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Previous: PRUDENTIAL GLOBAL GENESIS FUND INC, 497, 1997-02-28 |
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================================================================================
SMALL CAP STOCK PORTFOLIO For the period ended 12/31/96
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
- --------------------------------------------------------------------------------
Despite the strong sell-off in July, the small cap market posted strong gains in
the months following and finished the year at a similar level to the peak it
reached in mid-May. Even with the strong performance of small cap stocks in the
fourth quarter, it continued to trail the return of the S&P 500 for the year.
Small cap stocks did end the year on a positive note, however, as they regained
some ground on large cap stocks during the final days of the year. In fact,
December was the first month since August that small cap stocks outperformed
large cap stocks.
Within the Russell 2000 Index, the energy, banks, savings and loans, and REITs
sectors were the strongest sectors for the fourth quarter as well as the leaders
for the year. Similarly, healthcare was the most significant underperformer for
the quarter and the year.
The Portfolio significantly outperformed the Russell 2000 since inception and
for the fourth quarter of 1996. An attribution analysis indicates that stock
selection was widespread as 14 of 20 sectors outperformed the index. Sectors
contributing the most to performance included basic industry and miscellaneous
services. These sectors were helped by two of the larger holdings in the
Portfolio. Dekalb Genetics had a strong fourth quarter and was the best
performing security in the Portfolio for the year. During the quarter, Dekalb
announced that margins will be higher than originally expected due to good fall
weather and lower production costs. Dekalb continues to be the largest security
in the portfolio and we continue to believe that stock is attractive.
Consolidated Graphics, one of the fastest growing printing companies in the
country, announced that earnings would be above expectations. Results during the
quarter were enhanced by earlier than anticipated completion of several recent
acquisitions. The sectors detracting from performance included consumer stable
and retail.
Entering 1997, the investing environment is remarkably similar to a year ago;
despite some recent slowing, profit growth has been robust, with margins at or
near record levels. We see three positive prospects for the small cap market:
(1) improved relative valuation due to prolonged underperformance relative to
large cap stocks, (2) the likelihood of a stable or additional strengthening of
the dollar, and (3) seasonally, this should be a strong period for small cap
stocks.
TOP 10 LONG-TERM HOLDINGS BY MARKET VALUE
As of 12/31/96
% of Portfolio
--------------
Dekalb Genetics 3.0%
Capital Re 2.9
Internet 2.0
Commercial Metals 1.4
Roosevelt Financial Group 1.3
Applied Power 1.2
MMI 1.2
Network General 1.2
DR Horton 1.1
Colonial Bancgroup 1.0
JAMES B. OTNESS
Portfolio Manager
J.P. Morgan Investment Management Inc.
================================================================================
================================================================================
SMALL CAP STOCK PORTFOLIO, MANAGED BY
J.P. MORGAN INVESTMENT MANAGEMENT VS. RUSSELL 20002
Growth Based on $10,000 invested on 5/1/96
Small Cap Stock Portfolio
managed by JPMIM Russell 2000 Index
------------------------- ------------------
$10,000 10,000
$9,955 9,967
$10,091 10,001
$10,825 10,521
Total Return1
-------------
Since inception+
----------------
Small Cap Stock Portfolio,
managed by JPMIM 8.65%
Russell 20002 5.22%
+Performance is shown from date of initial public offering, May 1, 1996.
1 "Total Return" is calculated including reinvestment of all income dividends
and capital gain distributions. Results represent past performance and do not
indicate future results. The value of an investment in the Small Cap Stock
Portfolio managed by J.P. Morgan Investment Management (JPMIM) and the return on
the investment both will fluctuate, and redemption proceeds may be higher or
lower than an investor's original cost.
2 The Russell 2000 is a capitalized weighted index including 2,000 of the
smallest stocks representing approximately 11% of the U.S. equity market. The
index does not reflect any expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
================================================================================
================================================================================
QUALITY BOND PORTFOLIO For the period ended 12/31/96
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
- --------------------------------------------------------------------------------
After seesawing concerns about the economic growth grabbed headlines throughout
most of the year, U.S. bonds were able to close out 1996 in an environment of
moderate economic growth and subdued inflation. The modest 3.6% gain for the
year seen in the Salomon Brothers BIG Index was largely attributable to its
fourth quarter performance. The 5.0% gain for the year seen in the Merrill Lynch
1-3 Year Index demonstrates that shorter maturities outperformed longer
maturities for the period. Despite a fourth quarter rally on maturities of 1
year or longer, yields rose across the entire maturity spectrum during 1996. The
2-year Treasury note provided a total return of 4.7% for the period while the
long bond returned -4.5%.
The Portfolio's duration decision slightly detracted from its relative returns
in 1996. The negative impact of a longer-than-benchmark duration during the
first half of the year more than offset the positive impact when a similar
strategy was pursued during the second half. In terms of sector strategy, the
Portfolio achieved positive investment results by maintaining overweighted
positions in mortgage-backed securities, asset-backed securities and corporate
bonds while maintaining an underweighted position in U.S. Treasuries throughout
the year. These sectors continue to be supported by sustained mutual fund
inflows, U.S. economic stability, and improving political and fundamental
environments.
Recent figures have reinforced investor hopes that economic growth has slowed to
a sustainable pace and that labor market tightness is not a problem. However, we
continue to believe that evidence reconfirming labor cost pressures will focus
the debate on whether Federal Reserve tightening is ultimately necessary to slow
the economy. We suspect that warning signs of impending inflation may accumulate
sufficiently over the next few months to convince the Federal Reserve's less
hawkish members to engineer an economic slowdown during 1997.
Given this environment, we plan to maintain the Portfolio's duration at close to
neutral in the short-term, despite yields being above our long-term equilibrium
assumption. We currently do not have an information advantage that compels us to
assume a different posture. We also plan to maintain the Portfolio's
overweighted exposure to mortgage-backed securities, asset-backed securities and
corporate bonds
RONALD ARONS
Portfolio Manager
J.P. Morgan Investment Management Inc.
======================================
DISTRIBUTION BY S&P RATING*
As of 12/31/96
A 12.8%
AA 1.6%
AAA 14.3%
BBB 3.1%
Agency 30.4%
Cash 5.0%
Treasury 32.8%
*% of holdings
================================================================================
QUALITY BOND PORTFOLIO, MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
VS. SALOMON BROTHERS BROAD INVESTMENT GRADE BOND INDEX2
Growth Based on $10,000 invested on 5/1/96
Quality Bond Portfolio
managed by JPMIM Salomon Brothers BIG
---------------------- --------------------
$10,000 $10,000
$10,095 $10,124
$10,140 $10,312
$10,577 $10,624
Total Return1
Since inception+
----------------
Quality Bond Portfolio,
managed by JPMIM 5.68%
Salomon Brothers BIG2 6.24%
+Performance is shown from date of initial public offering, May 1, 1996.
1 "Total Return" is calculated including reinvestment of all income dividends
and capital gain distributions. Results represent past performance and do not
indicate future results. The value of an investment in the Quality Bond
Portfolio managed by J.P. Morgan Investment Management (JPMIM) and the return on
the investment both will fluctuate, and redemption proceeds may be higher or
lower than an investor's original cost.
2 The Salomon Brothers Broad Investment Grade Bond Index (BIG) is a
market-capitalized weighted index which includes fixed-rate Treasury, government
sponsored, corporate (Baa3/BBB or better) and mortgage securities. The index
does not reflect any expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
================================================================================
================================================================================
LARGE CAP STOCK PORTFOLIO For the period ended 12/31/96
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
- --------------------------------------------------------------------------------
During the first half of 1996, a calming of inflation and interest rate fears
drove stock prices to new highs. Volatility in the stock market also increased
dramatically during this period. The rally was fueled by a combination of
declining interest rates, expanding corporate earnings and profitability,
continued prospects for benign inflation, and record flows of money into
domestic stock funds.
The stock market continued its record setting pace in the second half of 1996,
despite a veiled warning from Alan Greenspan, the Federal Reserve chairman.
Positive market influences included: weaker economic data which alleviated
concerns about inflationary pressures, earnings announcements which exceeded
expectations, and the election results. The S&P 500 climbed 7.6% in November,
its strongest one-month advance in five years, and 22.96% for the 12-month
period. The larger-capitalization and defensive growth stocks that have led the
market the past two years continued their outperformance. Searching for
turnaround candidates was rewarded in relatively few sectors, with traditional
value factors such as price-to-book having been less effective. Growth stocks
outperformed value stocks by approximately four percentage points over the past
12 months.
The Portfolio's strategy combines key advantages of J.P. Morgan Investment
Management's Active Management (purchasing stocks deemed most attractive while
avoiding overvalued issues) with the reduced expenses and risk relative to the
market found in traditional index funds. The Portfolio maintains broad
diversification of large and mid-cap stocks with a sector-neutral approach
coupled with a continued focus on individual stocks. As breadth returned to the
market in the fourth quarter, the Portfolio outperformed the benchmark by about
thirty basis points.
During 1996, the biggest contributions to performance came from stock picking in
the finance, services, and technology sectors, with Federal National Mortgage
Association, Turner Broadcasting, and Intel as three of the stocks in those
sectors that positively impacted performance since inception. Stock picking in
the health service and multi-industry sectors lagged for the year, with United
Healthcare and General Motors as two examples of stocks from those sectors that
negatively impacted performance.
Entering 1997, the investing environment is remarkably similar to what it was at
the beginning of 1996; despite some recent slowing, profit growth has been
robust, with margins at or near record levels. We believe that some of these
influences are losing momentum or coming to an end. We continue to believe that
higher wage costs, due to a tight labor market, plus an inability for
competitive reasons to pass along cost increases, will generally put pressure on
profit margins. Our diversified approach and aversion to overvalued stocks and
market timing should be beneficial as the large blue-chip stocks, that have
scored impressive gains as of late, turn out of favor as breadth continues to
return to the market.
TOP 10 LONG-TERM HOLDINGS BY MARKET VALUE
As of 12/31/96
% of Portfolio
--------------
Exxon 3.0%
Intel 2.9
Philip Morris 2.8
Royal Dutch Petroleum 2.4
Procter & Gamble 2.4
IBM 2.1
General Electric 1.8
Wal Mart 1.8
Boeing 1.7
Pfizer 1.7
JAMES WIESS
Portfolio Manager
J.P. Morgan Investment Management Inc.
================================================================================
================================================================================
LARGE CAP STOCK PORTFOLIO, MANAGED BY
J.P. MORGAN INVESTMENT MANAGEMENT VS. S&P 500 INDEX2
Growth Based on $10,000 invested on 5/1/96
Large Cap Stock Portfolio
managed by JPMIM S&P 500 Index
------------------------- -------------
$10,000 $10,000
$10,237 $10,288
$10,420 $10,601
$11,467 $11,482
Total Return1
Since inception+
----------------
Large Cap Stock Portfolio,
managed by JPMIM 14.35%
S&P 500 Index2 14.82%
+Performance is shown from date of initial public offering, May 1, 1996.
1 "Total Return" is calculated including reinvestment of all income dividends
and capital gain distributions. Results represent past performance and do not
indicate future results. The value of an investment in the Large Cap Stock
Portfolio managed by J.P. Morgan Investment Management (JPMIM) and the return on
the investment both will fluctuate, and redemption proceeds may be higher or
lower than an investor's original cost.
2 The S&P 500 Index is an unmanaged index generally considered to be
representative of stock market activity. The index does not reflect any
expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
================================================================================
================================================================================
SELECT EQUITY PORTFOLIO For the period ended 12/31/96
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
- --------------------------------------------------------------------------------
During the first half of 1996, a calming of inflation and interest rate fears
drove stock prices to new highs. Volatility in the stock market also increased
dramatically during this period. The rally was fueled by a combination of
declining interest rates, expanding corporate earnings and profitability,
continued prospects for benign inflation, and record flows of money into
domestic stock funds.
The stock market continued its record setting pace in the second half of 1996,
despite a veiled warning from Alan Greenspan, the Federal Reserve chairman.
Positive market influences included: weaker economic data which alleviated
concerns about inflationary pressures, earnings announcements which exceeded
expectations, and the election results. The S&P 500 climbed 7.6% in November,
its strongest one-month advance in five years, and 22.96% for the 12-month
period. The larger-capitalization and defensive growth stocks that have led the
market the past two years continued their outperformance. Searching for
turnaround candidates was rewarded in relatively few sectors, with traditional
value factors such as price-to-book having been less effective. Growth stocks
outperformed value stocks by approximately four percentage points over the past
12 months.
Our approach to investing, which avoids dependence on the strength of a few
stocks or industry sectors, can underperform the broader market when buying is
heavily focused on certain subsets of the market; therefore, the stock picking
lagged in the beginning months, causing the Portfolio to underperform the S&P
500. Since inception, our investment strategy involved maintaining our sector
neutral approach coupled with a continued focus on individual stock selection
with an emphasis on holding a highly diversified selection of value stocks.
During 1996, the biggest contributions to performance came from stock picking in
the finance and transportation sectors, with Union Pacific and Bear Stearns as
two of the stocks in those sectors that positively impacted performance since
inception. Stock picking in the technology and multi-industry sectors lagged for
the year, with General Instrument and General Motors as two examples of stocks
from those sectors that negatively impacted performance.
Entering 1997, the investing environment is remarkably similar to what it was at
the beginning of 1996; despite some recent slowing, profit growth has been
robust, with margins at or near record levels. We believe that some of these
influences are losing momentum or coming to an end. We continue to believe that
higher wage costs, due to a tight labor market, plus an inability for
competitive reasons to pass along cost increases, will generally put pressure on
profit margins. Our diversified approach and aversion to overvalued stocks and
market timing should be beneficial as the large blue-chip stocks, that have
scored impressive gains as of late, turn out of favor as breadth continues to
return to the market.
TOP 10 LONG-TERM HOLDINGS BY MARKET VALUE
As of 12/31/96
% of Portfolio
--------------
Exxon 3.3%
Cooper Industries 3.3
Warner Lambert 2.8
Tele Communications 2.8
Providian 2.6
Procter & Gamble 2.5
Unilever 2.5
Rohr 2.3
DuPont 2.3
Philip Morris 2.2
MICHAEL J. KELLY
Portfolio Manager
J.P. Morgan Investment Management Inc.
================================================================================
================================================================================
SELECT EQUITY PORTFOLIO, MANAGED BY
J.P. MORGAN INVESTMENT MANAGEMENT VS. S&P 500 INDEX2
Growth Based on $10,000 invested on 5/1/96
Select Equity Portfolio
managed by JPMIM S&P 500 Index
----------------------- -------------
$10,000 $10,000
$9,852 $10,288
$10,004 $10,601
$10,837 $11,482
Total Return1
Since inception+
----------------
Select Equity Portfolio,
managed by JPMIM 8.52%
S&P 500 Index2 14.82%
+Performance is shown from date of initial public offering, May 1, 1996.
1 "Total Return" is calculated including reinvestment of all income dividends
and capital gain distributions. Results represent past performance and do not
indicate future results. The value of an investment in the Select Equity
Portfolio managed by J.P. Morgan Investment Management (JPMIM) and the return on
the investment both will fluctuate, and redemption proceeds may be higher or
lower than an investor's original cost.
2 The S&P 500 Index is an unmanaged index generally considered to be
representative of stock market activity. The index does not reflect any
expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
================================================================================
================================================================================
INTERNATIONAL EQUITY PORTFOLIO For the period ended 12/31/96
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
- --------------------------------------------------------------------------------
International equity markets continued to make progress the fourth quarter and
for the calendar year despite the U.S. Dollar having a negative impact on
benchmark returns. Returns in many European markets were ahead of the U.S.
market. The strongest European markets in 1996 were Spain (+50.2%), Finland
(+42.2%), Sweden (+41.4%), and the Netherlands (+37.6%). The weakest market was
Italy which rose only 7.9% during the year. The advance in Spain was driven
mostly by interest rates, which have fallen by around 100 basis points during
the fourth quarter and increased liquidity flows in the equity markets by
private investors moving away from less attractive money market funds. The
strength of Finland's equity market was primarily due to Nokia (43% of the
market), which was up almost 50% for the year. The Dutch market saw mixed
performance in the fourth quarter, starting off with a series of profit
warnings, then boosted by strong results in the financial sector, in particular
ABN Amro's decision to buy Standard Federal Bank in the U.S.
During the final quarter of 1996, the Japanese market continued its downward
trend, returning -7.8% for the year. The market remained unexcited about the
general election of Japan's Diet in October, although was driven by aggressive
buying into international blue chips such as Honda Motor by a handful of large
U.S. investors in November. Hong Kong, the top performing market in the Pacific
Rim (+33.1%) for the year, surged 12.2% during the final quarter, driven by
lower U.S. rates, a continuing economic recovery and a strengthening property
market.
Within the Pacific Rim, stock picking in Hong Kong, Malaysia, Australia and
Singapore contributed to returns. In Europe, stock picking in Germany, Italy,
the Netherlands, and Switzerland also contributed to performance while selection
in France slightly lagged the benchmark. In terms of currency allocation,
hedging out of the Yen into the U.S. Dollar was a positive move for the
Portfolio as was taking advantage of the strong Sterling appreciation in the
fourth quarter. Country allocation in Europe, particularly overweighting France,
Germany, Spain, Italy, and Norway made a contribution to performance. However,
underweighting the strong markets of Switzerland, the Netherlands and Sweden
offset some of the fund's performance compared to the index.
In an environment of continued low interest rates and a positive earnings cycle
in both Continental Europe and Japan, there exists potential for reasonable
equity returns close to the long term average. Although markets would inevitably
be hurt by a sudden fall in U.S. stock prices, we believe that fundamentally
European valuations are more reasonable and that these markets will outperform
the U.S. in 1997.
Within Europe, valuations in the major markets are now close to fair value and
as a consequence we are looking to reduce our overweighted positions slightly in
France and Germany. However, we believe that there is still positive earnings
momentum in these markets. Our strategy also favors the smaller markets of
Spain, Belgium and Ireland where valuations are more compelling.
In the Pacific Rim, we remain neutral on Japanese stocks. Although valuations
are improving in Japan, oversupply and sagging investor confidence is still
weighing on the market. New Zealand and Australian stocks continue to offer good
value, however. We also expect to remain relatively neutral compared to the
benchmark in both Singapore and Hong Kong and to be underweighted in Malaysia.
======================================
FOREIGN INVESTMENT BY COUNTRY
As of 12/31/96
Australia 4.2%
France 12.1%
Germany 14.6%
Hong Kong 4.9%
Japan 14.6%
Netherlands 5.5%
Other 19.3%
Spain 4.3%
UK 20.5%
ANNE RICHARDS
Portfolio Manager
J.P. Morgan Investment Management Inc.
================================================================================
================================================================================
INTERNATIONAL EQUITY PORTFOLIO, MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
VS. MSCI EAFE INDEX2
Growth Based on $10,000 invested on 5/1/96
International Equity Portfolio
managed by JPMIM MSCI EAFE Index
------------------------------ ---------------
$10,000 $10,000
$10,172 $9,876
$10,149 $9,871
$10,860 $10,036
Total Return1
Since inception+
----------------
International Equity Portfolio,
managed by JPMIM 8.44%
MSCI EAFE Index2 .36%
+Performance is shown from date of initial public offering, May 1, 1996.
1 "Total Return" is calculated including reinvestment of all income dividends
and capital gain distributions. Results represent past performance and do not
indicate future results. The value of an investment in the International Equity
Portfolio managed by J.P. Morgan Investment Management (JPMIM) and the return on
the investment both will fluctuate, and redemption proceeds may be higher or
lower than an investor's original cost.
2 The Morgan Stanley Capital International Europe, Australia, and Far East Index
(MSCI EAFE) is an aggregate of 15 individual country indices that collectively
represent many of the major markets of the world. The index does not reflect any
expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
================================================================================
================================================================================
LORD ABBETT BOND DEBENTURE PORTFOLIO For the period ended 12/31/96
Letter to Policyholders
- --------------------------------------------------------------------------------
Throughout 1996, the Portfolio benefited from its value style, as well as its
emphasis on high-yield corporate bonds and convertible issues. Returns on these
securities are related to the individual issuer's business strategy and
financial results and less dependent upon the movement of interest rates.
Therefore, the portfolio was able to post attractive gains during a period of
rising interest rates by focusing on companies with improving fundamentals and
rising earnings.
In addition, the Portfolio profited from its convertible debt holdings in the
energy, financial and technology sectors. These issues, which were purchased
when they were out of favor in the marketplace, provided strong appreciation as
they rebounded toward the end of the year.
Heading into 1997, we expect economic growth to slow to approximately 2% or less
and inflation to average between 2-1/2% - 3%. We will continue to utilize
in-depth research to uncover investment opportunities, focusing on companies
with strong balance sheets and competitive market position.
CHRISTOPHER J. TOWLE
Portfolio Manager
Lord, Abbett & Co.
TOP 10 HOLDINGS BY MARKET VALUE
As of 12/31/96
% of Portfolio
--------------
U.S. Treasury Note (6% due 8/15/2005) 6.6%
FNMA 5.5
U.S. Treasury Note (8.5% due 7/15/1997) 3.3
Fuji International Finance Trust* 2.4
Ocwen Financial Corp. 2.2
U.S. Can Corp. 2.1
Omnicom Group Inc. 2.0
Rayovac Corp. 2.0
Flores & Rucks Inc. 1.7
Ryder TRS 1.7
PORTFOLIO FACTS
As of 12/31/96
Duration 6.0 years
Average Yield 8.6%
Average Coupon 8.0%
*Preferred Stock Investment
======================================
DISTRIBUTION OF HOLDINGS
As of 12/31/96
Convertibles 25.0%
High Yield 58.0%
Short-Term Securities
and Cash 1.8%
U.S. Government 15.2%
======================================
DISTRIBUTION BY S&P RATING
As of 12/31/96
A 8.76%
AA 1.90%
AAA 16.98%
B 51.10%
BB 7.61%
BBB 10.24%
NR 3.41%
================================================================================
LORD ABBETT BOND DEBENTURE PORTFOLIO
Growth Based on $10,000 invested on 5/1/96
Lord Abbett Bond First Boston High Merrill Lynch Salomon Brothers Broad
Debenture Portfolio Yield Index Convertible Index Investment Grade Index
$10,000 $10,000 $10,000 $10,000
$10,202 $10,158 $10,068 $10,124
$10,718 $10,539 $10,303 $10,312
$11,359 $11,004 $10,601 $10,624
Total Return1
Since inception+
----------------
Lord Abbett Bond
Debenture Portfolio 12.89%
First Boston High Yield Index2 10.04%
Salomon Brothers Broad
Investment High Grade Index2 6.24%
Merrill Lynch Convertible Index2 6.01%
+Performance is shown from date of initial public offering, May 1, 1996.
1 "Total Return" is calculated including reinvestment of all income dividends
and capital gain distributions. Results represent past performance and do not
indicate future results. The value of an investment in the Lord Abbett Bond
Debenture Portfolio and the return on the investment both will fluctuate, and
redemption proceeds may be higher or lower than an investor's original cost.
2 The First Boston High Yield Index is representative of the lower rated debt
(including straight-preferred stocks) investments in the portfolio; the Merrill
Lynch Convertible Index is representative of the equity-related securities in
the portfolio; and Salomon Brothers Broad Investment High Grade Index is
representative of the high-grade debt in the portfolio. The three indices chosen
have elements of these three categories, but since there is no one index
combining all three categories, these three separate indices may not be a valid
comparison for the Portfolio. You may not directly invest in any of these
indices. The indices do not reflect any expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software and Bloomberg. Comparison line graphs chart
the hypothetical growth of $10,000 over a given historical period of time.
Although data are gathered from reliable sources, accuracy and completeness
cannot be guaranteed.
================================================================================
================================================================================
QUALITY INCOME PORTFOLIO For the 12-month period ended 12/31/96
MANAGED BY VAN KAMPEN AMERICAN CAPITAL
INVESTMENT ADVISORY CORP.
Letter to Policyholders
- --------------------------------------------------------------------------------
For the 1996 calendar year, intermediate term rates rose more than 80 basis
points (bps) while the yield of the long treasury bond rose 70 bps. Market
expectations about the direction of interest rates continue to call for higher
rates across the yield curve. The year-end slope of the yield curve as measured
by the spread between two and ten year treasuries stood at 57 bps suggesting
moderate economic growth in 1997.
Duration-neutral agencies outperformed treasuries by 32 bps last year, while
callable agency yields increased modestly. With corporate spreads remaining
tight all year, agencies have issued more callable paper meeting the market
demand for a higher yielding product. Given the narrowness of agency spreads, we
expect to move from an overweighted position to a neutral position in 1997.
The mortgage sector completed 1996 as the top performing domestic sector with
5.4% return. Mortgages performed well for the year due to continued low
volatility and a modest increase in yields. We have maintained a 10%
overweighting in mortgages and are looking for opportunities to increase our
position. Asset-backed securities continued to experience spread tightening last
year despite concerns about increasing credit card delinquency rates. Asset
backed securities are still viewed as a safe alternative to the corporate
sector.
Despite a slowing growth in corporate earnings, corporate spreads remained
relatively narrow in 1996. Corporates continued to be buoyed by both solid
economic fundamentals and technical factors (i.e., strong demand for dollar
assets). Looking ahead, corporate spreads should be relatively stable depending
on the degree of the slowdown in corporate earnings. The biggest concern will be
event risk related to either merger activity or credit surprise. In order to
minimize these risks, we expect to maintain a broadly diversified portfolio of
corporate issues.
A building supply of municipal issues in November pushed yield ratios to the
most attractive level of the year. Year-end seasonal factors resurfaced during
late December and should continue to manifest themselves into January. From that
point on we expect net supply to be positive. With increased issuance, municipal
yield spreads should widen again.
Looking ahead, the likely scenario for 1997 is that inflation and growth will be
similar to what we saw in 1996, about 2%-3% growth of GDP and inflation
relatively controlled at around 2%-21/2%. Of course, this doesn't mean 1997 will
not present risks, especially in relation to inflation. Based on employment
statistics, we're starting to see some wage inflation flowing through and high
oil prices will continue to have an adverse effect. In general, we think the
economy may closely mirror what we experienced in 1996.
ROBERT J. HICKEY
Portfolio Manager
Van Kampen American Capital
Investment Advisory Corp.
======================================
PORTFOLIO BY SECTOR
As of 12/31/96
Asset Backed Securities 2.76%
Corpoate Bonds 47.32%
Foreign Bonds/Debt 15.28%
Medium Term Securities 3.44%
Mortgage Backed 2.03%
Repurchase Agreements 4.57%
U.S. Treasuries/Agencies 24.60%
================================================================================
================================================================================
VAN KAMPEN AMERICAN CAPITAL QUALITY INCOME PORTFOLIO VS. LEHMAN BROTHERS
GOVERNMENT/CORPORATE BOND INDEX2
Growth Based on $10,000 invested on 1/1/90
VKAC Quality Lehman Brothers
Income Portfolio Gov't/Corp. Bond Index
---------------- ----------------------
$10,000 $10,000
$9,915 $9,885
$10,208 $10,241
$10,281 $10,303
$10,819 $10,828
$11,046 $11,120
$11,216 $11,288
$11,838 $11,937
$12,516 $12,574
$12,316 $12,386
$12,792 $12,887
$13,485 $13,517
$13,487 $13,528
$14,159 $14,157
$14,566 $14,582
$15,128 $15,064
$15,042 $15,020
$14,532 $14,550
$14,339 $14,369
$14,367 $14,440
$14,392 $14,493
$15,032 $15,215
$16,075 $16,202
$16,380 $16,512
$17,194 $17,282
$16,827 $16,877
$16,912 $16,957
$17,151 $17,256
$17,663 $17,783
Average Annual Return1
----------------------
1 Year 5 Years Since inception+
------ ------- ----------------
VKAC Quality
Income Portfolio 2.82% 6.76% 8.04%
Lehman Brothers
Gov't./Corp. Bond Index2 2.90% 7.18% 8.57%
+Portfolio is shown from first full month since inception.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Van Kampen
American Capital (VKAC) Quality Income Portfolio and the return on the
investment both will fluctuate, and redemption proceeds may be higher or lower
than an investor's original cost.
2 The Lehman Brothers Government/Corporate Bond Index is comprised of all
publicly issued, non-convertible, domestic debt of the U.S. Government or any
agency thereof, quasi-Federal Corporation, or corporate debt guaranteed by the
U.S. Government and all publicly issued, fixed-rate non-convertible, domestic
debt of the four domestic major corporate classifications: industrial, utility,
financial and Yankee bond. The index does not reflect any expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
================================================================================
================================================================================
HIGH YIELD PORTFOLIO For the 12-month period ended 12/31/96
MANAGED BY VAN KAMPEN AMERICAN CAPITAL
INVESTMENT ADVISORY CORP.
Letter to Policyholders
- --------------------------------------------------------------------------------
The High Yield Portfolio posted a solid total return in 1996. The gain was
better than that of Treasury bonds, but lagged overall returns of stocks. The
high yield market's solid performance resulted from two primary factors. First,
general economic conditions were favorable, with modest growth and low
inflation. Second, technical conditions were strong during the year, as money
flowed into the market from mutual fund investors as well as institutional
investors and new participants.
We currently have six analysts working full time analyzing the credit quality of
our high yield bond holdings and prospective investments. Our credit selection
process continued to provide good results during the period. For example, we
were able to avoid defaults among companies held in the portfolio. We also
experienced gains from positive developments such as mergers with higher quality
companies and tender offers for bonds held.
At the current time, we are somewhat cautious regarding the high yield market's
prospects for 1997. We expect high yield companies to show mixed performance as
long as the economy continues its current slow growth. However, we believe the
portfolio is positioned to perform well under these conditions. To help us
obtain the portfolio's objectives, we have underweighted bonds in the cyclical
industries, and we will continue to emphasize quality in the credit selection
process
ANNE LORSUNG
Portfolio Manager
Van Kampen American Capital
Investment Advisory Corp.
TOP 10 LONG-TERM HOLDINGS BY MARKET VALUE
As of 12/31/96
% of Portfolio
--------------
Thrifty Payless 1.8%
IXC Communications 1.7
Selmer 1.7
Connecticut Yankee 1.6
Fonorola 1.6
Communications & Power 1.6
Waban 1.6
AES 1.5
SCI TV 1.5
Tally 1.5
======================================
DISTRIBUTION BY MOODY'S RATING
As of 12/31/96
Aaa 1.4%
Ba1 4.3%
Ba2 4.0%
Ba3 18.4%
B1 17.0%
B2 27.9%
B3 22.5%
Caa 1.2%
Other 3.3%
================================================================================
================================================================================
VAN KAMPEN AMERICAN CAPITAL
HIGH YIELD PORTFOLIO VS. SALOMON BROTHERS
HIGH YIELD INDEX-COMPOSITE2
Growth Based on $10,000 invested on 1/1/90
VKAC High Salomon Brothers
Yield Portfolio High Yield Index
--------------- ----------------
$10,000 $10,000
$10,073 $9,706
$10,458 $10,090
$10,173 $9,200
$10,186 $9,252
$11,358 $11,065
$11,908 $11,786
$12,577 $12,546
$13,064 $13,251
$14,313 $14,244
$14,606 $14,808
$15,473 $15,473
$15,554 $15,674
$15,859 $16,690
$17,653 $17,471
$17,988 $17,873
$18,972 $18,548
$18,691 $18,068
$18,498 $17,910
$18,254 $18,218
$18,114 $17,887
$18,907 $19,235
$19,804 $20,559
$20,486 $21,211
$21,137 $22,131
$21,610 $22,376
$21,936 $22,562
$22,738 $23,528
$23,588 $24,619
Average Annual Return1
----------------------
1 Year 5 Years Since inception+
------ ------- -----------------
VKAC High
Yield Portfolio 11.29% 12.50% 13.05%
Salomon Brothers
High Yield Index2 11.24% 13.17% 13.55%
+Portfolio is shown from first full month since inception.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Van Kampen
American Capital (VKAC) High Yield Portfolio and the return on the investment
both will fluctuate, and redemption proceeds may be higher or lower than an
investor's original cost.
2 The Salomon Brothers High Yield Index-Composite tracks the composite high
yield market excluding issues with less than 7 years maturity. The index does
not reflect any expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
================================================================================
================================================================================
STOCK INDEX PORTFOLIO For the 12-month period ended 12/31/96
MANAGED BY VAN KAMPEN AMERICAN CAPITAL
INVESTMENT ADVISORY CORP.
Letter to Policyholders
- --------------------------------------------------------------------------------
Stock markets around the world rallied considerably in 1996, but few countries
were able to match the returns generated by the U.S. stock market. Low inflation
and interest rates, steady corporate profit growth, and insatiable investor
demand for shares of equity mutual funds combined to provide another year of
exceptional returns for equities as the Standard & Poor's 500 Index generated a
total return of 22.96% for the year.
The nature of the stock market rally in 1996 was drastically different from that
of 1995. In 1995, the stock market was driven by a 193 basis point decline in
long-term interest rates and an 18% increase in corporate earnings. In contrast,
long-term rates in 1996 increased by 69 basis points and corporate profits grew
by a more modest 8%. The 1996 rally owes much credit to record investor flows
into equity mutual funds as well as an increase in investors' willingness to
take on more risk in their search for capital gains. Investment flows into
equity mutual funds topped $220 billion in 1996. Even after subtracting the
liquidation of almost $90 billion of non-mutual fund equity holdings by
investors, net inflows to equities for the year exceeded the combined annual
savings of every American.
As 1997 gets underway and the economy enters into its seventh consecutive year
of expansion, many analysts have once again dusted off their perennial list of
fears for the new year. Some argue that stock prices tend to perform poorly in
the year following a presidential election, or the year following two
consecutive years of phenomenal performance. However, we believe that the
fundamental underpinnings that have provided us with this dramatic bull market
remain in place. Moderate economic growth, steady corporate profit growth,
sustained investor flows into equities and favorable inflation and interest
rates are expected to continue. While these factors currently remain favorable,
deterioration in any of these fundamental underpinnings may lead to significant
increases in volatility and potential declines in share prices.
Specifically, corporate profits are expected to experience a decline in their
rate of growth. At some point, declining profit margins will not go unnoticed by
investors and significant investment gains will be much harder to achieve;
however, at this time, investors appear comfortable with the risks inherent in
equity investments.
As long as investors' expectations of 1997's performance more closely
approximate the stock market's long term average market returns, we believe the
Stock Index Portfolio will continue to offer favorable returns in the year
ahead.
TOP 10 LONG-TERM HOLDINGS BY MARKET VALUE
As of 12/31/96
% of Portfolio
--------------
General Electric Co. 3.00%
Coca-Cola 2.43
Intel Corp. 2.05
Exxon 2.05
Microsoft 1.80
Merck 1.79
Philip Morris 1.65
Royal Dutch Petroleum 1.63
IBM 1.49
Procter & Gamble 1.29
PETE PAPAGEORGAKIS
Portfolio Manager
Van Kampen American Capital
Investment Advisory Corporation
================================================================================
================================================================================
VAN KAMPEN AMERICAN CAPITAL STOCK INDEX PORTFOLIO VS. S&P 500 INDEX2
Growth Based on $10,000 invested on 12/1/91
VKAC Stock
Index Portfolio S&P 500 Index
--------------- -------------
$10,000 $10,000
$10,570 $11,143
$10,279 $10,865
$10,470 $11,066
$10,764 $11,412
$11,219 $11,989
$11,627 $12,517
$11,686 $12,573
$11,948 $12,896
$12,231 $13,196
$11,711 $12,697
$11,716 $12,746
$12,222 $13,367
$12,156 $13,362
$13,364 $14,667
$14,763 $16,060
$16,188 $17,326
$17,451 $18,367
$18,411 $19,355
$19,256 $20,216
$19,821 $20,832
$21,632 $22,563
Average Annual Return1
----------------------
1 Year 5 Year Since inception+
------ ------ ----------------
VKAC Stock
Index Portfolio 22.48% 14.13% 16.10%
S&P 500 Index2 22.96% 15.15% 17.36%
+Portfolio is shown from first full month since inception.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Van Kampen
American Capital (VKAC) Stock Index Portfolio and the return on the investment
both will fluctuate, and redemption proceeds may be higher or lower than an
investor's original cost.
2 The S&P 500 Index is an unmanaged index generally considered to be
representative of stock market activity. The index does not reflect any
expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
================================================================================
================================================================================
GROWTH AND INCOME PORTFOLIO For the 12-month period ended 12/31/96
MANAGED BY VAN KAMPEN AMERICAN CAPITAL
INVESTMENT ADVISORY CORP.
Letter to Policyholders
- --------------------------------------------------------------------------------
Moderate economic growth, benign inflation, and favorable corporate profits
helped the stock market register another banner year in 1996. In general, it was
a year in which the stocks of larger companies performed better than the stocks
of smaller companies, which benefited this Portfolio since we invest more in
larger capitalized, blue chip companies. Playing a lead role in the Portfolio's
performance this year were technology picks, which generated about a 37% return.
As in years' past, we focused on stock selection, identifying those companies
that we believe were poised to benefit from a restructuring or repositioning. As
an example, we took a relatively large position in Lucent Technologies with the
expectation of capturing growth in the expanding telecommunications arena. We
felt the company would be able to successfully market its technologies when
unbridled from AT&T. The company's IPO opened at 28 in March and closed the year
at about 46. In the energy sector, Texaco gave the portfolio a boost by
outperforming the market and delivering an impressive yield. Texaco has become a
more focused company. They've sold all their chemical operations in the last
couple of years and have formed joint ventures for some of their refinery and
marketing operations. In addition, the company is experiencing an increase in
production of oil and gas that is in excess of the industry.
While a strong market in 1996 was not surprising, its performance exceeded our
initial expectations. Early in the year, we cautiously positioned the portfolio;
however, as the year evolved, all the fundamentals were in place for the
market's ascent. While there was some turbulence along the way, we viewed these
temporary downturns as buying opportunities. As an example, we added to our
technology holdings in August and September, which as we noted earlier,
contributed greatly to the portfolio's performance.
Looking ahead, we think the prospects for the stock market will be positive in
1997, although we would caution investors not to expect the exceptional gains
witnessed in 1995 and 1996. Fundamentally, we don't see all the pieces in place
to push the economy much higher, so we look for low to moderate growth. Our
greatest fear is inflation, which we think may notch up slightly during the
year. As long as rates remain about the same, we expect a favorable environment
for stocks in 1997.
TOP 10 LONG-TERM HOLDINGS BY MARKET VALUE
As of 12/31/96
% of Portfolio
--------------
Texaco 2.56%
AT&T 2.37
Bankamerica 1.87
Federated Department Stores 1.76
Philip Morris 1.71
Royal Dutch Petroleum 1.55
Crown Cork & Seal 1.47
SmithKline Beecham 1.44
3 Com Corp. 1.29
Canadian Pacific 1.27
JAMES A. GILLIGAN
Portfolio Manager
Van Kampen American Capital
Investment Advisory Corp.
================================================================================
================================================================================
VAN KAMPEN AMERICAN CAPITAL GROWTH AND INCOME PORTFOLIO VS. S&P 500 INDEX2
Growth Based on $10,000 invested on 6/1/92
VKAC Growth and Income Portfolio S&P 500 Index
-------------------------------- -------------
$10,000 $10,000
$9,750 $9,851
$9,962 $10,159
$10,569 $10,673
$11,226 $11,143
$11,527 $11,193
$12,143 $11,480
$12,234 $11,747
$11,746 $11,304
$11,342 $11,347
$11,858 $11,900
$11,634 $11,895
$12,498 $13,057
$13,581 $14,297
$14,862 $15,424
$15,948 $16,351
$16,737 $17,230
$17,082 $17,997
$17,466 $18,545
$18,998 $20,086
Average Annual Return1
----------------------
1 Year Since inception+
------ ----------------
VKAC Growth and
Income Portfolio 18.18% 13.50%
S&P 500 Index2 22.96% 16.44%
+Portfolio is shown from first full month since inception.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Van Kampen
American Capital (VKAC) Growth and Income Portfolio and the return on the
investment both will fluctuate, and redemption proceeds may be higher or lower
than an investor's original cost.
2 The S&P 500 Index is an unmanaged index generally considered to be
representative of stock market activity. The index does not reflect any
expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
Cova from CDA Wiesenberger HySales software. Comparison line graphs chart the
hypothetical growth of $10,000 over a given historical period of time. Although
data are gathered from reliable sources, accuracy and completeness cannot be
guaranteed.
================================================================================
================================================================================
MONEY MARKET PORTFOLIO For the 12-month period ended 12/31/96
MANAGED BY VAN KAMPEN AMERICAN CAPITAL
INVESTMENT ADVISORY CORP.
Letter to Policyholders
- --------------------------------------------------------------------------------
In 1996, the year got off to a fast start as the Federal Reserve Board cut the
Federal Funds rate in January by a quarter of a point from 5.50% to 5.25%. With
little sign of inflation, it appeared evident that there would be future
interest rate adjustments to follow. However, to the disappointment of many, the
Fed would not adjust the Federal Funds Rate for the remainder of the year. The
Portfolio remained in a neutral posture for the first quarter of the year,
keeping a weighted average maturity of 50 days or shorter.
As the summer approached and the hopes of an interest-rate easing faded, wage
pressures brought back fears of increased inflation. Yields on 3-month
commercial paper peaked during the month of July. The Portfolio maintained a
very defensive structure during this period, shortening the weighted average
maturity to 25 days.
In the fall, the economic data once again pointed to a slower growth scenario,
and inflation fears subsided. We extended the Portfolio's maturity to 68 days in
late October by locking in higher yields on longer maturing securities such as
commercial paper and agency discount notes.
Year-end concerns and volatile markets caused another back-up in rates in
December. The Portfolio increased its weighting in cash in order to become more
defensive and to pick up on the seasonal jump in the overnight repo rate. For
the year, the Portfolio realized a 5.42% total return.
The strategy of the Portfolio remains to achieve competitive yield by investing
in only the highest rated and most liquid of securities.
In the future, we believe that inflation pressures will find their way back into
the market. We look for the Federal Reserve Board to increase the Fed Funds Rate
in the first half of 1997. Therefore, the Portfolio will continue to emphasize
securities with shorter maturities in anticipation of higher rates.
REID HILL
Portfolio Manager
Van Kampen American Capital
Investment Advisory Corp.
======================================
PORTFOLIO BY SECTOR
As of 12/31/96
Bankers Acceptances 7.50%
Commerical Paper 34.97%
Government/Agency 13.22%
Municipal Obligations 4.91%
Repurchase Agreements 11.11%
Variable Rate Demand
Obligations 28.29%
================================================================================
KPMG Peat Marwick LLP
REPORT OF INDEPENDENT AUDITORS'
The Board of Trustees
Cova Series Trust:
We have audited the accompanying statements of assets and liabilities of Small
Cap Stock Portfolio, Quality Bond Portfolio, Select Equity Portfolio, Large Cap
Stock Portfolio, International Equity Portfolio, Bond Debenture Portfolio, Money
Market Portfolio, Quality Income Portfolio, Stock Index Portfolio, Growth and
Income Portfolio and High Yield Portfolio, portfolios of Cova Series Trust
(formerly the Van Kampen Merritt Series Trust), including the portfolios of
investments, as of December 31, 1996 and the related statements of operations
for the year or period then ended and statements of changes in net assets for
each of the years or periods in the two-year period then ended and the financial
highlights as listed below:
o for each of the years in the seven-year period then ended and for the
period from December 11, 1989 (commencement of operations) to December 31,
1989 for Quality Income Portfolio and High Yield Portfolio,
o for each of the years in the five-year period then ended and for the period
from July 1, 1991 (commencement of operations) to December 31, 1991 for
Money Market Portfolio,
o for each of the years in the five-year period then ended and for the period
from November 1, 1991 (commencement of operations) to December 31, 1991 for
Stock Index Portfolio,
o for each of the years in the four-year period then ended and for the period
from May 1, 1992 (commencement of operations) to December 31, 1992 for
Growth and Income Portfolio, and
o for the period from May 1, 1996 (date of initial public offering) to
December 31, 1996 for Small Cap Stock Portfolio, Quality Bond Portfolio,
Select Equity Portfolio, Large Cap Stock Portfolio, International Equity
Portfolio and Bond Debenture Portfolio.
These financial statements and financial highlights are the responsibility of
the Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Small
Cap Stock Portfolio, Quality Bond Portfolio, Select Equity Portfolio, Large Cap
Stock Portfolio, International Equity Portfolio, Bond Debenture Portfolio, Money
Market Portfolio, Quality Income Portfolio, Stock Index Portfolio, Growth and
Income Portfolio and High Yield Portfolio as of December 31, 1996, the results
of their operations for the year or period then ended, the changes in their net
assets for each of the years or periods in the two-year period then ended, and
the financial highlights for each of the years or periods indicated above in
conformity with generally accepted accounting principles.
/s/ KPMG Peat Marwick LLP
Boston, Massachusetts
February 3, 1997
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS - 91.3%
AEROSPACE & DEFENSE - 1.2%
Orbital Sciences Corp. * 5,600 $ 96,600
Rohr, Inc. * 3,000 67,875
Special Devices, Inc. * 300 5,325
---------------------
169,800
---------------------
AIRLINES - 0.2%
Mesa Air Group, Inc * 5,300 35,775
---------------------
AUTOMOTIVE - 3.8%
Excel Industries, Inc 8,100 134,663
Intermet Corp 16,300 262,813
Lithia Motors, Inc. Class A * 1,200 13,350
Modine Manufacturing Co 700 18,725
Simpson Industries 8,600 93,659
Wabash National Corp 1,700 31,238
---------------------
554,448
---------------------
BANKING - 6.7%
Bank North Group, Inc 1,900 78,850
Bank United Corp. * 1,100 29,494
CCB Financial Corp 600 40,950
Cole Taylor Financial Group 200 5,300
Colonial Bancgroup, Inc 3,500 140,000
Community First Bankshares 765 21,229
First Hawaiian, Inc 700 24,500
First Republic Bancorp, Inc. * 1,200 20,100
GBC Bancorp California 3,900 109,688
Irwin Financial Corp 1,400 34,650
Mark Twain Bancshares, Inc 900 43,875
National Commerce Bancorp 1,500 57,375
North Fork Bancorporation, Inc 400 14,250
Roosevelt Financial Group, Inc 8,400 176,400
Sterling Bancshares, Inc 1,800 33,863
Trans Financial, Inc 700 16,275
Trustco Bank Corp. N.Y 1,695 36,231
United Carolina Bancshares 500 19,750
Westamerica Bancorp 1,500 86,625
---------------------
989,405
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO - CONTINUED
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
BEVERAGES, FOOD & TOBACCO - 4.3%
Consolidated Cigars * 800 $ 19,800
Coors (Adolph) 1,300 24,700
Dekalb Genetics Corp. Class B 8,000 408,000
Dreyers Grand Ice Cream, Inc 700 20,300
Eskimo Pie Corp 1,200 13,350
Kensey Nash Corp. * 2,900 43,500
Morningstar Group, Inc. * 1,500 29,625
Riviana Foods, Inc 1,300 22,425
Sanderson Farms, Inc 700 11,725
Savannah Foods & Industries., Inc 1,400 18,900
Swisher International Group Class A * 1,500 23,813
---------------------
636,138
---------------------
CHEMICALS - 2.3%
Bush Boake Allen, Inc. * 2,500 66,563
Calgene, Inc. * 1,700 8,606
General Chemical Group, Inc 2,800 66,150
Mycogen Corp. * 400 8,500
OM Group, Inc 500 13,500
Petrolite Corp 900 43,200
Synalloy Corp 700 11,025
Tetra Technologies, Inc. * 4,800 121,200
---------------------
338,744
---------------------
COMMERCIAL SERVICES - 2.1%
DeVry, Inc. * 5,000 117,500
Equity Corporation International * 1,400 28,000
National Processing, Inc. * 600 9,600
Pinkertons, Inc. * 1,600 40,200
Robert Half International, Inc. * 2,300 79,063
Steiner Leisure Ltd * 1,500 30,188
Whittman-Hart, Inc. * 200 5,125
---------------------
309,676
---------------------
COMMUNICATIONS - 2.8%
Advanced Fibre Communication * 100 5,569
Analogy Inc. * 700 3,150
Digital Microwave Corp. * 4,300 119,863
DSP Communications, Inc. * 400 7,725
ICG Communications, Inc. * 1,300 22,913
Leasing Solutions, Inc. * 700 18,025
Omnipoint Corp. * 1,700 32,725
Paging Network, Inc. * 6,000 91,500
Premiere Technologies, Inc. * 2,700 67,500
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS - CONTINUED
Proxim, Inc. * 1,000 $ 23,125
Videoserver, Inc. * 400 16,900
Wireless One, Inc. * 300 1,988
---------------------
410,983
---------------------
COMPUTER SOFTWARE & PROCESSING - 4.4%
Adept Technology, Inc. * 4,800 35,400
American Disposal Services * 2,500 46,250
Aurum Software, Inc. * 100 2,313
Avid Technology, Inc. * 1,400 14,525
BA Merchant Services, Inc. Class A * 1,100 19,663
Citrix Systems, Inc. * 100 3,906
DST Systems, Inc. * 1,300 40,788
Edify Corp. * 2,300 36,800
Ingram Micro, Inc. * 1,000 23,000
Legato Systems, Inc. * 200 6,488
Mathsoft, Inc. * 2,700 10,125
Mentor Graphics Corp. * 1,600 15,600
Metromail Corp. * 800 14,600
Microware Systems Corp. * 700 9,975
Network General Corp. * 5,200 157,300
Oak Technology, Inc. * 4,200 47,250
Objective Systems Integrator * 1,000 23,688
Pinnacle Systems, Inc. * 1,700 17,850
S3 Incorporated * 800 13,050
Sapient Corp. * 400 16,850
Security First Network Bank * 1,000 10,250
Select Software Tools * 100 1,781
Simulation Sciences, Inc. * 800 11,900
Transaction Systems Architects, Inc. Class A * 1,000 33,250
Verity, Inc. * 100 1,538
Visigenic Software, Inc. * 1,900 28,381
---------------------
642,521
---------------------
COMPUTERS & INFORMATION - 0.6%
BBN Corp. * 2,300 51,750
Raster Graphics, Inc. * 1,700 19,338
Red Brick Systems, Inc. * 700 15,925
---------------------
87,013
---------------------
CONSUMER SERVICES - 0.1%
Education Management * 800 16,800
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES - 1.9%
Black Hills Corp 200 $ 5,625
Calpine Corp. * 700 14,000
Central Hudson Gas & Electric 4,400 138,050
Central Louisiana Electric, Inc 4,000 110,500
Saint Joseph Light & Power 1,000 15,375
---------------------
283,550
---------------------
ELECTRICAL EQUIPMENT - 2.7%
Advanced Technology Material * 6,700 115,575
American Residential Services * 400 10,850
Applied Power, Inc. Class A 4,200 166,425
Bolder Electrical Equipment * 1,000 16,438
Encore Wire Corp. * 4,100 70,725
Microchip Technology, Inc. * 200 10,175
Silicon Valley Group, Inc. * 300 6,019
---------------------
396,207
---------------------
ELECTRONICS - 2.1%
ESS Technology * 1,300 36,563
Flextronics International, Ltd * 500 14,000
Input / Output, Inc. * 1,700 31,450
Itron, Inc. * 2,400 42,600
Puma Technology, Inc. * 100 1,700
SDL, Inc. * 4,900 128,625
WH Brady Co. Class A 2,400 59,100
---------------------
314,038
---------------------
ENTERTAINMENT & LEISURE - 2.0%
Ascent Entertainment Group * 3,700 59,663
Imax Corp. * 1,800 55,800
Johnson Worldwide Associates * 3,200 42,400
SCP Pool Corp. * 1,000 20,750
WMS Industries, Inc. * 5,400 108,000
---------------------
286,613
---------------------
ENVIRONMENTAL CONTROLS - 0.9%
Dames & Moore, Inc 6,600 96,525
Sevenson Environmental Services 1,600 29,200
---------------------
125,725
---------------------
FINANCIAL SERVICES - 1.9%
Charter One Financial, Inc 800 33,600
Delta Financial Corp. * 300 5,400
First Federal Financial Corp * 1,900 41,800
Hambrecht & Quist Group * 700 15,138
IMC Mortgage Co. * 500 16,750
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES - CONTINUED
Litchfield Financial Corp 2,030 $ 29,943
Ocwen Financial Corp. * 100 2,650
Pinnacle Financial Services 1,100 25,988
Southwest Securities Group, Inc 4,300 64,500
WFS Financial, Inc. * 2,000 39,750
---------------------
275,519
---------------------
FOREST PRODUCTS & PAPER - 0.6%
Caraustar Industries, Inc 1,700 56,525
Universal Forest Products, Inc 1,900 25,175
---------------------
81,700
---------------------
HEALTH CARE PROVIDERS - 1.6%
Affymetrix, Inc. * 700 14,131
Diagnostic Health Services, Inc. * 1,800 14,400
Kapson Senior Quarters * 1,300 10,400
Paracelsus Healthcare Corp. * 1,900 6,888
Safety First, Inc. * 7,800 79,950
Sierra Health Services, Inc. * 1,500 36,938
Sterling House Corp. * 1,900 16,625
Summit Care Corp. * 2,400 39,300
Virus Research Institute, Inc. * 1,700 9,775
---------------------
228,407
---------------------
HEAVY MACHINERY - 2.2%
Credence Systems Corp. * 1,400 28,175
Dreco Energy Services Ltd Class A * 2,000 73,500
Greenfield Industries, Inc 1,300 39,731
Idex Corp 1,700 67,788
Infocus Systems, Inc. * 1,300 27,869
Kuhlman Corp 600 11,625
Measurex Corp 2,900 69,600
---------------------
318,288
---------------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 1.9%
Aaron Rents, Inc. Class B 1,500 17,813
Bush Industries Class A 2,600 50,050
D.R. Horton, Inc. * 13,100 142,463
Landec Corp. * 200 1,525
Micrel, Inc. * 2,200 69,575
---------------------
281,426
---------------------
HOUSEHOLD PRODUCTS - 0.6%
Libbey, Inc 3,000 83,625
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL - DIVERSIFIED - 0.7%
ABC Rail Products Corp. * 700 $ 13,913
Emergent Group, Inc. * 700 7,350
Fisher Scientific 500 23,563
Hexcel Corp. * 1,000 16,250
Shaw Group, Inc. * 600 14,025
Strategic Distribution, Inc. * 3,100 24,413
---------------------
99,514
---------------------
INSURANCE - 4.8%
Capital RE Corp 8,400 391,650
Chartwell RE Corp 1,500 40,125
MMI Companies, Inc 4,900 158,025
Renaissancere Holdings Ltd 3,900 128,700
---------------------
718,500
---------------------
LODGING - 1.1%
Candlewood Hotel Co., Inc. * 2,400 23,100
Doubletree Corp. * 800 36,000
Extended Stay America, Inc. * 4,900 98,613
---------------------
157,713
---------------------
MEDIA - BROADCASTING & PUBLISHING - 2.9%
American Pad & Paper Co. * 4,700 106,338
Banta Corp 1,300 29,738
Books-A-Million, Inc. * 2,900 19,938
Consolidated Graphics, Inc. * 2,500 140,000
Ditgital Generation Systems * 800 6,700
Heartland Wireless Communications., Inc. * 1,300 17,063
Heritage Media Corp. Class A * 2,500 28,125
K-III Communications Corp. * 2,400 25,800
Norwood Promotional Products * 1,400 25,550
SJW Corp 500 23,438
---------------------
422,690
---------------------
MEDICAL SUPPLIES - 3.5%
Aspen Technologies, Inc. * 200 16,050
Cellpro, Inc. * 3,700 46,250
Eclipse Surgical Tech, Inc. * 1,200 10,500
Heartstream, Inc. * 2,900 36,250
Keravision, Inc. * 5,900 81,125
Lifeline Systems, Inc. * 700 12,206
Mariner Health Group, Inc. * 7,200 59,850
Physio-Control International Corp. * 800 18,000
Research Medical, Inc. * 2,900 66,700
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MEDICAL SUPPLIES - CONTINUED
Sangstat Medical Corp. * 2,500 $ 66,250
Sola International * 1,300 49,400
Somatogen, Inc. * 4,400 48,400
---------------------
510,981
---------------------
MEDICAL & BIO-TECHNOLOGY - 0.7%
Arqule, Inc. * 600 9,225
Sequana Therapeutics, Inc. * 2,600 43,550
Sunrise Assisted Living, Inc. * 200 5,575
Transkaryotic Therapies, Inc. * 200 3,688
Tripos, Inc. * 3,600 42,300
---------------------
104,338
---------------------
METALS - 3.4%
Amcast Industrial Corp 1,900 47,025
Commercial Metals Co 6,400 192,800
Mueller Industries * 1,000 38,500
Oregon Steel Mills 1,800 30,150
Schnitzer Steel Inds., Inc. Class A 1,900 48,450
Steel Technologies, Inc 10,500 139,125
---------------------
496,050
---------------------
MINING - 0.3%
Smith International * 1,000 44,875
TPC Corp. * 400 3,600
---------------------
48,475
---------------------
OFFICE EQUIPMENT - 2.7%
Actel Corp. * 5,200 123,500
Acxiom Corp. * 1,100 26,400
Checkfree Corp. * 1,500 25,688
Clarify, Inc. * 100 4,769
Forte Software, Inc * 500 16,344
Gemstar International Group Ltd * 100 1,750
Inso Corp. * 800 31,800
May & Speh, Inc. * 3,000 36,750
Metatools, Inc. * 800 9,400
Nu-Kote Holding, Inc. * 900 9,225
P-Com, Inc. * 1,400 41,475
Vanstar Corp. * 1,700 41,650
Winthrop Resources Corp 800 23,000
---------------------
391,751
---------------------
OIL & GAS - 5.1%
Camco International, Inc 1,200 55,350
Devon Energy Corp 1,600 55,600
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OIL & GAS - CONTINUED
Flores & Rucks, Inc. * 1,800 $ 95,850
K N Energy 1,700 66,725
Monterey Resources, Inc. * 1,900 30,638
National-Oilwell, Inc. * 2,100 64,575
New Jersey Resources Corp 200 5,850
Newfield Exploration Co. * 2,600 67,600
Providence Energy Corp 1,900 33,250
Texas Meridian Resources Corp. * 2,800 47,950
Trico Marine Services, Inc. * 700 33,600
Ultramar Diamond Shamrock Corp 612 19,355
United Cities Gas Co 3,900 87,750
Vastar Resources, Inc 1,500 57,000
Wicor, Inc 1,000 35,875
---------------------
756,968
---------------------
PHARMACEUTICALS - 3.0%
Agouron Pharmaceuticals, Inc. * 200 13,550
Applied Analytical Industries., Inc. * 700 13,475
First Alliance Corp. * 200 6,050
Houghten Pharmaceuticals * 2,500 13,125
Hubco, Inc 3,887 95,232
Human Genome Sciences, Inc. * 2,300 93,725
Idec Pharmaceuticals Corp. * 800 19,000
Incyte Pharmaceuticals, Inc. * 1,100 56,650
Medi-Ject Corp. * 3,000 10,875
Onyx Pharmaceuticals, Inc. * 1,000 11,125
Ventana Medical Systems * 2,600 37,700
Vertex Pharmaceuticals, Inc. * 1,100 44,275
Vical, Inc. * 1,500 24,750
---------------------
439,532
---------------------
REAL ESTATE - 9.1%
Amresco, Inc. * 1,000 26,750
Arden Realty Group, Inc 1,500 41,625
Bay Apartment Communities 1,700 61,200
Brandywine Realty Trust 600 11,700
Cali Realty Corp 1,800 55,575
Capstone Capital Trust, Inc 3,700 82,788
Chelsea GCA Realty, Inc 2,200 76,175
Colonial Properties Trust 3,400 103,275
Columbus Realty Trust 3,700 84,175
Developers Divers Realty Corp 2,800 103,950
Gables Residential Trust 3,200 92,800
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE - CONTINUED
Healthcare Realty Trust 2,400 $ 63,600
Highwood Properties, Inc 2,300 77,625
Liberty Property Trust 3,400 87,550
Merry Land & Investment Co 800 17,200
Oasis Residential, Inc 2,600 59,150
Patriot American Hospitality 1,800 77,625
Price REIT, Inc 1,100 42,350
Public Storage, Inc 2,400 74,400
Starwood Lodging Trust 1,500 82,688
Weeks Corp 700 23,275
---------------------
1,345,476
---------------------
RESTAURANTS - 0.7%
Landry's Seafood Restaurants * 2,200 47,025
Nimbus CD International, Inc. * 3,000 25,500
Papa John's International., Inc. * 750 25,313
PJ America, Inc. * 100 1,800
Planet Hollywood International * 100 1,975
---------------------
101,613
---------------------
RETAILERS - 2.5%
BMC West Corp. * 600 7,350
Catherines Stores Corp. * 3,800 20,900
Charming Shoppes, Inc. * 5,700 28,856
Delia's, Inc. * 100 1,969
Dominick's Supermarkets * 700 15,225
Duckwall-Alco Stores, Inc. * 600 8,475
French Fragrances, Inc. * 2,500 19,375
Garden Ridge Corp. * 6,800 58,650
Lazare Kaplan International * 1,000 17,125
Linens 'N Things, Inc. * 1,800 35,325
Loehmann's, Inc. * 1,000 23,000
One Price Clothing Stores * 2,400 6,900
Pacific Sunwear of California * 400 10,275
Party City Corp * 1,800 30,150
Penn Traffic Co. * 5,400 19,575
Stage Stores, Inc. * 1,000 18,250
Urban Outfitters, Inc. * 3,500 45,500
---------------------
366,900
---------------------
TEXTILES, CLOTHING & FABRICS - 0.7%
Ashworth Inc. * 1,500 8,484
Collins & Aikman Corp. * 7,300 45,625
Wolverine World Wide 950 27,550
Worldtex, Inc. * 1,800 15,975
---------------------
97,634
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION - 2.0%
Allied Holdings, Inc. * 500 $ 3,875
American Freightways Corp. * 4,500 50,063
Caliber Systems, Inc 1,000 19,250
Genesee & Wyoming Inc., Class A * 1,700 59,075
Rollins Truck Leasing Corp 6,900 87,113
USA Truck, Inc. * 1,000 8,000
Werner Enterprises, Inc 2,800 50,750
Willis Lease Finance Corp. * 900 11,419
---------------------
289,545
---------------------
WATER COMPANIES - 1.2%
Aquarion Co 500 13,938
Culligan Water Technologies * 1,400 56,700
E-Town Corp 1,800 56,925
Southern California Water Co 1,900 41,325
---------------------
168,888
---------------------
Total Common and Preferred Stocks (Cost $12,884,617) 13,382,969
---------------------
TOTAL INVESTMENTS - 91.3%
(Cost $12,884,617) 13,382,969
Other Assets and Liabilities (net) - 8.7% 1,267,710
---------------------
TOTAL NET ASSETS - 100.0% $ 14,650,679
=====================
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare
or pay dividends in the 12 month period.
See notes to financial statements
COVA SERIES TRUST
QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DOMESTIC BONDS AND DEBT SECURITIES - 95.1%
ASSET BACKED SECURITIES - 17.8%
$150,000 Caterpillar Financial Asset Trust 6.300% 05/25/02 $ 150,237
100,000 Chase Manhattan Credit Card Master Trust 7.040% 02/15/04 102,621
100,000 First Omni Bank Credit Card Master Trust 6.650% 09/15/03 101,155
200,000 Nationsbank Auto Owner Trust 6.125% 07/15/99 201,204
175,000 Premier Auto Trust 6.150% 03/06/00 175,378
100,000 Sears Credit Account Master Trust 6.500% 10/15/03 101,012
100,000 World Omni Auto Lease Sec. Trust 6.300% 06/25/02 100,715
100,000 World Omni Auto Lease Sec. Trust 5.950% 11/15/02 100,346
---------------------
1,032,668
---------------------
CORPORATE BONDS - 11.4%
100,000 ABN Amro Bank NV (Chicago) 7.550% 06/28/06 103,588
60,000 Banc One Corp 7.625% 10/15/26 60,549
100,000 Columbia Gas System 7.620% 11/28/25 97,552
100,000 Midland Bank PLC 7.625% 06/15/06 103,456
60,000 Nationsbank Corp 7.250% 10/15/25 57,900
100,000 NGC Corporation 7.625% 10/15/26 102,187
40,000 Tele-Communications, Inc 7.875% 02/15/26 34,689
100,000 Trans Financial Bank N.A 6.320% 10/17/97 99,890
---------------------
659,811
---------------------
MEDIUM TERM SECURITIES - 9.5%
200,000 Ford Motor Credit 7.470% 07/29/99 205,350
200,000 General Motors Acceptance Corp 6.700% 06/24/99 201,991
150,000 Nationsbank Corp 5.750% 01/25/01 145,749
---------------------
553,090
---------------------
MORTGAGED BACK SECURITIES - 29.3%
86,223 Federal Home Loan Mortgage Corp 8.500% 08/01/26 89,429
131,074 Federal National Mortgage Association 9.000% 05/01/25 138,283
73,668 Federal National Mortgage Association 7.500% 09/01/25 73,737
199,453 Federal National Mortgage Association 6.500% 02/01/26 190,540
149,972 Federal National Mortgage Association 6.000% 02/01/26 139,427
226,856 Federal National Mortgage Association 7.000% 07/01/26 222,248
100,000 Government National Mortgage Assn 9.000% 01/01/16 107,250
201,999 Government National Mortgage Assn 7.500% 09/15/25 203,524
236,782 Government National Mortgage Assn 7.500% 03/15/26 237,223
200,526 Government National Mortgage Assn 7.000% 04/15/26 196,453
98,559 Government National Mortgage Assn 8.000% 08/15/26 100,653
---------------------
1,698,767
---------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 5.1%
150,000 Federal Home Loan Mortgage Corp 1694 PQ (PAC) 6.500% 09/15/23(a) 146,063
150,000 Federal National Mortgage Association 1993-78 G (PAC) 6.500% 11/25/07(a) 147,617
---------------------
293,680
---------------------
U.S. TREASURY SECURITIES - 22.0%
75,000 U.S. Treasury Note 6.250% 05/31/00 75,352
80,000 U.S. Treasury Note 6.250% 04/30/01 80,200
100,000 U.S. Treasury Note 6.625% 06/30/01 101,625
100,000 U.S. Treasury Note 6.625% 07/31/01 101,625
160,000 U.S. Treasury Note 5.875% 02/15/04 155,850
345,000 U.S. Treasury Note 7.500% 02/15/05 369,150
150,000 U.S. Treasury Note 6.500% 05/15/05 151,125
110,000 U.S. Treasury Note 6.875% 05/15/06 113,438
130,000 U.S. Treasury Note 6.750% 08/15/26 130,934
---------------------
1,279,299
---------------------
Total Domestic Bonds and Debt Securities (Cost $5,462,532) 5,517,315
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FOREIGN BONDS AND DEBT SECURITIES - 2.9%
CANADA - 2.1%
$100,000 Hydro - Quebec (U.S.$) 9.500% 11/15/30 $ 123,232
ITALY - 0.8%
50,000 Italy Global Bond (U.S.$) 6.875% 09/27/23 47,735
---------------------
Total Foreign Bonds and Debt Securities (Cost $162,013) 170,967
---------------------
TOTAL INVESTMENTS - 98.0%
(Cost $5,624,545) 5,688,282
Other Assets and Liabilities (net) - 2.0% 113,766
---------------------
TOTAL NET ASSETS - 100.0% $ 5,802,048
=====================
Portfolio Footnotes:
(a) The estimated maturity of a collateralized mortgage
obligation ("CMO") is based on current and projected
prepayment rates. Change in interest rates can cause
the estimated maturity to differ from the listed date.
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SELECT EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS - 98.8%
AEROSPACE & DEFENSE - 6.9%
AlliedSignal, Inc 5,000 $ 335,166
Boeing Co 1,600 170,200
Coltec Industries * 6,800 128,331
General Motors Corp. Class H (Hughes Electronics) 8,300 467,131
Rohr, Inc. * 24,400 551,993
---------------------
1,652,821
---------------------
AUTOMOTIVE - 2.4%
General Motors Corp 10,400 579,831
---------------------
BANKING - 5.1%
Banc One Corp 100 4,300
Boatmens Bancshares, Inc 3,800 244,919
Corestates Financial Corp 3,555 184,469
Crestar Financial Corp 1,100 81,813
First Chicago NBD Corp 4,200 225,791
Firstar Corp 2,100 110,250
Great Western Financial 12,400 359,759
---------------------
1,211,301
---------------------
BEVERAGES, FOOD & TOBACCO - 6.8%
CPC International, Inc 1,500 116,250
Kellogg Co 2,900 190,453
Pepsico, Inc 6,800 199,005
Philip Morris Companies, Inc 4,700 529,616
Unilever 3,300 578,391
---------------------
1,613,715
---------------------
BUILDING MATERIALS - 1.0%
Owens Corning 5,840 248,933
---------------------
CHEMICALS - 4.6%
Albemarle Corp 16,300 295,277
Crompton & Knowles Corp 6,200 119,353
Du Pont (E.I.) De Nemours 5,700 537,891
Union Carbide Corp 3,400 138,975
---------------------
1,091,496
---------------------
COMMUNICATIONS - 6.1%
Lucent Technologies 100 4,625
MCI Communications Corp 12,400 405,494
SBC Communications, Inc 2,000 103,500
Tele-Communications, Inc. Series A * 50,300 657,250
Worldcom, Inc. * 10,900 284,044
---------------------
1,454,913
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SELECT EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE & PROCESSING - 2.3%
Cisco Systems, Inc. * 6,700 $ 426,488
Learning Co., Inc. * 7,800 111,681
---------------------
538,169
---------------------
COMPUTERS & INFORMATION - 5.1%
Compaq Computer * 2,400 178,278
Intel Corp 2,400 314,456
International Business Machines Corp 2,100 317,100
Read-Rite Corp. * 8,400 212,000
Sun Microsystems, Inc. * 7,440 191,128
---------------------
1,212,962
---------------------
ELECTRIC UTILITIES - 2.8%
Consolidated Edison of N.Y 7,500 219,431
Dominion Resources, Inc 5,000 192,503
New England Electric System 3,600 125,566
Pacific Gas & Electric 6,700 140,731
---------------------
678,231
---------------------
ELECTRONICS - 1.6%
Anixter International, Inc. * 12,300 198,338
Perkin-Elmer Corp 3,100 182,541
---------------------
380,879
---------------------
ENTERTAINMENT & LEISURE - 1.8%
International Game Technology 7,500 136,831
Time Warner, Inc 8,100 303,781
---------------------
440,612
---------------------
ENVIRONMENTAL CONTROLS - 2.6%
Wheelabrator Technologies, Inc 17,100 277,687
WMX Technologies, Inc 10,200 333,031
---------------------
610,718
---------------------
FINANCIAL SERVICES - 6.2%
Advanta Corporation 4,000 163,513
A.G. Edwards, Inc 4,720 158,776
Bear Stearns Companies, Inc 16,200 451,737
Dean Witter Discover & Co 6,080 402,978
Salomon, Inc 6,500 306,378
---------------------
1,483,382
---------------------
HEALTH CARE PROVIDERS - 3.1%
Columbia / HCA Healthcare Corp 11,650 474,859
United Healthcare Corp 6,100 274,517
---------------------
749,376
---------------------
HEAVY MACHINERY - 3.2%
Cooper Industries, Inc 18,200 766,487
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SELECT EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
HOUSEHOLD PRODUCTS - 2.5%
Procter & Gamble Co 5,500 $ 591,416
---------------------
INDUSTRIAL - DIVERSIFIED - 1.0%
Temple Inland, Inc 4,400 238,141
---------------------
INSURANCE - 3.9%
Capital RE Corp 6,700 312,319
Providian Corp 11,800 606,369
---------------------
918,688
---------------------
MEDIA - BROADCASTING & PUBLISHING - 1.1%
General Instrument Corp. * 9,500 205,469
TCI Satellite Entertainment Inc., Class A * 4,990 49,619
---------------------
255,088
---------------------
MEDICAL SUPPLIES - 0.6%
Forest Laboratories, Inc. * 4,320 141,480
---------------------
METALS - 0.6%
Allegheny Teledyne, Inc 6,373 146,595
---------------------
OFFICE EQUIPMENT - 2.5%
EMC Corp. * 10,450 346,237
Xerox Corp 4,800 252,641
---------------------
598,878
---------------------
OIL & GAS - 9.7%
Anadarko Petroleum Corp 3,100 200,541
Ashland, Inc 4,800 210,616
British Petroleum Co. PLC 3,311 468,133
Chevron Corp 1,800 117,000
Exxon Corp 8,000 784,331
Transcanada Pipeline Ltd 5,500 96,266
Ultramar Diamond Shamrock Corp 9,343 295,472
Union Pacific Resources Group 4,010 117,283
---------------------
2,289,642
---------------------
PHARMACEUTICALS - 4.8%
Bristol-Myers Squibb Co 3,600 391,703
Schering-Plough Corp 1,600 103,600
Warner Lambert Co 8,800 660,381
---------------------
1,155,684
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
SELECT EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
RETAILERS - 4.1%
General Nutrition Co., Inc. * 14,500 $ 246,500
Toys "R" Us, Inc. Holding Co. * 6,700 201,081
Wal-Mart Stores, Inc 22,900 523,978
---------------------
971,559
---------------------
TELEPHONE SYSTEMS - 2.5%
NYNEX Corp 7,900 380,444
Sprint Corp 100 3,988
U.S. West, Inc 6,900 222,581
---------------------
607,013
---------------------
TEXTILES, CLOTHING & FABRICS - 1.4%
Collins & Aikman Corp. * 53,030 331,324
---------------------
TRANSPORTATION - 2.5%
Consolidated Freightways Corp. * 5,300 47,063
Consolidated Freightways, Inc 10,800 240,281
Union Pacific Corp 5,200 312,766
---------------------
600,110
---------------------
Total Common and Preferred Stocks (Cost $22,504,869) 23,559,444
---------------------
TOTAL INVESTMENTS - 98.8%
(Cost $22,504,869) 23,559,444
Other Assets and Liabilities (net) - 1.2% 274,475
---------------------
TOTAL NET ASSETS - 100.0% $ 23,833,919
=====================
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare
or pay dividends in the 12 month period.
See notes to financial statements
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS - 102.3%
AEROSPACE & DEFENSE - 5.1%
AlliedSignal, Inc 2,800 $ 187,600
Boeing Co 2,800 297,850
Coltec Industries * 300 5,663
Cummins Engine Co., Inc 300 13,800
General Dynamics 300 21,150
General Motors Corp. Class H (Hughes Electric) 3,300 185,625
Lockheed Martin Corp 700 64,050
McDonnell Douglas Corp 700 44,800
Newport News Shipbuilding, Inc. * 340 5,100
Raytheon Co 600 28,875
---------------------
854,513
---------------------
AIRLINES - 0.4%
AMR Corp. * 400 35,250
Comair Holdings, Inc 200 4,838
Delta Air Lines, Inc 100 7,088
Southwest Airlines, Inc 700 15,488
---------------------
62,664
---------------------
AUTOMOTIVE - 2.8%
AutoZone, Inc. * 900 24,750
Cooper Tire & Rubber Co 400 7,900
Eaton Corp 600 41,850
Ford Motor Co 5,200 165,750
General Motors Corp 3,200 178,400
Goodyear Tire & Rubber Co 400 20,550
Lear Corp. * 300 10,238
Paccar, Inc 200 13,600
---------------------
463,038
---------------------
BANKING - 8.4%
Banc One Corp 2,200 94,600
Bancorp Hawaii, Inc 200 8,400
Bankamerica Corp 2,000 199,500
Beneficial Corp 300 19,013
Boatmens Bancshares, Inc 1,000 64,438
Central Fidelity Banks, Inc 300 7,725
Citicorp 2,200 226,600
Corestates Financial Corp 1,200 62,250
Crestar Financial Corp 200 14,875
Deposit Guaranty Corp 200 6,200
Dime Bancorp, Inc. * 600 8,850
First Chicago NBD Corp 1,700 91,375
</TABLE>
See notes to financial statements
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
BANKING - CONTINUED
First Tennessee National Corp 400 $ 15,000
First Union Corp. New England 1,500 111,000
First Virginia Banks, Inc 200 9,575
Firstar Corp 400 21,000
Fleet Financial Group, Inc 1,400 69,825
Golden West Financial Corp 300 18,938
Great Western Financial 700 20,300
Greenpoint Financial Corp 300 14,175
H. F. Ahmanson & Co 600 19,500
Mark Twain Bancshares, Inc 300 14,625
Nationsbank Corp 1,600 156,400
PNC Bank Corp 1,600 60,200
Republic New York Corp 300 24,488
Signet Banking Corp 300 9,225
Standard Federal Bancorp 200 11,375
TCF Financial Corp 200 8,700
Washington Federal, Inc 200 5,250
Washington Mutual, Inc 400 17,325
---------------------
1,410,727
---------------------
BEVERAGES, FOOD & TOBACCO - 8.7%
Anheuser Busch 2,000 80,000
Coca-Cola Co 4,100 215,763
CPC International, Inc 800 62,000
General Mills Co 300 19,013
Kellogg Co 1,200 78,750
Nabisco Holdings Corp. Class A 300 11,663
Pepsico, Inc 8,700 254,475
Philip Morris Companies, Inc 4,200 473,025
Pioneer Hi-Bred International 200 14,000
Ralston Purina Group 600 44,025
Sara Lee Corp 1,200 44,700
Unilever 900 157,725
---------------------
1,455,139
---------------------
BUILDING MATERIALS - 0.2%
Owens Corning 600 25,575
USG Corp. * 300 10,163
---------------------
35,738
---------------------
CHEMICALS - 3.1%
Albemarle Corp 300 5,438
Crompton & Knowles Corp 400 7,700
Cytec Industries, Inc. * 300 12,188
</TABLE>
See notes to financial statements
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CHEMICALS - CONTINUED
Dow Chemical Co 1,300 $ 101,888
Du Pont (E.I.) De Nemours 2,900 273,688
Georgia Gulf Corp 200 5,375
IMC Global, Inc 500 19,563
International Flavors & Fragrances 600 27,000
Lyondell Petro Chemical 400 8,800
Morton International, Inc 200 8,150
Rohm & Haas Co 300 24,488
Union Carbide Corp 700 28,613
---------------------
522,891
---------------------
COMMERCIAL SERVICES - 0.2%
Service Corp. International 1,400 39,200
---------------------
COMMUNICATIONS - 2.4%
360 Communications Co.* 400 9,250
Airtouch Communications, Inc. * 3,100 78,275
Cox Communications Class A * 300 6,938
Lucent Technologies 1,400 64,750
MCI Communications Corp 2,800 91,525
Paging Network, Inc. * 500 7,625
SBC Communications, Inc 200 10,350
Tele-Communications, Inc. Series A * 3,700 48,331
Worldcom, Inc. * 3,570 93,043
---------------------
410,087
---------------------
COMPUTER SOFTWARE & PROCESSING - 3.2%
Autodesk, Inc 200 5,600
Cisco Systems, Inc. * 3,300 209,963
First Data Corp 2,400 87,600
Intuit, Inc. * 100 3,175
Learning Co., Inc. * 200 2,863
Microsoft Corp. * 1,200 99,150
Oracle Corp. * 3,100 129,425
---------------------
537,776
---------------------
COMPUTERS & INFORMATION - 6.3%
Compaq Computer * 1,300 96,525
Gateway 2000, Inc. * 400 21,425
Intel Corporation 3,800 497,522
International Business Machines Corp 2,400 362,400
Read-Rite Corp. * 200 5,050
Silicon Graphics * 800 20,400
Sun Microsystems, Inc. * 2,000 51,375
---------------------
1,054,697
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COSMETICS & PERSONAL CARE - 0.2%
Avon Products, Inc 300 $ 17,138
Ecolab, Inc 300 11,288
---------------------
28,426
---------------------
ELECTRIC UTILITIES - 2.8%
Allegheny Power System, Inc 500 15,188
Baltimore Gas and Electric 600 16,050
Central & South West Corp 600 15,375
Cinergy Corp 600 20,025
Consolidated Edison of N.Y 1,000 29,250
Dominion Resources, Inc 700 26,950
Edison International 1,800 35,775
Entergy Corp 500 13,875
GPU, Inc 400 13,450
Houston Industries, Inc 200 4,525
Illinova Corp 300 8,250
New England Electric System 300 10,463
Northeast Utilities 500 6,625
Northern States Power Co 600 27,525
P P & L Resources, Inc 700 16,100
Pacific Gas & Electric 1,700 35,700
Pinnacle West Capital Corp 400 12,700
Portland General Electric 700 29,400
Potomac Electric Power 1,000 25,750
Southern Co 2,800 63,350
Teco Energy 100 2,413
Unicom Corp 900 24,413
Union Electric Co 100 3,850
Western Resources, Inc 300 9,263
---------------------
466,265
---------------------
ELECTRICAL EQUIPMENT - 2.6%
Applied Materials, Inc. * 1,000 35,938
Emerson Electric 100 9,675
General Electric Co 3,200 316,400
Grainger W.W., Inc 400 32,100
Raychem Corp 300 24,038
Scientific Atlanta, Inc 400 6,000
Symbol Technologies, Inc. * 200 8,850
---------------------
433,001
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - 1.0%
Altera Corp. * 200 $ 14,538
Anixter International, Inc. * 300 4,838
Input / Output, Inc. * 200 3,700
Johnson Controls 500 41,438
National Semiconductor Corp. * 700 17,063
Perkin-Elmer Corp 600 35,325
Sensormatic Electronics Corp 400 6,700
Texas Instruments 700 44,625
Xilinx, Inc. * 300 11,044
---------------------
179,271
---------------------
ENTERTAINMENT & LEISURE - 3.0%
Carnival Corp 1,200 39,600
Circus Circus Enterprises, Inc. * 600 20,625
Grand Casinos, Inc. * 200 2,700
Harrah's Entertainment, Inc. * 500 9,938
Mattel 1,100 30,525
MGM Grand, Inc. * 300 10,463
Mirage Resorts, Inc. * 1,000 21,625
Time Warner, Inc 3,100 116,250
Viacom Inc. Class B * 2,000 69,750
Walt Disney Co 2,500 174,063
---------------------
495,539
---------------------
ENVIRONMENTAL CONTROLS - 0.9%
WMX Technologies, Inc 4,700 153,338
---------------------
FINANCIAL SERVICES - 2.8%
Advanta Corp 100 4,088
American General Corp 1,900 77,663
A.G. Edwards, Inc 300 10,088
Bear Stearns Companies,Inc 600 16,725
Charter One Financial, Inc 200 8,400
Contifinancial Corp. * 200 7,225
Dean Witter Discover & Co 900 59,625
Federal National Mortgage Association 4,000 149,000
First USA, Inc 600 20,775
Lehman Brothers Holding, Inc 500 15,688
Mercury Financial Co 1,000 12,250
Merrill Lynch & Co., Inc 200 16,300
Morgan Stanley Group, Inc 100 5,713
Paine Webber, Inc 500 14,063
</TABLE>
See notes to financial statements
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES - CONTINUED
Regions Financial Corp 300 $ 15,506
Salomon, Inc 600 28,275
The Money Store, Inc 300 8,325
Wilmington Trust Corp 200 7,900
---------------------
477,609
---------------------
FOREST PRODUCTS & PAPER - 0.9%
Boise Cascade Corp 400 12,700
Bowater, Inc 400 15,050
Champion International 900 38,925
Louisiana Pacific Corp 1,100 23,238
Mead Corp 500 29,063
Weyerhauser Co 500 23,688
---------------------
142,664
---------------------
HEALTH CARE PROVIDERS - 2.9%
Apria Healthcare Group * 700 13,125
Columbia / HCA Healthcare Corp 6,500 264,875
Health Management Associates * 1,300 29,250
Tenet Healthcare Corp. * 2,700 59,063
United Healthcare Corp 2,300 103,500
Vivra, Inc. * 500 13,813
---------------------
483,626
---------------------
HEAVY CONSTRUCTION - 0.0%
Foster Wheeler Corp 200 7,425
---------------------
HEAVY MACHINERY - 1.1%
Caterpiller Tractor, Inc 1,400 105,350
Cooper Industries, Inc 800 33,700
Ingersoll Rand Co 500 22,250
Parker-Hannifin Corp 500 19,375
---------------------
180,675
---------------------
HOUSEHOLD PRODUCTS - 3.5%
Black & Decker Corp 900 27,113
Colgate-Palmolive Co 800 73,800
Procter & Gamble Co 3,800 408,500
Rubbermaid, Inc 1,600 36,400
Whirlpool Corp 800 37,300
---------------------
583,113
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL - DIVERSIFIED - 1.9%
Baker Hughes, Inc 500 $ 17,250
ITT Corp. * 600 26,025
ITT Hartford Group, Inc 1,100 74,250
ITT Industries, Inc 700 17,150
Temple Inland, Inc 500 27,063
Tenneco, Inc. * 1,700 76,713
Trinova Corp 200 7,275
Tyco Lab 1,500 79,313
---------------------
325,039
---------------------
INSURANCE - 3.3%
Chubb Corp 1,600 86,000
Cigna Corp 700 95,638
Lincoln National Corp 1,000 52,500
MBIA, Inc 400 40,500
Mercury General Corp 300 15,806
Ohio Casualty Corp 300 10,725
Providian Corp 900 46,238
Safeco Corp 1,200 47,325
St. Paul Cos 800 46,900
The PMI Group, Inc 300 16,613
Torchmark Corp 600 30,300
Transamerica Corp 600 47,400
US Life Corp 300 9,975
---------------------
545,920
---------------------
LODGING - 0.5%
Choice Hotels * 700 12,338
Extended Stay America, Inc. * 300 6,038
Hilton Hotels 2,200 57,475
---------------------
75,851
---------------------
MEDIA - BROADCASTING & PUBLISHING - 0.9%
Comcast Corp 2,000 35,625
General Instrument Corp. * 700 15,138
R.R. Donnelley & Sons 900 28,238
TCI Satellite Entertainment Inc. Class A * 370 3,677
U.S. West Media Group * 3,700 68,450
---------------------
151,128
---------------------
MEDICAL SUPPLIES - 0.7%
Bard C.R 700 19,600
Bausch & Lomb, Inc 700 24,500
Forest Laboratories, Inc. * 400 13,100
</TABLE>
See notes to financial statements
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MEDICAL SUPPLIES - CONTINUED
Humana, Inc. * 2,200 $ 42,075
Manor Care, Inc 800 21,600
---------------------
120,875
---------------------
METALS - 1.5%
Allegheny Teledyne, Inc 1,300 29,900
Aluminum Company of America 1,400 89,250
Bethlehem Steel Corp. * 900 8,100
Freeport-McMoran 500 14,938
Inland Steel Industries, Inc 400 8,000
Nucor Corp 600 30,600
Phelps Dodge Corp 400 27,000
Reynolds Metals Co 500 28,188
USX-U.S. Steel Group, Inc 500 15,688
Worthington Industries, Inc 200 3,764
---------------------
255,428
---------------------
MINING - 0.1%
Inco Ltd 100 3,188
Smith International * 200 8,975
---------------------
12,163
---------------------
OFFICE EQUIPMENT - 2.5%
Bay Networks * 800 16,700
EMC Corp. * 1,300 43,063
Harris Corp., Inc 200 13,725
Hewlett-Packard Co 4,800 241,200
Ryder System 400 11,250
Xerox Corp 1,700 89,463
---------------------
415,401
---------------------
OIL & GAS - 10.4%
Anadarko Petroleum Corp 300 19,425
Ashland, Inc 300 13,163
Chevron Corp 600 39,000
Columbia Gas System 400 25,450
El Paso Natural Gas Co 158 7,979
Enron Corp 1,800 77,625
Exxon Corp 5,300 519,400
Global Marine, Inc. * 800 16,500
Mobil Corp 1,800 220,050
Panenergy Corp 1,600 72,000
Pogo Producing Co 200 9,450
Royal Dutch Petroleum Co 2,400 409,800
</TABLE>
See notes to financial statements
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS- CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OIL & GAS - CONTINUED
Schlumberger Ltd 1,100 $ 109,863
Texaco, Inc 1,200 117,750
Tosco Corp 200 15,825
Ultramar Diamond Shamrock Corp 302 9,551
Union Pacific Resources Group 800 23,400
Unocal Corp 800 32,500
---------------------
1,738,731
---------------------
PHARMACEUTICALS - 6.9%
Alza Corp. * 800 20,700
American Home Products Corp 3,200 187,600
Bristol-Myers Squibb Co 2,100 228,375
Johnson & Johnson 700 34,825
Merck & Co., Inc 1,500 118,875
Pfizer, Inc 3,500 290,063
Schering-Plough Corp 1,100 71,225
Southtrust Corp 500 17,438
Warner Lambert Co 2,500 187,500
Watson Pharmaceutical, Inc. * 200 8,988
---------------------
1,165,589
---------------------
RETAILERS - 4.2%
Albertson's, Inc 400 14,250
Circuit City Stores, Inc 600 18,075
Dayton-Hudson Corp 1,000 39,250
Federated Department Stores * 1,200 40,950
General Nutrition Co., Inc. * 500 8,500
Jones Apparel Group, Inc. * 400 14,950
J.C. Penney Co., Inc 1,300 63,375
Nine West Group, Inc. * 200 9,275
Nordstrom, Inc 500 17,719
Sears Roebuck 2,300 106,088
The Limited, Inc 1,300 23,888
Toys "R" Us, Inc., Holding Co. * 1,600 48,000
Wal-Mart Stores, Inc 13,100 299,663
---------------------
703,983
---------------------
TELEPHONE SYSTEMS - 5.4%
Ameritech Corp 2,100 127,313
AT & T Corp 6,500 282,750
Bell Atlantic Corp 1,700 110,075
GTE Corp 3,800 172,900
</TABLE>
See notes to financial statements
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS- CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TELEPHONE SYSTEMS - CONTINUED
NYNEX Corp 1,800 $ 86,625
Sprint Corp 1,800 71,775
U.S. West, Inc 1,900 61,275
---------------------
912,713
---------------------
TEXTILES, CLOTHING & FABRICS - 0.4%
Fruit of the Loom, Inc. * 800 30,300
VF Corp 500 33,750
---------------------
64,050
---------------------
TRANSPORTATION - 1.1%
Burlington Northern Santa Fe 700 60,463
Caliber Systems, Inc 200 3,850
Consolidated Freightways Corp. * 100 888
Consolidated Freightways, Inc 200 4,450
CSX Corp 900 38,025
Federal Express Corp. * 200 8,900
Union Pacific Corp 1,100 66,138
---------------------
182,714
---------------------
WATER COMPANIES - 0.0%
American Water Works Co 300 6,188
---------------------
TOTAL Common and Preferred Stocks (Cost $15,570,806) 17,153,195
---------------------
TOTAL INVESTMENTS - 102.3%
(Cost $15,570,806) 17,153,195
Other Assets and Liabilities (net) - (2.3%) (381,600)
---------------------
TOTAL NET ASSETS - 100.0% $ 16,771,595
=====================
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare
or pay dividends in the 12 month period.
See notes to financial statements
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS - 95.3%
AUSTRALIA - 4.0%
Broken Hill Proprietary Co. Ltd 12,700 $ 181,111
National Australia Bank Ltd 16,000 188,445
News Corporation Ltd 29,800 132,803
Western Mining Corp. Holding Ltd 20,600 130,000
---------------------
632,359
---------------------
BELGIUM - 2.1%
Delhaize Le PS 279 16,456
Electrabel 458 107,625
Fortis AG 240 38,224
Kredietbank NPV 220 71,592
Petrofina SA NPV 125 39,504
Solvay Et Cie 'A' NPV 100 60,781
---------------------
334,182
---------------------
FINLAND - 1.2%
Kemira Oy-Sponsored ADR * 800 19,947
Metra Oy "B" Shares 300 16,582
Nokia AB Class A 1,600 92,238
Outokumpo OY 1,000 16,949
Rautaruukki OY 1,500 13,732
UPM-Kymmeme * 1,700 35,420
---------------------
194,868
---------------------
FRANCE - 11.5%
Air Liquide French 352 54,449
Alcatel Alsthom 500 39,798
AXA Co 652 41,089
Bouygues 400 41,096
Carrefour Supermarche 100 64,471
Castorama Dubois Investissem 242 41,269
Christian Dior SA 575 91,908
Cie Generale Des Eaux 728 89,393
Compagnie Bancaire 300 35,176
Compagnie De Saint Goban 244 34,201
Credit Commercial De France 730 33,457
Credit Local De France 600 51,790
Elf Sanofi 516 50,846
Eridania Beghin Say 200 31,892
Essilor International 135 40,604
Groupe Danone 356 49,153
GTM Entrepose SA 840 38,499
Lafarge Coppee French 600 35,669
</TABLE>
See notes to financial statements
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS-CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE - CONTINUED
Lagardere Groupe 1,900 $ 51,668
Montupet 200 19,097
Pathe SA * 220 52,516
Peugeot SA 375 41,822
Printemps, AU 80 31,441
Promodes 270 75,537
Rhone Polenc 2,300 77,699
Schneider SA 575 26,342
SGS-Thomson Microelectronics * 637 44,644
Sidel 360 24,543
Societe Generale French 720 77,135
Societe National Elf-Aquitaine 1,450 130,781
Sommer-Allibert 1,350 39,960
Synthelabo 410 43,924
Thomson CSF 1,280 41,139
Total Cie Francaise Petroles 952 76,720
Union Assurancesfederale SA 410 50,110
Usinor Sacilor 1,530 22,060
---------------------
1,791,898
---------------------
GERMANY - 13.9%
Allianz AG Holdings Ger Reg 63 113,755
Ava Allg Handels Der Verbrau * 260 73,773
BASF AG 6,590 251,922
Bayer Hypoth-Und Wechsel Bank 3,600 107,951
Bilfinger and Berger Bau AG 1,300 47,366
Daimler Benz * 650 44,432
Deutsche Pfandbrief & Hypobk 1,900 85,118
Deutsche Telekom AG 8,100 169,501
Dresdner Bank 2,590 76,997
GEA Preferred Shares 180 56,239
Henkel KGAA * 1,710 85,241
Krupp Fried AG Hoesch 559 89,760
Muenchener Rueckversicherungs 70 173,567
M.A.N. AG DM50 100 24,054
M.A.N 274 54,599
Sap AG Vorzug 350 48,526
Siemens AG 2,960 138,389
Thyssen AG DM50 150 26,359
Veba AG 4,580 262,862
Volkswagen AG 600 247,630
---------------------
2,178,041
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS-CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
GREAT BRITAIN - 19.5%
Abbey National 6,800 $ 88,538
Allied Colloids Group Plc 12,600 25,841
Allied Domecq Plc 6,050 47,058
Amersham International Plc 2,300 45,409
Bass Plc 2,900 40,523
Boc Group 900 13,403
Britannic Assurance Plc 5,250 64,336
British Aerospace Plc 1,400 30,500
British Airways 6,000 61,987
British Petroleum Co. Plc 17,081 203,648
British Telecommunications Plc 13,700 92,104
BTR Limited 8,000 38,669
B.A.T. Industries 7,600 62,736
Cadbury Schweppes Plc 6,400 53,647
Compass Group Plc 3,500 36,933
Dalgety 7,000 43,248
General Cable Plc * 3,100 10,289
General Electric Plc 4,900 31,941
Glaxo Wellcome Plc 10,700 172,644
Glynwed International Plc 7,900 45,178
Guardian Royal Exchange 15,600 74,211
Guinness Plc 5,650 44,139
Hillsdown Holdings Plc 12,200 41,529
HSBC Holdings Plc 5,250 116,787
Htder Plc Ord 2,000 25,309
Kingfisher Plc 5,500 59,349
Ladbroke Group 14,700 57,795
Lloyds Tsb Group Plc 15,100 110,639
Lucas Variety 11,200 42,414
MEPC 7,000 51,707
National Grid Holdings 10,700 35,603
National Power Plc 6,650 55,346
Pilkington Plc 11,600 31,194
Racal Electronics 10,100 44,265
Rank Group 8,350 62,247
Reuters Holdings Plc 3,200 40,930
RMC Group Plc 1,950 33,106
Rolls Royce Plc 13,000 56,974
Royal Bank of Scotland 7,900 75,767
RTZ Corp 2,100 33,526
Sainsbury (J) Plc 12,140 80,170
</TABLE>
See notes to financial statements
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS-CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
GREAT BRITAIN - CONTINUED
Scottish Power Plc 10,400 $ 62,484
Sears Plc 49,500 80,879
SmithKline Beecham Plc 5,051 69,591
Standard Chartered Plc 4,190 51,417
Tarmac Plc 19,100 31,858
Tesco Plc 7,200 43,503
Thorn EMI Plc 1,300 30,645
Tomkins Plc 10,800 49,630
United News & Media Plc 3,000 35,589
Vodafone Group Plc 14,000 58,855
Wessex Water Plc 8,800 55,717
Zeneca Group Plc 2,950 82,719
---------------------
3,034,526
---------------------
HONG KONG - 4.7%
Bank of East Asia Hong Kong 6,400 28,466
Cheung Kong 20,000 177,782
Henderson Land Development 8,000 80,681
Hong Kong Electric 15,000 49,844
Hong Kong Telecom 13,600 21,892
HSBC Holdings Plc 4,000 85,594
Hutchison Whampoa 10,000 78,547
Sun Hung Kai Properties Ltd 6,000 73,505
Swire Pacific Ltd, Class A 7,500 71,517
Television Broadcasts Ltd 17,000 67,919
---------------------
735,747
---------------------
IRELAND - 1.4%
Bank of Ireland 6,900 62,532
CRH Plc 2,575 26,546
Greencore Plc 5,000 32,006
Irish Life Plc 8,600 40,273
Smurfit (Jefferson) Group 19,000 57,450
---------------------
218,807
---------------------
ITALY - 3.5%
Arnoldo Mondadori Editore SPA 4,500 36,680
Assicurazione Generali 4,400 81,866
ENI SPA 21,600 110,358
Fiat SPA 16,300 48,785
Istituto Mobiliare Italiano 6,300 53,378
Montedison SPA * 57,600 39,148
Parmalat Finanziaria SPA 24,100 36,609
</TABLE>
See notes to financial statements
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS-CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ITALY - CONTINUED
Stet D Risp Non CV 14,100 $ 47,287
Telicom Italia SPA 34,000 87,713
---------------------
541,824
---------------------
JAPAN - 13.9%
Asahi Bank Ltd 5,000 44,347
Asatsu Inc 1,000 31,689
Central Glass Co. Ltd * 5,000 14,122
Cosmo Oil Company Ltd 4,000 19,185
Daiwa Bank 6,000 31,258
East Japan Railway Co 5 22,432
Ebaba Corp 4,000 52,011
Familymart 700 27,908
Fujitsu Ltd 4,000 37,200
Heiwa Real Estate 4,000 23,112
Hitachi Ltd 8,000 74,399
Hokkaido Takushoku Bank 5,000 9,687
Hokuriku Bank 10,000 48,911
Izumi 2,000 27,900
Japan Tobacco, Inc 9 60,837
Kyodo Printing Co 4,000 32,033
Matsushita Electric Industry 2,000 32,550
Mitsubishi Electric 10,000 59,416
Mitsubishi Heavy 6,000 47,533
Mitsui Mining & Smelting 17,000 57,823
Mitsui Toatsu Chemical 20,000 60,794
Mitsui Trust & Banking 3,000 23,379
Nagase & Co 4,000 33,101
Nippon Express Co., Ltd 2,000 13,674
Nippon Steel Corp 24,000 70,679
Nippon Telegraph and Telephone Corp 4 30,242
Nishimatsu Construction Co 6,000 52,183
Nissan Motors 10,000 57,866
Nomura Securities Co. Ltd 5,000 74,916
NSK Ltd 3,000 18,135
Oji Paper Co. Ltd 4,500 28,404
Omron Corp 2,000 37,027
Ono Pharmaceutical 1,500 43,916
Promise Co. Ltd 300 14,725
Ricoh Corp Ltd 4,000 45,811
</TABLE>
See notes to financial statements
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS-CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN - CONTINUED
Ryoyo Electro Corp 1,000 $ 18,083
Sakura Bank Ltd 8,000 57,040
Sanden 3,000 23,973
Sanwa Bank 2,000 27,211
Sekisui Chemical 6,000 60,449
Sony Corp 500 32,679
Sumitomo Forestry 3,000 35,650
Takashimaya Co 2,000 23,939
The Bank of Tokyo Mitsubishi 5,000 92,569
Tokai Bank 2,000 20,839
Tokio Marine & Fire Insurance 4,000 37,544
Tokyo Electric Power Co., Inc 3,600 78,739
Toyo Trust & Banking 5,000 40,257
Toyota Motor Co 4,000 114,699
West Japan Railway Co 12 38,750
Yamaha Motor Co. Ltd 1,000 8,955
Yamanouchi Pharmaceutical 2,000 40,989
Yamato Transport Co. Ltd 2,000 20,666
Yokohyama Rubber Co. Ltd 7,000 32,489
---------------------
2,164,725
---------------------
LUXEMBOURG - 0.3%
Arbed 375 40,482
---------------------
MALAYSIA - 2.3%
Commerce Asset Holdings Convertible Preferred 1.75 45,000 60,806
IJM Corp. Berhad Class A 5,000 11,779
New Straits Times Press Berhad 8,000 46,245
Petronas Dagangan Berhad 36,000 92,648
Sime Darby Berhad 17,000 66,972
Tenaga Nasional Berhad 16,000 76,652
---------------------
355,102
---------------------
NETHERLANDS - 5.2%
ABN Amro Holdings 350 22,603
Aegon NV 1,377 87,106
DSM NV 440 43,077
ING Groep N.V 1,295 46,279
Koninklijke Hoogovens 600 24,820
Philips Electronics NV 1,200 48,262
Polygram 410 20,730
Royal Dutch Petroleum Co 1,615 281,054
</TABLE>
See notes to financial statements
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS-CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NETHERLANDS - CONTINUED
Royal PTT Nederland NV 1,400 $ 53,008
Unilever NV 720 126,419
Wolters Kluwer N.V 420 55,381
---------------------
808,739
---------------------
NEW ZEALAND - 1.4%
Fletcher Challenge Paper 37,200 76,513
Lion Nathan 28,200 67,569
Telecom New Zealand 15,400 78,588
---------------------
222,670
---------------------
NORWAY - 1.4%
Kvaerner B Free 1,000 42,950
Norsk Hydro 1,600 85,839
Nycomed ASA Class B * 1,500 22,793
Orkla A/S-B-Aksjer 500 31,321
Uni-Storebrand AS Class A * 6,000 34,422
---------------------
217,325
---------------------
SINGAPORE - 1.2%
Development Bank Of Singapore 4,000 54,050
Keppel Corp. Ltd 4,000 31,172
Singapore Airlines Ltd-Foreign 4,500 40,859
Singapore Press Holdings Ltd 2,000 39,465
Singapore Telecom Ltd 100 11,000 25,953
---------------------
191,499
---------------------
SPAIN - 4.1%
Asturiana De Zinc * 1,700 16,707
Autopistas Concesionaria 2,000 27,380
Banco Bilbao Vizcaya 840 45,036
Banco Popular Espanola 350 68,260
Bankinter - Banco Interc ESP 350 53,885
Cortefiel Sa 900 26,845
Cubiertas 100 7,648
Empresa Nac De Electricidad 950 67,136
Fuerzas Electricas Cataluna 1,412 13,823
Hidroelectrica Del Cantabrico 1,000 37,897
Iberdrola I.S.A 7,700 108,359
Repsol S.A 3,000 114,264
Telefonica De Espana 2,600 59,954
---------------------
647,194
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS-CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
SWITZERLAND - 3.7%
Alusuis-Lonza Hldg 36 $ 28,525
BIL GT AG - Part Schein 60 30,566
Cie Financ Richemont 10 13,961
Fischer 25 25,806
Holderbank Finan Glaris Class B 45 31,947
Nestle 30 32,014
Novartis AG-Reg * 172 195,426
Roche Holding AG 8 61,874
Schw Rueckversicherungs 50 53,060
Schweizerischer Bankverein 427 80,701
SGS Soc. Gen. Surveillance Class B 9 21,989
---------------------
575,869
---------------------
Total Common and Preferred Stocks (Cost $14,023,644) 14,885,857
---------------------
TOTAL INVESTMENTS - 95.3%
(Cost $14,023,644) 14,885,857
Other Assets and Liabilities (net) - 4.7% 733,398
---------------------
TOTAL NET ASSETS - 100.0% $ 15,619,255
=====================
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare
or pay dividends in the 12 month period.
See notes to financial statements
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON AND PREFERRED STOCKS - 10.1%
CONTAINERS & PACKAGING - 1.7%
2,500 Crown Cork & Seal, Inc. Convertible Preferred $ 130,000
---------------------
ELECTRIC UTILITIES - 0.8%
1,000 Cal Energy Capital Trust Convertible Preferred (144A)*^ 62,359
---------------------
ELECTRONICS - 0.0%
20 Exide Electronics Group Warrants 103
---------------------
FINANCIAL SERVICES - 4.9%
1,000 American Bankers Insurance Preferred 59,688
2,500 Frontier Fin. Convertible Preferred (144A)^ 129,430
70 Fuji International Finance Trust (144A)*^ 184,464
---------------------
373,582
---------------------
INDUSTRIAL - DIVERSIFIED - 1.2%
1,500 Corning Delaware Convertible Preferred 95,438
---------------------
RESTAURANTS - 1.5%
2,200 Wendy's Financing Convertible Preferred 114,400
---------------------
Total Common and Preferred Stocks (Cost $721,430) 775,882
---------------------
DOMESTIC BONDS AND DEBT SECURITIES - 73.9%
ADVERTISING - 3.4%
$100,000 Lamar Advertising 9.625% 12/01/06 103,250
150,000 Omnicom Group, Inc. (144A)^ 4.250% 01/03/07 155,550
---------------------
258,800
---------------------
AEROSPACE & DEFENSE - 1.8%
70,000 BE Aerospace 9.875% 02/01/06 73,850
60,000 UNC, Inc 11.000% 06/01/06 64,500
---------------------
138,350
---------------------
AUTOMOTIVE - 1.4%
100,000 Blue Bird Body Co. (144A)^ 10.750% 11/15/06 104,750
---------------------
BEVERAGES, FOOD & TOBACCO - 2.7%
100,000 Delta Beverage (144A)^ 9.750% 12/15/03 103,000
100,000 Doane Products Co 10.625% 03/01/06 106,000
---------------------
209,000
---------------------
CHEMICALS - 3.5%
50,000 Acetex Corp 9.750% 10/01/03 49,625
100,000 Agricultural Mining & Chemical 10.750% 09/30/03 110,000
100,000 Texas Petrochem 11.125% 07/01/06 108,250
---------------------
267,875
---------------------
COMMERCIAL SERVICES - 2.8%
100,000 Iron Mountain 10.125% 10/01/06 106,500
100,000 Outsourcing Solutions (144A)^ 11.000% 11/01/06 105,000
---------------------
211,500
---------------------
COMMUNICATIONS - 3.7%
20,000 Cablevision Systems, Corp 9.250% 11/01/05 19,900
100,000 Comcast Cellular + 03/05/00 72,500
50,000 General Instrument Convertible Preferred 5.000% 06/15/00 53,500
75,000 Gray Communications Systems, Inc 10.625% 10/01/06 79,688
75,000 MFS Communications Corp 0%, 8.875%++ 01/15/06 55,594
---------------------
281,182
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO OF INVESTMENTS- CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMPUTER SOFTWARE & PROCESSING - 0.7%
$100,000 Automatic Data Processing, Inc + 02/20/12 $ 56,750
---------------------
CONSUMER SERVICES - 1.3%
100,000 Rose Hills (144A)^ 9.500% 11/15/04 102,500
---------------------
CONTAINERS & PACKAGING - 4.3%
75,000 Four M Corp 12.000% 06/01/06 78,750
40,000 Owens-Illinois, Inc 10.000% 08/01/02 42,000
50,000 Printpack, Inc. (144A)^ 9.875% 08/15/04 52,188
150,000 U.S. Can Corp (144A)^ 10.125% 10/01/06 157,875
---------------------
330,813
---------------------
ELECTRIC UTILITIES - 1.7%
125,000 Cal Energy (144A)^ 9.500% 09/15/06 129,063
---------------------
ELECTRICAL EQUIPMENT - 1.5%
50,000 Broadband Technology (144A)^ 5.000% 05/15/01 37,891
75,000 Thermo Instrument 4.500% 10/15/03 78,059
---------------------
115,950
---------------------
ELECTRONICS - 0.3%
20,000 Exide Electronics Group 11.500% 03/15/06 21,300
---------------------
ENTERTAINMENT & LEISURE - 6.0%
20,000 Aztar Corp 11.000% 10/01/02 19,400
75,000 E & S Holdings Corp (144A)^ 10.375% 10/01/06 78,844
50,000 Majestic Star (144A)^ 12.750% 05/15/03 54,000
150,000 Rayovac Corp (144A)^ 10.250% 11/01/06 154,500
50,000 Showboat Marina Casino 13.500% 03/15/03 55,250
50,000 Trump Atlantic City 11.250% 05/01/06 49,750
50,000 Viacom International 8.000% 07/07/06 48,313
---------------------
460,057
---------------------
ENVIRONMENTAL CONTROLS - 1.2%
100,000 WMX Technologies, Inc 2.000% 01/24/05 94,000
---------------------
FINANCIAL SERVICES - 2.1%
150,000 Ocwen Financial Corp 11.875% 10/01/03 164,250
---------------------
FOREST PRODUCTS & PAPER - 3.3%
100,000 Pacific Lumber Co 10.500% 03/01/03 102,000
20,000 Repap Wisconsin 9.875% 05/01/06 20,250
100,000 SD Warren Co 12.000% 12/15/04 108,500
20,000 Sweetheart Cup 10.500% 09/01/03 21,100
---------------------
251,850
---------------------
HEALTH CARE PROVIDERS - 2.0%
50,000 Integrated Health Services Convertible Preferred 6.000% 01/01/03 47,582
100,000 Integrated Health Services (144A)^ 10.250% 04/30/06 104,750
---------------------
152,332
---------------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 1.0%
75,000 Interface, Inc 9.500% 11/15/05 76,688
---------------------
HOUSEHOLD PRODUCTS - 0.7%
50,000 Shop Vac Corp (144A)^ 10.625% 09/01/03 52,875
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL - DIVERSIFIED - 7.0%
$100,000 Baker Hughes, Inc + 05/05/08 $ 73,125
20,000 Essex Group 10.000% 05/01/03 20,850
100,000 Euramax International PLC (144A)^ 11.250% 10/01/06 104,000
100,000 J. Ray McDermott 9.375% 07/15/06 104,500
75,000 Mettler Toledo 9.750% 10/01/06 79,125
50,000 Safelite Glass (144A)^ 9.875% 12/15/06 51,625
100,000 Tokheim Corp (144A)^ 11.500% 08/01/06 106,750
---------------------
539,975
---------------------
MEDIA - BROADCASTING & PUBLISHING - 3.4%
25,000 Grupo Televisa (144A)^ 11.875% 05/15/06 27,781
100,000 Heritage Media Corp 8.750% 02/15/06 96,500
100,000 NWCG Holding Corp + 06/15/99 83,750
50,000 Scholastic Corp 5.000% 08/15/05 52,917
---------------------
260,948
---------------------
OIL & GAS - 9.1%
100,000 Amerigas Partners (144A)^ 10.125% 04/15/07 103,750
125,000 Flores & Rucks, Inc 9.750% 10/01/06 132,813
100,000 HS Resources 9.250% 11/15/06 103,250
70,000 Mesa Operating Co 10.625% 07/01/06 76,300
50,000 Nuevo Energy Co 9.500% 04/15/06 53,250
50,000 Pennzoil Co. Convertible Preferred 4.750% 10/01/03 58,000
50,000 Pogo Producing Co. Convertible Preferred (144A)^ 5.500% 06/15/06 62,923
100,000 Swift Energy Co 6.250% 11/15/06 108,875
---------------------
699,161
---------------------
PHARMACEUTICALS - 2.5%
100,000 Alza Corp 5.000% 05/01/06 97,198
200,000 Roche Holdings, Inc. (144A)^ + 04/20/10 91,500
---------------------
188,698
---------------------
RESTAURANTS - 1.4%
100,000 Ameriking, Inc. (144A)^ 10.750% 12/01/06 104,000
---------------------
RETAILERS - 1.3%
100,000 Pep Boys 4.000% 09/01/99 100,250
---------------------
TEXTILES, CLOTHING & FABRICS - 2.1%
100,000 Prime Succession Acquisition Co. (144A)^ 10.750% 08/15/04 108,750
50,000 William Carter (144A)^ 10.375% 12/01/06 52,625
---------------------
161,375
---------------------
TRANSPORTATION - 1.7%
125,000 Ryder TRS, Inc (144A)^ 10.000% 12/01/06 130,313
---------------------
Total Domestic Bonds and Debt Securities (Cost $5,437,529) 5,664,605
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 15.4%
$400,000 Federal National Mortgage Association 8.500% 02/01/05 $ 420,788
500,000 U.S. Treasury Bond 6.500% 08/15/05 503,587
250,000 U.S. Treasury Note 8.500% 07/15/97 253,672
----------------
Total U.S. Government and Agency Obligations (Cost $1,176,514) 1,178,047
----------------
TOTAL INVESTMENTS - 99.4%
(Cost $7,335,473) 7,618,534
Other Assets and Liabilities (net) - 0.6% 44,728
---------------------
TOTAL NET ASSETS - 100.0% $ 7,663,262
=====================
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not
declare or pay dividends in the 12 month period.
^ Securities that may be resold to "qualified institutional
buyers" under Rule 144A or securities offered pursuant to
Section 4(2) of the Securities Act of 1933, as amended.
These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
+ Zero coupon bond
++ Security is a "step-up" bond where the coupon increases
or steps up at a predetermined date.
See notes to financial statements
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
The following table summarizes the portfolio composition at December
31, 1996, based upon quality ratings issued by Standard & Poor's.
For securities not rated by Standard & Poor's, the Moody rating is
used.
PORTFOLIO COMPOSITION BY CREDIT QUALITY
--------------------------------------------------------------------
RATINGS % OF PORTFOLIO
U.S. Gov't and Agency Obligations 15.5%
AAA 1.2
AA 0.7
A 6.5
BBB 10.4
BB 8.9
B 54.4
NR 2.4
---------
100.0%
---------
Note: NR = Not Rated
See notes to financial statements
COVA SERIES TRUST
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
Par Security Value
Amount Description Rate Maturity (Note 1)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS - 89.5%
BANKERS ACCEPTANCE - 7.6%
$1,000,000 Nationsbank South 5.390% 01/06/97 $ 999,251
1,350,000 Union Bank 5.300% 02/21/97 1,339,864
----------------------
2,339,115
COMMERCIAL PAPER - 35.2%
1,500,000 American General Finance 5.300% 01/13/97 1,497,350
1,000,000 Associate Corp 5.700% 01/14/97 997,942
1,500,000 Ford Motor Credit Corp 5.330% 04/14/97 1,477,125
1,500,000 General Electric Capital Corp 5.350% 04/02/97 1,479,715
1,000,000 Heller Financial 5.380% 01/21/97 997,011
1,500,000 Household Finance Co 5.320% 01/27/97 1,494,236
1,500,000 IBM Credit Corp 5.320% 01/06/97 1,498,892
1,500,000 Merrill Lynch & Co., Inc 5.380% 06/16/97 1,462,789
----------------------
10,905,060
----------------------
MUNICIPAL BONDS - 4.9%
530,000 Chicago Ill. Pub. Bldg. Com. Spl. Oblig 5.820% 07/01/97 530,000
1,000,000 Ohio S/T Taxable Dev. Assistance 5.640% 04/01/97 1,000,000
----------------------
1,530,000
----------------------
U.S. GOVERNMENT AGENCIES - 8.7%
1,220,000 Federal Home Loan Mortgage Corp 5.380% 02/27/97 1,209,608
1,500,000 Federal National Mortgage Association 5.370% 03/31/97 1,480,086
----------------------
2,689,694
----------------------
U.S. TREASURY SECURITIES - 4.6%
1,500,000 U.S. Treasury Bill 5.190% 11/13/97 1,431,665
----------------------
VARIABLE RATE DEMAND OBLIGATIONS - 28.5%
1,200,000 Baptist Health System of South Florida 5.900%# 05/15/25 1,200,000
1,000,000 Dade County Florida Expressway Authority 5.900%# 07/01/19 1,000,000
1,000,000 Health Insurance Plan Gr New York 5.800%# 07/01/20 1,000,000
1,500,000 Mississippi Business Financial Corp 5.700%# 02/01/19 1,500,000
1,000,000 New York, New York (Municipal) Taxable 5.600%# 02/11/97 1,000,000
220,000 Student Loan Marketing Assn. Floater 5.570%# 11/20/97 219,419
1,500,000 Student Loan Marketing Assn. Floater 5.370%# 05/08/97 1,500,000
1,400,000 Virginia State Housing Development Authority 5.800%# 03/01/02 1,400,000
----------------------
8,819,419
----------------------
Total Short-Term Investments (Cost $27,714,953) 27,714,953
----------------------
REPURCHASE AGREEMENT - 11.20%
J.P Morgan U.S. Gov't Repurchase Agreement at 6.25% due 1/2/97,
collaterized by U.S. Treasury Bond, $3,487,000 par, 5.50% coupon,
due 09/30/97, dated 09/30/92, repurchase proceeds
3,465,000 of $3,466,203. (Cost $3,465,000) 01/02/97 3,465,000
----------------------
TOTAL INVESTMENTS - 100.7%
(Cost $31,179,953) 31,179,953
Other Assets and Liabilities (net) - ( 0.7%) (225,065)
----------------------
TOTAL NET ASSETS - 100.0% $ 30,954,888
======================
</TABLE>
PORTFOLIO FOOTNOTES:
# Variable rate security. Interest rates reset either daily or
weekly. The rate shown represents the rate in effect at
December 31, 1996.
See notes to financial statements
COVA SERIES TRUST
QUALITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
DOMESTIC BONDS AND DEBT SECURITIES - 83.3%
ASSET BACKED SECURITIES - 2.9%
$1,000,000 American Express Master Trust 5.375% 07/15/01 $ 968,410
500,000 Signet Credit Card Master Trust 1994-4 A 6.800% 12/15/00 504,525
----------------------
1,472,935
----------------------
CORPORATE BONDS - 49.2%
1,000,000 Advanta Bank Corp 6.520% 04/30/98 1,001,920
1,000,000 Aramark Services 8.150% 05/01/05 1,037,551
1,000,000 Bank Hawaii Capital 8.250% 12/15/26 1,009,810
2,000,000 Coastal Corp 7.750% 10/15/35 2,004,540
1,000,000 Columbia / HCA Healthcare Corp 7.690% 06/15/25 1,029,255
2,000,000 F-Global Fund (Ford Motor Credit) 7.000% 09/25/01 2,031,410
1,000,000 General Electric Capital Corp 5.800% 04/01/08 1,081,490
1,500,000 Johnson & Johnson 8.250% 11/09/04 1,647,300
2,000,000 Lehman Brothers, Inc 6.840% 10/07/99 2,011,472
2,000,000 Medpartners, Inc 7.375% 10/01/06 2,008,660
2,000,000 National Bank of Hungary 8.800% 10/01/02 2,163,410
1,000,000 New England Education Loan Marketing Corp 6.125% 07/17/98 998,494
1,000,000 Norwest Corp 6.550% 12/01/06 974,400
2,000,000 Panenergy Corp 7.000% 10/15/06 1,999,700
2,000,000 Union Pacific Resources Group 7.000% 10/15/06 2,009,824
2,200,000 Yale University 7.375% 04/15/26 2,249,944
----------------------
25,259,180
----------------------
MEDIUM TERM SECURITIES - 3.6%
1,000,000 Advanta Corp 7.000% 05/01/01 1,000,600
900,000 Ford Motor Credit Corp 5.730% 01/13/05 836,099
----------------------
1,836,699
----------------------
MORTGAGED BACK SECURITIES - 2.1%
654,862 Citicorp Mortgage Securities 6.250% 08/25/24 653,631
59,137 Federal Home Loan Mortgage Corp 8.000% 09/01/08 60,338
63,699 Federal National Mortgage Association 8.000% 09/01/03 65,610
60,785 Federal National Mortgage Association 8.500% 07/01/19 63,008
100,000 Federal National Mortgage Association 7.500% 12/25/19 101,156
134,496 Government National Mortgage Assn 9.000% 01/15/20 141,893
----------------------
1,085,636
----------------------
U.S. TREASURY SECURITIES AND AGENCIES - 25.5%
171,797 Federal Home Loan Bank 4.140% 06/04/98 168,163
4,000,000 U.S. Treasury Note 5.625% 11/30/98 3,980,000
5,000,000 U.S. Treasury Note (a) 6.375% 09/30/01 5,029,686
2,000,000 U.S. Treasury Note 5.750% 08/15/03 1,940,624
2,000,000 U.S. Treasury Note 6.500% 10/15/06 2,011,874
----------------------
13,130,347
----------------------
Total Domestic Bonds and Debt Securities (Cost $42,313,732) 42,784,797
----------------------
FOREIGN BONDS AND DEBT SECURITIES - 15.9%
COLUMBIA - 2.0%
1,000,000 Financiera Energy (U.S.$) 9.375% 06/15/06 1,058,590
----------------------
FRANCE - 4.1%
2,000,000 Credit Foncier De France (U.S.$) 8.000% 01/14/02 2,108,760
----------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
QUALITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
GREAT BRITAIN - 5.8%
$2,000,000 BOC Group PLC (U.S.$) 5.875% 01/29/01 $ 1,949,840
1,000,000 SmithKline Beecham Cap (U.S.$) 6.750% 10/30/01 1,011,875
----------------------
2,961,715
----------------------
MALAYSIA - 4.0%
2,000,000 Petroliam Nasional Berhd (U.S.$) (144A) ^ 7.625% 10/15/26 2,029,262
----------------------
Total Foreign Bonds and Debt Securities (Cost $7,955,730) 8,158,327
----------------------
REPURCHASE AGREEMENT - 4.8%
J.P Morgan Repurchase Agreement at 6.25% due 1/2/97,
collaterized by U.S. Treasury Bond, $2,281,000 par, 7.50%
coupon, due 11/15/16, dated 11/15/86, repurchase proceeds
2,440,000 of $2,440,847. (Cost $2,440,000) 01/02/97 2,440,000
----------------------
TOTAL INVESTMENTS - 104.0%
(Cost $52,709,462) 53,383,124
Other Assets and Liabilities (net) - (4.0%) (2,058,976)
----------------------
TOTAL NET ASSETS - 100.0% $ 51,324,148
======================
</TABLE>
PORTFOLIO FOOTNOTES:
^ Securities that may be resold to "qualified
institutional buyers" under Rule 144A or securities
offered pursuant to Section 4(2) of the Securities Act
of 1933, as amended. These securities have been
determined to be liquid under guidelines established
by the Board of Trustees.
(a) Assets segregated for open futures
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS - 101.7%
AEROSPACE & DEFENSE - 3.0%
AlliedSignal, Inc 4,800 $ 321,600
Boeing Co 5,968 634,846
General Dynamics 1,400 98,700
Lockheed Martin Corp 2,625 240,188
McDonnell Douglas Corp 3,800 243,200
Newport News Shipbuilding, Inc. * 680 10,200
Northrop Grumman Corp 1,100 91,025
Raytheon Co 4,400 211,750
Rockwell International Corp.* 4,000 243,500
Textron, Inc 1,700 160,225
United Technologies 4,600 303,600
---------------------
2,558,834
---------------------
AIRLINES - 0.3%
AMR Corp. - Del * 1,600 141,000
Delta Air Lines, Inc 1,100 77,963
Southwest Airlines, Inc 2,900 64,163
---------------------
283,126
---------------------
AUTOMOTIVE - 2.7%
Chrysler Corp 12,000 396,000
Dana Corp 2,000 65,250
Eaton Corp 1,500 104,625
Ford Motor Co 17,800 567,375
General Motors Corp 12,700 708,025
Genuine Parts 3,300 146,850
Goodyear Tire & Rubber Co 3,200 164,400
TRW Inc 3,000 148,500
---------------------
2,301,025
---------------------
BANKING - 7.6%
Banc One Corp 7,310 314,330
Bank of Boston Corp 1,800 115,650
Bank of New York 7,000 236,250
Bankamerica Corp 6,400 638,400
Bankers Trust New York Corp 1,300 112,125
Barnett Banks, Inc 4,000 164,500
Beneficial Corp 1,000 63,375
Boatmens Bancshares, Inc 2,400 154,800
Chase Manhattan Corp 7,532 672,231
Citicorp 6,400 659,200
Corestates Financial Corp 2,600 134,875
First Chicago NBD Corp 5,253 282,349
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
BANKING - CONTINUED
First Union Corp. New England 4,925 $ 364,450
Fleet Financial Group, Inc 4,862 242,492
Golden West Financial Corp 1,100 69,438
Great Western Financial 2,000 58,000
H. F. Ahmanson & Co 1,500 48,750
KeyCorp 4,300 217,150
MBNA Corp 3,750 155,625
Mellon Bank Corp 2,300 163,300
National City Corp 3,000 134,625
Nationsbank Corp 3,900 381,225
Norwest Corp 5,600 243,600
PNC Bank Corp 4,000 150,500
Suntrust Banks, Inc 4,600 226,550
Wachovia Corp 3,000 169,500
Wells Fargo & Co 1,600 431,600
---------------------
6,604,890
---------------------
BEVERAGES, FOOD & TOBACCO - 8.9%
American Brands, Inc 3,000 148,875
Anheuser Busch 7,800 312,000
Archer Daniels Midland 9,555 210,210
Campbell Soup Co 4,500 361,125
Coca-Cola Co 41,600 2,189,200
Conagra, Inc 4,300 213,925
CPC International, Inc 2,400 186,000
General Mills Co 2,700 171,113
Heinz ( H.J.) Co 5,450 194,838
Hershey Foods Corp 3,400 148,750
Kellogg Co 3,000 196,875
Pepsico, Inc 26,000 760,500
Philip Morris Companies, Inc 13,200 1,486,650
Pioneer Hi-Bred International 1,300 91,000
Quaker Oats Co 2,600 99,125
Ralston Purina Group 1,800 132,075
Sara Lee Corp 6,600 245,850
Seagrams Co. Ltd 5,900 228,625
Sysco Corp 3,300 107,663
UST, Inc 3,500 113,313
Wrigley William Jr. Co 2,000 112,500
---------------------
7,710,212
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
BUILDING MATERIALS - 0.3%
Martin Marietta Materials 2,714 $ 63,101
Masco Corp 2,900 104,400
Sherwin Williams Co 1,700 95,200
---------------------
262,701
---------------------
CHEMICALS - 3.3%
Air Products & Chemicals 2,000 138,250
Dow Chemical Co 4,500 352,688
Du Pont (E.I.) De Nemours 9,000 849,375
Eastman Chemical Co 1,700 93,925
FMC Corp. * 1,100 77,138
Great Lakes Chemical Corp 1,400 65,450
Hercules, Inc 2,000 86,500
International Flavors & Fragrances 2,000 90,000
Monsanto Co 10,500 408,188
Morton International, Inc 2,700 110,025
Nalco Chemical 1,500 54,188
PPG Industries 3,500 196,438
Praxair, Inc 2,800 129,150
Rohm & Haas Co 1,200 97,950
Union Carbide Corp 2,400 98,100
---------------------
2,847,365
---------------------
COMMERCIAL SERVICES - 0.4%
ACNielson Corp. * 1,133 17,137
CUC International, Inc. * 4,950 117,563
Interpublic Group, Inc 1,400 66,500
Service Corp. International 4,000 112,000
---------------------
313,200
---------------------
COMMUNICATIONS - 2.1%
Airtouch Communications, Inc. * 8,800 222,200
Alltel Corp 3,700 116,088
DSC Communications * 2,300 41,113
Loral Space & Communications * 3,200 58,800
Lucent Technologies 8,361 386,696
MCI Communications Corp 11,500 375,906
SBC Communications, Inc 9,600 496,800
Tele-Communications, Inc. Series A * 6,000 78,375
---------------------
1,775,978
---------------------
COMPUTER SOFTWARE & PROCESSING - 4.4%
Automatic Data Processing, Inc 5,700 244,388
Cisco Systems, Inc. * 9,700 617,163
Cognizant Corp 3,400 112,200
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE & PROCESSING - CONTINUED
Computer Associates International, Inc 6,150 $ 305,963
Computer Sciences Corp. * 1,200 98,550
First Data Corp 8,000 292,000
Microsoft Corp. * 19,600 1,619,450
Novell, Inc. * 6,500 61,547
Oracle Corp. * 11,700 488,475
---------------------
3,839,736
---------------------
COMPUTERS & INFORMATION - 4.6%
Apple Computer, Inc. * 2,200 45,925
Compaq Computer * 4,500 334,125
Digital Equipment Corp. * 2,600 94,575
Intel Corp 14,100 1,846,219
International Business Machines Corp 8,900 1,343,900
Silicon Graphics * 2,900 73,950
Sun Microsystems, Inc. * 6,600 169,538
---------------------
3,908,232
---------------------
CONTAINERS & PACKAGING - 0.2%
Avery-Dennison Corp 2,600 91,975
Crown Cork & Seal, Inc 1,800 97,875
---------------------
189,850
---------------------
COSMETICS & PERSONAL CARE - 0.8%
Avon Products, Inc 2,600 148,525
Gillette Co 7,100 552,025
---------------------
700,550
---------------------
ELECTRIC UTILITIES - 3.0%
Allegheny Power System, Inc 3,200 131,600
Baltimore Gas and Electric 3,100 82,925
Carolina Power & Light Co 2,500 91,250
Central & South West Corp 3,600 92,250
Cinergy Corp 1,900 63,413
Consolidated Edison of N.Y 3,900 114,075
Dominion Resources, Inc 3,100 119,350
DTE Energy Co 1,900 61,513
Duke Power Co 3,500 161,875
Edison International 6,900 137,138
Entergy Corp 3,100 86,025
FPL Group,Inc 3,600 165,600
GPU, Inc 2,300 77,338
Houston Industries, Inc 5,000 113,125
Northern States Power Co 800 36,700
Ohio Edison Co 3,400 77,350
Pacific Gas & Electric 6,400 134,400
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES - CONTINUED
Pacificorp 4,000 $ 82,000
Peco Energy Co 3,800 95,950
Public Service Enterprise Group, Inc 4,400 119,900
Southern Company 10,900 246,613
Texas Utilities Co 3,100 126,325
Unicom Corp 2,700 73,238
Union Electric Co 1,900 73,150
---------------------
2,563,103
---------------------
ELECTRICAL EQUIPMENT - 4.5%
AMP Inc 4,400 168,850
Applied Materials, Inc. * 3,400 122,188
Emerson Electric 4,400 425,700
General Electric Co 27,300 2,699,288
Grainger (W.W.), Inc 1,000 80,250
Northern Telecom Ltd 4,400 272,250
Westinghouse Electric 7,200 143,100
---------------------
3,911,626
---------------------
ELECTRONICS - 1.5%
Advanced Micro Devices * 1,900 48,925
Honeywell, Inc 2,600 170,950
Johnson Controls 1,100 91,163
Micron Technology, Inc 3,800 110,675
Motorola, Inc 10,000 613,750
National Semiconductor Corp. * 2,500 60,938
Texas Instruments 3,700 235,875
---------------------
1,332,276
---------------------
ENTERTAINMENT & LEISURE - 1.4%
Brunswick Corp., Inc 1,900 45,600
Harrah's Entertainment, Inc. * 1,900 37,763
Hasbro, Inc 1,900 73,863
Mattel 5,750 159,563
Viacom Inc. Class B * 4,600 160,425
Walt Disney Co 11,043 768,869
---------------------
1,246,083
---------------------
ENVIRONMENTAL CONTROLS - 0.4%
Browning-Ferris Industries, Inc 4,200 110,250
WMX Technologies, Inc 8,400 274,050
---------------------
384,300
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES - 3.2%
American Express Co 8,300 $ 468,950
American General Corp 3,800 155,325
H.& R. Block, Inc 2,100 60,900
Dean Witter Discover & Co 3,100 205,375
Federal Home Loan Mortgage Corp 3,100 341,388
Federal National Mortgage Association 18,500 689,125
Household International, Inc 1,900 175,275
J. P. Morgan & Co., Inc 3,000 292,875
Merrill Lynch & Co., Inc 3,100 252,650
Salomon, Inc 1,800 84,825
---------------------
2,726,688
---------------------
FOREST PRODUCTS & PAPER - 0.9%
Champion International 2,000 86,500
Georgia-Pacific Corp 1,700 122,400
International Paper Co 4,700 189,763
Louisiana Pacific Corp 2,000 42,250
Mead Corp 1,000 58,125
Union Camp Corp 1,400 66,850
Westvaco Corp 2,200 63,250
Weyerhauser Co 4,000 189,500
---------------------
818,638
---------------------
HEALTH CARE PROVIDERS - 1.2%
Allegiance Corp 1,000 27,625
Columbia / HCA Healthcare Corp 11,550 470,663
Fresenius Medical Care (ADR) * 1,888 53,100
Medtronic, Inc 4,200 285,600
Tenet Healthcare Corp.* 3,700 80,938
United Healthcare Corp 3,100 139,500
---------------------
1,057,426
---------------------
HEAVY MACHINERY - 0.9%
Caterpiller Tractor, Inc 3,500 263,375
Cooper Industries, Inc 2,200 92,675
Deere & Co 4,800 195,000
Ingersoll Rand Co 2,200 97,900
Pall Corp 2,200 56,100
Parker-Hannifin Corp 1,500 58,125
---------------------
763,175
---------------------
HOUSEHOLD PRODUCTS - 2.1%
Black & Decker Corp 1,500 45,188
Clorox Co 1,100 110,372
Colgate-Palmolive Co 2,200 202,950
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
HOUSEHOLD PRODUCTS - CONTINUED
Newell Co 2,800 $ 88,200
Premark International, Inc 1,100 24,475
Procter & Gamble Co 10,800 1,161,000
Rubbermaid, Inc 2,700 61,425
Tupperware Corp 1,100 58,987
Whirlpool Corp 1,600 74,600
---------------------
1,827,197
---------------------
INDUSTRIAL - DIVERSIFIED - 2.1%
Baker Hughes, Inc 2,500 86,250
Corning, Inc 4,300 198,875
Dover Corp 2,400 120,600
Eastman Kodak Co 5,600 449,400
Fluor Corp 1,400 87,850
Illinois Tool Works, Inc 2,400 191,700
Imation Corp.* 700 19,688
ITT Corp. * 1,900 82,413
ITT Hartford Group, Inc 2,000 135,000
ITT Industries, Inc 2,100 51,450
Temple Inland, Inc 1,200 64,950
Tenneco, Inc. * 3,400 153,425
Tyco Lab 2,900 153,338
---------------------
1,794,939
---------------------
INSURANCE - 4.0%
Aetna, Inc. 6.25% Convertible Preferred 202 16,034
Aetna, Inc 2,505 200,400
Allstate Corp 7,500 434,063
American International Group 6,900 746,925
Chubb Corp 2,500 134,375
Cigna Corp 1,100 150,288
General RE Corp 1,400 220,850
Jefferson Pilot Corp 1,500 84,938
Lincoln National Corp 1,700 89,250
Loews Corp 1,800 169,650
Marsh & McLennan Cos., Inc 1,300 135,200
Providian Corp 2,100 107,888
Safeco Corp 2,300 90,706
St. Paul Cos 1,300 76,213
Torchmark Corp 1,500 75,750
Transamerica Corp 1,200 94,800
Travelers, Inc 11,000 499,113
Unum Corp 1,300 93,925
---------------------
3,420,368
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
LODGING - 0.3%
Hilton Hotels 3,600 $ 94,050
Marriott International, Inc 2,400 132,600
---------------------
226,650
---------------------
MEDIA - BROADCASTING & PUBLISHING - 1.5%
Comcast Corp 3,500 62,344
Deluxe Corporation 1,800 58,950
Dow Jones & Co., Inc 2,300 77,913
Dun & Bradstreet Corp 3,400 80,750
Gannett Co., Inc 2,900 217,138
Knight-Ridder, Inc 2,200 84,150
McGraw-Hill Companies, Inc 2,200 101,475
Moore Corp.Ltd 2,300 46,863
R.R. Donnelley & Sons 3,100 97,263
TCI Satellite Entertainment Inc. Class A * 600 5,963
Time Warner, Inc 7,200 270,000
Tribune Co 1,300 102,538
U.S. West Media Group * 7,100 131,350
---------------------
1,336,697
---------------------
MEDICAL SUPPLIES - 0.6%
Baxter International, Inc 5,000 205,000
Becton Dickinson & Co 2,400 104,100
Boston Scientific Corp. * 2,800 168,000
Mallinckrodt, Inc 1,800 79,425
---------------------
556,525
---------------------
METALS - 1.2%
Alcan Aluminum Ltd 4,800 161,400
Aluminum Company of America 3,500 223,125
Barrick Gold Corp 6,400 184,000
Engelhard Corp 2,700 51,638
Nucor Corp 1,500 76,500
Phelps Dodge Corp 1,500 101,250
Placer Dome, Inc 4,600 100,050
Reynolds Metals Co 1,200 67,650
USX - U.S. Steel Group, Inc 1,500 47,063
---------------------
1,012,676
---------------------
MINING - 1.0%
Cyprus Amax Minerals Co 1,900 44,413
Homestake Mining Co 3,600 51,300
Inco Ltd 2,100 66,938
Minnesota Mining & Manufacturing 7,000 580,125
Newmont Mining 2,200 98,450
---------------------
841,226
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OFFICE EQUIPMENT - 1.7%
Alco Standard Corp 2,200 $ 113,575
Hewlett-Packard Co 18,200 914,550
Pitney Bowes, Inc 3,100 168,950
Xerox Corp 5,400 284,175
---------------------
1,481,250
---------------------
OIL & GAS - 9.9%
Amerada Hess Corp 1,800 104,175
Amoco Corp 8,100 652,050
Ashland Inc 1,500 65,813
Atlantic Richfield Co 2,700 357,750
Burlington Resources, Inc 2,300 115,863
Chevron Corp 10,000 650,000
Coastal Corp 2,000 97,750
Consolidated Natural Gas 1,800 99,450
Dresser Industries, Inc 4,000 124,000
El Paso Natural Gas Co 316 15,958
Enron Corp 4,300 185,438
Exxon Corp 18,800 1,842,400
Halliburton Co 2,000 120,500
Kerr - Mcgee Corp 900 64,800
Mobil Corp 6,000 733,500
Occidental Petroleum 5,100 119,213
Panenergy Corp 2,500 112,500
Phillips Petroleum Co 4,600 203,550
Royal Dutch Petroleum Co 8,600 1,468,450
Schlumberger Ltd 4,100 409,488
Sonat, Inc 1,800 92,700
Sun Co., Inc 1,800 43,875
Texaco, Inc 4,200 412,125
Union Pacific Resources Group 2,964 86,697
Unocal Corp 4,400 178,750
USX - Marathon Group 5,200 124,150
Western Atlas, Inc. * 1,000 70,875
Williams Companies, Inc 2,850 106,875
---------------------
8,658,695
---------------------
PHARMACEUTICALS - 9.1%
Abbott Laboratories 13,300 674,975
American Home Products Corp 10,400 609,700
Amgen, Inc. * 4,500 244,688
Bristol-Myers Squibb Co 8,900 967,875
Eli Lilly & Co 9,000 657,000
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - CONTINUED
Grace (W.R). & Co 1,800 $ 93,150
Johnson & Johnson 21,600 1,074,600
Merck & Co., Inc 20,300 1,608,775
Pfizer, Inc 10,800 895,050
Pharmacia & Upjohn, Inc 7,000 277,375
Schering-Plough Corp 6,300 407,925
Warner Lambert Co 4,800 360,000
---------------------
7,871,113
---------------------
RETAILERS - 5.7%
Albertson's, Inc 4,700 167,438
American Stores Co 2,500 102,188
Circuit City Stores, Inc 1,700 51,213
CVS Corp 2,300 95,163
Darden Restaurants, Inc 2,600 22,750
Dayton-Hudson Corp 4,200 164,850
Dillard Dept. Stores 2,300 71,013
Footstar, Inc. * 662 16,467
Gap Stores 5,300 159,663
Harcourt General, Inc 1,300 59,963
Home Depot 8,000 401,000
J.C. Penney Co., Inc 4,400 214,500
Kimberly-Clark Corp 4,406 419,672
K-Mart Corp. * 8,000 83,000
Kroger Co. * 2,500 116,250
Lowe's Companies, Inc 3,000 106,500
May Dept Stores 5,000 233,750
McDonald's Corp 11,200 506,800
Nordstrom, Inc 1,300 46,069
Price / Costco, Inc. * 4,100 103,013
Sears Roebuck 6,400 295,200
Tandy Corp 1,200 52,800
The Limited, Inc 4,800 88,200
Toys "R" Us, Inc. Holding Co. * 4,700 141,000
Walgreen Co 4,100 164,000
Wal-Mart Stores, Inc 43,300 990,488
Winn Dixie 2,100 66,413
---------------------
4,939,363
---------------------
TELEPHONE SYSTEMS - 5.2%
Ameritech Corp 8,900 539,563
AT & T Corp 25,800 1,122,300
Bell Atlantic Corp 6,700 433,825
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TELEPHONE SYSTEMS - CONTINUED
Bellsouth Corp 16,300 $ 658,113
GTE Corp 13,800 627,900
NYNEX Corp 7,100 341,688
Pacific Telesis Group 6,700 246,225
Sprint Corp 6,400 255,200
U.S. West, Inc 7,400 238,650
---------------------
4,463,464
---------------------
TEXTILES, CLOTHING & FABRICS - 0.5%
Nike, Inc 4,800 286,800
Payless Shoesource, Inc. * 800 30,000
Reebok International Ltd * 1,200 50,400
VF Corp 1,400 94,500
---------------------
461,700
---------------------
TRANSPORTATION - 1.2%
Burlington Northern Santa Fe 2,600 224,575
Conrail, Inc 1,300 129,513
CSX Corp 4,000 169,000
Federal Express Corp. * 2,200 97,900
Norfolk Southern Corp 1,900 166,250
Union Pacific Corp 3,500 210,438
---------------------
997,676
---------------------
Total Common and Preferred Stocks (Cost $60,745,359) 87,988,553
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION PAR AMOUNT (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 2.3%
REPURCHASE AGREEMENT - 2.2%
J.P. Morgan Repurchase Agreement at 6.25% due 1/2/97,
collaterized by U.S. Treasury Bond, $1,813,000 par, 7.50% coupon,
due 11/15/16, dated 11/15/86, repurchase proceeds
of $1,939,673. $1,939,000 $ 1,939,000
---------------------
U.S. GOVERNMENT - 0.1%
Federal Home Loan Mortgage Corp. Discount Note (a) 100,000 99,075
---------------------
Total Short-Term Investments (Cost $2,038,075) 2,038,075
---------------------
TOTAL INVESTMENTS - 104.0%
(Cost $62,783,434) 90,026,628
Other Assets and Liabilities (net) - (4.0%) (3,466,444)
---------------------
TOTAL NET ASSETS - 100.0% $ 86,560,184
=====================
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare
or pay dividends in the 12 month period.
(a) Assets segregated for open futures
ADR - American Depositary Receipt
See notes to financial statements
COVA SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS - 92.5%
ADVERTISING - 0.5%
3,300 Omnicom Group, Inc $ 150,975
---------------------
AEROSPACE & DEFENSE - 2.1%
4,900 AlliedSignal, Inc 328,300
3,200 Boeing Co 340,400
---------------------
668,700
---------------------
AUTOMOTIVE - 0.8%
8,900 Stewart & Stevenson Services 259,213
---------------------
BANKING - 6.2%
6,100 Bankamerica Corp 608,475
2,700 Bankers Trust New York Corp 232,875
3,800 Chase Manhattan Corp 339,150
4,400 Comerica, Inc 230,450
2,700 First Bank System, Inc 184,275
2,100 First Union Corp. New England 155,400
1,700 Nationsbank Corp 166,175
---------------------
1,916,800
---------------------
BEVERAGES, FOOD & TOBACCO - 5.9%
4,700 American Brands, Inc 233,238
1,700 Campbell Soup Co 136,425
9,000 Nabisco Holdings Corp. Class A 349,875
5,000 Philip Morris Companies, Inc 563,125
4,800 Quaker Oats Co 183,000
1,500 Ralston Purina Group 110,063
8,300 RJR Holdings Group, Inc 282,200
---------------------
1,857,926
---------------------
BUILDING MATERIALS - 0.9%
3,900 Keystone International Inc 78,488
5,800 Masco Corp 208,800
---------------------
287,288
---------------------
CHEMICALS - 2.2%
2,900 Betz Labs 169,650
2,900 Monsanto Co 112,738
3,800 Morton International, Inc 154,850
5,900 Praxair, Inc 272,138
---------------------
709,376
---------------------
COMMERCIAL SERVICES - 0.0%
666 AC Nielson Corp. * 10,073
---------------------
COMMUNICATIONS - 4.5%
6,300 Cable & Wireless PLC 155,138
5,000 DSC Communications * 89,688
7,400 Ericsson L M Telephone 223,388
5,925 Frontier Corp 134,053
3,405 Lucent Technologies 157,481
7,400 Newbridge Network Corp. * 209,050
4,500 Nokia Corp 259,313
4,800 Tellabs, Inc. * 180,600
---------------------
1,408,711
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE & PROCESSING - 5.5%
5,800 3 Com Corp. * $ 425,195
7,100 BMC Software, Inc. * 293,763
3,700 Cisco Systems, Inc. * 235,413
2,000 Cognizant Corp. 66,000
6,450 Computer Associates International, Inc 320,888
2,000 Microsoft Corp. Convertible Preferred 160,125
2,800 Microsoft Corp. * 231,350
---------------------
1,732,734
---------------------
COMPUTERS & INFORMATION - 2.1%
2,700 Intel Corp 353,531
2,100 International Business Machines Corp 317,100
---------------------
670,631
---------------------
CONTAINERS & PACKAGING - 1.5%
8,900 Crown Cork & Seal, Inc 483,938
---------------------
ELECTRIC UTILITIES - 4.7%
3,400 Allegheny Power System, Inc 103,275
6,300 Boston Edison Co 169,313
3,400 CMS Energy Corp 114,325
12,200 DTE Energy Co 394,975
7,400 Edison International 147,075
4,000 Houston Industries, Inc 90,500
2,600 Nipsco Industries, Inc 103,025
2,500 Ohio Edison Co 56,875
5,700 Scana Corp 152,475
6,000 Unicom Corp 162,750
---------------------
1,494,588
---------------------
ELECTRICAL EQUIPMENT - 0.9%
2,900 General Electric Co 286,738
---------------------
ELECTRONICS - 3.7%
13,200 General Instrument Corp. * 285,450
5,600 General Signal 239,400
4,400 Honeywell, Inc 289,300
2,300 Johnson Controls 190,613
2,500 Linear Technology Corp 109,688
1,800 Oak Industries, Inc. * 41,400
---------------------
1,155,851
---------------------
ENTERTAINMENT & LEISURE - 1.0%
5,300 Time Warner, Inc 198,750
1,800 Walt Disney Co 125,325
---------------------
324,075
---------------------
ENVIRONMENTAL CONTROLS - 0.9%
8,600 WMX Technologies, Inc. (a) 280,575
---------------------
FINANCIAL SERVICES - 3.6%
7,200 H.& R. Block, Inc 208,800
10,000 Federal National Mortgage Association 372,500
3,200 J. P. Morgan & Co., Inc 312,400
2,700 Student Loan Marketing Association 251,438
---------------------
1,145,138
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREST PRODUCTS & PAPER - 0.6%
5,300 James River Corp $ 175,563
---------------------
HEALTH CARE PROVIDERS - 1.0%
3,800 Pacificare Health Systems, Inc. * 323,475
---------------------
HEAVY MACHINERY - 0.9%
6,700 Ingersoll Rand Co 298,150
---------------------
HOUSEHOLD PRODUCTS - 1.7%
2,000 Colgate-Palmolive Co 184,500
5,700 Newell Co 179,550
1,600 Procter & Gamble Co 172,000
---------------------
536,050
---------------------
INDUSTRIAL - DIVERSIFIED - 0.6%
2,400 Eastman Kodak Co 192,600
---------------------
INSURANCE - 6.8%
3,100 Aetna, Inc 248,000
5,800 Allstate Corp 335,675
2,900 American International Group 313,925
3,000 Conseco, Inc 191,250
6,800 Everest Re Holdings 195,500
5,100 Horace Mann Educators 205,913
2,100 MBIA, Inc 212,625
4,933 Travelers, Inc 223,845
8,400 USF&G Corp 175,350
---------------------
2,102,083
---------------------
MEDIA - BROADCASTING & PUBLISHING - 0.8%
3,900 Deluxe Corp 127,725
2,000 Dun & Bradstreet Corp 47,500
1,100 Tribune Co 86,763
---------------------
261,988
---------------------
MEDICAL SUPPLIES - 0.4%
6,400 Nellcor Puritan Bennett Inc. * 139,200
---------------------
OFFICE EQUIPMENT - 0.3%
2,100 Hewlett-Packard Co 105,525
---------------------
OIL & GAS - 9.2%
1,700 Amerada Hess Corp 98,388
5,300 Apache Corp 109,663
6,300 Burlington Resources, Inc 186,388
3,500 Coastal Corp 171,063
1,700 Exxon Corp 169,285
3,000 Royal Dutch Petroleum Co 512,250
3,700 Sun Co., Inc 90,188
8,600 Texaco, Inc 843,875
10,000 Unocal Corp 406,250
5,500 USX-Marathon Group 131,313
2,200 Williams Companies, Inc 192,619
---------------------
2,911,282
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - 9.9%
5,800 Abbott Laboratories $ 294,350
3,400 Amgen, Inc. * 184,875
3,400 Bristol-Myers Squibb Co 369,750
10,100 Glaxo Wellcome PLC 320,675
4,300 Merck & Co., Inc 340,775
2,800 Mylan Laboratories, Inc 46,900
6,300 Novartis AG ADR 359,638
7,000 SmithKline Beecham PLC 476,000
3,200 Teva Pharmaceutical 160,800
5,000 Warner Lambert Co 375,000
4,200 Watson Pharmaceutical, Inc. * 188,738
---------------------
3,117,501
---------------------
REAL ESTATE - 0.9%
8,600 Healthcare Realty Trust 227,900
2,108 Simon Debartolo Group, Inc 65,348
---------------------
293,248
---------------------
RETAILERS - 5.6%
6,900 Dayton-Hudson Corp 270,825
17,000 Federated Department Stores * 580,125
3,900 Gymboree Corp. * 89,213
2,100 K-Mart Financing Preferred 102,375
700 Lone Star Steakhouse & Saloon * 18,813
2,600 Revco D.S. Inc. * 96,200
3,700 Sears Roebuck 170,663
5,900 Talbots, Inc 168,888
3,100 The Vons Co., Inc. * 185,613
3,000 Toys "R" Us, Inc. Holding Co. * 90,000
---------------------
1,772,715
---------------------
TELEPHONE SYSTEMS - 3.4%
18,000 AT & T Corp 783,000
3,400 Cincinnati Bell, Inc 209,525
2,400 Sprint Corp 86,100
---------------------
1,078,625
---------------------
TEXTILES, CLOTHING & FABRICS - 2.1%
5,600 Adidas AG (144A)^ 241,643
15,800 Canadian Pacific 418,700
---------------------
660,343
---------------------
TRANSPORTATION - 1.3%
6,250 Canadian National Railway Co 237,500
3,000 Union Pacific Corp 180,375
---------------------
417,875
---------------------
Total Common and Preferred Stocks (Cost $25,261,741) 29,229,553
---------------------
DOMESTIC BONDS AND DEBT SECURITIES - 3.3% COUPON MATURITY
AIRLINES - 0.2% ------ --------
$45,000 Continental Airlines (144A)^ 6.750% 04/15/06 49,500
---------------------
BEVERAGES, FOOD & TOBACCO - 0.6%
150,000 Grand Metropolitan (144A)^ 6.500% 01/31/00 177,989
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
DOMESTIC BONDS AND DEBT SECURITIES - CONTINUED
FINANCIAL SERVICES - 0.3%
$100,000 MBL International Finance 3.000% 11/30/02 $ 104,125
-----------------
INDUSTRIAL - DIVERSIFIED - 0.7%
350,000 ADT Operations, Inc. + 07/06/10 227,938
-----------------
MEDIA - BROADCASTING & PUBLISHING - 0.3%
200,000 News America Holdings + 03/11/13 94,250
-----------------
PHARMACEUTICALS - 1.2%
700,000 Roche Holdings, Inc. (144A)^ + 04/20/10 320,250
50,000 Sandoz (144A)^ 2.000% 10/06/02 53,750
-----------------
374,000
-----------------
Total Domestic Bonds and Debt Securities (Cost $937,834) 1,027,802
-----------------
SHORT-TERM INVESTMENTS - 8.7%
U.S. GOVERNMENT AND AGENCY OBLIGATIONS- 8.7%
2,765,000 Student Loan Marketing Association (Cost $2,764,002) 6.500% 01/02/97 2,764,002
-----------------
TOTAL INVESTMENTS - 104.5%
(Cost $28,963,577) 33,021,357
Other Assets and Liabilities (net) - (4.5%) (1,428,191)
-----------------
TOTAL NET ASSETS - 100.0% $ 31,593,166
=================
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not
declare or pay dividends in the 12 month period.
^ Securities that may be resold to "qualified
institutional buyers" under Rule 144A or securities
offered pursuant to Section 4(2) of the Securities Act
of 1933, as amended. These securities have been
determined to be liquid under guidelines established by
the Board of Trustees.
+ Zero coupon bond
(a) Assets segregated for open futures
See notes to financial statements
COVA SERIES TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DOMESTIC BONDS AND DEBT SECURITIES - 87.0%
AEROSPACE & DEFENSE - 2.9%
$300,000 Sequa Corp 9.625% 10/15/99 $ 311,250
250,000 Sequa Corp 9.375% 12/15/03 253,750
600,000 Talley Manufacturing & Technical Corp 10.750% 10/15/03 628,500
---------------------
1,193,500
---------------------
AIRLINES - 1.2%
500,000 U.S. Air, Inc 8.625% 09/01/98 501,250
---------------------
AUTOMOTIVE - 1.1%
300,000 Exide Corp 10.750% 12/15/02 315,000
150,000 JPS Automotive Products 11.125% 06/15/01 161,625
---------------------
476,625
---------------------
BEVERAGES, FOOD & TOBACCO - 0.6%
250,000 Pilgrims Pride 10.875% 08/01/03 248,750
---------------------
BUILDING MATERIALS - 3.4%
550,000 American Standard, Inc 10.875% 05/15/99 588,500
250,000 Clark Materials (144A)^ 10.750% 11/15/06 261,250
500,000 Schuller International Group, Inc 10.875% 12/15/04 559,375
---------------------
1,409,125
---------------------
CHEMICALS - 1.9%
200,000 Trans-Resources 11.875% 07/01/02 202,000
534,000 ISP Holdings, Inc. 9.750% 02/15/02 559,365
---------------------
761,365
---------------------
COMMUNICATIONS - 9.5%
100,000 Cablevision Systems, Corp 10.750% 04/01/04 104,250
150,000 Cablevision Systems, Corp 10.500% 05/15/16 156,000
500,000 Centennial Cellular 10.125% 05/15/05 505,000
200,000 Echostar Communications 0%, 12.875%++ 06/01/04 166,500
600,000 Fonorola, Inc 12.500% 08/15/02 660,000
150,000 Intermedia Communications of Florida, Inc 13.500% 06/01/05 172,125
300,000 Intermedia Communications of Florida, Inc 0%, 12.500%++ 05/15/06 201,000
650,000 IXC Communications, Inc 12.500% 10/01/05 718,250
300,000 Millicon International Cellular (144A)^ 0%, 13.500%++ 06/01/06 187,500
300,000 Panamsat L.P 9.750% 08/01/00 319,500
100,000 Pricellular Wireless Corp 0%, 14.000%++ 11/15/01 99,500
300,000 Pricellular Wireless Corp 0%, 12.250%++ 10/01/03 258,000
500,000 Teleport Communications 0%, 11.125%++ 07/01/07 345,000
---------------------
3,892,625
---------------------
COMPUTER SOFTWARE & PROCESSING - 1.3%
500,000 Computervision 11.375% 08/15/99 525,000
---------------------
CONTAINERS & PACKAGING - 3.0%
100,000 Owens-Illinois, Inc 10.250% 04/01/99 101,000
450,000 Owens-Illinois, Inc 11.000% 12/01/03 502,875
600,000 U.S. Can Co 13.500% 01/15/02 624,750
---------------------
1,228,625
---------------------
COSMETICS & PERSONAL CARE - 1.4%
300,000 Revlon Consumer Products Corp 9.375% 04/01/01 308,250
150,000 Revlon Consumer Products Corp 10.500% 02/15/03 157,875
100,000 Revlon Consumer Products Corp 10.875% 07/15/10 102,625
---------------------
568,750
---------------------
ELECTRIC UTILITIES - 5.5%
600,000 AES Corp 10.250% 07/15/06 648,000
350,000 California Energy, Inc 9.875% 06/30/03 371,000
</TABLE>
See notes to financial statements
COVA SERIES TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRIC UTILITIES - CONTINUED
$659,000 Connecticut Yankee Atomic 12.000% 06/01/00 $ 675,717
150,000 El Paso Electric Company 8.250% 02/01/03 154,500
50,000 El Paso Electric Company 8.900% 02/01/06 53,000
300,000 Midland Funding Corp. II 11.750% 07/23/05 337,500
---------------------
2,239,717
---------------------
ELECTRONICS - 2.4%
300,000 Advanced Micro Devices 11.000% 08/01/03 327,000
450,000 Bell & Howell Holdings Co 0%,11.500%++ 03/01/05 329,625
300,000 Exide Electronics Group 11.500% 03/15/06 319,500
---------------------
976,125
---------------------
ENTERTAINMENT & LEISURE - 9.3%
350,000 Agrosy Gaming 13.250% 06/01/04 326,375
325,000 California Hotel Financial Corp 11.000% 12/01/02 338,813
400,000 Coast Hotels & Casino 13.000% 12/15/02 442,000
350,000 Grand Casinos, Inc 10.125% 12/01/03 355,250
350,000 Hollywood Casino, Inc 12.750% 11/01/03 337,750
400,000 Majestic Star 12.750% 05/15/03 429,000
100,000 Rayovac Corp (144A)^ 10.250% 11/01/06 103,000
650,000 Selmer Co., Inc 11.000% 05/15/05 710,125
250,000 Trump Atlantic City 11.250% 05/01/06 248,750
500,000 Viacom International 10.250% 09/15/01 543,550
---------------------
3,834,613
---------------------
ENVIRONMENTAL CONTROLS - 0.5%
100,000 Envirosource Inc 9.750% 06/15/03 94,500
100,000 Norcal Waste Systems, Inc 13.000% 11/15/05 111,500
---------------------
206,000
---------------------
FOREST PRODUCTS & PAPER - 1.3%
200,000 SD Warren Co 12.000% 12/15/04 217,000
150,000 Sweetheart Cup 9.625% 09/01/00 155,250
150,000 Sweetheart Cup 10.500% 09/01/03 158,250
---------------------
530,500
---------------------
HEALTH CARE PROVIDERS - 4.0%
500,000 Fresenius Med Care Preferred 9.000% 12/01/06 510,000
250,000 Merit Behavioral Care 11.500% 11/15/05 272,500
500,000 Ornda Healthcorp 12.250% 05/15/02 533,750
300,000 Tenet Healthcare Corp 10.125% 03/01/05 333,000
---------------------
1,649,250
---------------------
INDUSTRIAL - DIVERSIFIED - 2.4%
150,000 Aetna Industry, Inc 11.875% 10/01/06 161,625
600,000 Communications & Power Corp 12.000% 08/01/05 670,500
150,000 Jordan Industries, Inc 10.375% 08/01/03 148,500
---------------------
980,625
---------------------
INSURANCE - 1.2%
475,000 Americo Life, Inc 9.250% 06/01/05 475,000
---------------------
MEDIA - BROADCASTING & PUBLISHING - 11.2%
300,000 Century Communications Corp 11.875% 10/15/03 318,000
150,000 Comcast Corp 9.375% 05/15/05 156,375
150,000 Comcast Corp 9.125% 10/15/06 154,125
500,000 EZ Communications 9.750% 12/01/05 521,250
500,000 Heritage Media Services 11.000% 06/15/02 532,500
500,000 Insight Communications Co. L.P 11.250% 03/01/00 515,000
450,000 International Cabletel, Inc 0%,12.750%++ 04/15/05 337,500
100,000 International Cabletel, Inc 0%,11.500%++ 02/01/06 68,500
100,000 JCAC, Inc 10.125% 06/15/06 104,250
</TABLE>
See notes to financial statements
COVA SERIES TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MEDIA - BROADCASTING & PUBLISHING - CONTINUED
$300,000 Katz Media Corp (144A)^ 10.500% 01/15/07 $ 308,250
225,000 K-III Communications Corp 10.625% 05/01/02 237,938
150,000 K-III Communications Corp 10.250% 06/01/04 157,875
600,000 SCI Television 11.000% 06/30/05 645,000
250,000 Young Broadcasting Corp 11.750% 11/15/04 267,500
250,000 Young Broadcasting Corp 10.125% 02/15/05 260,000
---------------------
4,584,063
---------------------
METALS - 4.1%
500,000 Armco Inc 11.375% 10/15/99 526,250
500,000 Carbide/Graphite Group, Inc 11.500% 09/01/03 548,750
350,000 Easco Corp 10.000% 03/15/01 355,250
250,000 WCI Steel, Inc (144A)^ 10.000% 12/01/04 256,250
---------------------
1,686,500
---------------------
OIL & GAS - 8.9%
175,000 Clark R&M Holdings + 02/15/00 126,438
500,000 Coda Energy, Inc 10.500% 04/01/06 531,250
495,000 Giant Industries 9.750% 11/15/03 517,275
530,000 Global Marine, Inc 12.750% 12/15/99 572,400
500,000 KCS Energy, Inc 11.000% 01/15/03 543,750
150,000 National Energy Group (144A)^ 10.750% 11/01/06 158,250
150,000 Parker Drilling Corp 9.750% 11/15/06 158,625
500,000 Petroleum Heat & Power 12.250% 02/01/05 561,250
475,000 Triton Energy Corp 0%,9.750%++ 12/15/00 498,750
---------------------
3,667,988
---------------------
RETAILERS - 8.1%
100,000 Cole National Group (144A)^ 9.875% 12/31/06 103,500
300,000 Loehmann's, Inc 11.875% 05/15/03 324,750
500,000 Pantry, Inc 12.000% 11/15/00 473,750
400,000 Pathmark Stores, Inc 9.625% 05/01/03 385,000
630,000 Thrifty Payless, Inc 12.250% 04/15/04 737,100
600,000 Vons Company, Inc 9.625% 04/01/02 628,500
600,000 Waban, Inc 11.000% 05/15/04 675,000
---------------------
3,327,600
---------------------
TEXTILES, CLOTHING & FABRICS - 0.5%
220,000 Dan River, Inc 10.125% 12/15/03 221,100
---------------------
U.S. GOVERNMENT - 1.3%
500,000 U.S. Treasury Note 9.000% 05/15/98 520,000
---------------------
Total Domestic Bonds and Debt Securities (Cost $35,508,655) 35,704,696
---------------------
FOREIGN BONDS AND DEBT SECURITIES - 6.3%
CANADA -4.7%
600,000 Doman Industries Ltd. (U.S.$) 8.750% 03/15/04 565,500
500,000 Fundy Cable Ltd. (U.S.$) 11.000% 11/15/05 532,500
400,000 Rogers Communications, Inc. (U.S.$) 10.875% 04/15/04 423,000
300,000 Speedy Muffler King, Inc. (U.S.$) 10.875% 10/01/06 323,250
100,000 Stone Consolidated (U.S.$) 10.250% 12/15/00 106,500
---------------------
1,950,750
---------------------
GREAT BRITAIN - 0.4%
250,000 Telewest PLC (U.S.$) 0%,11.000%++ 10/01/07 175,000
---------------------
PORTUGAL - 1.2%
500,000 Fresh Del Monte (U.S.$) 10.000% 05/01/03 477,500
---------------------
Total Foreign Bonds and Debt Securities (Cost $1,833,324) 2,603,250
---------------------
</TABLE>
See notes to financial statements
COVA SERIES TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 1996
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
EQUITIES - 2.0%
COMMUNICATIONS - 1.5%
3,470 Cablevision Systems, Corp. Preferred $ 325,315
350 Intermedia Communications of Florida, Inc. Warrants *. 8,750
241 Panamsat Corp. Preferred 294,780
---------------------
628,845
---------------------
ELECTRIC UTILITIES - 0.3%
1,084 El Paso Electric Co. Preferred 120,731
---------------------
ELECTRONICS - 0.0%
250 Exide Electronics Group Warrants * 1,282
---------------------
FOOD RETAILERS - 0.2%
3,177 Super Markets General Holding Preferred 84,985
---------------------
MEDIA - BROADCASTING & PUBLISHING - 0.0%
930 American Telecasting, Inc. Warrants * 5,115
---------------------
Total Equities (Cost $769,748) 840,958
---------------------
REPURCHASE AGREEMENT - 7.2%
J.P Morgan Repurchase Agreement at 6.25 % due 1/2/97,
collaterized by U.S. Treasury Bond, $2,747,000 par, 7.50%
coupon, due 11/15/16, dated 11/15/86, repurchase proceeds
$2,938,000 of $2,939,020. (Cost $2,938,000) 01/02/97 2,938,000
---------------------
TOTAL INVESTMENTS - 102.5%
(Cost $41,049,727) 42,086,904
Other Assets and Liabilities (net) - (2.5%) (1,022,266)
---------------------
TOTAL NET ASSETS - 100.0% $ 41,064,638
=====================
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not
declare or pay dividends in the 12 month period.
^ Securities that may be resold to "qualified
institutional buyers" under Rule 144A or securities
offered pursuant to Section 4(2) of the Securities Act
of 1933, as amended. These securities have been
determined to be liquid under guidelines established by
the Board of Trustees.
+ Zero coupon bond
++ Security is a "step-up" bond where the coupon increases
or steps up at a predetermined date.
See notes to financial statements
COVA SERIES TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
The following table summarizes the portfolio composition at December
31, 1996, based upon quality ratings issued by Standard & Poor's.
For securities not rated by Standard & Poor's, the Moody rating is
used.
PORTFOLIO COMPOSITION BY CREDIT QUALITY
--------------------------------------------------------------------
RATINGS % OF PORTFOLIO
U.S. Gov't and Agency Obligations 8.2%
BB 28.3
B 61.5
CCC 2.0
---------
100.0%
---------
See notes to financial statements
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
Small Cap Stock Quality Bond Select Equity Large Cap Stock
Portfolio Portfolio Portfolio Portfolio
---------------- ------------- -------------- ----------------
ASSETS
Investments, at value (Note 1)* $ 13,382,969 $ 5,688,282 $ 23,559,444 $ 17,153,195
Cash 1,831,624 302,633 1,116,477 5,719
Cash denominated in foreign currencies ** ----- ----- ----- -----
Receivable for investments sold ----- ----- 848,504 28,763
Receivable for Trust shares sold 31,918 57,305 74,983 383
Dividends receivable 12,712 ----- 38,042 33,916
Interest receivable 6,474 58,886 4,071 65
Net variation margin on financial futures
contracts (Note 5) ----- ----- ----- -----
Net open forward currency contracts (Note 7) ----- ----- ----- -----
Receivable from investment adviser (Note 2) 42,607 13,018 14,939 8,715
---------------- ------------- -------------- ----------------
Total assets 15,308,304 6,120,124 25,656,460 17,230,756
---------------- ------------- -------------- ----------------
LIABILITIES
Payables for:
Payable for investments purchased 8,384 159,393 1,467,718 30,923
Payable for Trust shares redeemed 331 180 538 383
Distributions declared 621,596 143,022 335,310 410,398
Net variation margin on financial futures
contracts (Note 5) ----- ----- ----- -----
Investment advisory fee payable (Note 2) ----- ----- ----- -----
Accrued expenses 27,314 15,481 18,975 17,457
---------------- ------------- -------------- ----------------
Total liabilities 657,625 318,076 1,822,541 459,161
---------------- ------------- -------------- ----------------
NET ASSETS $ 14,650,679 $ 5,802,048 $ 23,833,919 $ 16,771,595
================ ============= ============== ================
- ---------------------------------------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS REPRESENTED BY:
Paid in surplus $ 14,098,386 $ 5,725,522 $ 22,545,717 $ 15,096,391
Accumulated net realized gain (loss) 57,896 (34,027) 233,870 89,850
Unrealized appreciation of investments, futures
contracts, option contracts and foreign currency 498,352 63,737 1,054,575 1,582,389
Undistributed (distributions in excess of) net
investment income (3,955) 46,816 (243) 2,965
---------------- ------------- -------------- ----------------
Total $ 14,650,679 $ 5,802,048 $ 23,833,919 $ 16,771,595
================ ============= ============== ================
Capital shares outstanding 1,341,383 575,476 2,218,737 1,509,371
================ ============= ============== ================
NET ASSET VALUE AND OFFERING PRICE PER SHARE $10.922 $10.082 $10.742 $11.112
================ ============= ============== ================
- ---------------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 12,884,617 $ 5,624,545 $ 22,504,869 $ 15,570,806
** Cost of cash denominated in foreign currencies ---- ---- ----- -----
</TABLE>
See notes to financial statements
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
International Equity Bond Debenture Money Market Quality Income Stock Index Growth and Income High Yield
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
--------------------- --------------- ------------- --------------- ------------ ------------------ -----------
$ 14,885,857 $ 7,618,534 $ 31,179,953 $ 53,383,124 $ 90,026,628 $ 33,021,357 $42,086,904
623,946 211,800 24,659 23,376 ----- 27,266 23,174
1,008,852 ----- ----- ----- ----- ----- -----
126,558 ----- ----- 1,027,340 24,592 235,263 -----
58,507 78,532 ----- ----- ----- 27,722 -----
20,515 375 ----- ----- 165,159 72,076 -----
5,018 142,450 79,381 975,697 456 5,697 787,434
----- ----- ----- 31,250 ----- ----- -----
17,611 ----- ----- ----- ----- ----- -----
71,444 11,155 37,960 454 ----- 23,137 6,910
--------------------- --------------- ------------- --------------- ------------ ------------------ -----------
16,818,308 8,062,846 31,321,953 55,441,241 90,216,835 33,412,518 42,904,422
--------------------- --------------- ------------- --------------- ------------ ------------------ -----------
1,088,609 150,000 ----- 3,252,095 ----- 261,052 -----
358 120 326,589 41,363 32,036 186 12,119
73,693 234,247 ----- 800,988 3,509,017 1,508,080 1,805,641
----- ----- ----- ----- 36,500 29,200 -----
----- ----- ----- ----- 42,725 ----- -----
36,393 15,217 40,476 22,647 36,373 20,834 22,024
--------------------- --------------- ------------- --------------- ------------ ------------------ -----------
1,199,053 399,584 367,065 4,117,093 3,656,651 1,819,352 1,839,784
--------------------- --------------- ------------- --------------- ------------ ------------------ -----------
$ 15,619,255 $ 7,663,262 $ 30,954,888 $ 51,324,148 $ 86,560,184 $ 31,593,166 $41,064,638
===================== =============== ============= =============== ============ ================== ===========
- ------------------------- ------------------ --------------- ----------------- --------------- -------------------- --------------
$ 14,684,592 $ 7,369,249 $ 31,030,072 $ 51,750,081 $ 59,203,346 $ 27,066,459 $41,040,513
24,393 8,944 (75,184) (1,994,025) 92,013 479,013 (993,881)
883,114 283,061 ----- 683,818 27,209,404 4,042,130 1,037,177
27,156 2,008 ----- 884,274 55,421 5,564 (19,171)
--------------------- --------------- ------------- --------------- ------------ ------------------ -----------
$ 15,619,255 $ 7,663,262 $ 30,954,888 $ 51,324,148 $ 86,560,184 $ 31,593,166 $41,064,638
===================== =============== ============= =============== ============ ================== ===========
1,425,198 698,547 31,030,072 4,801,097 5,367,589 2,258,899 3,864,501
===================== =============== ============= =============== ============ ================== ===========
$10.959 $10.970 $1.00 $10.690 $16.126 $13.986 $10.626
===================== =============== ============= =============== ============ ================== ===========
- ------------------------- ------------------ --------------- ----------------- --------------- -------------------- --------------
$ 14,023,644 $ 7,335,473 $ 31,179,953 $ 52,709,462 $ 62,783,434 $ 28,963,577 $41,049,727
1,007,557 ----- ----- ----- ----- ----- -----
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
PERIOD ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
Small Cap Stock Quality Bond Select Equity Large Cap Stock
Portfolio* Portfolio* Portfolio* Portfolio*
--------------- ------------- -------------- ----------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (1) $ 81,122 $ ----- $ 144,812 $ 258,530
Interest 31,544 287,492 33,390 15,616
--------------- ------------- -------------- ----------------
Total investment income 112,666 287,492 178,202 274,146
--------------- ------------- -------------- ----------------
EXPENSES
Investment advisory fee (Note 2) 51,031 24,070 60,950 76,508
Custody, fund accounting, and transfer agent fees 81,423 17,339 52,583 39,841
Audit 15,041 15,041 15,041 15,013
Trustee fees and expenses 4,840 4,840 4,840 4,828
Legal 961 943 987 1,657
Shareholder reporting 932 932 932 932
Miscellaneous 17 18 18 18
--------------- ------------- -------------- ----------------
Total expenses 154,245 63,183 135,351 138,797
Less fees waived and expenses reimbursed by the adviser 97,214 34,737 66,275 50,521
--------------- ------------- -------------- ----------------
Net expenses 57,031 28,446 69,076 88,276
--------------- ------------- -------------- ----------------
Net investment income 55,635 259,046 109,126 185,870
--------------- ------------- -------------- ----------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS,
FUTURES CONTRACTS, OPTION CONTRACTS AND FOREIGN CURRENCY
RELATED TRANSACTIONS
Net realized gain (loss) on investments 640,056 (35,063) 483,583 387,045
Net realized gain from futures contracts ----- ----- ----- -----
Net realized gain from option contracts ----- ----- ----- -----
Net realized gain from foreign currency related transactions ----- ----- ----- -----
Net realized gain (loss) on investments, futures contracts,
--------------- ------------- -------------- ----------------
option contracts and foreign currency related transactions 640,056 (35,063) 483,583 387,045
--------------- ------------- -------------- ----------------
Unrealized appreciation of investments, futures contracts,
option contracts and foreign currency
Beginning of period ----- ----- ----- -----
End of period 498,352 63,737 1,054,575 1,582,389
--------------- ------------- -------------- ----------------
Net change in unrealized appreciation (depreciation) of
investments futures contracts, option contracts and foreign
currency 498,352 63,737 1,054,575 1,582,389
--------------- ------------- -------------- ----------------
Net realized and unrealized gain/(loss) on investments,
futures contracts, option contracts and foreign currency
related transactions 1,138,408 28,674 1,538,158 1,969,434
--------------- ------------- -------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,194,043 $ 287,720 $ 1,647,284 $ 2,155,304
=============== ============= ============== ================
- ------------------------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withhholding taxes of: $ ----- $ ----- $ 1,527 $ 1,402
* Fund commenced operations on April 2, 1996
</TABLE>
See notes to financial statements
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
International Equity Bond Debenture Money Market Quality Income Stock Index Growth and Income High Yield
Portfolio* Portfolio* Portfolio Portfolio Portfolio Portfolio Portfolio
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
$ 126,138 $ 8,157 $ ----- $ ----- $ 1,843,491 $ 535,039 $ 42,859
31,144 211,396 1,815,351 3,334,012 220,679 164,214 3,743,587
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
157,282 219,553 1,815,351 3,334,012 2,064,170 699,253 3,786,446
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
53,647 20,291 167,093 250,111 434,880 156,205 291,539
153,087 13,450 49,615 66,109 113,139 69,655 57,419
15,041 15,053 14,942 14,926 14,792 14,980 14,935
4,840 4,845 6,804 6,797 6,741 6,820 6,455
973 649 5,442 17,503 10,105 14,178 10,807
932 932 882 882 882 897 882
18 18 3,193 ----- 2,924 2,274 20,939
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
228,538 55,238 247,971 356,328 583,463 265,009 402,976
168,580 32,241 211,378 56,022 59,573 82,770 72,558
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
59,958 22,997 36,593 300,306 523,890 182,239 330,418
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
97,324 196,556 1,778,758 3,033,706 1,540,280 517,014 3,456,028
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
54,069 64,118 374 (661,414) 2,248,079 1,578,166 513,675
----- ----- ----- ----- 595,054 97,180 -----
----- ----- ----- ----- 39,964 4,940 -----
11,779 ----- ----- ----- ----- ----- -----
--------------------- --------------- ------------- --------------- --------------------------------- ------------------
65,848 64,118 374 (661,414) 2,883,097 1,680,286 513,675
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
----- ----- ----- 1,371,877 14,053,341 1,748,247 743,563
883,114 283,061 ----- 683,818 27,209,404 4,042,130 1,037,177
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
883,114 283,061 ----- (688,059) 13,156,063 2,293,883 293,614
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
948,962 347,179 374 (1,349,473) 16,039,160 3,974,169 807,289
--------------------- --------------- ------------- --------------- ------------ ------------------ ------------------
$ 1,046,286 $ 543,735 $ 1,779,132 $ 1,684,233 $ 17,579,440 $ 4,491,183 $ 4,263,317
===================== =============== ============= =============== ============ ================== ==================
- ----------------------------------------------------------- ------------------------------------------------------------------------
$ 20,632 $ ----- $ ----- $ ----- $ 7,879 $ 10,951 $ -----
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
Small Cap Stock Quality Bond Select Equity Large Cap Stock
Portfolio Portfolio Portfolio Portfolio
---------------- ------------- -------------- ----------------
Period ended Period ended Period ended Period ended
December 31, December 31, December 31, December 31,
1996 * 1996 * 1996 * 1996 *
---------------- ------------- -------------- ----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 55,635 $ 259,046 $ 109,126 $ 185,870
Net realized gain (loss) on investments, futures contracts,
option contracts and foreign currency related transactions 640,056 (35,063) 483,583 387,045
Net change in unrealized appreciation (depreciation)
on investments, futures contracts, option contracts and
foreign currency 498,352 63,737 1,054,575 1,582,389
---------------- ------------- -------------- ----------------
Net increase in net assets resulting from operations 1,194,043 287,720 1,647,284 2,155,304
---------------- ------------- -------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (53,613) (211,194) (109,126) (182,905)
Net realized gains (582,244) ----- (249,713) (297,195)
In excess of net investment income ----- ----- (243) -----
---------------- ------------- -------------- ----------------
Total distributions (635,857) (211,194) (359,082) (480,100)
---------------- ------------- -------------- ----------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 10,623,372 3,657,629 19,036,561 1,106,964
Net asset value of shares issued through dividend reinvestment 14,261 68,171 23,772 69,702
Cost of shares repurchased (1,545,140) (3,000,278) (1,514,616) (1,080,275)
---------------- ------------- -------------- ----------------
Net increase (decrease) in net assets derived from
capital share transactions 9,092,493 725,522 17,545,717 96,391
---------------- ------------- -------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 9,650,679 802,048 18,833,919 1,771,595
NET ASSETS:
Beginning of period 5,000,000 5,000,000 5,000,000 15,000,000
---------------- ------------- -------------- ----------------
End of period $ 14,650,679 $ 5,802,048 $ 23,833,919 $ 16,771,595
================ ============= ============== ================
Undistributed (distributions in excess of) net investment
income $ (3,955) $ 46,816 $ (243) $ 2,965
================ ============= ============== ================
</TABLE>
* Fund commenced operations on April 2, 1996
See notes to financial statements
<TABLE>
<CAPTION>
International Equity Bond Debenture Money Market Quality Income
Portfolio Portfolio Portfolio Portfolio
---------------------- ------------------- ---------------------------------------- ----------------------------------------
<S> <C> <C> <C> <C> <C>
Period ended Period ended Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31, December 31, December 31,
1996 * 1996 * 1996 1995 1996 1995
---------------------- ------------------- ---------------------------------------- ----------------------------------------
$ 97,324 $ 196,556 $ 1,778,758 $ 3,052,192 $ 3,033,706 $ 2,493,847
65,848 64,118 374 34,345 (661,414) 453,622
883,114 283,061 ----- ----- (688,059) 3,164,151
---------------------- ------------------- ------------------ ------------------- ------------------ -------------------
1,046,286 543,735 1,779,132 3,086,537 1,684,233 6,111,620
---------------------- ------------------- ------------------ ------------------- ------------------ -------------------
(81,947) (194,548) (1,778,758) (3,052,192) (2,168,653) (2,493,847)
(29,676) (55,174) ----- ----- (8,168) -----
----- ----- ----- ----- ----- -----
---------------------- ------------------- ------------------ ------------------- ------------------ -------------------
(111,623) (249,722) (1,778,758) (3,052,192) (2,176,821) (2,493,847)
---------------------- ------------------- ------------------ ------------------- ------------------ -------------------
14,218,522 7,553,231 34,135,639 27,981,115 22,903,638 22,566,180
37,930 15,475 1,778,758 3,052,192 1,375,833 2,493,847
(4,571,860) (699,457) (39,342,379) (72,571,677) (13,853,598) (21,223,354)
---------------------- ------------------- ------------------ ------------------- ------------------ -------------------
9,684,592 6,869,249 (3,427,982) (41,538,370) 10,425,873 3,836,673
---------------------- ------------------- ------------------ ------------------- ------------------ -------------------
10,619,255 7,163,262 (3,427,608) (41,504,025) 9,933,285 7,454,446
5,000,000 500,000 34,382,496 75,886,521 41,390,863 33,936,417
---------------------- ------------------- ------------------ ------------------- ------------------ -------------------
$ 15,619,255 $ 7,663,262 $ 30,954,888 $ 34,382,496 $ 51,324,148 $ 41,390,863
====================== =================== ================== =================== ================== ===================
$ 27,156 $ 2,008 $ ------ $ ------ $ 884,274 $ ------
====================== =================== ================== =================== ================== ===================
</TABLE>
See notes to financial statements
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Stock Index Growth and Income
Portfolio Portfolio
---------------------------- ------------------------------
<S> <C> <C> <C> <C>
Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31,
1996 1995 1996 1995
---------------------------- ------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,540,280 $ 1,434,217 $ 517,014 $ 286,149
Net realized gain (loss) on investments, futures contracts,
option contracts and foreign currency related transactions 2,883,097 2,287,911 1,680,286 1,601,769
Net change in unrealized appreciation (depreciation)
on investments, futures contracts, option contracts and
foreign currency 13,156,063 14,416,467 2,293,883 1,973,073
------------- ------------- ------------- --------------
Net increase in net assets resulting from operations 17,579,440 18,138,595 4,491,183 3,860,991
------------- ------------- ------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,532,148) (1,434,217) (511,450) (294,561)
Net realized gains (2,778,218) (2,274,444) (1,207,683) (1,277,017)
In excess of net investment income ----- ----- ----- -----
------------- ------------- ------------- --------------
Total distributions (4,310,366) (3,708,661) (1,719,133) (1,571,578)
------------- ------------- ------------- --------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 7,574,621 50,283,187 10,401,256 6,076,696
Net asset value of shares issued through dividend reinvestment 801,349 3,708,661 211,053 1,571,578
Cost of shares repurchased (21,068,260) (19,249,305) (1,515,500) (1,155,316)
------------- ------------- ------------- --------------
Net increase (decrease) in net assets derived from
capital share transactions (12,692,290) 34,742,543 9,096,809 6,492,958
------------- ------------- ------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 576,784 49,172,477 11,868,859 8,782,371
NET ASSETS:
Beginning of period 85,983,400 36,810,923 19,724,307 10,941,936
------------- ------------- ------------- --------------
End of period $ 86,560,184 $ 85,983,400 $ 31,593,166 $ 19,724,307
============= ============= ============= ==============
Undistributed (distributions in excess of) net investment income $ 55,421 $ ------ $ 5,564 $ ------
============= ============= ============= ==============
</TABLE>
See notes to financial statements
<TABLE>
<CAPTION>
High Yield
Portfolio
-------------------------------------------------
Year ended Year ended
December 31, December 31,
1996 1995
-------------------------------------------------
<S> <C>
$ 3,456,028 $ 2,747,034
513,675 137,302
293,614 1,523,562
----------------------- ----------------------
4,263,317 4,407,898
----------------------- ----------------------
(3,453,570) (2,739,550)
----- -----
(19,171) -----
----------------------- ----------------------
(3,472,741) (2,739,550)
----------------------- ----------------------
25,000,540 14,408,614
1,667,100 2,739,550
(22,908,998) (1,956,676)
----------------------- ----------------------
3,758,642 15,191,488
----------------------- ----------------------
4,549,218 16,859,836
36,515,420 19,655,584
----------------------- ----------------------
$ 41,064,638 $ 36,515,420
======================= ======================
$ (19,171) $ 7,484
======================= ======================
</TABLE>
See notes to financial statements
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR SHARES HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
-------- For the period from May 1, 1996 (date of initial public offering) to December 31, 1996 ------
Small Quality Select Large International
Cap Stock Bond Equity Cap Stock Equity
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ----------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.512 $ 9.897 $ 10.084 $ 10.003 $ 10.215
--------- -------- ---------- --------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.057 0.459 0.081 0.124 0.096
Net realized and unrealized gains
(losses) 0.843 0.102 0.771 1.304 0.755
--------- -------- ---------- --------- -----------
Total from investment operations 0.900 0.561 0.852 1.428 0.851
--------- -------- ---------- --------- -----------
DISTRIBUTIONS
Dividends from net investment income (0.055) (0.376) (0.081) (0.122) (0.086)
Distributions from net realized gains (0.435) ---- (0.113) (0.197) (0.021)
Distributions in excess of net
investment income ---- ---- + ---- ----
Return of capital distributions ---- ---- ---- ---- ----
--------- -------- ---------- --------- -----------
Total distributions (0.490) (0.376) (0.194) (0.319) (0.107)
--------- -------- ---------- --------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.922 $ 10.082 $ 10.742 $ 11.112 $ 10.959
--------- -------- ---------- --------- -----------
TOTAL RETURN 8.65%* 5.68%* 8.52%* 14.35%* 8.44%*
--------- -------- ---------- --------- -----------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 14.7 $ 5.8 $ 23.8 $ 16.8 $ 15.6
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.95%** 0.65%** 0.85%** 0.75%** 0.95%**
Net investment income 0.87%** 5.94%** 1.35%** 1.56%** 1.43%**
PORTFOLIO TURNOVER RATE 102.4% 181.3% 123.9% 35.5% 48.2%
AVERAGE COMMISSION RATE PAID (2) $0.0371 N/A $0.0406 $0.0323 $0.0107
(1) If certain expenses had not been reimbursed
by the Adviser, total return would have
been lower and the ratios would have been
as follows:
Ratio of Expenses to Average Net Assets: 2.68%** 1.52%** 1.70%** 1.23%** 3.80%**
Ratio of Net Investment Income to Average
Net Assets: (0.86%)** 5.07%** 0.50%** 1.08%** (1.42%**)
(2) Average commission rate paid is computed by
dividing the total dollar amount of
commissions paid during the period by the
total number of shares purchased and sold
during the period for which commissions
were charged.
+ Amount is less than .0005
* Non-annualized
** Annualized
N/A Not Applicable
</TABLE>
See notes to financial statements
<TABLE>
<CAPTION>
MONEY MARKET
PORTFOLIO
-------------------------------------------------------------------------------------------
JULY 1, 1991
(COMMENCEMENT OF
YEARS ENDED DECEMBER 31, INVESTMENT
BOND DEBENTURE ------------------------ OPERATIONS) TO
PORTFOLIOS 1996 1995 1994 1993 1992 DECEMBER 31, 1991
----------- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 10.098 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ----------- ----------- ----------- ---------------
0.345 0.053 0.059 0.041 0.032 0.038 0.027
0.949 ---- ---- ---- ---- ---- ----
---------- ---------- ---------- ----------- ----------- ----------- ---------------
1.294 0.053 0.059 0.041 0.032 0.038 0.027
---------- ---------- ---------- ----------- ----------- ----------- ---------------
(0.342) (0.053) (0.059) (0.041) (0.032) (0.038) (0.027)
(0.080) ---- ---- ---- ---- ---- ----
---- ---- ---- ---- ---- ---- ----
---- ---- ---- ---- ---- ---- ----
---------- ---------- ---------- ----------- ----------- ----------- ---------------
(0.422) (0.053) (0.059) (0.041) (0.032) (0.038) (0.027)
---------- ---------- ---------- ----------- ----------- ----------- ---------------
$ 10.970 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ----------- ----------- ----------- ---------------
12.89%* 5.42% 6.01% 4.23% 3.24% 3.88% 2.75%*
---------- ---------- ---------- ----------- ----------- ----------- ---------------
$ 7.7 $ 31.0 $ 34.4 $ 75.9 $ 6.6 $ 4.0 $ 5.4
0.85%** 0.11% 0.11% 0.10% 0.10% 0.10% 0.09%**
7.26%** 5.31% 5.68% 4.37% 3.23% 3.63% 5.11%**
58.1% N/A N/A N/A N/A N/A N/A
$0.0677 N/A N/A N/A N/A N/A N/A
2.05%** 0.74% 0.64% 0.68% 0.86% 1.30% 1.11%**
6.06%** 4.68% 5.25% 3.79% 2.47% 2.43% 4.10%**
</TABLE>
See notes to financial statements
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR SHARES HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
QUALITY INCOME
PORTFOLIO
---------------------------------------------------------------
YEARS ENDED DECEMBER 31,
1996 1995 1994 1993 1992 1991 1990
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.871 $ 9.815 $ 10.886 $ 10.699 $ 10.618 $ 9.969 $ 9.930
-------- -------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.651 0.667 0.603 0.641 0.696 0.753 0.713
Net realized and unrealized gains (losses) (0.359) 1.056 (1.071) 0.518 0.081 0.649 0.039
-------- -------- -------- -------- -------- -------- --------
Total from investment operations 0.292 1.723 (0.468) 1.159 0.777 1.402 0.752
-------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS
Dividends from net investment income (0.471) (0.667) (0.603) (0.641) (0.696) (0.753) (0.713)
Distributions from net realized gains (0.002) ---- ---- (0.331) ---- ---- ----
Distributions in excess of net investment income ---- ---- ---- ---- ---- ---- ----
Return of capital distributions ---- ---- ---- ---- ---- ---- ----
-------- -------- -------- -------- -------- -------- --------
Total distributions (0.473) (0.667) (0.603) (0.972) (0.696) (0.753) (0.713)
-------- -------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.690 $ 10.871 $ 9.815 $ 10.886 $ 10.699 $ 10.618 $ 9.969
-------- -------- -------- -------- -------- -------- --------
TOTAL RETURN 2.82% 17.99% (4.33%) 11.04% 7.61% 14.71% 7.99%
-------- -------- -------- -------- -------- -------- --------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 51.3 $ 41.4 $ 33.9 $ 51.1 $ 24.1 $ 6.8 $ 6.1
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.60% 0.60% 0.59% 0.60% 0.60% 0.60% 0.74%
Net investment income 6.06% 6.42% 5.69% 5.82% 6.87% 7.45% 7.64%
PORTFOLIO TURNOVER RATE 320.3% 219.5% 177.6% 318.4% 231.9% 12.9% 59.3%
AVERAGE COMMISSION RATE PAID (2) N/A N/A N/A N/A N/A N/A N/A
(1) If certain expenses had not been reimbursed by the
Adviser, total return would have been lower and
the ratios would have been as follows:
Ratio of Expenses to Average Net Assets: 0.71% 0.75% 0.68% 0.70% 0.88% 1.10% 1.53%
Ratio of Net Investment Income to Average Net Assets: 5.95% 6.27% 5.60% 5.73% 6.59% 6.96% 6.85%
(2) Average commission rate paid is computed by dividing
the total dollar amount of commissions paid during
the period by the total number of shares purchased
and sold during the period for which commissions were
charged.
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
<TABLE>
<CAPTION>
-----------------
DECEMBER 11, 1989
COMMENCEMENT OF
INVESTMENT
OPERATIONS) TO
DECEMBER 31, 1989
-----------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.000
-------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.043
Net realized and unrealized gains (losses) (0.070)
-------
Total from investment operations (0.027)
-------
DISTRIBUTIONS
Dividends from net investment income (0.043)
Distributions from net realized gains ----
Distributions in excess of net investment income ----
Return of capital distributions ----
-------
Total distributions (0.043)
-------
NET ASSET VALUE, END OF PERIOD $ 9.930
-------
TOTAL RETURN (0.27%)*
-------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 2.5
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.70%**
Net investment income 7.83%**
PORTFOLIO TURNOVER RATE 0.0%
AVERAGE COMMISSION RATE PAID (2) N/A
(1) If certain expenses had not been reimbursed by the
Adviser, total return would have been lower and
the ratios would have been as follows:
Ratio of Expenses to Average Net Assets: 9.15%**
Ratio of Net Investment Income to Average Net Assets: (0.62%**)
(2) Average commission rate paid is computed by dividing
the total dollar amount of commissions paid during
the period by the total number of shares purchased
and sold during the period for which commissions were
charged.
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
<TABLE>
<CAPTION>
STOCK INDEX
PORTFOLIO
- ------------------------------------------------------------------------------------------------
NOVEMBER 1, 1991
(COMMENCEMENT OF
YEARS ENDED DECEMBER 31, INVESTMENT
OPERATIONS) TO
1996 1995 1994 1993 1992 DECEMBER 31, 1991
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 13.844 $ 10.587 $ 11.115 $ 10.552 $ 10.572 $ 10.000
---------- ---------- ---------- ---------- ---------- ----------
0.286 0.260 0.311 0.205 0.172 0.038
2.797 3.637 (0.337) 0.726 0.477 0.534
---------- ---------- ---------- ---------- ---------- ----------
3.083 3.897 (0.026) 0.931 0.649 0.572
---------- ---------- ---------- ---------- ---------- ----------
(0.284) (0.260) (0.311) (0.205) (0.210) ----
(0.517) (0.380) (0.185) (0.163) (0.459) ----
---- ---- ---- ---- ---- ----
---- ---- (0.006) ---- ---- ----
---------- ---------- ---------- ---------- ---------- ----------
(0.801) (0.640) (0.502) (0.368) (0.669) ----
---------- ---------- ---------- ---------- ---------- ----------
$ 16.126 $ 13.844 $ 10.587 $ 11.115 $ 10.552 $ 10.572
---------- ---------- ---------- ---------- ---------- ----------
22.48% 36.87% (0.11%) 8.84% 6.22% 5.70%*
---------- ---------- ---------- ---------- ---------- ----------
$ 86.6 $ 86.0 $ 36.8 $ 91.3 $ 35.0 $ 6.8
0.60% 0.61% 0.58% 0.60% 0.59% 0.40%**
1.77% 2.41% 2.23% 2.29% 2.54% 3.02%**
1.3% 3.9% 47.1% 44.1% 85.7% ----
$0.0333 N/A N/A N/A N/A N/A
0.67% 0.78% 0.80% 0.74% 1.21% 1.84%**
1.70% 2.24% 2.01% 2.15% 1.92% 1.58%**
</TABLE>
<TABLE>
<CAPTION>
GROWTH AND INCOME
PORTFOLIO
- --------------------------------------------------------------------------------
MAY 1, 1992
(COMMENCEMENT OF
YEARS ENDED DECEMBER 31, INVESTMENT
OPERATIONS) TO
1996 1995 1994 1993 DECEMBER 31, 1992
- --------------------------------------------------------------------------------
<C> <C> <C> <C> <C>
$ 12.512 $ 10.306 $ 11.170 $ 10.282 $ 10.000
- -------- ---------- ---------- ---------- ----------
0.243 0.224 0.331 0.182 0.125
2.007 3.089 (0.864) 1.371 0.444
- -------- ---------- ---------- ---------- ----------
2.250 3.313 (0.533) 1.553 0.569
- -------- ---------- ---------- ---------- ----------
(0.241) (0.232) (0.323) (0.182) (0.125)
(0.535) (0.875) (0.008) (0.483) (0.162)
---- ---- ---- ---- ----
---- ---- ---- ---- ----
- -------- ---------- ---------- ---------- ----------
(0.776) (1.107) (0.331) (0.665) (0.287)
- -------- ---------- ---------- ---------- ----------
$ 13.986 $ 12.512 $ 10.306 $ 11.170 $ 10.282
- -------- ---------- ---------- ---------- ----------
18.18% 32.24% (4.54%) 15.01% 5.67%*
- -------- ---------- ---------- ---------- ----------
$ 31.6 $ 19.7 $ 10.9 $ 6.5 $ 2.6
0.70% 0.69% 0.70% 0.69% 0.70%**
1.99% 2.05% 3.47% 1.84% 2.27%**
113.0% 180.1% 326.0% 135.9% 99.9%
$0.0566 N/A N/A N/A N/A
1.02% 1.19% 1.49% 2.05% 3.69%**
1.67% 1.55% 2.68% 0.47% (0.73%)**
</TABLE>
See notes to finanacial statements
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For shares held throughout the periods indicated
<TABLE>
<CAPTION>
HIGH YIELD
PORTFOLIO
------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
1996 1995 1994 1993 1992
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.446 $ 9.823 $ 11.287 $ 10.445 $ 10.410
--------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.952 0.949 0.978 1.028 1.250
Net realized and unrealized gains (losses) 0.187 0.621 (1.464) 1.170 0.658
--------- ----------- ----------- ----------- -----------
Total from investment operations 1.139 1.570 (0.486) 2.198 1.908
--------- ----------- ----------- ----------- -----------
DISTRIBUTIONS
Dividends from net investment income (0.954) (0.947) (0.978) (1.028) (1.250)
Distributions from net realized gains ---- ---- ---- (0.328) (0.623)
Distributions in excess of net investment income (0.005) ---- ---- ---- ----
Return of capital distributions ---- ---- ---- ---- ----
--------- ----------- ----------- ----------- -----------
Total distributions (0.959) (0.947) (0.978) (1.356) (1.873)
--------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.626 $ 10.446 $ 9.823 $ 11.287 $ 10.445
--------- ----------- ----------- ----------- -----------
TOTAL RETURN 11.29% 16.69% (4.52%) 21.98% 19.12%
--------- ----------- ----------- ----------- -----------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 41.1 $ 36.5 $ 19.7 $ 18.8 $ 5.4
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.85% 0.86% 0.86% 0.84% 0.87%
Net investment income 8.89% 9.50% 9.48% 8.97% 11.67%
PORTFOLIO TURNOVER RATE 117.3% 118.9% 200.1% 213.1% 157.4%
AVERAGE COMMISSION RATE PAID (2) N/A N/A N/A N/A N/A
(1) If certain expenses had not been reimbursed by the
Adviser, total return would have been lower and the
ratios would have been as follows:
Ratio of Expenses to Average Net Assets: 1.04% 1.09% 1.16% 1.38% 1.79%
Ratio of Net Investment Income to Average Net Assets: 8.70% 9.27% 9.18% 8.43% 10.75%
(2) Average commission rate paid is computed by dividing
the total dollar amount of commissions paid during the
period by the total number of shares purchased and sold
during the period for which commissions were charged.
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------
DECEMBER 11, 1989
(COMMENCEMENT OF
INVESTMENT
OPERATIONS) TO
1991 1990 DECEMBER 31, 1989
--------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.073 $ 9.974 $ 10.000
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 1.124 1.085 0.053
Net realized and unrealized gains (losses) 1.337 (0.901) (0.026)
----------- ----------- -----------
Total from investment operations 2.461 0.184 0.027
----------- ----------- -----------
DISTRIBUTIONS
Dividends from net investment income (1.124) (1.085) (0.053)
Distributions from net realized gains ---- ---- ----
Distributions in excess of net investment income ---- ---- ----
Return of capital distributions ---- ----
----------- ----------- -----------
Total distributions (1.124) (1.085) (0.053)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.410 $ 9.073 $ 9.974
----------- ----------- -----------
TOTAL RETURN 28.31% 1.86% 0.23%*
----------- ----------- -----------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 3.8 $ 2.9 $ 2.5
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.86% 1.01% 0.95%**
Net investment income 11.31% 11.43% 9.67%**
PORTFOLIO TURNOVER RATE 147.6% 28.3% 0.0%
AVERAGE COMMISSION RATE PAID (2) N/A N/A N/A
(1) If certain expenses had not been reimbursed by the
Adviser, total return would have been lower and the
ratios would have been as follows:
Ratio of Expenses to Average Net Assets: 1.91% 2.42% 9.42%**
Ratio of Net Investment Income to Average Net Assets: 10.25% 10.01% 1.19%**
(2) Average commission rate paid is computed by dividing
the total dollar amount of commissions paid during the
period by the total number of shares purchased and sold
during the period for which commissions were charged.
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
1. SIGNIFICANT ACCOUNTING POLICIES
Cova Series Trust (the "Trust") (formerly the Van Kampen Merritt Series Trust)
is registered as a diversified open-end management investment company under the
Investment Company Act of 1940, as amended. The Trust offers eleven portfolios
to its policyholders for investment, each of which operates as a distinct
investment vehicle of the Trust. J.P. Morgan Investment Management Inc. manages
the Small Cap Stock Portfolio, Quality Bond Portfolio, Select Equity Portfolio,
Large Cap Stock Portfolio, and International Equity Portfolio. Lord Abbett & Co.
manages the Bond Debenture Portfolio. Van Kampen American Capital Investment
Advisory Corporation manages the Money Market Portfolio, Quality Income
Portfolio, Stock Index Portfolio, Growth and Income Portfolio, and the High
Yield Portfolio. Depending on the policyholder's contract, not all portfolios
are available to all policyholders.
The Trust commenced operations on December 11, 1989 with the Quality Income
Portfolio and High Yield Portfolio. The Money Market Portfolio commenced
operations on July 1, 1991. The Stock Index Portfolio commenced operations on
November 1, 1991. The Growth and Income Portfolio commenced operations on May 1,
1992. The Small Cap Stock Portfolio, Quality Bond Portfolio, Select Equity
Portfolio, Large Cap Stock Portfolio, International Equity Portfolio and Bond
Debenture Portfolio commenced operations on April 2, 1996.
The preparation of financial statements in conformity with generally accepted
accounting principles may require management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses during the
reporting period. Although actual results could differ from these estimates, any
such differences are expected to be immaterial to the net assets of the Funds.
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements.
A. SECURITY VALUATION - Investments in securities listed on a securities
exchange are valued at their sale price as of the close of such securities
exchange. If there was no sale on such day, the securities are valued at the
mean between the most recently quoted bid and asked prices. Investments in
securities not listed on a securities exchange are valued based on their last
quoted bid price or, if not available, their fair value as determined in good
faith by the Board of Trustees. Domestic fixed income investments are stated at
values using the mean between the most recently quoted bid and asked prices.
Foreign fixed income securities are valued at their sale price as of the close
of such securities exchange. If such valuations are not available, estimates
obtained from yield data relating to instruments or securities with similar
characteristics in accordance with procedures established in good faith by the
Board of Trustees are used. Short-term securities with remaining maturities of
less than 60 days are valued at amortized cost. For the Money Market Portfolio,
investments are valued at amortized cost, which approximates market value. Under
this valuation method, a portfolio instrument is valued at cost and any discount
or premium is amortized on a straight line basis to the maturity of the
investment. Futures contracts and options are valued based upon their daily
settlement prices.
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
B. SECURITY TRANSACTIONS - Security transactions are recorded on a trade date
basis. Realized gains and losses are determined on an identified cost basis. The
Funds may purchase and sell securities on a "when issued" or "delayed delivery"
basis, with settlement to occur at a later date. The value of the security so
purchased is subject to market fluctuations during this period. The Funds will
maintain in a segregated account with their custodian assets having an aggregate
value at least equal to the amount of the when issued or delayed delivery
purchase commitments until payment is made.
C. INVESTMENT INCOME AND EXPENSES - Dividend income is recorded on the
ex-dividend date and interest income and expenses are recorded when earned or
incurred, respectively.
D. FEDERAL INCOME TAXES - It is the Trust's policy to comply with the
requirements of Subchapter M of the Internal Revenue Code applicable to
regulated investment companies and to distribute substantially all of its
taxable income, including net realized gains, if any, to its shareholders.
Accordingly, the Funds have not recorded a provision for federal income taxes.
Distributions from net investment income and capital gains are determined in
accordance with federal income tax regulations which may differ from generally
accepted accounting principles. As a result, distributions may differ from net
investment income and net realized capital gains due to timing differences,
primarily from wash sales and net realized capital losses recognized subsequent
to October. For the Quality Income, Stock Index and Growth and Income
Portfolios, net realized gains and losses may differ for financial and tax
reporting purposes primarily as a result of timing differences related to open
futures transactions at year end.
The Funds utilize the provisions of the federal income tax laws that provide for
the carryforward of capital losses for eight years, offsetting such losses
against any future net realized capital gains. At December 31, 1996, the
accumulated capital loss carryforwards and expiration dates by Fund were as
follows: Quality Bond $34,027 expiring in 2004, Money Market $75,184 expiring in
2002, Quality Income $1,975,700 expiring in 2002 and 2004, and High Yield
$983,144 expiring in 2002.
E. DISTRIBUTION OF INCOME AND GAINS - The Funds, except the Money Market
Portfolio, declare, pay and automatically reinvest dividends semi-annually from
net investment income. The Money Market Portfolio declares dividends from net
investment income daily and automatically reinvests such dividends daily.
Net realized gains, if any, are distributed annually. Distributions are
automatically reinvested in the Funds as additional shares. Distributions from
net realized gains for book purposes may include short-term capital gains and
gains from futures transactions which may be characterized as ordinary income
for tax purposes.
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
F. DERIVATIVES - A derivative financial instrument, in general terms, is a
security whose value is "derived" from the value of an underlying asset,
reference rate or index. The Funds have various reasons to use derivative
instruments, such as to attempt to protect the Portfolios against possible
changes in the market value of its investments or to generate potential gains.
All of the Funds' holdings, including derivative instruments, are marked to
market each day with the change in value reflected in the unrealized
appreciation/depreciation of investments. Upon disposition, a realized gain or
loss is recognized accordingly.
The primary risks associated with the use of these financial instruments for
hedging purposes are (a) an imperfect correlation between the change in market
value of the other securities held by the Funds and the change in market value
of these financial instruments, and (b) the possibility of an illiquid market.
As a result, the use of these financial instruments may involve, to a varying
degree, elements of market risk in excess of the amount recognized in the
Statement of Assets and Liabilities. The following are brief descriptions of
derivative instruments held by the Funds.
a. FUTURES CONTRACTS - A futures contract is an agreement involving the
delivery of a particular asset on a specified future date at an agreed upon
price. The Funds generally invest in stock index futures. These contracts are
generally used to provide the return of an index without purchasing all of the
securities underlying the index or as a substitute for purchasing or selling
specific securities.
Initial margin deposits made upon entering into futures contracts are recognized
as assets due from the broker. During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the value of the
contract at the end of each day's trading. Variation margin payments are made or
received and recognized as assets due from or liabilities to the broker
depending upon whether unrealized gains or losses are incurred. When the
contract is closed, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
its basis in the contract.
b. OPTIONS CONTRACTS - An option contract gives the buyer the right,
but not the obligation, to buy (call) or sell (put) an underlying item at a
fixed exercise price during a specified period. These contracts are generally
used by the Funds to provide the return of an index without purchasing all of
the securities underlying the index or as a substitute for purchasing or selling
specific securities.
Purchases of put and call options are recorded as an investment, the value of
which is marked-to-market daily. When a purchased option expires, the Fund will
realize a loss equal to the premium paid. When the Fund enters into a closing
sale transaction, the Fund will realize a gain or loss depending on whether the
sales proceeds from the closing sale transaction are greater or less than the
cost of the option. When the Fund exercises a put option, it will realize a gain
or loss from the sale of the underlying security and the proceeds from such sale
will be decreased by the premium originally paid. When the Fund exercises a call
option, the cost of the security which the Fund purchases upon exercise will be
increased by the premium originally paid.
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
F. DERIVATIVES - CONTINUED
The premium received for a written option is recorded as a liability. The
liability is marked-to-market based on the option's quoted daily settlement
price. When an option expires or the Fund enters into a closing purchase
transaction, the Fund realizes a gain (or loss if the cost of the closing
purchase transaction exceeds the premium received when the option was sold)
without regard to any unrealized gain or loss on the underlying security and the
liability related to such option is eliminated. When a written call option is
exercised, the Fund realizes a gain or loss from the sale of the underlying
security and the proceeds from such sale are increased by the premium originally
received. If a written put option is exercised, the amount of the premium
originally received will reduce the cost of the underlying security which the
Fund purchased.
The risk associated with purchasing options is limited to the premium originally
paid. The risk in writing a call option is that the Fund may forego the
opportunity for profit if the market price of the underlying security increases
and the option is exercised. The risk in writing a put option is that the Fund
may incur a loss if the market price of the underlying security decreases and
the option is exercised. In addition, the Fund could be exposed to risks if the
counterparties to the transactions are unable to meet the terms of the
contracts.
c. FORWARD FOREIGN CURRENCY CONTRACTS - The International Equity
Portfolio may enter into forward foreign currency contracts to hedge its
portfolio holdings against future movements in certain foreign currency exchange
rates. A forward currency contract is a commitment to purchase or sell a foreign
currency at a future date at a set price. The forward currency contracts are
valued at the forward rate and are marked-to-market daily. The change in market
value is recorded by the Fund as an unrealized gain or loss. When the contract
is closed, the Fund recognizes a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the
time it was closed.
The use of forward foreign currency contracts does not eliminate fluctuations in
the underlying prices of the securities of the Fund, but it does establish a
rate of exchange that can be achieved in the future. Although forward foreign
currency contracts limit the risk of loss due to a decline in the value of the
currency holdings, they also limit any potential gain that might result should
the value of the currency increase. In addition, the Fund could be exposed to
risks if the counterparties to the contracts are unable to meet the terms of the
contracts.
G. FOREIGN CURRENCY TRANSLATION - Assets and liabilities denominated in foreign
currencies are translated into U.S. dollars at the rate of exchange at the end
of the period. Purchases and sales of securities are translated at the rates of
exchange prevailing when such securities were acquired or sold. Income is
translated at rates of exchange prevailing when interest is accrued or dividends
are recorded.
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
G. FOREIGN CURRENCY TRANSLATION - CONTINUED
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales and
maturities of short-term securities, sales of foreign currencies, currency gains
or losses realized between the trade and settlement dates on securities
transactions, the difference between the amounts of dividends, interest, and
foreign withholding taxes recorded on the Fund's books, and the U.S. dollar
equivalent of the amounts actually received or paid. Net unrealized foreign
exchange gains and losses arise from changes in the value of assets and
liabilities other than investments in securities at fiscal year end, resulting
from changes in the exchange rate.
H. REPURCHASE AGREEMENTS - The Funds may enter into repurchase agreements with
selected commercial banks and broker-dealers, under which the Fund acquires
securities and agrees to resell the securities at an agreed upon time and at an
agreed upon price. The Fund accrues as interest the difference between the
amount it pays for the securities and the amount it receives upon resale. At the
time the Fund enters into a repurchase agreement, the value of the underlying
security including accrued interest will be equal to or exceed the value of the
repurchase agreement and, for repurchase agreements that mature in more than one
day, the seller will agree that the value of the underlying security including
accrued interest will continue to be at least equal to the value of the
repurchase agreement.
I. REVERSE REPURCHASE AGREEMENTS - The Funds may enter into reverse repurchase
agreements with selected commercial banks or broker-dealers. In a reverse
repurchase agreement, the Fund sells securities and agrees to repurchase them at
a mutually agreed upon date and price. During the reverse repurchase agreement
period, the Fund continues to receive principal and interest payments on these
securities but pays interest to the counter-party based upon competitive market
rates at the time of issuance. At the time the Fund enters into a reverse
repurchase agreement, it will establish and maintain a segregated account with
the custodian containing liquid assets having a value not less than the
repurchase price (including accrued interest). If the counterparty to the
transaction is rendered insolvent, the ultimate realization of the securities to
be repurchased by the Fund may be delayed or limited.
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
The Trust has entered into an investment advisory agreement with Cova Investment
Advisory Corporation (the "Adviser") (formerly Oakbrook Investment Advisory
Corporation), pursuant to which the Adviser manages the investment operations of
the Trust's affairs. The Adviser has entered into sub-advisory agreements with
J.P. Morgan Investment Management Inc., Lord Abbett & Co. and Van Kampen
American Capital Investment Advisory Corporation ( the "Sub-advisers") for
investment advisory services in connection with the investment or management of
the portfolios of the Funds. The Adviser supervises the Sub-advisers'
performance of advisory services and will make recommendations
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
to the Board of Trustees with respect to the retention or renewal of
the sub-advisory agreements. The Adviser pays the Sub-advisers and bears the
cost of compensating officers of the Trust.
Under the terms of the Funds' investment advisory agreement, the Funds pay the
Adviser a monthly fee based on the average daily net assets as follows:
Fund Average Daily Net Assets % Per Annum
Small Cap Stock ________________________ .85 of 1%
Quality Bond First $75 Million .55 of 1%
Over $75 Million .50 of 1%
Select Equity First $50 Million .75 of 1%
Over $50 Million .65 of 1%
Large Cap Stock ________________________ .65 of 1%
International Equity First $50 Million .85 of 1%
Over $50 Million .75 of 1%
Bond Debenture ________________________ .75 of 1%
Money Market First $500 Million .50 of 1%
Over $500 Million .40 of 1%
Quality Income First $500 Million .50 of 1%
Over $500 Million .45 of 1%
Stock Index _________________________ .50 of 1%
Growth and Income First $500 Million .60 of 1%
Over $500 Million .50 of 1%
High Yield First $500 Million .75 of 1%
Over $500 Million .65 of 1%
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
The Adviser has voluntarily waived its monthly advisory fee for the Money Market
Portfolio. In addition, the Adviser has voluntarily waived or otherwise
reimbursed the Funds for their operating expenses, exclusive of brokerage or
other portfolio transaction expenses or expenses of litigation, indemnification,
taxes, or other extraordinary expenses, to the extent that they exceed .10% of
the average daily net assets of each Fund.
Cova Variable Annuity Accounts One and Five are separate investment accounts
offered by Cova Financial Services Life Insurance Co. and Cova Financial Life
Insurance Co. (collectively "Cova Life"), respectively. At December 31, 1996,
Cova Variable Annuity Accounts One and Five owned all shares of beneficial
interest of the Funds.
3. CAPITAL TRANSACTIONS
Transactions in shares were as follows:
Small Cap Stock Quality Bond Select Equity
Portfolio Portfolio Portfolio
Period ended Period ended Period ended
December 31, December 31, December 31,
1996* 1996* 1996*
----- ----- -----
Beginning Shares 500,000 500,000 500,000
------- ------- -------
Shares Sold 986,571 364,502 1,868,411
Shares Issued through
Dividend Reinvestment 1,363 6,904 2,403
Shares Repurchased (146,551) (295,930) (152,077)
-------- -------- --------
Net Increase in Shares
Outstanding 841,383 75,476 1,718,737
------- ------ ---------
Ending Shares 1,341,383 575,476 2,218,737
========= ======= =========
* Portfolio commenced operations April 2, 1996.
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
3. CAPITAL TRANSACTIONS - CONTINUED
Large Cap Stock International Bond Debenture
Portfolio Equity Portfolio
Portfolio
Period ended Period ended Period ended
December 31, December 31, December 31,
1996* 1996* 1996*
----- ----- -----
Beginning Shares 1,500,000 500,000 50,000
--------- ------- ------
Shares Sold 101,577 1,367,780 714,357
Shares Issued through
Dividend Reinvestment 6,843 3,673 1,514
Shares Repurchased (99,049) (446,255) (67,324)
------- -------- -------
Net Increase in Shares
Outstanding 9,371 925,198 648,547
----- ------- -------
Ending Shares 1,509,371 1,425,198 698,547
========= ========= =======
* Portfolio commenced operations April 2, 1996.
<TABLE>
<CAPTION>
Money Market Portfolio Quality Income Portfolio
Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31,
1996 1995 1996 1995
---- ---- ---- ----
<S> <C> <C> <C> <C>
Beginning Shares 34,458,054 75,996,424 3,807,302 3,457,435
---------- ---------- --------- ---------
Shares Sold 34,135,639 27,981,115 2,174,582 2,141,344
Shares Issued through
Dividend Reinvestment 1,778,758 3,052,192 130,798 238,868
Shares Repurchased (39,342,379) (72,571,677) (1,311,585) (2,030,345)
---------- ---------- --------- ---------
Net Increase/(Decrease)in
Shares Outstanding (3,427,982) (41,538,370) 993,795 349,867
---------- ---------- --------- ---------
Ending Shares 31,030,072 34,458,054 4,801,097 3,807,302
========== ========== ========= =========
</TABLE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
3. CAPITAL TRANSACTIONS - CONTINUED
<TABLE>
<CAPTION>
Stock Index Portfolio Growth and Income Portfolio
Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31,
1996 1995 1996 1995
---- ---- ---- ----
<S> <C> <C> <C> <C>
Beginning Shares 6,210,939 3,477,141 1,576,436 1,061,698
--------- --------- --------- ---------
Shares Sold 513,644 3,889,063 780,898 489,524
Shares Issued through
Dividend Reinvestment 53,172 271,456 15,904 126,226
Shares Repurchased (1,410,166) (1,426,721) (114,339) (101,012)
--------- --------- --------- ---------
Net Increase /(Decrease)
in Shares Outstanding (843,350) 2,733,798 682,463 514,738
--------- --------- --------- ---------
Ending Shares 5,367,589 6,210,939 2,258,899 1,576,436
========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
High Yield Portfolio
Year ended Year ended
December 31, December 31,
1996 1995
--------- ---------
<S> <C> <C>
Beginning Shares 3,495,538 2,000,944
--------- ---------
Shares Sold 2,395,207 1,420,820
Shares Issued through
Dividend Reinvestment 159,825 267,010
Shares Repurchased (2,186,069) (193,236)
--------- ---------
Net Increase in Shares
Outstanding 368,963 1,494,594
--------- ---------
Ending Shares 3,864,501 3,495,538
========= =========
</TABLE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
4. INVESTMENT TRANSACTIONS
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term notes, for the year ended December 31, 1996 were as
follows:
<TABLE>
<CAPTION>
Purchases
---------------------------------------------------------------
Portfolio: Government Non-Government Total
- ---------- ---------- -------------- -----
<S> <C> <C> <C>
Small Cap Stock * $ 0 $ 20,413,446 $ 20,413,446
Quality Bond * 12,479,739 3,385,357 15,865,096
Select Equity * 0 35,961,685 35,961,685
Large Cap Stock * 0 20,771,532 20,771,532
International Equity * 0 18,038,698 18,038,698
Bond Debenture * 1,580,349 7,873,836 9,454,185
Quality Income 88,679,109 81,773,017 170,452,126
Stock Index 0 1,074,698 1,074,698
Growth and Income 0 35,159,878 35,159,878
High Yield 532,344 46,299,471 46,831,815
Sales
---------------------------------------------------------------
Portfolio: Government Non-Government Total
- ---------- ---------- -------------- -----
Small Cap Stock * $ 0 $ 8,168,870 $ 8,168,870
Quality Bond * 9,715,520 420,224 10,135,744
Select Equity * 0 13,940,399 13,940,399
Large Cap Stock * 0 5,587,771 5,587,771
International Equity * 0 4,068,092 4,068,092
Bond Debenture * 404,125 1,794,602 2,198,727
Quality Income 80,823,465 76,250,786 157,074,251
Stock Index 0 9,739,036 9,739,036
Growth and Income 0 27,410,399 27,410,399
High Yield 501,641 40,091,831 40,593,472
* Portfolio commenced operations April 2, 1996.
</TABLE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
4. INVESTMENT TRANSACTIONS - CONTINUED
At December 31, 1996, the cost of securities for federal income tax purposes and
the unrealized appreciation (depreciation) of investments for federal income tax
purposes for each Portfolio was as follows:
<TABLE>
<CAPTION>
Federal Gross Gross
Portfolio: Income Unrealized Unrealized
Tax Cost Appreciation (Depreciation)
-------- ------------ --------------
<S> <C> <C> <C>
Small Cap Stock $ 12,929,870 $ 1,186,516 $ (733,417)
Quality Bond 5,625,025 68,921 (5,664)
Select Equity 22,593,075 1,318,250 (351,881)
Large Cap Stock 15,571,232 1,961,411 (379,448)
International Equity 14,010,278 1,271,448 (395,869)
Bond Debenture 7,335,661 304,708 (21,835)
Money Market 31,179,953 --- ---
Quality Income 52,712,989 731,435 (61,300)
Stock Index 62,783,434 28,241,602 (998,408)
Growth and Income 29,014,877 4,340,354 (333,874)
High Yield 41,060,464 1,196,777 (170,337)
</TABLE>
The Quality Income Portfolio invests in reverse repurchase agreements for cash
management purposes. The average daily balance of reverse repurchase agreements
outstanding during the year ended December 31, 1996 was $2,111,585 at a weighted
average interest rate of 4.64%. The maximum amount of borrowing during the year
was $7,219,713 (including accrued interest).
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
5. FUTURES CONTRACTS
Transactions in futures contracts for the year ended December 31, 1996, were as
follows:
<TABLE>
<CAPTION>
Quality Income Stock Index Growth and Income
Portfolio Portfolio Portfolio
--------- --------- ---------
<S> <C> <C> <C>
Futures Contracts Outstanding at December 31, 1995 0 11 2
Contracts Opened 25 64 15
Contracts Closed 0 (70) (13)
------- ------- ------
Futures Contracts Outstanding at December 31, 1996 25 5 4
======= ======= ======
</TABLE>
The futures contracts outstanding as of December 31, 1996 and the description
and unrealized appreciation (depreciation) were as follows:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation /
Contracts Value (Depreciation)
--------- ----- --------------
<S> <C> <C> <C>
Quality Income Portfolio:
U.S. Long Bond (CBT)
March 1997 - Sales to Close 25 $ 2,815,625 $ 10,156
Stock Index Portfolio:
S&P 500 Index Futures
March 1997 - Buys to Open 5 $ 1,861,250 $ (33,790)
Growth & Income Portfolio:
S&P 500 Index Futures
March 1997 - Buys to Open 4 $ 1,489,000 $ (15,650)
</TABLE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
6. OPTION CONTRACTS
The Stock Index Portfolio's transactions in options for the year ended December
31, 1996, were as follows:
OPTIONS PURCHASED CONTRACTS PREMIUM
- ----------------- --------- -------
Options Outstanding at December 31, 1995 18 $ 39,699
Options Purchased 61 93,460
Options Terminated in Closing (79) (133,159)
------- ----------
Options Outstanding at December 31, 1996 0 $ 0
======= ==========
OPTIONS WRITTEN CONTRACTS PREMIUM
- --------------- --------- -------
Options Outstanding at December 31, 1995 18 $ (16,401)
Options Written 61 (136,524)
Options Terminated in Closing (79) 152,925
------- ----------
Options Outstanding at December 31, 1996 0 $ 0
======= ==========
The Growth and Income Portfolio's transactions in options for the year ended
December 31, 1996, were as follows:
OPTIONS WRITTEN CONTRACTS PREMIUM
- --------------- --------- -------
Options Outstanding at December 31, 1995 0 $ 0
Options Written 2,003 (4,940)
Options Expired (2,003) 4,940
-------- --------
Options Outstanding at December 31, 1996 0 $ 0
======== ========
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
7. FORWARD FOREIGN CURRENCY CONTRACTS
Open foreign forward currency contracts for the International Equity Portfolio
at December 31, 1996 were as follows:
Forward Foreign Currency Contracts to Buy:
<TABLE>
<CAPTION>
Value at In Unrealized
Settlement December 31, Exchange Appreciation/
Date Contracts to Receive 1996 for U.S. $ (Depreciation)
---- -------------------- ---- ---------- --------------
<S> <C> <C> <C> <C> <C>
1/13/97 464,494 Deutsche Mark $ 299,801 $ 305,000 $ (5,199)
1/3/97 26,000 French Franc 4,966 4,953 13
1/13/97 985,764 French Franc 188,398 195,000 (6,602)
1/3/97 9,000 Irish Punt 15,160 15,057 103
1/13/97 41,294,162 Japanese Yen 356,264 372,000 (15,736)
1/3/97 9,000 Netherlands Guilder 5,172 5,152 20
1/3/97 39,000 New Zealand Dollar 27,561 27,554 7
1/3/97 4,100,000 Spanish Peseta 31,355 31,274 81
Forward Foreign Currency Contracts to Sell:
Value at In Unrealized
Settlement December 31, Exchange Appreciation/
Date Contracts to Deliver 1996 for U.S. $ (Depreciation)
---- -------------------- ---- ---------- --------------
1/13/97 789,020 Deutsche Mark $ 509,262 $ 519,142 $ 9,880
1/13/97 2,090,450 French Franc 399,525 406,307 6,782
1/13/97 93,735,907 Japanese Yen 808,702 836,964 28,262
</TABLE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
8. MORTGAGE AND ASSET BACKED SECURITIES
The Quality Income and Quality Bond Portfolios invest in Mortgage and Asset
Backed Securities. A Mortgage Backed Security (MBS) is a pass-through security
created by pooling and selling participations in the principal and interest
payments received from borrowers. Most of these securities are guaranteed by
federally sponsored agencies -- Government National Mortgage Association (GNMA),
Federal National Mortgage Association (FNMA), Federal Home Loan Mortgage
Corporation (FHLMC) or Federal Home Loan Bank (FHLB).
A Collateralized Mortgage Obligation (CMO) is a bond which is collateralized by
a pool of MBSs. The Quality Income and Quality Bond Portfolios also invest in
REMICs (Real Estate Mortgage Investment Conduits) which are simply another form
of CMO. These MBS pools are divided into classes or tranches with each class
having its own characteristics. For instance, a PAC (Planned Amortization Class)
is a specific class of mortgages with the most stable cash flow and the lowest
prepayment risk.
Asset Backed Securities are similar to MBSs but made up of pools of other
assets, such as credit card receivables, which are grouped together for
investment purposes. Payments of principal and interest on the securities are
made from the cash flows of the group of assets.
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