)
44,090 BJ Services Co. (b) ................................ 1,843,491
54,890 Burlington Resources, Inc. ......................... 1,814,773
117,990 Diamond Offshore Drilling, Inc. .................... 3,606,010
114,820 ENSCO International, Inc. .......................... 2,626,508
57,730 Nabors Industries, Inc. (b) ........................ 1,786,051
229,920 Ocean Energy, Inc. (b) ............................. 1,781,880
------------
13,458,713
------------
PRINTING, PUBLISHING AND ALLIED (2.3%)
130,330 A. H. Belo Corp.--Class A .......................... 2,484,350
52,020 The E.W. Scripps Co.--Class A ...................... 2,331,120
3,620 The Washington Post Co.--Class B ................... 2,012,268
------------
6,827,738
------------
WATER TRANSPORTATION (1.3%)
81,960 Royal Caribbean Cruises, Ltd. ...................... 4,041,612
------------
TOTAL COMMON STOCKS (COST $216,529,402) ............ $275,720,198
============
CONTRACTS
(100 SHARES
PER CONTRACT)
- --------------------------------------------------------------------------------
PUT OPTIONS PURCHASED
(0.1% of Net Assets) (a)
151 NASDAQ -100, Expires 1/21/2000,
Exercise Price $2,980 .............................. 173,650
------------
TOTAL PUT OPTIONS PURCHASED
(COST $2,597,653) (C) .............................. $ 173,650
============
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
COMMERCIAL PAPER
(2.3% of Net Assets) (a)
NON-DEPOSITORY CREDIT INSTITUTIONS (2.3%)
7,000,000 Ford Motor Credit Co., 6.480%, due 01/04/2000 ...... $ 6,996,220
------------
TOTAL COMMERCIAL PAPER (COST $6,996,220) ........... $ 6,996,220
============
NUMBER
OF SHARES
- ----------
SHORT-TERM INVESTMENTS
(3.6% of Net Assets)(a)
10,799,000 AIM Liquid Asset Portfolio ......................... $ 10,799,000
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $10,799,000) ................................. $ 10,799,000
============
TOTAL INVESTMENTS
(COST $236,922,275) (97.8% of Net Assets) .......... $293,689,068
============
Cash, Receivables and Other Assets,
net of Liabilities (2.2% of Net Assets) ............ 6,748,422
------------
NET ASSETS (100.0%) ................................ $300,437,490
============
- ---------------------------------------------------------
(a) Using S.I.C. codes prepared by the Technical Committee on Industry
Classifications
(b) Non-dividend paying common stock
(c) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the mark to market adjustment for 1256
contracts of $2,424,003
The accompanying notes are an integral part of these financial statements.
22
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
================================================================================
(1) GENERAL
Conseco Series Trust (the "Trust") is a diversified, open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "Act"), and was organized as a Massachusetts Trust effective
November 15, 1982. The Trust is a "series" type of mutual fund which issues
separate series of shares, each of which currently represents a separate
diversified portfolio of investments. The Trust consists of five series
("Portfolios") each with its own investment objective and investment policies.
The Portfolios are the Money Market, Government Securities, Fixed Income,
Balanced, and Equity. The Trust offers shares to life insurance company separate
accounts (registered as unit investment trusts under the Act) to fund the
benefits under variable annuity and variable life contracts.
Two affiliated companies, Conseco Variable Insurance Company (formerly Great
American Reserve Insurance Company prior to its name change in October 1998) and
Bankers National Life Insurance Company, offer shares of the Trust to their
contract owners. Additionally, shares are offered to unaffiliated insurance
companies to fund the benefits under variable annuity and variable life
contracts.
(2) SUMMARY OF 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 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. The following summarizes the investments, which carry
certain restrictions as to resale from the Trust to certain qualified buyers:
Portfolio Cost Market Value % of Investments
- ---------------------- ----------- ------------ ----------------
Fixed Income Portfolio $ 3,920,253 $3,676,123 12.97%
Balanced Portfolio 3,466,332 3,786,423 7.44%
These securities are eligible for resale to qualified institutional buyers in
transactions exempt from registration under Rule 144A of the Securities Act of
1933.
The Board of Trustees (the "Trustees") determined that the Money Market
Portfolio will value investments at amortized cost, which is conditioned on the
Trust's compliance with certain conditions contained in Rule 2a-7 of the Act.
The investment adviser of the Trust continuously reviews this method of
valuation and recommends changes to the Trustees, if necessary, to ensure that
the Money Market Portfolio investments are valued at fair value (as determined
by the Trustees in good faith).
In all Portfolios of the Trust, except for the Money Market Portfolio,
securities that are traded on stock exchanges are valued at closing market
prices on the day the securities are being valued, or lacking any sales, at the
mean between the closing bid and asked prices. Securities traded in the
over-the-counter market are valued by third party pricing services. Portfolio
securities which are traded both in the over-the-counter market and on a stock
exchange are valued according to the broadest and most representative market,
and it is expected that for debt securities this ordinarily will be the
over-the-counter market. Securities and assets for which market quotations are
not readily available are valued at fair value as determined in good faith by or
under the direction of the Trustees of the Trust. Debt securities with
maturities of sixty (60) days or less are valued at amortized cost.
FEDERAL INCOME TAXES
Each Portfolio is treated as a separate taxable entity for federal income tax
purposes and qualifies as a regulated investment company under subchapter M of
the Internal Revenue Code. The Trust intends to distribute substantially all
taxable income and net capital gains to shareholders, and otherwise comply with
the requirements for regulated investment companies. Therefore, no provision has
been made for federal income taxes.
DIVIDENDS TO SHAREHOLDERS
Dividends are declared and reinvested from net investment income on a daily
basis in the Money Market Portfolio, on a monthly basis in the Fixed Income and
Government Securities Portfolios and on a quarterly basis in the Balanced and
Equity Portfolios. Distributions of net short-term capital gains and losses were
declared and reinvested as a component of net investment income prior to June
30, 1998, thereafter on an annual basis as a component of net realized gains
(losses).
Dividends to shareholders from net investment income are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. Permanent book and tax differences relating to dividends
to shareholders may result in reclassifications to paid-in capital and may
effect per-share allocation between net investment income and realized and
unrealized gains (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 Portfolio or Portfolios to which such gains are
attributable. Permanent items identified in the period ended December 31, 1999,
have been reclassified among the components of net assets as follows:
Portfolio Net Investment Gain (Loss) Net Realized Gain (Loss)
- ---------------------- ------------------------- -----------------------
Fixed Income Portfolio $ 8,029 $ (8,029)
Balanced Portfolio 13,938 (13,938)
Equity Portfolio 344,484 (344,484)
INCOME EQUALIZATION
Prior to June 30, 1999 all Portfolios, except the Money Market Portfolio,
followed the accounting practice known as income equalization by which a portion
of the proceeds from sales and costs of redemptions of shares which is
equivalent, on a per share basis, to the amount of distributable investment
income on the date the transaction is credited or charged to net undistributed
income. Effective June 30, 1999, the Trust has elected to discontinue accruing
income equalization.
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 amount of assets and liabilities, and disclosure of
contingent assets and liabilities as of the date of financial statements and the
reported amounts of
23
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
================================================================================
increases and decreases in net assets from operations during the reporting
period. Actual results may differ from these estimates.
(3) TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY AGREEMENT
Conseco Capital Management, Inc. (the "Adviser") provides investment advice
and, in general, supervises the Trust's management and investment program,
furnishes office space, prepares portfolio reports for the Trust, monitors
portfolio compliance by the Trust in its investment activities and pays
compensation of officers and Trustees of the Trust who are affiliated persons of
the Adviser. The Trust pays all other expenses incurred in the operation of the
Trust, including fees and expenses of unaffiliated Trustees of the Trust.
The Adviser is a wholly-owned subsidiary of Conseco, Inc. ("Conseco"), a
publicly-held specialized financial services holding company listed on the New
York Stock Exchange. Under the investment advisory agreement, the Adviser
receives an investment advisory fee based on the daily net asset value at an
annual rate of 0.65 percent for the Balanced and Equity Portfolios, and 0.50
percent for the Fixed Income, Government Securities, and Money Market
Portfolios. The Adviser has reduced its advisory fee to 0.55 percent, 0.60
percent, and 0.25 percent of the average daily net assets of the Balanced,
Equity, and Money Market Portfolios, respectively. The total fees incurred for
such services were $2,225,430 for the year ended December 31, 1999.
The Adviser has contractually agreed to waive its investment advisory fee
and/or reimburse the Portfolios through April 30, 2000 to the extent that the
ratio of expenses to net assets on an annual basis exceed the following:
Portfolio
- ----------------------
Money Market 0.45%
Government Securities 0.70%
Fixed Income 0.70%
Balanced 0.75%
Equity 0.80%
ADMINISTRATIVE AGREEMENT
Pursuant to an agreement effective August 1, 1999, Conseco Services, LLC
became the Administrator for the Trust (the "Administrator"). Conseco Services,
LLC, a wholly owned subsidiary of Conseco, supervises the preparation and filing
of regulatory documents required for compliance by the portfolios with
applicable laws and regulations, provides portfolio accounting services,
supervises the maintenance of books and records of the portfolios and provides
other general and administrative services. For providing these services, the
Administrator receives an annual fee equal to 0.10 percent of the first $100
million of average daily net assets; 0.08 percent of the next $100 million of
average daily net assets; and 0.06 percent of average daily net assets in excess
of $200 million. The total fees under this Agreement for the period from August
1, 1999 through December 31, 1999 were $150,903.
24
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
================================================================================
(4) INVESTMENT TRANSACTIONS
The cost on investments and the composition of gross unrealized appreciation
and depreciation of investments at December 31, 1999, are shown below for
federal income tax purposes:
<TABLE>
<CAPTION>
GOVERNMENT FIXED
SECURITIES INCOME BALANCED EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
===================================================================================================================
<S> <C> <C> <C> <C>
Federal tax cost basis (a) .................... $ 13,479,549 $ 29,399,269 $ 44,542,671 $ 234,778,783
===================================================================================================================
Gross unrealized appreciation ................. 4,005 59,994 7,946,067 68,741,982
Gross unrealized depreciation ................. (537,731) (1,112,345) (1,619,625) (9,831,697)
- -------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) .... $ (533,726) $ (1,052,351) $ 6,326,442 $ 58,910,285
===================================================================================================================
</TABLE>
- -----------------------------------------------
(a) Represents cost for federal income tax purposes and differs from the cost
for financial reporting purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax purposes and by
the amount of mark to market adjustments for 1256 contracts. The following
summarizes the amount taxable income exceeds net book income:
PORTFOLIO AMOUNT
-------- --------
Government Securities Portfolio............... $ 4,715
Fixed Income Portfolio......................... 17,992
Balanced Portfolio............................. 56,558
Equity Portfolio............................... (2,143,492)
The aggregate cost of purchases and the aggregate proceeds from sales of
investments for the year ended December 31, 1999 are shown below:
<TABLE>
<CAPTION>
GOVERNMENT FIXED
SECURITIES INCOME BALANCED EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
======================================================================================================================
<S> <C> <C> <C> <C>
Purchases:
Investments, excluding U.S. government
securities and short-term investments ...... $ 4,527,038 $ 63,907,677 $130,559,340 $843,293,005
U.S. government securities .................... 18,567,553 35,025,916 21,546,723 --
Sales:
Investments, excluding U.S. government
securities and short-term investments ...... 3,176,003 58,388,362 132,943,518 892,800,579
U.S. government securities .................... 14,567,881 32,897,173 22,805,079 --
======================================================================================================================
</TABLE>
(5) FEDERAL INCOME TAX INFORMATION
As of December 31, 1999, the following portfolios have capital loss
carryovers available to offset capital gains in the future, if any:
AMOUNT EXPIRES
================================================================================
Government Securities Portfolio ............... $ 232,368 2002
Government Securities Portfolio................ 248,559 2007
Fixed Income Portfolio......................... 38,146 2002
Fixed Income Portfolio......................... 5,075 2004
Fixed Income Portfolio......................... 585,029 2007
During the year ended December 31, 1999 the following portfolios paid
long-term capital gain distributions:
Balanced Portfolio ............................ $ 582,804
Equity Portfolio............................... 8,824,136
(6) NEW PORTFOLIOS
The Trust started two new portfolios with $100 of seed money on December 31,
1999. The portfolios are the Conseco 20 Focus Portfolio and the High Yield
Portfolio (the "Portfolios"). As of December 31, 1999, the new Portfolios'
activities have been limited to organizational matters with no operating
activities. The portfolios will become operational and available for sale in
2000.
25
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR YEARS ENDED DECEMBER 31,
<TABLE>
<CAPTION>
======================================================================================================================
MONEY MARKET PORTFOLIO
===========================================================
1999 1998 1997 1996 1995
======================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Income from investment operations:
Net investment income ................................ 0.05 0.05 0.05 0.05 0.06
Net realized and unrealized gains (losses)
on investments ..................................... -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations ..... 0.05 0.05 0.05 0.05 0.06
- ----------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income .................. (0.05) (0.05) (0.05) (0.05) (0.06)
Distribution of net capital gains ..................... -- -- -- -- --
Return of capital ..................................... -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------
Total distributions ................................ (0.05) (0.05) (0.05) (0.05) (0.06)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period ................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======================================================================================================================
Total return (a) (b) ..................................... 4.87% 5.21% 5.25% 5.13% 5.46%
Ratios/supplemental data:
Net assets (dollars in thousands), end of period ....... $ 85,692 $ 21,218 $ 8,603 $ 6,985 $ 5,396
Ratio of expenses to average net assets ................ 0.40% 0.45% 0.45% 0.45% 0.45%
Ratio of total expenses to average net assets (b) ...... 0.65% 0.54% 0.53% 0.59% 0.52%
Ratio of net investment income to average net assets (b) 4.93% 5.08% 5.14% 5.03% 5.46%
Portfolio turnover rate ................................ N/A N/A N/A N/A N/A
</TABLE>
- -----------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser has contractually agreed to waive their fees and/or reimburse
the Portfolio through April 30, 2000 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.45 percent.
26
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR YEARS ENDED DECEMBER 31,
<TABLE>
<CAPTION>
======================================================================================================================
GOVERNMENT SECURITIES PORTFOLIO
===========================================================
1999 1998 1997 1996 1995
======================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ........... $ 12.15 $ 12.04 $ 11.94 $ 12.38 $ 11.09
Income from investment operations:
Net investment income ................................ 0.64 0.69 0.73 0.72 0.75
Net realized and unrealized gains (losses)
on investments ..................................... (1.19) 0.14 0.23 (0.41) 1.12
- ----------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations ..... (0.55) 0.83 0.96 0.31 1.87
- ----------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income .................. (0.64) (0.72) (0.86) (0.71) (0.58)
Distribution of net capital gains ..................... -- -- -- (0.04) --
Return of capital ..................................... -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------
Total distributions ................................ (0.64) (0.72) (0.86) (0.75) (0.58)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period ................. $ 10.96 $ 12.15 $ 12.04 $ 11.94 $ 12.38
======================================================================================================================
Total return (a) (b) ..................................... -2.48% 7.07% 8.26% 2.75% 17.35%
Ratios/supplemental data:
Net assets (dollars in thousands), end of period ....... $ 13,104 $ 7,907 $ 4,270 $ 4,024 $ 4,613
Ratio of expenses to average net assets ................ 0.66% 0.70% 0.70% 0.70% 0.70%
Ratio of total expenses to average net assets (b) ...... 0.66% 0.96% 0.92% 0.91% 0.78%
Ratio of net investment income to average net assets (b) 5.61% 5.63% 6.05% 6.02% 6.27%
Portfolio turnover rate ................................ 168.69% 67.49% 195.08% 157.62% 284.31%
</TABLE>
- -----------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser has contractually agreed to waive their fees and/or reimburse
the Portfolio through April 30, 2000 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.70 percent.
27
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR YEARS ENDED DECEMBER 31,
<TABLE>
<CAPTION>
======================================================================================================================
FIXED INCOME PORTFOLIO
===========================================================
1999 1998 1997 1996 1995
======================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ........... $ 10.05 $ 10.14 $ 9.97 $ 10.15 $ 9.45
Income from investment operations:
Net investment income ................................ 0.62 0.64 0.65 0.66 0.68
Net realized and unrealized gains (losses)
on investments ..................................... (0.66) (0.03) 0.31 (0.18) 0.99
- ----------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations ..... (0.04) 0.61 0.96 0.48 1.67
- ----------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income .................. (0.62) (0.64) (0.79) (0.66) (0.97)
Distribution of net capital gains ..................... -- -- -- -- --
Return of capital ..................................... -- (0.06) -- -- --
- ----------------------------------------------------------------------------------------------------------------------
Total distributions ................................ (0.62) (0.70) (0.79) (0.66) (0.97)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period ................. $ 9.39 $ 10.05 $ 10.14 $ 9.97 $ 10.15
======================================================================================================================
Total return (a) (b) ..................................... -0.44% 6.17% 9.97% 4.97% 18.25%
Ratios/supplemental data:
Net assets (dollars in thousands), end of period ....... $ 28,899 $ 23,985 $ 21,277 $ 17,463 $ 16,046
Ratio of expenses to average net assets ................ 0.67% 0.70% 0.70% 0.70% 0.70%
Ratio of total expenses to average net assets (b) ...... 0.67% 0.80% 0.77% 0.77% 0.74%
Ratio of net investment income to average net assets (b) 6.46% 6.24% 6.50% 6.65% 6.78%
Portfolio turnover rate ................................ 337.26% 321.09% 276.46% 276.35% 225.41%
</TABLE>
- -----------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser has contractually agreed to waive their fees and/or reimburse
the Portfolio through April 30, 2000 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.70 percent.
28
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR YEARS ENDED DECEMBER 31,
<TABLE>
<CAPTION>
======================================================================================================================
BALANCED PORTFOLIO
===========================================================
1999 1998 1997 1996 1995
======================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ........... $ 13.67 $ 13.32 $ 13.47 $ 12.39 $ 11.04
Income from investment operations:
Net investment income ................................ 0.42 0.43 0.44 0.42 0.51
Net realized and unrealized gains (losses)
on investments ..................................... 3.72 0.96 2.12 2.77 2.97
- ----------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations ..... 4.14 1.39 2.56 3.19 3.48
- ----------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income .................. (0.42) (0.43) (2.20) (2.07) (1.83)
Distribution of net capital gains ..................... (2.74) -- (0.51) (0.04) (0.30)
Return of capital ..................................... -- (0.61) -- -- --
- ----------------------------------------------------------------------------------------------------------------------
Total distributions ................................ (3.16) (1.04) (2.71) (2.11) (2.13)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period ................. $ 14.65 $ 13.67 $ 13.32 $ 13.47 $ 12.39
======================================================================================================================
Total return (a) (b) ..................................... 30.83% 10.37% 17.85% 28.30% 31.49%
Ratios/supplemental data:
Net assets (dollars in thousands), end of period ....... $ 51,941 $ 45,904 $ 27,922 $ 16,732 $ 9,583
Ratio of expenses to average net assets ................ 0.73% 0.75% 0.75% 0.75% 0.75%
Ratio of total expenses to average net assets (b) ...... 0.83% 0.84% 0.84% 0.95% 0.87%
Ratio of net investment income to average net assets (b) 2.89% 3.25% 3.14% 3.15% 4.11%
Portfolio turnover rate ................................ 343.43% 336.30% 369.39% 208.13% 194.16%
</TABLE>
- -----------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser has contractually agreed to waive their fees and/or reimburse
the Portfolio through April 30, 2000 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.75 percent.
29
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR YEARS ENDED DECEMBER 31,
<TABLE>
<CAPTION>
======================================================================================================================
EQUITY PORTFOLIO
===========================================================
1999 1998 1997 1996 1995
======================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ........... $ 21.59 $ 20.16 $ 21.85 $ 18.84 $ 16.54
Income from investment operations:
Net investment income ................................ -- 0.11 0.06 0.01 0.34
Net realized and unrealized gains (losses)
on investments ..................................... 10.63 3.09 4.06 8.17 5.68
- ----------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations ..... 10.63 3.20 4.12 8.18 6.02
- ----------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income .................. -- (0.27) (4.23) (4.21) (2.81)
Distribution of net capital gains ..................... (9.04) (0.48) (1.58) (0.96) (0.91)
Return of capital ..................................... -- (1.02) -- -- --
- ----------------------------------------------------------------------------------------------------------------------
Total distributions ................................ (9.04) (1.77) (5.81) (5.17) (3.72)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period ................. $ 23.18 $ 21.59 $ 20.16 $ 21.85 $ 18.84
======================================================================================================================
Total return (a) (b) ..................................... 50.28% 15.62% 18.68% 44.99% 36.30%
Ratios/supplemental data:
Net assets (dollars in thousands), end of period ....... $300,437 $235,001 $216,986 $171,332 $109,636
Ratio of expenses to average net assets ................ 0.77% 0.80% 0.80% 0.80% 0.80%
Ratio of total expenses to average net assets (b) ...... 0.82% 0.80% 0.80% 0.81% 0.80%
Ratio of net investment income to average net assets (b) -0.10% 0.55% 0.28% 0.06% 1.80%
Portfolio turnover rate ................................ 364.53% 317.91% 234.20% 177.03% 172.55%
</TABLE>
- -----------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser has contractually agreed to waive their fees and/or reimburse
the Portfolio through April 30, 2000 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.80 percent.
30
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF
THE CONSECO SERIES TRUST
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Money Market, Government
Securities, Fixed Income, Balanced and Equity Portfolios (constituting the
Conseco Series Trust, hereafter referred to as the "Fund") at December 31, 1999,
the results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period then ended and
the financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States.
These financial statements and financial highlights (hereinafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility to express an opinion of these financial statements based on our
audits. We conducted our audits of these financial statements in accordance with
auditing standards generally accepted in the United States, which require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 1999 by correspondence with the custodian, provide
a reasonable basis for the opinion expressed above.
/s/ PRICEWATERHOUSECOOPERS LLP
- --------------------------------------
PricewaterhouseCoopers LLP
Indianapolis, Indiana
February 15, 2000
31
<PAGE>
================================================================================
THIS PAGE LEFT INTENTIONALLY BLANK.
32
<PAGE>
CONSECO SERIES TRUST
1999 ANNUAL REPORT
================================================================================
CONSECO SERIES TRUST
BOARD OF TRUSTEES
WILLIAM P. DAVES, JR.
Chairman of the Board
Consultant to the insurance
and healthcare industries
Chairman and CEO, FFG Insurance Co.
MAXWELL E. BUBLITZ, CFA
President
President, CEO and Director
Conseco Capital Management, Inc.
Senior VP, Conseco, Inc.
HAROLD W. HARTLEY, CFA
Director, Ennis Business Forms, Inc.
Former Executive VP, Tenneco
Financial Services, Inc.
DR. R. JAN LECROY
Director, Southwest Securities Group, Inc.
Former President, Dallas Citizens Council
DR. JESS H. PARRISH
Higher education consultant
Former President, Midland College
DAVID N. WALTHALL
Principal, Walthall Asset Management
INVESTMENT ADVISER
Conseco Capital Management, Inc.
Carmel, Indiana
CUSTODIAN
The Bank of New York
New York, New York
INDEPENDENT PUBLIC ACCOUNTANTS
PricewaterhouseCoopers LLP
Indianapolis, Indiana
LEGAL COUNSEL
Kirkpatrick & Lockhart LLP
Washington, D.C.
33
<PAGE>
CONSECO SERIES TRUST IS A REGISTERED INVESTMENT COMPANY MANAGED BY
CONSECO CAPITAL MANAGEMENT, INC., A WHOLLY OWNED SUBSIDIARY OF
CONSECO, INC., A FINANCIAL SERVICES ORGANIZATION HEADQUARTERED IN CARMEL,
INDIANA. CONSECO, THROUGH ITS SUBSIDIARY COMPANIES, IS ONE OF MIDDLE
AMERICA'S LEADING SOURCES FOR INSURANCE, INVESTMENT AND LENDING PRODUCTS,
HELPING 12 MILLION CUSTOMERS STEP UP TO A BETTER, MORE SECURE FUTURE.
Conseco Series Trust
11815 North Pennsylvania Street
Carmel, Indiana 46032
CI-319 (8/99) 06104
(C) 1999 Conseco Series Trust
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