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COVA SERIES TRUST
Semi-ANNUAL REPORT
June 30, 1998
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LETTER FROM THE PRESIDENT
ARE VARIABLE ANNUITIES STILL A GREAT VALUE FOR LONG-TERM INVESTORS?
On its face, it may seem a little unusual for an annuity company to question the
value of its own product. But, in light of some of the recent articles in the
press, we thought it responsible to explore our product's value to your
long-term goals. At the end of the day, we believe this exercise reveals our
commitment to you. If you have a long-term investment horizon, you only need to
look at a few of the "basics" to see the advantages of your variable annuity.
1. TAX-DEFERRED ACCUMULATION
Albert Einstein called compound interest modern society's greatest invention. A
quick look at the chart below comparing a taxable investment with a tax-deferred
investment makes me think Einstein was onto something.
[Graph showing $560,441 Tax-deferred Value, $394,683
lump sum surrender value and $306,499 Taxable Value of $100,000
investment over 20 years]
This illustration assumes an initial investment of $100,000 earning 10% over 20
years. The lump-sum withdrawal assumes the contract value is surrendered in the
20th year and all earnings are taxed at 36%. The chart does not reflect a 1.4%
mortality and expense risk charge and administrative expense charge for the
tax-deferred value. If applied, the total return would be lower.
2. SURVIVORSHIP PROTECTION FOR YOUR HEIRS
Few investments today provide death benefit protection for your heirs. However,
your variable annuity provides a guaranteed death benefit. This important
benefit provides protection for your heirs if death should occur at a time
market conditions have depressed the value of your annuity (see your prospectus
for a complete description of your death benefit).
3. LIFETIME INCOME OPTIONS
This is the "annuitization" (or annuity pay out) feature of your investment,
which allows you to convert your contract into a series of regular income
payments that are guaranteed for as long as you or your spouse lives. Of course
this guarantee is backed by the financial stability of Cova, a company that has
consistently received high ratings from the financial rating services.
4. TAX-FREE TRANSFERS BETWEEN FUNDS
Certain investments will generate a capital gains tax when you sell them. Within
your annuity, you can transfer between funds without generating a capital gains
tax. This provides you and your broker with the flexibility of managing your
investments without fear of this additional taxation.
So, are variable annuities still a great value? For investors with an eye on the
long term, no question about it! We at Cova consider it a privilege to be
entrusted with your long-term investment needs.At this time, we would like to
present you with the enclosed semi-annual report, which provides the financial
statements of the portfolios in your variable annuity.Thank you for placing your
trust in Cova.
Sincerely,
L.J. Stensrud
President & CEO
<PAGE> 3
THE SELECT EQUITY PORTFOLIO
Managed by J.P. Morgan Investment Management
PORTFOLIO FACTS
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as of 6/30/98
Total Stocks
in Portfolio 82
Beta 0.99
Current Dividend
Yield 1.7%
Average P/E Ratio 21.4x
Average Market
Capitalization $36.6B
TOP 10 HOLDINGS
BY MARKET VALUE
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as of 6/30/98
1. Procter &Gamble 3.6%
2. Monsanto 3.2
3. SBC Communications 3.0
4. Federal Natl. Mtg. Assn. 2.8
5. Starwood Lodging 2.7
6. Union Pacific 2.6
7. Bristol Myers Squibb 2.6
8. Tosco 2.5
9. Anheuser Busch 2.5
10. Humana 2.4
% of Portfolio 27.9%
These holdings are subject to change without notice.
INVESTMENT OBJECTIVE
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Inception Date: 5/1/96
The Select Equity Portfolio seeks long-term growth of capital and income. The
Portfolio seeks to achieve this objective consistent with reasonable investment
risk. The Portfolio is designed for investors who seek an actively managed
Portfolio of selected stocks that attempts to outperform the total return of the
S&P 500. The Portfolio invests typically in 60-90 stocks of large and
medium-sized U.S. corporations.
PERFORMANCE
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as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 24.74% -- 24.53%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If this
performance included the effect of the insurance charge, performance numbers
would be lower.
<PAGE> 4
PORTFOLIO REVIEW AND OUTLOOK
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as of 6/30/98
Despite a second wave of bad news from Asia and an apparent slowdown in
corporate profit growth, the S&P 500 Index rose 3.3% in the second quarter,
bringing its year-to-date gain to 17.7%.
The largest 50 stocks in the S&P 500 once again drove performance for the market
overall. The "Nifty Fifty" gained 7.1% during the quarter, while the other 450
lost 0.4%. For the first half of 1998, the Nifty Fifty group is up 22.3%. The
other stocks are up only 13.3%. Favorable stock selection in the technology and
services sectors enhanced performance. Among technology stocks, Cisco rose 34.6%
on news of an approved merger with MCI. In the services industry, Comcast
(+18.5%), the fourth largest cable company, benefited from the acquisition of
TCI by AT&T.
Growth in the corporate profits seems unlikely to rebound to 1997 levels in view
of softened global demand, a stronger dollar, domestic capacity growth, and
increasing wage pressures. Thus, our forecast calls for the recent slowdown in
operating earnings growth to persist during the next several quarters.
SECTOR ALLOCATION
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as of 6/30/98
The Select Equity Portfolio will not take risks on sector bets. J.P. Morgan
Investment Management seeks to add value and manage risk through active stock
selection within industry sectors broadly aligned to those in the S&P 500.
3.5% Basic Industry
5.4% Retail
6.7% Energy
6.9% Multi-Industry
8.0% Telephone
10.9% Consumer Stable
11.6% Technology
13.5% Health & Drugs
14.4% Finance
19.1% *Other
* Six sectors comprise the category of Other
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus.Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
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THE LARGE CAP
STOCK PORTFOLIO
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
PORTFOLIO FACTS
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as of 6/30/98
Total Stocks
in Portfolio 257
Beta 0.99
Average Market
Capitalization $63.5B
Current Dividend
Yield 1.6%
Average P/E Ratio 22.9x
TOP 10 HOLDINGS
BY MARKET VALUE
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as of 6/30/98
1. Exxon 2.7%
2. Bristol Myers Squibb 2.3
3. Intel 2.2
4. General Electric 2.2
5. IBM 2.0
6. Microsoft 1.9
7. Cisco Systems 1.8
8. Procter & Gamble 1.8
9. Warner Lambert 1.7
10. American International 1.6
% of Portfolio 20.2%
These holdings are subject to change without notice.
INVESTMENT OBJECTIVE
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Inception Date: 5/1/96
The Large Cap Stock Portfolio seeks long-term growth of capital and income.
The Portfolio seeks to achieve this objective consistent with reasonable
investment risk. The Portfolio is designed for investors who seek an actively
managed portfolio of selected stocks that attempts to outperform the total
return of the S&P 500. The Portfolio generally invests in 225-250 stocks of
large and medium-sized U.S. corporations. The stocks included in the Portfolio
are selected primarily from the universe of the S&P 500.
PERFORMANCE
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as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 31.80% -- 31.23%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
<PAGE> 6
PORTFOLIO REVIEW AND OUTLOOK
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as of 6/30/98
Despite a second wave of bad news from Asia and an apparent slowdown in
corporate profit growth, the S&P 500 Index rose 3.3% in the second quarter,
bringing its year-to-date gain to 17.7%. Trading was choppy as investors weighed
signs of strength in the domestic economy and related concerns that the Federal
Reserve might raise interest rates against a deepening crisis in Asia.
The largest 50 stocks in the S&P 500 once again drove performance for the
market overall. The "Nifty Fifty" gained 7.1% during the quarter, while the
other 450 stocks lost 0.4%. For the first half of 1998, the Nifty Fifty group is
up 22.3%. The other 450 stocks are up only 13.3%.
Favorable stock selection in the consumer cyclical and telephone sectors
enhanced performance. In consumer cyclical stocks, our holdings in Chrysler
(+36.4%) had the greatest impact on performance, as that company agreed to merge
with Daimler-Benz. In telephone stocks, the portfolio overweighted Worldcom
(+12.5%), whose shares rose on news of an approved merger with MCI.
Growth in corporate profits seems unlikely to rebound to 1997 levels in view
of softened global demand, a stronger dollar, domestic capacity growth, and
increasing wage pressures. Thus, our forecast calls for the recent slowdown in
operating earnings growth to persist during the next several quarters.
SECTOR ALLOCATION
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as of 6/30/98
Cova
7.4% Energy
13.9% Technology
14.8% Industrial
27.4% Interest Sensitive
36.5% Consumer
S&P 500
7.5% Energy
13.9% Technology
14.8% Industrial
27.3% Interest Sensitive
36.5% Consumer
The Large Cap Stock Portfolio will not take risks on sector bets. J.P. Morgan
Investment Management seeks to add value and manage risk through active stock
selection within industry sectors closely aligned to those in the S&P 500.
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 7
THE SMALL CAP
STOCK PORTFOLIO
Managed by J.P. Morgan Investment Management
PORTFOLIO FACTS
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as of 6/30/98
Total Stocks
in Portfolio 253
Beta 0.98
Average Market
Capitalization $750.3MM
Current Dividend
Yield 2.4%
Average P/E Ratio 16.4x
TOP 10 HOLDINGS
BY MARKET VALUE
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as of 6/30/98
% OF PORTFOLIO
1. Capital Re 2.9%
2. DR Horton 2.2
3. Mueller Industries 2.1
4. Renaissance Re 1.9
5. Ventana Medical Systems 1.6
6. Dekalb Genetics 1.6
7. Internet 1.5
8. Commercial Metals 1.4
9. Central Hudson
Gas &Electric 1.2
10. Wicor 1.2
% OF PORTFOLIO 17.6%
These holdings are subject to change without notice.
INVESTMENT OBJECTIVE
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Inception Date: 5/1/96
The Small Cap Stock Portfolio seeks to provide a high total return from a
portfolio of small company stocks. The Portfolio invests primarily in U.S.
companies selected generally from the universe of the Russell 2000 Index. It is
designed for investors who are willing to assume the somewhat higher risk of
investing in small companies in order to seek a higher return over time than
might be expected from a portfolio of stocks of large companies.
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PERFORMANCE
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as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 15.84% -- 18.26%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
PORTFOLIO REVIEW AND OUTLOOK
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as of 6/30/98
For the second quarter, the Russell 2000 Index fell 4.7%. The Russell had risen
to record levels in mid-April, but fell significantly in May as renewed fears
emerged in Southeast Asia. By the end of June, as the Russell went through its
annual rebalancing, the Index showed some signs of strength and was able to
finish the month where it started.
The Portfolio underperformed the benchmark in the second quarter. From an
industry standpoint, the portfolio was adversely affected by an underweighting
in consumer stable stocks, which held up relatively well during the recent
period of uncertainty for small cap stocks. On the positive side, performance
was helped by holdings in seed manufacturer Dekalb Genetics as the stock rose
49% during the quarter following the announcement that the company would be
acquired by Monsanto Corporation.
Given the recent volatility associated with the small cap market, we are very
conservative with our highly diversified approach. Holding approximately 250
stocks and investing in 21 sectors should be beneficial if this market
environment continues.
SECTOR ALLOCATION
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as of 6/30/98
5.1% Utilities
5.3% Insurance
6.0% Basic Industry
6.1% Retail
6.4% Consumer Cyclical
9.7% Service
10.7% Healthcare & Drugs
13.1% Technology
18.2% *Other
19.4% Finance
* Other includes: Consumer Stable, Energy, Transportation, Multi-Industry,
Capital Goods
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 9
THE INTERNATIONAL EQUITY PORTFOLIO
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
PORTFOLIO FACTS
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as of 6/30/98
Total Stocks in Portfolio 210
Average Market
Capitalization $29.1B
Average Gross
Dividend Yield 1.6%
Average P/E Ratio 22.3x
TOP 10 HOLDINGS BY MARKET VALUE
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as of 6/30/98
HOLDING % SECTOR COUNTRY
1. Nestle 2.2 Food & Household Switzerland
2. Munich Reinsurance 2.2 Insurance Germany
3. Union Bank of Switzerland 1.9 Banking Switzerland
4. Vivendi 1.9 Utilities France
5. Lloyds TSBGroup 1.6 Banking United Kingdom
6. Roche Holdings 1.6 Health & Personal Care Switzerland
7. Telcom Italia 1.5 Telecommunications Italy
8. Royal Dutch Petroleum 1.3 Energy Netherlands
9. Glaxo Wellcome 1.3 Health & Personal Care United Kingdom
10. Iberdrola 1.3 Utilities Spain
% OF PORTFOLIO 16.8%
These holdings are subject to charge without notice.
INVESTMENT OBJECTIVE
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Inception Date: 5/1/96
The International Equity Portfolio seeks to provide a high total return from
a portfolio of stocks of non-U.S. companies. It is designed for investors with
long-term investment horizons who want to diversify their portfolios by
investing in an actively managed portfolio of non-U.S. stocks that seeks to
outperform the MSCI EAFE Index.
PERFORMANCE
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as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 13.62% -- 9.88%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
<PAGE> 10
PORTFOLIO REVIEW AND OUTLOOK
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as of 6/30/98
Continental European markets recorded more subdued gains, but still rank as
the world's strongest performers to date. The exception was the U.K. market,
which was hurt by evidence of rising inflation and an official increase in rates
by the Bank of England. Asian markets continued to underperform as the region's
economies continued to deteriorate. Japanese stocks held up relatively well
(despite a deepening recession), with stock prices supported by hopes that the
government would aggressively take stops to solve the banking crisis.
The portfolio outperformed its benchmark for the quarter, with
country-allocation decisions adding the most value. While an overweight position
in Singapore hurt the Portfolio's performance, underweight positions in Japan,
Hong Kong, and Malaysia offset the losses. Stock selection decisions also had a
positive impact, with stock picks in Japan, Hong Kong, and the U.K. enhancing
the Portfolio's performance.
Overall, our return expectations are modest, with the world economy slowing
and with valuations at historically high levels in most markets. However,
profitability in Europe is growing quickly and corporate restructuring continues
to provide plenty of interesting opportunities there. We expect to maintain the
portfolio's overweight positions in Europe, with an emphasis on France and
Germany, and its underweight position in Japan.
COUNTRY ALLOCATION
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as of 6/30/98
3.4% Sweden
3.6% Italy
3.9% Australia
7.1% Netherlands
8.3% Switzerland
11.4% *Other
11.9% France
14.1% Germany
14.5% Japan
21.8% UK
* Eleven countries comprise the category of Other.
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 11
THE QUALITY BOND PORTFOLIO
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
PORTFOLIO FACTS
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as of 6/30/98
Average Coupon 6.3%
Average Credit
Quality AA+
Average Duration 5.1 years
Average Yield 6.3%
Average Maturity 15.1 years
Total Net Assets $29.0MM
CREDIT QUALITY
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as of 6/30/98
Treasury 20.6%
Agency 24.5%
AAA 28.1%
AA 0.7%
A 13.6%
BBB 10.1%
BB 2.4%
INVESTMENT OBJECTIVE
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Inception Date: 5/1/96
The Quality Bond Portfolio seeks to provide a high total return consistent
with moderate risk of capital and maintenance of liquidity. It is designed for
investors who seek a total return over time that is higher than that generally
available from a Portfolio of short-term obligations while recognizing the
greater price fluctuation of longer-term instruments. It may also be a
convenient way to add fixed income exposure to diversify an existing Portfolio.
PERFORMANCE
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as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 8.70% -- 10.49%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
<PAGE> 12
PORTFOLIO REVIEW AND OUTLOOK
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as of 6/30/98
During the second quarter of 1998, the U.S. fixed income markets continued to be
impacted by economic instability in Asia and Russia, against a backdrop of the
relative strength and stability of the U.S. economy. While the U.S. economy
remains strong, the most recent data releases are starting to indicate that the
pace of growth is moderating. Inventories are increasing, exports are slowing
and new orders for durable goods declined. Federal Reserve policy has remained
on hold. The implication for the global economy is further deflation, weak
commodity prices and slowing economic activity.
The Portfolio's performance was enhanced during the quarter by our decision to
maintain a long duration position. In addition, we reduced positions in
investment grade corporates and added positions in short-term French and German
sovereigns.
We expect to see continued spread volatility in coming months given the
increasingly unsettled global financial and political situation. Interest rate
levels will likely remain in a trading range of 5.50-6.12%, though they could
dip below these levels if there is unexpected bad news from outside the U.S. We
expect the Fed to remain on hold until either relative calm returns to the
global financial and currency markets or there are significant signs of
increased inflation in the U.S.
SECTOR ALLOCATION
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as of 6/30/98
5.8% Asset-Backed
10.0% International
20.6% U.S. Treasury Obligations
25.6% Corporate Obligations
38.0% Mortgage-Backed
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 13
THE LARGE-CAP RESEARCH PORTFOLIO
MANAGED BY
LORD, ABBETT & CO.
PORTFOLIO FACTS
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as of 6/30/98
Total Stocks
in Portfolio 90
Beta .93
Average Market
Capitalization $32.2B
Average Gross
Dividend Yield 1.70%
Portfolio
P/E Ratio 23.90
Price/Book Ratio 4.9
TOP 10 HOLDINGS
BY MARKET VALUE
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as of 6/30/98
1. First Data Corp. 2.50%
2. Morgan Stanley
Dean Witter 1.95
3. Heinz 1.95
4. British Petroleum
Ltd Ads 1.85
5. AT&T 1.78
6. EMC 1.67
7. Sun Microsystems 1.64
8. Pharmacia & Upjohn 1.64
9. Mobil 1.63
10. Chase Manhattan 1.54
% of Portfolio 18.2%
These holdings are subject to change without notice.
INVESTMENT OBJECTIVE
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Inception Date: 8/20/97
The Lord Abbett Large-Cap Research Portfolio seeks to provide investors with
growth of capital and income consistent with reasonable risk. Current income is
a secondary consideration. Typically, the Portfolio will be invested in the
stocks of large-cap companies that have market values greater than $5 billion.
Under normal circumstances, the Portfolio will be invested 65% in the stocks of
large-cap companies.
<PAGE> 14
PERFORMANCE
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as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 14.52%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
The S&P 500 outperformed the portfolio in the second quarter. The performance
of the portfolio was held back by Consumer Non-cyclical stocks and an
underweighting in Technology stocks. Positive contributing factors to the
portfolio performance in the second quarter included the overweighting and
strong stock selection in Energy stocks and underweighting in Utility stocks.
The Portfolio invests in carefully researched securities, which we believe
offer exceptional value.
SECTOR ALLOCATION
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as of 6/30/98
PORTFOLIO
0.35% Transportation
10.6% Cash
0.0% Multi Industry
4.7% Capital Goods
8.6% Energy
5.1% Basic Industry
14.6% Consumer Cyclical
6.9% Utilities
7.6% Technology
19.2% Finance
22.4% Consumer Non-Cyclical
S&P 500
1.1% Transportation
0.0% Cash
1.0% Multi Industry
7.6% Capital Goods
7.6% Energy
3.7% Basic Industry
12.4% Consumer Cyclical
7.5% Utilities
16.4% Technology
17.8% Finance
23.7% Consumer Non-Cyclical
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 15
THE MID-CAP VALUE PORTFOLIO
MANAGED BY
LORD, ABBETT & CO.
TOP 10 HOLDINGS
BY MARKET VALUE
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as of 6/30/98
1. Tricon Global Restaurants 2.7%
2. Northeast Utilities 2.4
3. Dean Foods Co. 2.4
4. Med Partners Inc. 2.3
5. Adobe Systems 2.3
6. Unisource Worldwide 2.2
7. Ball Corp. 2.1
8. Fruit of the Loom 2.1
9. Nine West Group 2.1
10. Polymer Group Inc. 2.1
% OF PORTFOLIO 22.7%
These holdings are subject to change without notice.
INVESTMENT OBJECTIVE
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Inception Date: 8/20/97
The Lord Abbett Mid-Cap Value Portfolio seeks to provide investors with
capital appreciation through a portfolio of stocks invested in mid-sized
companies. Typically, mid-sized companies are defined as those with market
values ranging from $200 million to $5 billion. The portfolio manager believes
mid-cap companies receive less attention from investment analysts and individual
investors. As a result, their price/earnings and price-to-book ratios are
relatively more attractive compared to large-cap companies. Under normal
circumstances, the portfolio will be 65% invested in these stocks of mid-cap
companies.
PERFORMANCE
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 13.08%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
Mid-cap stocks sold off during the second quarter of 1998, with both growth
and value stocks posting negative returns. Mid-cap growth stocks outperformed
mid-cap value stocks. The Russell Mid Cap Value Index was off -2.6%, while the
Russell Mid Cap Growth Index only declined -0.1% during the quarter. The broad
Russell Mid Cap Index returned -1.5%.
During the second quarter of 1998, the portfolio continued its focus on
domestic issues with little exposure to international economies. Corporate
takeovers played a role in the positive relative performance as three portfolio
holdings were acquisition targets: Echlin, Humana and U.S. Surgical.
Additionally, the portfolio's investments in a couple of "troubled" electric
utilities, Northeast Utilities and Niagara Mohawk, generated a sizeable return
over the three months.
We plan to continue our concentration on domestically-oriented equities and
are constantly searching for company and industry-specific situations that can
add to overall portfolio performance. As the market continues to narrow toward
high-technology and mega-capitalization stocks, we look forward to finding
opportunities that can enable us to fulfill our value goal of minimizing
downside risk while maintaining a maximum upside return.
<PAGE> 16
SECTOR WEIGHTINGS
- --------------------------------------------------------------------------------
as of 6/30/98
0.0% Other (Cash)
0.0% Conglomerates
5.4% Industrial
5.6% Energy
6.4% Basic Industries
7.7% Utilities
8.0% Technology
11.9% Finance
13.9% Consumer Non-Cyclicals
28.4% Consumer Cyclicals
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 17
THE DEVELOPING GROWTH PORTFOLIO
MANAGED BY
LORD, ABBETT & CO.
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
Total Stocks
in Portfolio 101
Average Market
Capitalization $42.7M
Average P/E Ratio
(FT'99) 16.9x
TOP 10 HOLDINGS
BY MARKET VALUE
- --------------------------------------------------------------------------------
as of 6/30/98
1. Plantronics 4.88%
2. Information Management
Resources 2.84
3. Orbital Sciences Corp. 2.79
4. CMG Information
Services 2.35
5. Technitrol Inc. 2.22
6. Cellstar Corp. 1.81
7. Eagle Hardware & Garden 1.81
8. Learning Company 1.75
9. Tarrant Apparel 1.70
10. Artesyn Technologies Inc. 1.67
% of portfolio 23.82%
These holdings are subject to change without notice.
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 8/20/97
The Lord Abbett Developing Growth Portfolio seeks to provide investors with
long-term capital growth through a diversified and actively managed portfolio
consisting of developing growth companies. Typically, these are small, young
companies and their shares are often traded over the counter. Under normal
circumstances, the Portfolio will be invested at least 65% in stocks of
companies in the developing growth stage. Of course, while the stocks of
developing companies present the opportunity for aggressive growth, risk is also
increased as a result of price fluctuations.
PERFORMANCE
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 14.19%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
<PAGE> 18
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
Throughout the period the portfolio continued its strategy of identifying and
investing in unique companies that we believe offer good long-term earnings
prospects. Our emphasis on fundamental research proved most beneficial, as the
financial markets have demonstrated little tolerance for earnings
disappointments. Furthermore, the market's overfocus on these short-term
earnings disappointments provided buying opportunities for the portfolio.
The outlook for the remainder of 1998 is for economic growth to slow to
2%-2.5%, with inflation likely to remain moderate. We are encouraged by the
belief that many of our holdings will continue to experience strong growth,
albeit in a slowing economy, due to the unique nature of the products and
services they provide. Furthermore, we believe that changes in tax laws lowering
capital gains tax rates are favorable to the growth arena in general, and to
investors in small-cap companies in particular.
SECTOR ALLOCATION
- --------------------------------------------------------------------------------
as of 6/30/98
2.1% Capital Goods
2.8% Aerospace
4.4% Electronics
6.2% Electronic Components
7.9% Consumer Products
9.1% Business Services
9.5% Medical Products
11.6% Energy
12.4% Retail
19.4% Computer Software & Services
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 19
THE BOND DEBENTURE PORTFOLIO
MANAGED BY
LORD, ABBETT & CO.
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
Average Yield 8.4%
Average Duration 6.7 years
Average Credit
Quality BBB
Average Coupon 7.0%
Yield to Maturity 8.7%
CREDIT QUALITY
- --------------------------------------------------------------------------------
as of 6/30/98
AAA 18.5%
AA 2.1%
A 3.4%
BBB 6.4%
BB 14.4%
B 49.0%
CCC 2.9%
NR 3.3%
TOP 10 HOLDINGS
- --------------------------------------------------------------------------------
as of 6/30/98
% of Portfolio
1. U.S. Treasury Notes
(7 1/2%, 5/15/02) 6.01%
2. U.S. Treasury Notes
(5 1/2%, 5/31/03) 5.63%
3. Federal National Mortgage
Association (8.5%, 2/01/05) 1.77%
4. Century Communications
(9 1/2%, 3/01/05) 1.22%
5. BE Aerospace Inc.
(9 7/8%, 02/01/06) 1.20%
6. Stater Brothers Holdings
(9%, 7/01/04) 1.16%
7. Fox/Liberty Networks, Inc.
(8 7/8%, 8/15/07) 1.15%
8. Republic of Panama
(8 7/8%, 9/30/27) 1.07%
9. Iron Mountain
(10 1/8%, 10/01/06) 1.04%
10. GST USA
(0%, 12/15/05) 0.92%
* These holdings are subject to change without notice.
% OF PORTFOLIO 21.17%
- --------------------------------------------------------------------------------
<PAGE> 20
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 5/1/96
The Lord Abbett Bond Debenture Portfolio seeks a high current income and the
opportunity for capital appreciation to produce a high total return through a
professionally-managed portfolio consisting primarily of high yield and
convertible bonds. The Lord Abbett Bond Debenture Portfolio is an actively
managed portfolio in which the portfolio manager uses a three-step focus to
direct assets into various asset classes. Keep in mind, certain risks are
present with high yield bonds that are not generally associated with
investment-grade bonds. High yield bonds are rated lower, because there is
greater risk associated with the issuer's ability to pay principal and interest.
PERFORMANCE
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 15.99% -- 13.53%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
U.S. financial markets became unnerved during the latter part of the second
quarter by mounting concerns about the impact of the Asian crisis and the
fallout on corporate earnings. May marked the first time this year that U.S.
Treasury bonds outperformed their corporate high yield counterparts on a monthly
basis. During May and June, investors worldwide have fled to the safety of U.S.
Treasuries, leaving corporates and high yield bonds behind.
On balance, we believe the third quarter of 1998 has the potential to post
good returns. In the U.S., we have continued low inflation, which will be helped
even more by this month's decline in oil and commodities prices. Corporate
profit growth has slowed from the robust levels of 1995-1997, but is still
rising at an approximate 5% pace. In the credit markets, we should continue to
benefit from the fact that the largest borrower in the history of the world -
the U.S. Government - has reached a surplus position for the first time in 18
years and will continue to pay down debt.
Potential positive surprises over the next 3-6 months include:
1. Japanese policy action to repair their financial system and fix a sluggish
economy - this could be a catalyst to restart Asian economies.
2. Even lower than expected inflation due to a competitive global economy and
falling producer prices.
3. Investors may begin to look forward to a resumption of above average
profit growth in 1999, potentially driving up stocks, convertibles, and
high yield bonds.
The Cova Bond Debenture Portfolio is structured now to take advantage of the
excellent values that U.S. corporate high yield bonds offer.
SECTOR ALLOCATION
- --------------------------------------------------------------------------------
as of 6/30/98
High Yield 63.3%
Convertibles 18.2%
U.S. Government Securities 13.4%
Short-Term Securities/Cash 5.1%
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 21
STOCK INDEX
PORTFOLIO
MANAGED BY
VAN KAMPEN AMERICAN CAPITAL
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
Market Value $94.68M
Market
Capitalization $73.32B
Portfolio Beta 1.02
Current Dividend
Yield 1.14%
P/E Ratio 30.6
(Trailing 4 Quarters)
No. of Securities 400
TOP 10 HOLDINGS
- --------------------------------------------------------------------------------
as of 6/30/98
1. General Electric 3.00%
2. Microsoft 2.67
3. Coca-Cola 2.12
4. Exxon 1.78
5. Merek & Co. 1.62
6. Pfizer Inc. 1.42
7. Wal-Mart Store 1.37
8. Intel Corp. 1.23
9. Procter & Gamble 1.23
10. Royal Dutch Petroleum 1.19
% of Portfolio 17.63%
These holdings are subject to change without notice.
SECTOR ALLOCATION
- --------------------------------------------------------------------------------
Finance 17%
Technology 17
Healthcare 11
Staples 9
Energy 7
Services 7
Retailing 6
Utility 6
Capital Goods 5
Basic Materials 4
Cyclicals 4
Foreign 3
Diversified 2
Aerospace 1
Transport 1
<PAGE> 22
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 11/1/91
The investment objective of the Stock Index Portfolio is to achieve
investment results that approximate the aggregate price and yield performance of
the Standard & Poor's 500 Composite Stock Price Index.
Performance
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 19.03% 22.24% 29.59%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
Much of the gains that the equity market has accumulated to this point in the
year were generated in the first quarter. Through the first two quarters, the
S&P 500 Index advanced by 17.7%, only 3.3% of which came in the second quarter.
In fact, the market was flat to down for much of the second quarter until the
last two weeks provided the entire gain. Recent volatility in the market
reflects a pick-up in earnings related fears caused by continued Asian market
concerns. The primary fallout from the Asian crisis has been felt in the
technology and basic materials sectors as Asian competitors have aggressively
priced their products in these sectors to receive much needed capital. Aside
from these two areas, most industries have experienced considerable P/E multiple
expansion since the onset of Asia's financial market problems. Despite
near-stagnant growth in earnings, prices were able to advance as investors
reduced the risk premium demanded due to low interest rates and inflationary
expectations. For the next several weeks, the spotlight will be on corporate
earnings reports. The market's ability to reach new highs will undoubtedly be
determined by the outcome of these reports.
TOP 5 INDUSTRY GROUPS
- --------------------------------------------------------------------------------
Banks
Drugs
Int'l Oil
Elec. Equip.
Software
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 23
GROWTH & INCOME PORTFOLIO
MANAGED BY
VAN KAMPEN FUNDS
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
Market Value $54.62M
No. of Securities 110
% Common Stock 89.39%
% Convertibles 3.81%
% S&P Futures 3.14%
% Cash 3.67%
TOP 10 HOLDINGS
- --------------------------------------------------------------------------------
as of 6/30/98
1. Chase Manhattan Corp. 2.76%
2. IBM 2.34
3. PacificCare Health Sys. 2.25
4. Philip Morris 2.06
5. American Home Products 2.00
6. Alcatel Alsthom 1.90
7. NationsBank Corp. 1.68
8. Americal General Corp. 1.65
9. Coastal Corp. 1.59
10. Federated Dept. Stores 1.58
% of Portfolio 19.81%
These holdings are subject to change without notice.
TOP 5 SECTORS
- --------------------------------------------------------------------------------
17.5% Finance
15.6% Health Care
12.6% Technology
12.3% Utilities
8.0% Energy
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 5/1/92
The investment objective of the Growth and Income Portfolio is to seek
long-term growth of both capital and income by investing in a portfolio of
common stocks which are considered to have potential for capital appreciation
and dividend growth.
PERFORMANCE
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 16.82% 17.80% 23.61%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
<PAGE> 24
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
The second quarter saw a modest decline in interest rates, continued
decreases in the price of oil, and isolated, but lingering Asian concerns. The
S&P 500 Index continued to significantly outperform the returns of both the
mid-cap and small-cap indices.
The top sectors for the quarter were retail, autos, and telecommunications
equipment. The Portfolio was well represented in the retail and
telecommunications equipment sectors, but the superior return performance was
due more to fundamental stock picking than industry weightings.
We continue to emphasize healthcare and utilities in the portfolio. Those
sectors that underperformed were oil and domestic railroads. The continued
weakness in oil prices is responsible for the underperformance of oil stocks.
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 25
QUALITY INCOME
PORTFOLIO
MANAGED BY
VAN KAMPEN AMERICAN CAPITAL
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
Market Value $ 45.05M
Ave. Market Price $109.57
Weighted Coupon 7.83%
Average Duration 5.74 years
Average Maturity 15.68 years
No. of Securities 40
TOP 10 HOLDINGS
- --------------------------------------------------------------------------------
as of 6/30/98
1. NGC 5.22%
2. Bank of New York 4.99
3. Chase 4.94
4. PanEnergy 4.69
5. Petro Geo services 4.60
6. USA Waste 4.58
7. Hydro Qucheeb 4.55
8. LCI 4.54
9. Providian 4.45
10. Yale 3.18
% of Portfolio 45.74%
These holdings are subject to change without notice.
CREDIT QUALITY
AAA 13%
AA 3%
A 24%
BBB 60%
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 12/11/89
The investment objective of the Quality Income Portfolio is to seek a high
level of current income, consistent with safety of principal, by investing in
obligations issued or guaranteed by the U.S. government or its agencies or
instrumentalities or in various investment grade debt obligations including
mortgage pass-through certificates and collateralized mortgage obligations.
<PAGE> 26
PERFORMANCE
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 8.09% 6.31% 10.41%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
With the Asian market uncertainties, problems in Russia, and the looming
release of second quarter earnings all led market participants to seek safety in
US Treasuries. Because of this flight to quality, treasuries rallied across the
board pushing interest rates lower, and flattening the curve by 22 basis points.
Within the investment grade sector, spreads remained under pressure due to
the high level of new issuance. Although spreads are at levels not seen since
1994, we do not see this as a buying opportunity, and will continue to do the up
in quality trade.
The mortgage backed sector also came under pressure the second quarter as our
fears of faster prepayments and higher refinancing came to fruition. Now that
mortgages have cheapened since the first quarter however, we are looking to add
to our exposure, focusing on those securities that have prepay protection.
TOP 5 INDUSTRY GROUPS
- --------------------------------------------------------------------------------
Oil and Gas
Utilities
Banking
Telecom
Government
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 27
HIGH YIELD
PORTFOLIO
MANAGED BY
VAN KAMPEN AMERICAN CAPITAL
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
Market Value $ 32.52M
Ave. Market Price $100.84
Weighted Coupon 8.70%
Average Maturity 7.0 years
Average Duration 3.75 years
No. of Securities 108
TOP 10 HOLDINGS
- --------------------------------------------------------------------------------
as of 6/30/98
1. Fonorola 3.1%
2. Millicom Intl 2.5
3. Selmer Inc. 2.3
4. Comm & Pwr 2.1
5. Metronet 2.0
6. American-Standard 1.9
7. Time Warner 1.9
8. ISP Holdings 1.9
9. Argosy Gaming 1.8
10. AES Corp. 1.8
% of Portfolio 21.3%
These holdings are subject to change without notice.
CREDIT QUALITY
- --------------------------------------------------------------------------------
AAA 4%
NR 6%
BB 22%
B 68%
TOP 5 INDUSTRY GROUPS
Telecom
Printing/Publishing
Leisure/Amusement
Oil & Gas
Building/Real Estate
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 12/11/89
The investment objective of the High Yield Portfolio is to provide a high
level of current income with safety of principal.
<PAGE> 28
PERFORMANCE
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 12.61% 9.30% 11.73%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
During the second quarter, high yield performance was dominated by the higher
quality sectors while the first quarter's dominant performers (`B' and `CCC'
rated credits) lagged. This pattern fell in line with typical seasonals. On a
sector basis, the portfolio's relatively index neutral sector stance generated
no specific sector relative performance.
Relative to year end, the duration of the portfolio shortened slightly to
3.75 years as the firm's interest rate model registered more neutral at quarter
end. The portfolio continued to reduce cash positions ending the quarter at
roughly 3%.
Since March, spreads in the high yield universe finally widened in the
quarter as the overwhelming pace of new issuance (almost $100 billion year to
date) finally caught up with the market. Cash flows into the high yield mutual
funds remained strong during the quarter, but were unable to keep pace with the
insatiable appetite of issuers. Looking ahead, we feel that issuance will remain
strong but not at the pace of the second quarter. Additionally, we expect that
the flow of funds into the high yield sector will continue unabated as long as
the economy and the stock market continue to be strong. The combination of
slower new deal issuance and continued positive cash flows into funds should
lead to continued positive total return for high yield during the quarter and
the portfolio is now better poised to take advantage of this environment.
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 29
MONEY MARKET
PORTFOLIO
MANAGED BY
VAN KAMPEN AMERICAN CAPITAL
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
Market Value $15.75M
Average Maturity 25 Days
No. of Securities 18
TOP 5 HOLDINGS
- --------------------------------------------------------------------------------
as of 6/30/98
1. GECapital Corp. 5.1%
2. Associates Corp. 5.1
3. Prudential Funding 5.1
4. American Express 5.1
5. American General Corp. 5.1
% of Portfolio 25.5%
These holdings are subject to change without notice.
TOP 5 INDUSTRY GROUPS
Govt/Agency
Finance
Cong/Serv
PORTFOLIO COMPOSITION
Agency 25%
CP 57%
FRN 5%
Repro 13%
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 7/1/91
The investment objective of the Money Market Portfolio is to provide high
current income consistent with the preservation of capital and liquidity through
investment in a broad range of money market instruments that will mature within
12 months of the date of purchase.
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
During the second quarter of 1998, commercial paper continued to offer the
greatest value to the fund. The three month sector provided the best opportunity
for yield as levels cheapened about 18 basis points during the period. Hence, we
maintained our overweighted position. We continued our strategy of rolling down
the yield curve by investing in securities with longer maturities and higher
yields.
The spread between the three month and one year treasury bill was wider on
average than in the first quarter of 1998. The average daily spread in quarter
two was 30 basis points compared to 13 basis points in quarter one. We continue
to cautiously watch the economy for any signs of overheating and monitor the Fed
for any indication of their next move.
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 30
THE GROWTH &
INCOME EQUITY
PORTFOLIO
MANAGED BY
MISSISSIPPI VALLEY ADVISORS
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
Total Stocks
in Portfolio 59
Beta .99
Average Market
Capitalization $ 27B
Average P/E Ratio 22.7x
TOP 10 HOLDINGS
- --------------------------------------------------------------------------------
as of 6/30/98
% of Portfolio
1. SLM Hldg. Corp. 2.60%
2. Merck & Co. Inc. 2.34
3. Tellabs Inc. 2.27
4. General Electric Co. 2.24
5. Wal-Mart Stores Inc 2.23
6. Solutia Inc. 2.23
7. Chase
Manhattan Corp. 2.17
8. Ocean Energy Inc. 2.17
9. Avery
Dennison Corp. 2.16
10. Schering
Plough Corp. 2.13
% OF PORTFOLIO 22.54%
These holdings are subject to change without notice.
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 7/1/97
The Growth & Income Equity Portfolio seeks long-term growth and income
through a diversified portfolio of stocks. The Portfolio will remain diversified
with a selection of stocks of companies representing a variety of industries and
generally invests in the stocks of more well-established companies. It is
intended for those investors who have a longer investment horizon and can assume
more risk for potentially higher returns.
PERFORMANCE
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 19.76% -- 19.76%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
<PAGE> 31
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
The S&P 500 continues to record highs reflecting expectations for strong
earnings and dividend growth, a favorable inflation and interest rate
environment, and substantial money flows into mutual funds investing in U.S.
financial assets. Once again, the S&P 500 was the best performer of the major
indices, due to a superior performance of stocks of the largest, most visible
companies in the index. Supporting this is the trend toward indexing and large
inflows of foreign money seeking safe haven and/or fleeing markets in Southeast
Asia.
Despite our reservations in relation to the overall market, we continue to
find individual stocks and selected industries attractive. We especially like
those companies and industries that have visible and predictable earnings growth
prospects and considerable potential such as healthcare, retailing, financial
services and energy. The portfolio continues in a defensive posture, well
diversified and biased towards noncyclical predictable growth companies whose
unique earnings and products cycle will be relatively unaffected by the overall
macroeconomic environment.
SECTOR ALLOCATION
- --------------------------------------------------------------------------------
as of 6/30/98
Consumer Growth 20.3%
Interest Sensitive 19.5%
Technology 16.6%
Industrial Cyclical 15.1%
Consumer Staples 11.2%
Energy 11.1%
Capital Goods 4.2%
Consumer Cyclical 1.9%
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 32
THE EQUITY
INCOME PORTFOLIO
MANAGED BY
MISSISSIPPI VALLEY ADVISORS
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
Total Stocks
in Portfolio 66
Beta .86
Average Market
Capitalization $ 17B
Average P/E Ratio 19.9x
TOP 10 HOLDINGS
BY MARKET VALUE
- --------------------------------------------------------------------------------
as of 6/30/98
% of Portfolio
1. National Fuel Gas Co. 2.50%
2. First Data Corp. 2.10
3. Consolidated
National Gas 2.10
4. Dilliards Inc. 2.00
5. Aluminum Co. America 2.00
6. Baker Hughes Inc. 2.00
7. USX-Marthon Group 2.00
8. Columbia/HCA
Healthcare Corp. 1.90
9. Burlington Northern
Sante Fe 1.90
10. SLM Holdings Corp. 1.90
% OF PORTFOLIO 20.40%
These holdings are subject to change without notice.
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 7/1/97
The Equity Income Portfolio seeks to provide investors with an above-average
level of income consistent with capital appreciation. Generally, the Portfolio
will be at least 65% invested in income-producing stocks. The Portfolio is
intended for those investors with longer investment horizons who seek
above-average total return and are willing to assume the risk associated with
investments in stocks.
PERFORMANCE
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 24.27% -- 24.27%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
<PAGE> 33
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
The S&P 500 continued to record highs reflecting expectations for strong
earnings and dividend growth. The S&P 500 was the best performer of the major
indices, due to a superior performance of stocks of the largest, most visible
companies in the index. Supporting this is the trend toward indexing and large
inflows of foreign money seeking safe haven and/or fleeing markets in Southeast
Asia.
The significance of the situation in Southeast Asia and the potential impact
on worldwide economic growth is hard to assess at this point. Therefore, our
portfolio exposure in Southeast Asia is very limited by design. We are
specifically avoiding companies in industries with direct export and competitive
exposures such as autos, aerospace and industrial machinery. As a result, we
remain cautious and continue to focus on relative values.
SECTOR ALLOCATION
- --------------------------------------------------------------------------------
as of 6/30/98
Interest Sensitive 42.1%
Industrial Cyclical 15.9%
Consumer Growth 12.3%
Energy 10.1%
Consumer Staple 8.3%
Capital Goods 4.3%
Consumer Cyclical 3.8%
Technology 3.2%
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 34
THE BALANCED
PORTFOLIO
MANAGED BY
MISSISSIPPI VALLEY ADVISORS
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
STOCK PORTION
Total Stocks
in Portfolio 59
Beta .99
Average Market
Capitalization $ 27B
Average P/E Ratio 22.7x
FIXED INCOME PORTION
Average Maturity 6.4 yrs.
Duration 4.6 yrs.
Treasuries 81.60%
Mortgage Pass-Thru 18.40%
TOP 10 HOLDINGS
- --------------------------------------------------------------------------------
as of 6/30/98
% of Portfolio
1. U.S. Treasury Note
(7.25%, 5/15/04) 6.60%
2. U.S. Treasury Note
(6.625%, 5/15/07) 6.50%
3. U.S. Treasury Note
(6.125%, 8/15/07) 6.30%
4. U.S. Treasury Note
(6.375%, 8/15/02) 6.30%
5. U.S. Treasury Note
(6.375%, 5/15/00) 6.20%
6. GMMA Pool (7.0%, 2027) 2.00%
7. FNMA Pool (6.5%, 1/01/12) 1.80%
8. FNMA Pool (6.0%, 3/01/11) 1.80%
9. GNMA Pool (6.5%, 3/15/24) 1.60%
10. SLM Holding Corp. 1.00%
* These holdings are subject to change without notice.
% OF PORTFOLIO 40.10%
- --------------------------------------------------------------------------------
<PAGE> 35
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 7/1/97
The Balanced Portfolio seeks a combination of growth and current income
through an actively managed portfolio that invests in both stocks and bonds.
Based on economic conditions, the investment manager will allocate assets among
stock, bond and cash equivalent investment options and will adjust these options
to capitalize on changes in the market. It is generally intended for investors
who wish to maintain a highly diversified portfolio that seeks to maximize total
return.
PERFORMANCE
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 13.27% -- 13.27%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
STOCKS
The S&P 500 continues to record highs reflecting expectations for strong
earnings and dividend growth, a favorable inflation and interest rate
environment, and substantial money flows into mutual funds investing in U.S.
financial assets.
Current strategy calls for a defensive posture within well-diversified
portfolios emphasizing stocks of companies with predictable earnings growth and
with indifference to the general macroeconomic cycle.
BONDS
The bond market will likely remain highly volatile as it was throughout the
first quarter. Jobs data and federal reserve commentary will have the greatest
affect on the market. Bonds have shown strength, in longer maturities, which
could have some impact in the shorter portion of the market as long as inflation
stays low and the U.S. economy continues to grow. This scenario would likely
provide the federal reserve with a reason to increase short-term interest rates.
SECTOR ALLOCATION
- --------------------------------------------------------------------------------
as of 6/30/98
Interest Sensitive 9.1%
Consumer Growth 8.7%
Technology 7.4%
Industrial Cyclical 5.6%
Consumer Staples 4.5%
Energy 4.0%
Capital Goods 1.7%
Consumer Cyclical 1.0%
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 36
THE SMALL CAP
EQUITY PORTFOLIO
MANAGED BY
MISSISSIPPI VALLEY ADVISORS
PORTFOLIO FACTS
- --------------------------------------------------------------------------------
as of 6/30/98
Total Stocks
in Portfolio 86
Beta .89
Average P/E Ratio 18.9x
Average Market
Capitalization $868M
TOP 10 HOLDINGS
BY MARKET VALUE
- --------------------------------------------------------------------------------
as of 6/30/98
1. Scherer RP Corp. 2.42%
2. IXC Communications Inc. 2.21
3. Ocean Energy Inc. 2.20
4. OM Group Inc. 2.13
5. National Data Corp. 2.12
6. Zebra Technologies CP 2.08
7. Allergan Inc. 1.97
8. Kulicke &Soffa Inds. Inc. 1.96
9. Maxxim Med. Inc. 1.94
10. Sungard Data Sys. Inc. 1.86
% of Portfolio 20.89%
These holdings are subject to change without notice.
INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
Inception Date: 7/1/97
The Small Cap Equity Portfolio seeks long-term growth through a diversified
portfolio of stocks. The Portfolio generally invests in the stocks of emerging
or established small- to medium-sized companies with above-average potential for
price appreciation. It is intended for those investors who are willing to assume
more risk for potentially higher returns in an aggressive environment.
PERFORMANCE
- --------------------------------------------------------------------------------
as of 6/30/98
SINCE
INCEPTION 5 YEARS 1 YEAR
Average Annual Total Return* 10.92% -- 10.92%
* Average Annual Total Return is calculated including reinvestment of all
income dividends and capital gain distributions.
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 Cova. If
this performance included the effect of the insurance charge, performance
numbers would be lower.
- --------------------------------------------------------------------------------
<PAGE> 37
PORTFOLIO REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
as of 6/30/98
While small cap stocks did not quite keep pace with the S&P 500's strong
first quarter gain of 14%, they recorded solid double-digit gains as measured by
the Russell 2000. Unfortunately, the second quarter was quite another matter, as
the Russell 2000 showed a 5% decline vs. a 3% gain for the S&P 500. Small cap
stocks began the quarter in good shape through April, but in the six-week period
from May 1 to June 15, the Russell 2000 declined 10%.
Weaker sectors during this period included technology and energy. The extreme
volatility within the small cap sector was most pronounced in the
technology-related industries due to excess inventories as well as sharp
cutbacks in capital spending and weakness in Asia. We use these periods of
weakness to add positions to the portfolio, looking for well-positioned
companies longer term.
Looking forward, we expect the growth in corporate profits to slow. Key
factors include the circumstances in Asia, the strong dollar and reduced
benefits from unemployment reductions and restructurings. In this environment,
smaller companies would seem to offer the best chance of showing above-average
earnings growth. As a result, we believe that the performance of small cap
stocks will rebound and perhaps take a leadership position in the market.
SECTOR ALLOCATION
- --------------------------------------------------------------------------------
as of 6/30/98
Consumer Growth 25.8%
Technology 24.8%
Interest Sensitive 16.8%
Industrial Cyclical 12.7%
Energy 6.1%
Consumer Cyclical 5.3%
Consumer Staples 5.1%
Capital Goods 3.4%
For more complete information about the risk factors, expenses, policies and
objectives, please see the prospectus. This material is authorized for
distribution to prospective investors only when preceded or accompanied by a
prospectus. Please read the prospectus carefully before investing or sending
money.
Investments in this product are subject to market risk and loss of principal.
The investment return and principal value of an investment in this product will
fluctuate, so that units, when redeemed, may be worth more or less than their
original cost. The information presented is based on past performance, which is
not assurance of future results.
<PAGE> 38
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 93.3%
AEROSPACE & DEFENSE - 0.5%
Orbital Sciences Corp. * ......................... 11,400 $ 426,075
----------
AIRLINES - 0.3%
ASA Holdings, Inc. ............................... 4,900 243,163
----------
AUTOMOTIVE - 3.4%
Intermet Corp. ................................... 62,100 1,125,563
Lithia Motors, Inc. Class A * .................... 15,000 221,250
Modine Manufacturing Co. ......................... 10,800 373,950
Sonic Automotive, Inc. * ......................... 10,400 170,950
Wabash National Corp. ............................ 28,000 721,000
----------
2,612,713
----------
BANKING - 7.3%
Bank North Group, Inc. ........................... 18,200 673,400
Bank of Commerce ................................. 8,800 165,000
Bank United Corp. ................................ 16,900 809,088
Colonial Bancgroup, Inc. ......................... 17,300 557,925
Commercial Federal Corp. ......................... 8,450 267,231
Community First Bankshares, Inc. ................. 13,300 348,294
First International Bancorp, Inc. ................ 4,100 58,938
Flagstar Bancorp, Inc. ........................... 13,200 321,750
GBC Bancorp ...................................... 7,400 196,100
Hamilton Bancorp, Inc. * ......................... 3,500 126,109
Imperial Bancorp * ............................... 2,800 84,000
Interwest Bancorp, Inc. .......................... 5,500 238,563
Investors Financial Services Corp. ............... 2,200 116,600
Irwin Financial Corp. ............................ 6,200 180,188
National Commerce Bancorp ........................ 16,400 686,750
Prime Bancshares, Inc. ........................... 6,100 154,788
Republic Banking Corp. of Florida ................ 7,900 126,400
Southwest Bancorporation of Texas, Inc. .......... 9,600 180,600
Sterling Bancshares, Inc. ........................ 5,050 79,538
Summit Bancshares, Inc. .......................... 2,800 58,450
Sun Bancorp, Inc. * .............................. 1,522 40,333
Trustco Bank Corp. N.Y ........................... 10,825 284,156
----------
5,754,201
----------
BEVERAGES, FOOD & TOBACCO - 2.3%
American Italian Pasta Co. Class A * ............. 5,200 193,700
Beringer Wine Estates Holdings, Inc. * ........... 4,700 207,094
Dekalb Genetics Corp. Class B .................... 12,200 1,154,425
Kensey Nash Corp. * .............................. 25,700 244,150
----------
1,799,369
----------
</TABLE>
See notes to financial statements
<PAGE> 39
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
BUILDING MATERIALS - 0.1%
Rock of Ages Corp. * ............................. 4,200 $ 65,100
----------
CHEMICALS - 2.8%
Albemarle Corp. .................................. 28,400 626,575
Bush Boake Allen, Inc. * ......................... 12,400 363,475
General Chemical Group, Inc. ..................... 4,800 133,200
Geon Co. (The) ................................... 11,000 252,313
Minerals Technologies, Inc. ...................... 6,200 315,425
OM Group, Inc. ................................... 2,100 86,625
Tetra Technologies, Inc. * ....................... 22,200 366,300
Wellman, Inc. .................................... 3,000 68,063
----------
2,211,976
----------
COMMERCIAL SERVICES - 2.5%
Boron, LePore & Associates, Inc. * ............... 2,500 95,000
Comfort Systems USA, Inc. * ...................... 7,900 184,663
Equity Corporation International * ............... 7,600 182,400
Hospitality Worldwide Services, Inc. * ........... 2,800 25,200
ITT Educational Services, Inc. * ................. 2,900 93,525
ONSALE, Inc. * ................................... 5,800 143,550
Pinkertons, Inc. ................................. 12,250 254,188
ProMedCo Management Co. * ........................ 13,900 142,475
Service Experts, Inc. * .......................... 12,500 431,250
Steiner Leisure Ltd. ............................. 7,225 218,556
Wackenhut Corrections Corp. * .................... 5,900 137,913
----------
1,908,720
----------
COMMUNICATIONS - 2.9%
ANTEC Corp. * .................................... 10,200 236,513
Davox Corp. * .................................... 10,500 229,688
Excel Switching Corp. * .......................... 13,100 325,863
Exodus Communications, Inc. * .................... 600 26,850
Glenayre Technologies, Inc. * .................... 23,400 251,550
ICG Communications, Inc. * ....................... 3,200 117,000
L-3 Communications Holdings, Inc. * .............. 1,400 45,763
MetroNet Communications Corp. Class B * .......... 10,000 282,500
Natural Microsystems Corp. * ..................... 9,200 147,200
Omnipoint Corp. * ................................ 13,700 314,244
Premiere Technologies, Inc. * .................... 12,000 99,562
Proxim, Inc. * ................................... 12,900 214,463
----------
2,291,196
----------
COMPUTER SOFTWARE & PROCESSING - 6.1%
Aspect Development, Inc. * ....................... 4,300 325,188
Avid Technology, Inc. * .......................... 6,400 214,400
Computer Horizons Corp. .......................... 2,300 85,244
</TABLE>
See notes to financial statements
<PAGE> 40
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE & PROCESSING - CONTINUED
Condor Technology Solutions, Inc. * .............. 19,200 $ 283,200
CSG Systems International, Inc. * ................ 5,700 267,188
Edify Corp. * .................................... 25,500 258,188
Informix Corp. * ................................. 20,300 160,496
Intergrated Systems, Inc. * ...................... 8,600 132,225
International Network Services * ................. 11,200 459,200
Macromedia, Inc. * ............................... 18,300 341,981
MAPICS, Inc. * ................................... 18,200 358,313
Metro Informaton Services, Inc. * ................ 9,100 356,038
Omtool Ltd. * .................................... 5,400 41,175
Pinnacle Systems, Inc. * ......................... 10,000 323,750
Radiant Systems, Inc. * .......................... 13,200 191,400
Remedy Corp. * ................................... 11,300 192,100
Sapient Corp. .................................... 6,600 348,150
Transaction Systems Architects, Inc. Class A * ... 9,800 377,300
Verio, Inc. * .................................... 1,600 39,800
----------
4,755,336
----------
COMPUTERS & INFORMATION - 0.7%
CNet, Inc. * ..................................... 4,500 307,125
HMT Technology Corp. * ........................... 29,900 250,413
----------
557,538
----------
CONSUMER SERVICES - 0.2%
Education Management Corp. * ..................... 5,900 193,963
----------
CONTAINERS & PACKAGING - 0.2%
Ivex Packaging Corp. * ........................... 5,900 137,175
----------
ELECTRIC UTILITIES - 1.9%
Central Hudson Gas & Electric .................... 20,100 922,088
Cleco Corp. ...................................... 19,500 580,125
----------
1,502,213
----------
ELECTRICAL EQUIPMENT - 1.7%
Advanced Lighting Technolgies, Inc. * ............ 2,000 46,500
Applied Power Inc. Class A ....................... 11,400 391,875
ARM Holdings Plc (ADR) * ......................... 800 49,000
BOLDER Technologies Corp. * ...................... 9,200 115,000
MagneTek, Inc. * ................................. 40,600 639,450
MicroStratetgy, Inc. * ........................... 700 19,775
Veeco Intruments, Inc. * ......................... 2,500 62,188
----------
1,323,788
----------
ELECTRONICS - 2.7%
8X8, Inc. * ...................................... 12,600 61,425
American Xtal Technology, Inc. * ................. 3,600 51,750
</TABLE>
See notes to financial statements
<PAGE> 41
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - CONTINUED
Anixter International, Inc. * .................... 18,600 $ 354,563
ATMI, Inc. * ..................................... 12,300 184,500
Exar Corp. * ..................................... 6,300 132,300
Genesis Microchip, Inc. * ........................ 700 5,556
Hutchinson Technology, Inc. * .................... 5,400 147,150
Inktomi Corp. * .................................. 500 19,875
Input/Output, Inc. * ............................. 15,400 274,313
Integrated Device Technology, Inc. * ............. 29,800 213,255
Integrated Silicon Solution, Inc. * .............. 14,400 100,800
Quickturn Design Systems, Inc. * ................. 18,700 136,744
SDL Inc. * ....................................... 11,900 284,113
Sipex Corp. ...................................... 6,800 146,200
----------
2,112,544
----------
ENTERTAINMENT & LEISURE - 0.5%
Cinar Films, Inc. Class B * ...................... 4,600 89,700
Imax Corp. * ..................................... 11,900 271,469
----------
361,169
----------
ENVIRONMENTAL CONTROLS - 0.5%
American Disposal Services, Inc. * ............... 7,700 360,938
Sevenson Environmental Services, Inc. ............ 5,780 48,408
----------
409,346
----------
FINANCIAL SERVICES - 1.7%
First Federal Financial Corp. * .................. 11,100 577,200
Hanover Capital Mortgage Holdings, Inc. .......... 3,700 39,313
Litchfield Financial Corp. ....................... 19,430 408,030
Ocwen Financial Corp. ............................ 5,300 142,438
Waddell & Reed Financial, Inc. ................... 5,100 122,081
----------
1,289,062
----------
FOREST PRODUCTS & PAPER - 1.8%
American Pad & Paper Co. * ....................... 58,400 262,800
Caraustar Industries, Inc. ....................... 21,100 609,263
Gaylord Container Corp. * ........................ 25,400 195,263
Universal Forest Products, Inc. .................. 18,900 309,488
----------
1,376,814
----------
HEALTH CARE PROVIDERS - 2.4%
Alternative Living Services, Inc. * .............. 8,360 225,720
Monarch Dental Corp. * ........................... 6,900 107,813
Pediatrix Medical Group, Inc. * .................. 6,100 226,844
Renal Care Group, Inc. * ......................... 6,800 299,625
Sierra Health Services, Inc. * ................... 33,000 831,188
Sunrise Assisted Living, Inc. * .................. 4,100 140,938
----------
1,832,128
----------
</TABLE>
See notes to financial statements
<PAGE> 42
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -------------------------------------------------------------------------------------
<S> <C> <C>
HEAVY MACHINERY - 1.0%
IDEXX Corp. ........................................... 17,750 $ 612,375
Sauer, Inc. ........................................... 10,900 153,281
----------
765,656
----------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 4.0%
Aaron Rents Inc. Class B .............................. 21,800 436,000
Bush Industries Class A ............................... 33,900 737,325
D.R. Horton, Inc. ..................................... 80,300 1,676,263
Stanley Furniture Co., Inc. ........................... 8,800 223,300
----------
3,072,888
----------
INDUSTRIAL - DIVERSIFIED - 0.6%
ABC Rail Products Corp. * ............................. 6,300 108,675
Shaw Group, Inc. * .................................... 13,700 356,200
----------
464,875
----------
INSURANCE - 4.9%
Annuity and Life Re (Holdings), Ltd. * ................ 16,800 371,700
Capital Re Corp. ...................................... 30,000 2,148,714
Renaissance Re (Holdings), Ltd. ....................... 28,500 1,319,906
----------
3,840,320
----------
LODGING - 0.3%
Candlewood Hotel Co., Inc. * .......................... 15,500 116,250
Extended Stay America, Inc. * ......................... 9,500 106,875
----------
223,125
----------
MEDIA - BROADCASTING & PUBLISHING - 1.2%
Banta Corp. ........................................... 16,500 509,438
Ditgital Generation Systems * ......................... 2,300 8,050
Emmis Broadcasting Corp. * ............................ 4,400 210,375
Journal Register, Co. * ............................... 3,200 53,600
Ziff-Davis, Inc. * .................................... 11,500 159,563
----------
941,026
----------
MEDICAL SUPPLIES - 4.0%
Aspen Technologies, Inc. .............................. 9,600 484,800
CONMED Corp. * ........................................ 6,000 138,000
Endocardial Solutions, Inc. * ......................... 6,800 71,400
Focal, Inc. * ......................................... 8,000 80,000
Lifeline Systems, Inc. * .............................. 12,500 231,250
Mariner Health Group, Inc. * .......................... 30,900 513,713
Novoste Corp. * ....................................... 7,300 161,056
Physio-Control International Corp. * .................. 6,200 163,138
ResMed, Inc. * ........................................ 4,200 191,363
Sangstat Medical Corp. * .............................. 17,700 555,338
Sola International, Inc. * ............................ 12,200 398,788
</TABLE>
See notes to financial statements
<PAGE> 43
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
MEDICAL SUPPLIES - CONTINUED
Symphonix Devices, Inc. * ........................ 3,700 $ 42,550
Vital Signs, Inc. ................................ 3,500 63,875
----------
3,095,271
----------
MEDICAL & BIO-TECHNOLOGY - 0.3%
Affymetrix, Inc. * ............................... 2,800 67,375
Arqule, Inc. * ................................... 4,600 59,513
Aurora Biosciences Corp. * ....................... 7,300 42,888
Genome Therapeutics Corp. * ...................... 11,600 52,200
----------
221,976
----------
METALS - 4.3%
Amcast Industrial Corp. .......................... 9,500 176,938
Commercial Metals Co. ............................ 33,000 1,014,750
Mueller Industries ............................... 40,200 1,492,425
Schnitzer Steel Industries, Inc. Class A ......... 15,800 373,275
Steel Technologies, Inc. ......................... 25,600 262,400
----------
3,319,788
----------
MISCELLANEOUS - 0.3%
HA-LO Industries, Inc. * ......................... 6,500 202,313
----------
OFFICE EQUIPMENT - 0.1%
P-Com, Inc. ...................................... 11,500 105,296
----------
OIL & GAS - 5.3%
Atmos Energy Corp. ............................... 19,300 588,650
Devon Energy Corp. ............................... 9,200 321,425
Dril-Quip, Inc. * ................................ 6,900 181,125
Indiana Energy, Inc. ............................. 7,700 230,038
National-Oilwell, Inc. ........................... 12,300 329,794
Newfield Exploration Co. * ....................... 13,300 330,838
Patterson Energy, Inc. ........................... 33,700 329,626
Plains Resource, Inc. * .......................... 9,000 161,438
Public Service Co. of North Carolina ............. 3,900 84,825
Snyder Oil Corp. ................................. 6,300 125,606
St. Mary Land & Exploration Co. .................. 7,300 176,113
Tesoro Petroleum Corp. * ......................... 9,200 146,050
Vintage Petroleum, Inc. .......................... 13,000 245,375
Wicor, Inc. ...................................... 36,500 844,063
----------
4,094,966
----------
PHARMACEUTICALS - 4.8%
Applied Analytical Industries, Inc. * ............ 19,300 277,438
First Alliance Corp. ............................. 2,900 20,300
Hubco, Inc. ...................................... 12,140 434,764
Human Genome Sciences, Inc. * .................... 16,400 585,275
</TABLE>
See notes to financial statements
<PAGE> 44
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - CONTINUED
IDEC Pharmaceuticals Corp. * ..................... 8,100 $ 190,856
Incyte Pharmaceuticals, Inc. ..................... 10,400 354,900
Kos Pharmaceuticals, Inc. * ...................... 16,200 164,025
Ligand Pharmaceuticals Class B * ................. 24,000 309,000
Millennium Pharmaceuticals, Inc. * ............... 7,000 98,875
U.S. Bioscience, Inc. * .......................... 8,100 66,319
Ventana Medical Systems, Inc. * .................. 43,600 1,220,800
----------
3,722,552
----------
REAL ESTATE - 7.7%
American General Hospitality Corp. (REIT) ........ 18,300 388,875
Amresco, Inc. * .................................. 6,200 180,575
Arden Realty Group, Inc. (REIT) .................. 26,100 675,338
Brandywine Realty Trust (REIT) ................... 6,900 154,388
Burnham Pacific Properties, Inc. (REIT) .......... 21,200 300,775
Camden Property Trust (REIT) ..................... 10,991 326,982
CBL & Associates Properties, Inc. (REIT) ......... 11,200 271,600
Correctional Properties Trust (REIT) * ........... 2,500 50,625
Cousins Properties, Inc. (REIT) .................. 13,200 394,350
Developers Diversified Realty Corp. (REIT) ....... 3,700 144,994
ElderTrust (REIT) ................................ 6,500 111,719
Entertainment Properties Trust (REIT) ............ 5,900 107,675
IMH Commercial Holdings, Inc. (REIT) ............. 4,100 58,938
LaSalle Hotel Properties (REIT) * ................ 7,500 127,031
Manufactured Home Communities, Inc. (REIT) ....... 11,600 279,850
Merry Land & Investment Co., Inc. (REIT) ......... 10,300 216,944
Mills Corp. (REIT) ............................... 8,400 201,600
National Golf Properties, Inc. (REIT) ............ 8,300 249,519
Post Properties, Inc. (REIT) ..................... 18,367 707,130
Summit Properties, Inc. (REIT) * ................. 100 1,894
Sunstone Hotel Investors, Inc. (REIT) ............ 13,100 174,394
Tower Realty Trust, Inc. (REIT) .................. 7,400 165,575
Urban Shopping Centers, Inc. (REIT) .............. 5,900 185,850
Weeks Corp. (REIT) ............................... 16,300 515,488
----------
5,992,109
----------
RESTAURANTS - 1.0%
Applebee's International, Inc. ................... 3,400 76,075
Friendly Ice Cream Corp. * ....................... 6,800 114,750
Papa John's International, Inc. * ................ 9,400 370,713
Showbiz Pizza Time, Inc. * ....................... 5,800 233,813
----------
795,351
----------
RETAILERS - 4.8%
Central Garden & Pet Co. * ....................... 12,400 385,950
Delia's, Inc. * .................................. 6,700 104,688
</TABLE>
See notes to financial statements
<PAGE> 45
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
RETAILERS - CONTINUED
Fingerhut Co., Inc. .............................. 2,200 $ 72,600
Garden Ridge Corp. * ............................. 39,600 767,250
Guitar Center, Inc. * ............................ 7,900 237,988
Let's Talk Cellular & Wireless, Inc. * ........... 3,300 42,488
O'Reilly Automotive, Inc. * ...................... 200 7,200
Pacific Sunwear of California, Inc. .............. 4,875 170,625
Party City Corp. ................................. 14,950 439,156
ShopKo Stores, Inc. * ............................ 11,500 391,000
Sunglass Hut International, Inc. * ............... 19,700 217,931
Urban Outfitters, Inc. * ......................... 48,200 879,650
----------
3,716,526
----------
TELEPHONE SYSTEMS - 1.9%
Concentric Network Corp. * ....................... 18,500 560,781
Intermedia Communications, Inc. * ................ 8,200 343,888
ITC DeltaCom, Inc. * ............................. 1,400 59,828
NEXTLINK Communications, Inc. * .................. 2,100 79,538
SkyTel Communications, Inc. * .................... 16,900 395,565
----------
1,439,600
----------
TEXTILES, CLOTHING & FABRICS - 1.0%
Ashworth, Inc. * ................................. 31,200 432,900
Collins & Aikman Corp. * ......................... 9,000 66,938
Genesco, Inc. * .................................. 18,000 293,625
----------
793,463
----------
TRANSPORTATION - 2.5%
Allied Holdings, Inc. * .......................... 14,500 305,406
American Freightways Corp. * ..................... 20,700 207,000
Genesee & Wyoming Inc. Class A * ................. 9,400 178,600
Jevic Transportation, Inc. * ..................... 2,300 26,163
Pegasus Systems, Inc. * .......................... 8,000 205,000
Werner Enterprises, Inc. ......................... 29,775 567,586
Willis Lease Finance Corp. * ..................... 18,200 416,325
----------
1,906,080
----------
</TABLE>
See notes to financial statements
<PAGE> 46
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
WATER COMPANIES - 0.8%
E-Town Corp. ..................................... 10,400 $ 90,000
Southern California Water Co. .................... 8,300 225,138
-----------
615,138
-----------
TOTAL INVESTMENTS - 93.3%
(Cost $66,652,301) 72,491,908
Other Assets and Liabilities (net) - 6.7% 5,233,998
-----------
TOTAL NET ASSETS - 100.0% $77,725,906
===========
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay
dividends in the last 12 month period.
REIT - Real Estate Investment Trust
ADR - American Depositary Receipt
See notes to financial statements
<PAGE> 47
COVA SERIES TRUST
QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS -
JUNE 30, 1998 (UNAUDITED)
(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 - 85.6%
ASSET BACKED - 5.3%
$400,000 Chase Credit Card Master Trust .............. 6.300% 04/15/03 $ 404,770
100,000 First Omni Credit Card Master Trust ......... 6.650% 09/15/03 102,387
189,000 Ford Credit Auto Loan Master Trust .......... 6.500% 08/15/02 191,702
295,320 Nomura Asset Securities Corp. ............... 6.280% 03/17/28 298,422
149,991 Premier Auto Trust .......................... 6.150% 03/06/00 150,389
200,000 Premier Auto Trust .......................... 6.050% 04/06/00 200,489
100,000 Sears Credit Account Master Trust ........... 6.500% 10/15/03 100,640
42,270 World Omni Automobile Securitization Trust .. 6.300% 06/25/02 42,317
54,457 World Omni Lease Trust ...................... 5.950% 11/15/02 54,492
----------
1,545,608
----------
CORPORATE BONDS - 21.6%
735,000 Aerial Communications, Inc. (144A)@ ......... + 02/01/08 351,466
50,000 American Standard Co., Inc. ................. 7.375% 04/15/05 49,890
200,000 Amsouth Bank of Alabama (b) ................. 6.450% 02/01/18 206,531
60,000 Banc One Corp. .............................. 7.625% 10/15/26 67,305
50,000 Calpine Corp. (144A)@ ....................... 7.875% 04/01/08 50,125
200,000 Canadian Imperial Bank ...................... 6.200% 08/01/00 201,683
125,000 Clear Channel Communications, Inc. .......... 7.250% 10/15/27 129,180
100,000 Columbia Gas System, Inc. ................... 7.620% 11/28/25 108,599
250,000 Columbus Southern Power ..................... 6.850% 10/03/05 259,618
100,000 Eastman Chemical Co. ........................ 7.250% 01/15/24 104,203
300,000 EOP Operating L.P. (144A)@ .................. 6.376% 02/15/12 301,467
225,000 Fleet Capital Ltd. .......................... 7.920% 12/11/26 243,891
500,000 Ford Motor Credit Co. (b) ................... 6.625% 06/30/03 511,342
50,000 Fred Meyer, Inc. ............................ 7.450% 03/01/08 50,191
300,000 General Motors Acceptance Corp. ............. 6.869% 08/15/07 313,793
60,000 Glenborough Realty Trust, Inc. (REIT) (144A)@ 7.625% 03/15/05 60,528
200,000 Household Finance Corp. ..................... 6.125% 02/27/03 198,250
225,000 Ingersoll-Rand Co. .......................... 6.391% 11/15/27 234,026
125,000 Kincaid Generation LLC (144A)@ .............. 7.330% 06/15/20 130,947
225,000 Laidlaw, Inc. ............................... 6.500% 05/01/05 228,932
200,000 LASMO (USA), Inc. ........................... 7.500% 06/30/06 213,583
75,000 Lenfest Communications, Inc. (144A)@ ........ 7.625% 02/15/08 76,594
300,000 National Fuel Gas Co. (b) ................... 6.214% 08/12/27 311,636
10,000 NationsBank Corp. ........................... 7.250% 10/15/25 10,767
30,000 News America Holdings, Inc. ................. 7.700% 10/30/25 32,260
100,000 NGC Corp. ................................... 7.625% 10/15/26 112,039
242,824 Oil Purchase Co. (144A)@ .................... 7.100% 10/31/02 244,082
200,000 PacifiCorp .................................. 6.750% 07/15/04 204,874
50,000 Rural/Metro Corp. (144A)@ ................... 7.875% 03/15/08 48,125
30,000 Smithfield Foods, Inc. (144A)@ .............. 7.625% 02/15/08 30,450
60,000 Stena AB .................................... 8.750% 06/15/07 60,300
70,000 Tele-Communications TCI Group ............... 7.875% 02/15/26 78,845
30,000 Tenet Healthcare Corp. ...................... 8.000% 01/15/05 31,050
60,000 Tricon Global Restaurants, Inc. ............. 7.450% 05/15/05 60,627
300,000 Union Pacific Corp. ......................... 6.625% 02/01/08 302,598
100,000 U.S. Cellular Corp. ......................... 7.250% 08/15/07 103,338
65,000 Weeks Realty L.P. ........................... 6.875% 03/15/05 65,258
200,000 Western Resources, Inc. ..................... 6.875% 08/01/04 205,470
200,000 Williams Companies, Inc. .................... 6.125% 02/01/01 200,049
100,000 Worldcom, Inc. .............................. 7.750% 04/01/27 112,675
----------
6,306,587
----------
CORPORATE MORTGAGE BACKED SECURITIES - 11.5%
345,630 Deutsche Mortgage and Asset Receiving Corp. . 6.220% 09/15/07 347,726
200,000 Green Tree Financial Corp. .................. 6.270% 09/15/12 201,611
415,241 LB Commercial Conduit Mortgage Trust ........ 6.330% 11/18/04 419,616
345,094 Merrill Lynch Mortgage Investors, Inc. ...... 6.220% 02/15/30 347,384
235,000 Money Store Home Equity Trust (The) ......... 6.485% 12/15/38 239,029
</TABLE>
See notes to financial statements
<PAGE> 48
COVA SERIES TRUST
QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE MORTGAGE BACKED SECURITIES - CONTINUED
$324,680 Morgan Stanley Capital, Inc. ................................ 6.190% 01/15/07 $ 326,247
420,441 Morgan Stanley Capital, Inc. ................................ 6.250% 07/15/07 425,468
127,613 Morgan Stanley Capital, Inc. ................................ 6.590% 10/03/30 130,709
125,368 Mortgage Capital Funding, Inc. .............................. 6.525% 01/20/07 127,664
396,052 Mortgage Capital Funding, Inc. .............................. 6.417% 06/18/07 401,706
393,093 Ocwen Residential MBS Corp. (144A)@ ......................... 4.000% 10/25/40 388,671
-----------
3,355,831
-----------
MEDIUM TERM SECURITIES - 3.2%
200,000 Ford Motor Credit Co. ....................................... 7.470% 07/29/99 202,967
200,000 General Motors Acceptance Corp. ............................. 6.700% 06/24/99 201,200
500,000 General Motors Acceptance Corp. (b) ......................... 6.750% 11/04/04 515,256
-----------
919,423
-----------
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 24.9%
325,000 Federal Home Loan Mortgage Corp. ............................ 6.500% 07/15/16 327,312
150,000 Federal Home Loan Mortgage Corp. ............................ 6.500% 09/15/23 152,324
61,943 Federal Home Loan Mortgage Corp. ............................ 8.500% 08/01/26 64,769
150,000 Federal National Mortgage Association ....................... 6.500% 11/25/07 152,922
386,943 Federal National Mortgage Association ....................... 7.000% 05/01/11 394,319
628,972 Federal National Mortgage Association ....................... 7.000% 05/01/12 640,961
139,853 Federal National Mortgage Association ....................... 7.000% 05/01/12 142,519
32,016 Federal National Mortgage Association ....................... 7.000% 09/01/12 32,626
55,729 Federal National Mortgage Association ....................... 7.500% 09/01/25 57,227
181,402 Federal National Mortgage Association ....................... 6.500% 02/01/26 180,834
497,698 Federal National Mortgage Association (b) ................... 6.500% 01/01/27 497,210
103,132 Federal National Mortgage Association ....................... 7.500% 06/01/27 105,903
68,968 Federal National Mortgage Association ....................... 7.500% 08/01/27 70,821
83,574 Federal National Mortgage Association ....................... 8.000% 09/01/27 86,551
517,185 Federal National Mortgage Association ....................... 7.500% 11/01/27 531,080
363,974 Federal National Mortgage Association ....................... 8.000% 12/01/27 376,940
1,000,000 Federal National Mortgage Association (a) ................... 7.000% 07/14/28 1,013,750
219,099 Government National Mortgage Association .................... 7.000% 04/15/24 222,797
93,463 Government National Mortgage Association .................... 7.000% 12/15/25 95,041
799,517 Government National Mortgage Association .................... 7.000% 12/15/25 813,012
186,568 Government National Mortgage Association .................... 7.000% 04/15/26 189,717
86,930 Government National Mortgage Association .................... 7.500% 08/15/26 89,402
92,871 Government National Mortgage Association .................... 7.500% 02/15/27 95,512
891,000 Government National Mortgage Association .................... 7.500% 06/15/28 916,339
-----------
7,249,888
-----------
U.S. TREASURY SECURITIES - 19.1%
660,000 U.S. Treasury Bond .......................................... 7.875% 11/15/04 741,468
2,623,000 U.S. Treasury Bond (b) ...................................... 6.750% 08/15/26 3,004,149
120,000 U.S. Treasury Note .......................................... 6.000% 06/30/99 120,600
190,000 U.S. Treasury Note .......................................... 6.250% 02/28/02 194,394
925,000 U.S. Treasury Note (a) ...................................... 5.750% 08/15/03 935,117
90,000 U.S. Treasury Note .......................................... 6.875% 05/15/06 97,509
470,000 U.S. Treasury Note .......................................... 5.500% 02/15/08 470,000
-----------
5,563,237
-----------
Total Domestic Bonds and Debt Securities (Cost $24,598,894) 24,940,574
-----------
FOREIGN BONDS AND DEBT SECURITIES - 12.0%
ARGENTINA - 0.2%
$52,272 Argentina (Republic of) (Global) ............................ 6.625% 03/31/05 46,253
-----------
CANADA - 2.8%
$150,000 Express Pipeline L.P. (144A)@ 6.470% 12/31/11 150,741
$80,000 Gulf Canada Resources, Ltd. (Yankee) 8.250% 03/15/17 90,082
$100,000 Hydro-Quebec (Yankee) 9.500% 11/15/30 137,879
</TABLE>
See notes to financial statements
<PAGE> 49
COVA SERIES TRUST
QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CANADA - CONTINUED
$200,000 Laidlaw, Inc. (Yankee) ..................... 6.720% 10/01/27 $ 209,928
$200,000 Quebec Province (Yankee) ................... 7.500% 07/15/23 222,846
-----------
811,476
-----------
CHILE - 0.9%
$250,000 Celulosa Arauco (Yankee) ................... 6.950% 09/15/05 252,071
-----------
COSTA RICA - 0.2%
$60,000 Costa Rica (Republic of) (144A)@ ........... 8.000% 05/01/03 60,600
-----------
FRANCE - 3.4%
F 6,150,000 French Treasury Bill ....................... 4.750% 03/12/02 1,032,105
-----------
GERMANY - 3.5%
DM 1,650,000 German Unity Fund .......................... 8.500% 02/20/01 1,011,970
-----------
MEXICO - 0.1%
$35,000 Mexican (Global Bond) ......................11.500% 05/15/26 39,813
-----------
SUPRA NATIONAL - 0.9%
$250,000 Corp Andina De Fomento (Yankee) ............ 6.750% 03/15/05 252,911
-----------
Total Foreign Bonds and Debt Securities (Cost $3,459,329) 3,507,199
-----------
TOTAL INVESTMENTS - 97.6%
(Cost $28,058,223) 28,447,773
Other Assets and Liabilities (net) - 2.4% 712,867
-----------
TOTAL NET ASSETS - 100.0% $29,160,640
===========
</TABLE>
PORTFOLIO FOOTNOTES:
(a) Security purchased on a delayed delivery or when-issued
basis. (See note 1 to financial statements)
(b) Assets segregated for purchase price of delayed
delivery or when-issued security.
@ 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
Yankee - U.S. Dollar denominated bonds issued by non-U.S.
companies in the U.S.
REIT - Real Estate Investment Trust
F - French Franc
DM - German Mark
See notes to financial statements
<PAGE> 50
COVA SERIES TRUST
SELECT EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- ---------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.3%
AEROSPACE & DEFENSE - 3.1%
AlliedSignal, Inc. ............................... 71,100 $ 3,155,063
Coltec Industries, Inc. * ........................ 82,100 1,631,738
-----------
4,786,801
-----------
AUTOMOTIVE - 1.3%
Goodyear Tire & Rubber Co. ....................... 30,800 1,984,675
-----------
BANKING - 6.4%
Associates First Capital Corp. ................... 20,000 1,537,500
Astoria Financial Corp. .......................... 12,900 690,150
Chase Manhattan Corp. ............................ 200 15,100
Citicorp ......................................... 7,000 1,044,750
First Union Corp. ................................ 55,895 3,255,938
KeyCorp .......................................... 5,900 210,188
Long Island Bancorp, Inc. ........................ 10,300 625,725
Norwest Corp. .................................... 48,200 1,801,475
Washington Mutual, Inc. .......................... 17,860 775,794
-----------
9,956,620
-----------
BEVERAGES, FOOD & TOBACCO - 7.6%
Anheuser-Busch Companies, Inc. ................... 80,600 3,803,313
Pepsico, Inc. .................................... 71,200 2,932,550
Philip Morris Companies, Inc. .................... 76,000 2,992,500
Ralston-Ralston Purina Group ..................... 12,100 1,413,431
Seagrams Co. Ltd. ................................ 17,600 720,500
Unilever N.V ..................................... 800 63,150
-----------
11,925,444
-----------
CHEMICALS - 5.7%
Du Pont (E.I.) De Nemours and Co. ................ 22,500 1,679,063
Monsanto Co. ..................................... 87,500 4,889,063
Rohm & Haas Co. .................................. 23,000 2,390,563
-----------
8,958,689
-----------
COMMERCIAL SERVICES - 3.7%
Service Corp. International ...................... 56,400 2,418,150
Waste Management, Inc. ........................... 96,300 3,370,500
-----------
5,788,650
-----------
COMMUNICATIONS - 1.2%
MCI Communications Corp. ......................... 30,800 1,790,250
Tele-Communications TCI Ventures Group ........... 4,504 90,362
-----------
1,880,612
-----------
COMPUTER SOFTWARE & PROCESSING - 4.9%
Autodesk, Inc. ................................... 12,500 482,813
Cisco Systems, Inc. .............................. 40,600 3,737,738
</TABLE>
See notes to financial statements
<PAGE> 51
COVA SERIES TRUST
SELECT EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- ---------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE & PROCESSING - CONTINUED
Computer Associates International, Inc. .......... 32,300 $1,794,669
First Data Corp. ................................. 33,700 1,122,631
Oracle Corp. ..................................... 24,800 609,150
----------
7,747,001
----------
COMPUTERS & INFORMATION - 5.6%
EMC Corp. ........................................ 67,400 3,020,363
International Business Machines Corp. ............ 16,200 1,859,963
Quantum Corp. .................................... 38,600 800,950
Sun Microsystems, Inc. * ......................... 71,700 3,114,469
----------
8,795,745
----------
ELECTRIC UTILITIES - 2.8%
New England Electric System ...................... 41,700 1,803,525
Northern States Power Co. ........................ 35,000 1,001,875
PP&L Resources, Inc. ............................. 28,700 651,131
Wisconsin Energy Corp. ........................... 31,700 962,888
----------
4,419,419
----------
ELECTRICAL EQUIPMENT - 1.4%
Cooper Industries, Inc. .......................... 40,500 2,224,969
----------
ELECTRONICS - 1.6%
Input/Output, Inc. * ............................. 65,300 1,163,156
Texas Instruments, Inc. .......................... 22,300 1,300,369
----------
2,463,525
----------
ENTERTAINMENT & LEISURE - 3.1%
International Game Technology .................... 82,500 2,000,625
Mattel, Inc. ..................................... 30,000 1,269,375
Mirage Resorts, Inc. * ........................... 73,700 1,570,731
----------
4,840,731
----------
FINANCIAL SERVICES - 2.7%
Federal National Mortgage Association ............ 70,900 4,307,175
----------
FOREST PRODUCTS & PAPER - 0.9%
Stone Container Corp. * .......................... 94,300 1,473,438
----------
HEALTH CARE PROVIDERS - 2.4%
Humana, Inc. * ................................... 120,500 3,758,094
----------
HOUSEHOLD PRODUCTS - 3.5%
Procter & Gamble Co. ............................. 60,300 5,491,057
----------
INSURANCE - 5.9%
Allstate Corp. ................................... 8,200 750,813
Marsh & McLennan Cos., Inc. ...................... 48,700 2,943,306
</TABLE>
See notes to financial statements
<PAGE> 52
COVA SERIES TRUST
SELECT EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- ---------------------------------------------------------------------------------
<S> <C> <C>
INSURANCE - CONTINUED
MBIA, Inc. ....................................... 31,000 $2,321,125
Travelers Group, Inc. ............................ 54,400 3,298,000
----------
9,313,244
----------
MEDIA - BROADCASTING & PUBLISHING - 1.7%
Comcast Corp. .................................... 64,500 2,618,294
----------
MEDICAL SUPPLIES - 1.0%
United States Surgical Corp. ..................... 33,300 1,519,313
----------
METALS - 0.0%
Allegheny Teledyne, Inc. ......................... 200 4,575
----------
OIL & GAS - 5.7%
Atlantic Richfield Co. ........................... 17,900 1,398,438
British Petroleum Co. Plc (ADR) .................. 20,646 1,822,010
Schlumberger Ltd. ................................ 8,800 601,150
Tosco Corp. ...................................... 129,500 3,804,063
Valero Energy Corp. .............................. 39,600 1,316,700
----------
8,942,361
----------
PHARMACEUTICALS - 7.8%
Alza Corp. * ..................................... 44,500 1,924,625
American Home Products Corp. ..................... 20,400 1,055,700
Bristol-Myers Squibb Co. ......................... 34,700 3,988,331
Eli Lilly & Co. .................................. 20,900 1,380,706
Pfizer, Inc. ..................................... 19,000 2,065,063
Warner Lambert Co. ............................... 25,400 1,762,125
----------
12,176,550
----------
REAL ESTATE - 3.1%
Simon Debartolo Group, Inc. (REIT) ............... 22,800 741,000
Starwood Hotels & Resorts Trust (REIT) ........... 86,016 4,155,648
----------
4,896,648
----------
RETAILERS - 5.3%
Circuit City Stores, Inc. ........................ 30,600 1,434,375
CompUSA, Inc. * .................................. 45,200 816,425
Federated Department Stores, Inc. * .............. 24,800 1,334,550
K-Mart Corp. * ................................... 138,200 2,660,350
Sears, Roebuck and Co. ........................... 20,900 1,276,206
TJX Companies, Inc. .............................. 31,100 750,288
----------
8,272,194
----------
TELEPHONE SYSTEMS - 6.7%
Cincinnati Bell, Inc. ............................ 7,800 223,275
Frontier Corp. ................................... 34,600 1,089,900
GTE Corp. ........................................ 43,800 2,436,375
</TABLE>
See notes to financial statements
<PAGE> 53
COVA SERIES TRUST
SELECT EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -------------------------------------------------------------------------------------
<S> <C> <C>
TELEPHONE SYSTEMS - CONTINUED
SBA Communications Corp. ......................... 114,500 $ 4,580,000
Worldcom, Inc. * ................................. 45,000 2,179,688
------------
10,509,238
------------
TEXTILES, CLOTHING & FABRICS - 0.6%
Collins & Aikman Corp. * ......................... 27,300 203,044
Fruit of the Loom, Inc. * ........................ 21,500 713,531
------------
916,575
------------
TRANSPORTATION - 2.6%
Union Pacific Corp. .............................. 91,100 4,019,788
------------
TOTAL INVESTMENTS - 98.3%
(Cost $148,911,647) 153,991,425
Other Assets and Liabilities (net) - 1.7% 2,733,901
------------
TOTAL NET ASSETS - 100.0% $156,725,326
============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay
dividends in the last 12 month period.
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
See notes to financial statements
<PAGE> 54
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 99.3%
AEROSPACE & DEFENSE - 2.7%
AlliedSignal, Inc. ...................................... 10,700 $ 474,813
Boeing Co. .............................................. 20,100 895,706
Coltec Industries, Inc.* ................................ 1,500 29,813
Raytheon Co. Class A .................................... 4,900 282,363
----------
1,682,695
----------
AIRLINES - 0.1%
FDX Corp.* .............................................. 1,200 75,300
----------
AUTOMOTIVE - 2.2%
Chrysler Corp. .......................................... 11,800 665,225
Cooper Tire & Rubber Co. ................................ 1,600 33,000
Eaton Corp. ............................................. 1,000 77,750
Echlin, Inc. ............................................ 3,800 186,438
Genuine Parts Co. ....................................... 2,900 100,231
Goodyear Tire & Rubber Co. .............................. 3,400 219,088
Lear Corp.* ............................................. 1,500 76,969
----------
1,358,701
----------
BANKING - 9.0%
Associated Banc-Corp .................................... 600 22,575
Associates First Capital Corp. .......................... 3,300 253,688
Banc One Corp. .......................................... 2,300 128,369
BankAmerica Corp. ....................................... 7,100 613,706
Bankers Trust New York Corp. ............................ 800 92,850
Beneficial Corp. ........................................ 500 76,594
Chase Manhattan Corp. ................................... 2,100 158,550
Citicorp ................................................ 5,800 865,650
City National Corp.* .................................... 400 14,775
Colonial Bancgroup, Inc. ................................ 300 9,675
Compass Bancshares, Inc. ................................ 500 22,563
Dime Bancorp, Inc. ...................................... 1,100 32,931
First American Corp. .................................... 700 33,688
First Chicago NBD Corp. ................................. 3,700 327,913
First Commercial Corp. .................................. 700 48,606
First Hawaiian, Inc. .................................... 100 3,638
First Tennessee National Corp. .......................... 1,600 50,500
First Union Corp. ....................................... 10,776 627,675
Firstar Corp. ........................................... 1,400 53,200
Golden West Financial Corp. ............................. 600 63,788
Greenpoint Financial Corp. .............................. 800 30,100
Huntington Bancshares, Inc. ............................. 1,700 56,950
H.F. Ahmanson & Co. ..................................... 1,800 127,800
KeyCorp ................................................. 4,400 156,750
</TABLE>
See notes to financial statements
<PAGE> 55
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
BANKING - CONTINUED
Long Island Bancorp, Inc. ............................... 700 $ 42,525
Marshall & Ilsley Corp. ................................. 900 45,956
MBNA Corp. .............................................. 3,400 112,200
Mercantile Bancorporation, Inc. ......................... 1,100 55,413
Mercantile Bankshares Corp. ............................. 1,000 34,813
M&T Bank Corp. .......................................... 100 55,400
National Commerce Bancorp ............................... 400 16,750
NationsBank Corp. ....................................... 7,101 543,227
Norwest Corp. ........................................... 2,400 89,700
Pacific Century Financial Corp. ......................... 700 16,800
Peoples Heritage Financial Group, Inc. .................. 600 14,175
Republic New York Corp. ................................. 600 37,763
Southtrust Corp. ........................................ 1,400 60,900
Sovereign Bancorp, Inc. ................................. 1,500 24,516
TCF Financial Corp. ..................................... 1,200 35,400
Union Planters Corp. .................................... 700 41,169
Valley National Bancorp ................................. 400 11,600
Washington Federal, Inc. ................................ 200 5,525
Washington Mutual, Inc. ................................. 2,700 117,281
Wells Fargo & Co. ....................................... 1,300 479,700
Westamerica Bancorp ..................................... 300 9,638
----------
5,722,985
----------
BEVERAGES, FOOD & TOBACCO - 7.3%
Anheuser-Busch Companies, Inc. .......................... 4,300 202,906
Bestfoods ............................................... 2,100 121,931
Campbell Soup Co. ....................................... 4,200 223,125
Coca-Cola Co. ........................................... 10,800 923,400
Corn Products International, Inc.* ...................... 200 6,775
General Mills Co. ....................................... 1,500 102,563
Heinz (H.J.), Co. ....................................... 3,400 190,825
Kellogg Co. ............................................. 3,300 123,956
Nabisco Holdings Corp. Class A .......................... 400 14,425
Pepsico, Inc. ........................................... 13,500 556,031
Philip Morris Companies, Inc. ........................... 24,000 945,000
Pioneer Hi-Bred International, Inc. ..................... 1,800 74,475
Ralston-Ralston Purina Group ............................ 1,000 116,813
Sara Lee Corp. .......................................... 4,300 240,531
Seagrams Co. Ltd. ....................................... 7,000 286,563
Unilever N.V ............................................ 5,900 465,731
----------
4,595,050
----------
BUILDING MATERIALS - 0.1%
Owens Corning ........................................... 1,100 44,894
----------
</TABLE>
See notes to financial statements
<PAGE> 56
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
CHEMICALS - 3.2%
Albemarle Corp. ......................................... 300 $ 6,619
Crompton & Knowles Corp. ................................ 700 17,631
Cytec Industries, Inc.* ................................. 400 17,700
Dow Chemical Co. ........................................ 2,300 222,381
Du Pont (E.I.) De Nemours and Co. ....................... 11,300 843,263
Georgia Gulf Corp. ...................................... 200 4,563
Lyondell Petro Chemical Co. ............................. 700 21,306
Monsanto Co. ............................................ 12,400 692,850
Rohm & Haas Co. ......................................... 600 62,363
Solutia, Inc. ........................................... 1,100 31,556
Union Carbide Corp. ..................................... 1,400 74,725
----------
1,994,957
----------
COMMERCIAL SERVICES - 1.1%
Equifax, Inc. ........................................... 3,000 108,938
Service Corp. International ............................. 5,200 222,950
Waste Management, Inc. .................................. 10,300 360,500
----------
692,388
----------
COMMUNICATIONS - 2.0%
3 Com Corp.* ............................................ 3,600 110,475
Cox Communications Class A* ............................. 800 38,750
Lucent Technologies, Inc. ............................... 6,700 557,356
MCI Communications Corp. ................................ 6,400 372,000
Tele-Communications TCI Ventures Group .................. 7,900 158,494
----------
1,237,075
----------
COMPUTER SOFTWARE & PROCESSING - 5.6%
Autodesk, Inc. .......................................... 500 19,313
Cabletron Systems, Inc.* ................................ 2,000 26,875
Cisco Systems, Inc. ..................................... 12,500 1,150,781
Computer Associates International, Inc. ................. 9,400 522,288
First Data Corp. ........................................ 5,400 179,888
Microsoft Corp. ......................................... 10,900 1,181,288
Networks Associates, Inc. ............................... 1,400 67,025
Oracle Corp. ............................................ 11,800 289,838
Parametric Technology Co. ............................... 3,300 89,513
Symantec Corp.* ......................................... 500 13,063
----------
3,539,872
----------
COMPUTERS & INFORMATION - 3.5%
Compaq Computer Corp. ................................... 15,400 436,975
EMC Corp. ............................................... 6,000 268,875
International Business Machines Corp. ................... 10,900 1,251,456
Quantum Corp. ........................................... 1,600 33,200
Sun Microsystems, Inc.* ................................. 4,600 199,813
----------
2,190,319
----------
</TABLE>
See notes to financial statements
<PAGE> 57
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
CONGLOMERATES - 0.7%
American Express Credit Corp. ........................... 4,000 $ 456,000
----------
COSMETICS & PERSONAL CARE - 0.9%
Gillette Co. ............................................ 10,400 589,550
----------
ELECTRIC UTILITIES - 2.2%
Allegheny Energy, Inc. .................................. 1,600 48,200
Ameren Corp. ............................................ 1,200 47,700
Baltimore Gas and Electric Co. .......................... 2,000 62,125
Central & South West Corp. .............................. 7,500 201,563
Cinergy Corp. ........................................... 2,100 73,500
CMS Energy Corp. ........................................ 1,400 61,600
Dominion Resources, Inc. ................................ 2,700 110,025
Duke Energy Corp. ....................................... 800 47,400
Entergy Corp. ........................................... 3,300 94,875
GPU, Inc. ............................................... 1,700 64,281
Illinova Corp. .......................................... 300 9,000
New England Electric System ............................. 900 38,925
Northeast Utilities* .................................... 1,800 30,488
Northern States Power Co. ............................... 2,000 57,250
Peco Energy Co. ......................................... 3,000 87,563
Potomac Electric Power Co. .............................. 1,000 25,063
PP&L Resources, Inc. .................................... 2,200 49,913
Southern Co. ............................................ 400 11,075
TECO Energy, Inc. ....................................... 1,100 29,494
Texas Utilities Co. ..................................... 3,300 137,363
Western Resources, Inc. ................................. 900 34,931
Wisconsin Energy Corp. .................................. 1,500 45,563
----------
1,367,897
----------
ELECTRICAL EQUIPMENT - 3.0%
Applied Materials, Inc. ................................. 4,300 126,850
Cooper Industries, Inc. ................................. 1,600 87,900
Emerson Electric Co. .................................... 3,700 223,388
General Electric Co. .................................... 15,400 1,401,400
Grainger (W.W.), Inc. ................................... 1,400 69,738
----------
1,909,276
----------
ELECTRONICS - 3.6%
Advanced Micro Devices, Inc.* ........................... 1,500 25,594
Anixter International, Inc.* ............................ 300 5,719
Input/Output, Inc.* ..................................... 200 3,563
Intel Corp. ............................................. 19,000 1,408,375
Motorola, Inc. .......................................... 6,300 331,144
National Semiconductor Corp.* ........................... 1,500 19,781
</TABLE>
See notes to financial statements
<PAGE> 58
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - CONTINUED
Perkin-Elmer Corp. ...................................... 800 $ 49,750
Rockwell International Corp. ............................ 2,100 100,931
Sensormatic Electronics Corp. ........................... 400 5,600
Tektronix, Inc. ......................................... 600 21,225
Texas Instruments, Inc. ................................. 4,700 274,069
Xilinx, Inc.* ........................................... 900 30,600
----------
2,276,351
----------
ENTERTAINMENT & LEISURE - 1.1%
Circus Circus Enterprises, Inc.* ........................ 1,800 30,488
Hasbro, Inc. ............................................ 4,000 157,250
International Game Technology ........................... 2,200 53,350
Mattel, Inc. ............................................ 7,600 321,575
MGM Grand, Inc.* ........................................ 1,100 34,719
Mirage Resorts, Inc.* ................................... 3,600 76,725
Viacom, Inc. Class B* ................................... 400 23,300
----------
697,407
----------
ENVIRONMENTAL CONTROLS - 0.2%
Browning-Ferris Industries, Inc. ........................ 3,500 121,625
----------
FINANCIAL SERVICES - 3.0%
A.G. Edwards, Inc. ...................................... 800 34,150
Bear Stearns Companies, Inc. ............................ 1,100 62,563
Capital One Financial Corp. ............................. 600 74,513
Charter One Financial, Inc. ............................. 1,000 33,688
ContiFinancial Corp.* ................................... 300 6,938
Federal Home Loan Mortgage Corp. ........................ 5,900 277,669
Federal National Mortgage Association ................... 9,800 595,350
Financial Security Assurance Holdings Ltd. .............. 300 17,625
Finova Group, Inc ....................................... 500 28,313
Household International, Inc. ........................... 2,400 119,400
Lehman Brothers Holdings, Inc. .......................... 800 62,050
Merrill Lynch & Co., Inc. ............................... 600 55,350
Morgan Stanley, Dean Witter & Co. ....................... 5,300 484,288
Ocwen Financial Corp. ................................... 400 10,750
Provident Financial Group, Inc. ......................... 400 18,250
----------
1,880,897
----------
FOREST PRODUCTS & PAPER - 0.7%
Boise Cascade Corp. ..................................... 900 29,475
Bowater, Inc. ........................................... 600 28,350
Champion International Corp. ............................ 1,000 49,188
Corporate Express, Inc.* ................................ 1,600 20,300
Georgia-Pacific Corp. ................................... 1,700 100,194
Louisiana Pacific Corp. ................................. 1,800 32,850
</TABLE>
See notes to financial statements
<PAGE> 59
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
FOREST PRODUCTS & PAPER - CONTINUED
Mead Corp. .............................................. 1,900 $ 60,325
Stone Container Corp.* .................................. 4,300 67,188
Union Camp Corp. ........................................ 800 39,700
----------
427,570
----------
HEALTH CARE PROVIDERS - 1.2%
Columbia/HCA Healthcare Corp. ........................... 5,500 160,188
Health Care & Retirement Corp.* ......................... 700 27,606
Humana, Inc.* ........................................... 3,400 106,038
Medtronic, Inc. ......................................... 2,100 133,875
Tenet Healthcare Corp.* ................................. 5,000 156,250
United Healthcare Corp. ................................. 2,500 158,750
----------
742,707
----------
HEAVY CONSTRUCTION - 0.0%
Foster Wheeler Corp. .................................... 300 6,431
----------
HEAVY MACHINERY - 0.6%
Caterpiller Tractor, Inc. ............................... 4,800 253,800
Deere & Co. ............................................. 1,800 95,175
Parker-Hannifin Corp. ................................... 1,200 45,750
----------
394,725
----------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 0.4%
Furniture Brands International, Inc.* ................... 900 25,256
Leggett & Platt, Inc. ................................... 4,100 102,500
Whirlpool Corp. ......................................... 1,600 110,000
----------
237,756
----------
HOUSEHOLD PRODUCTS - 1.8%
Procter & Gamble Co. .................................... 12,500 1,138,281
----------
INDUSTRIAL - DIVERSIFIED - 2.5%
Eastman Kodak Co. ....................................... 6,100 445,681
Illinois Tool Works, Inc. ............................... 1,300 86,694
ITT Industries, Inc. .................................... 2,200 82,225
Johnson Controls, Inc. .................................. 1,600 91,500
Minnesota Mining & Manufacturing Co. .................... 200 16,438
Temple Inland, Inc. ..................................... 1,000 53,875
Tenneco, Inc. ........................................... 3,200 121,800
Tyco International Ltd. ................................. 11,100 699,300
----------
1,597,513
----------
INSURANCE - 5.0%
Aetna, Inc. ............................................. 2,200 167,475
Allstate Corp. .......................................... 4,600 421,188
Ambac Financial Group, Inc. ............................. 800 46,800
American International Group ............................ 7,000 1,022,000
</TABLE>
See notes to financial statements
<PAGE> 60
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
INSURANCE - CONTINUED
Cigna Corp. ............................................. 2,300 $ 158,700
Fremont General Corp. ................................... 400 21,675
General RE Corp. ........................................ 500 126,750
Marsh & McLennan Cos., Inc. ............................. 2,700 163,181
MBIA, Inc. .............................................. 1,000 74,875
Ohio Casualty Corp. ..................................... 300 13,275
PMI Group, Inc. (The) ................................... 300 22,013
Safeco Corp. ............................................ 1,500 68,156
St. Paul Cos ............................................ 2,000 84,125
Torchmark Corp. ......................................... 1,500 68,625
Transamerica Corp. ...................................... 600 69,075
Travelers Group, Inc. ................................... 8,200 497,125
Travelers Property Casualty Corp. Class A ............... 700 30,013
Unum Corp. .............................................. 1,400 77,700
----------
3,132,751
----------
LODGING - 0.0%
Extended Stay America, Inc.* ............................ 700 7,875
----------
MEDIA - BROADCASTING & PUBLISHING - 2.7%
Comcast Corp. ........................................... 7,100 288,215
Gannett Co., Inc. ....................................... 2,000 142,125
MediaOne Group, Inc.* ................................... 400 17,575
R.R. Donnelley & Sons Co. ............................... 2,800 128,100
Time Warner, Inc. ....................................... 10,700 914,181
Times Mirror Co. Class A ................................ 1,700 106,888
Washington Post Co. (The) Class B ....................... 200 115,200
----------
1,712,284
----------
MEDICAL SUPPLIES - 0.8%
Bausch & Lomb, Inc. ..................................... 800 40,100
Boston Scientific Corp.* ................................ 2,900 207,713
Forest Laboratories Inc. ................................ 6,000 214,500
United States Surgical Corp. ............................ 1,100 50,188
----------
512,501
----------
METALS - 0.7%
Alcan Aluminum Ltd. ..................................... 3,900 107,738
Allegheny Teledyne, Inc. ................................ 2,900 66,338
Aluminum Company of America ............................. 2,900 191,219
Freeport-McMoran Copper & Gold, Inc. Class A ............ 1,500 21,375
Freeport-McMoran Copper & Gold, Inc. Class B ............ 400 6,075
Phelps Dodge Corp. ...................................... 100 5,719
Reynolds Metals Co. ..................................... 1,200 67,125
----------
465,589
----------
</TABLE>
See notes to financial statements
<PAGE> 61
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
OFFICE EQUIPMENT - 0.2%
Bay Networks, Inc.* ..................................... 1,800 $ 58,050
Harris Corp., Inc. ...................................... 1,600 71,500
Ryder System, Inc. ...................................... 800 25,250
----------
154,800
----------
OIL & GAS - 8.1%
Amoco Corp. ............................................. 600 24,975
Anadarko Petroleum Corp. ................................ 600 40,313
Ashland, Inc. ........................................... 1,100 56,788
Atlantic Richfield Co. .................................. 4,800 375,000
Baker Hughes, Inc. ...................................... 1,600 55,300
Chevron Corp. ........................................... 3,200 265,800
Columbia Gas System, Inc. ............................... 1,100 61,188
Consolidated Natural Gas Co. ............................ 1,300 76,538
Cooper Cameron Corp. .................................... 800 40,800
Diamond Offshore Drilling, Inc. ......................... 900 36,000
El Paso Natural Gas Co. ................................. 1,600 61,200
Enron Corp. ............................................. 4,200 227,063
ENSCO International, Inc. ............................... 2,100 36,488
Exxon Corp. ............................................. 23,700 1,690,068
K N Energy, Inc. ........................................ 600 32,513
Mobil Corp. ............................................. 10,100 773,913
Phillips Petroleum Co. .................................. 3,800 183,113
Royal Dutch Petroleum Co. ............................... 3,800 208,287
R&B Falcon Corp.* ....................................... 2,400 54,300
Schlumberger Ltd. ....................................... 4,900 334,731
Sun Co., Inc. ........................................... 300 11,644
Texaco, Inc. ............................................ 4,000 238,750
Tosco Corp. ............................................. 2,300 67,563
Union Pacific Resources Group, Inc. ..................... 3,600 63,225
Unocal Corp. ............................................ 1,500 53,625
Valero Energy Corp. ..................................... 800 26,600
----------
5,095,785
----------
PHARMACEUTICALS - 8.8%
Abbott Laboratories ..................................... 7,500 306,563
Alza Corp.* ............................................. 5,600 242,200
American Home Products Corp. ............................ 19,400 1,003,950
Bristol-Myers Squibb Co. ................................ 12,300 1,413,731
Chiron Corporation* ..................................... 3,600 56,475
Eli Lilly & Co. ......................................... 1,100 72,669
Johnson & Johnson ....................................... 4,000 295,000
Merck & Co., Inc. ....................................... 3,400 454,750
Pfizer, Inc. ............................................ 3,700 402,144
Schering-Plough Corp. ................................... 2,200 201,575
</TABLE>
See notes to financial statements
<PAGE> 62
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - CONTINUED
Warner Lambert Co. ...................................... 15,100 $1,047,563
Watson Pharmaceutical, Inc. ............................. 1,500 70,031
----------
5,566,651
----------
REAL ESTATE - 0.0%
Amresco, Inc.* .......................................... 300 8,738
----------
RESTAURANTS - 1.1%
McDonald's Corp. ........................................ 10,500 724,500
----------
RETAILERS - 5.9%
Albertson's, Inc. ....................................... 3,600 186,525
American Stores Co. ..................................... 4,700 113,681
AutoZone, Inc.* ......................................... 2,700 86,231
Best Buy Co., Inc. ...................................... 1,800 65,025
Circuit City Stores, Inc. ............................... 1,800 84,375
CompUSA, Inc.* .......................................... 1,900 34,319
Costco Companies, Inc.* ................................. 200 12,613
Dayton-Hudson Corp. ..................................... 6,600 320,100
Dillard's, Inc. Class A ................................. 1,900 78,731
Federated Department Stores, Inc.* ...................... 4,300 231,394
General Nutrition Co., Inc.* ............................ 1,700 52,913
Hannaford Brothers Co. .................................. 800 35,200
Home Depot, Inc. ........................................ 2,200 182,738
Kimberly-Clark Corp. .................................... 5,200 238,550
K-Mart Corp.* ........................................... 9,400 180,950
Kroger Co. .............................................. 4,700 201,513
May Department Stores (The) Co. ......................... 3,400 222,700
Nine West Group, Inc.* .................................. 200 5,363
Safeway, Inc. ........................................... 8,300 337,706
Sears, Roebuck and Co. .................................. 7,600 464,075
TJX Companies, Inc. ..................................... 5,800 139,925
Toys "R" Us, Inc.* ...................................... 5,600 131,950
Wal-Mart Stores, Inc. ................................... 4,800 291,600
----------
3,698,177
----------
TELEPHONE SYSTEMS - 6.2%
Airtouch Communications, Inc.* .......................... 1,000 58,438
Ameritech Corp. ......................................... 3,600 161,550
AT&T Corp. .............................................. 1,600 91,400
Bell Atlantic Corp. ..................................... 10,800 492,750
Bellsouth Corp. ......................................... 6,700 449,738
Cincinnati Bell, Inc. ................................... 1,700 48,663
Frontier Corp. .......................................... 2,000 63,000
GTE Corp. ............................................... 12,600 700,875
</TABLE>
See notes to financial statements
<PAGE> 63
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
TELEPHONE SYSTEMS - CONTINUED
SBC Communications Corp. ................................ 25,500 $ 1,020,000
Sprint Corp. ............................................ 1,400 98,700
U.S. WEST, Inc. ......................................... 21 987
Worldcom, Inc.* ......................................... 15,500 750,781
-----------
3,936,882
-----------
TEXTILES, CLOTHING & FABRICS - 0.2%
Fruit of the Loom, Inc.* ................................ 1,300 43,144
Reebok International, Ltd.* ............................. 1,100 30,456
Unifi, Inc. ............................................. 1,100 37,675
-----------
111,275
-----------
TRANSPORTATION - 0.9%
Burlington Northern Santa Fe Corp. ...................... 1,700 166,919
CNF Transportation, Inc. ................................ 500 21,250
Consolidated Freightways Corp.* ......................... 100 1,394
CSX Corp. ............................................... 2,400 109,200
Norfolk Southern Corp. .................................. 4,100 122,231
Union Pacific Corp. ..................................... 2,700 119,138
Wisconsin Central Transport Corp.* ...................... 300 6,563
-----------
546,695
-----------
TOTAL INVESTMENTS - 99.3%
(Cost $52,802,265) 62,652,725
Other Assets and Liabilities (net) - 0.7% 436,609
-----------
TOTAL NET ASSETS - 100.0% $63,089,334
===========
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay dividends
in the 12 month period.
</TABLE>
See notes to financial statements
<PAGE> 64
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 94.5%
AUSTRALIA - 3.2%
Amcor Ltd. ............................................ 28,600 $ 125,365
AMP Limited * ......................................... 5,129 60,102
Broken Hill Proprietary Co., Ltd. ..................... 27,600 233,579
Capral Aluminium Ltd. ................................. 50,400 70,933
CSR Ltd. .............................................. 69,200 199,933
Foster's Brewing Group Ltd. ........................... 62,000 146,072
Leighton Holdings Ltd. ................................ 29,200 102,378
Mayne Nickless Ltd. ................................... 32,000 169,632
National Australia Bank Ltd. .......................... 12,500 165,075
North Ltd. ............................................ 178,500 367,424
Pacific Dunlop Ltd. ................................... 55,000 89,001
Pioneer International Ltd. ............................ 110,000 262,570
Santos Ltd. ........................................... 52,300 162,130
Southcorp Holdings Ltd. ............................... 52,100 151,496
Telstra Corp., Ltd. ................................... 45,800 117,559
Western Mining Corp. Holdings Ltd. .................... 117,900 355,256
Westpac Banking Corp. ................................. 49,020 299,365
----------
3,077,870
----------
AUSTRIA - 0.7%
Bank Austria AG ....................................... 9,400 675,822
----------
BELGIUM - 0.4%
Petrofina S.A. NPV .................................... 900 369,755
----------
DENMARK - 0.7%
Danisco A/S ........................................... 3,900 262,462
Great Nordic Store Nord A/S ........................... 12,300 376,256
----------
638,718
----------
FRANCE - 11.9%
Air Liquide French .................................... 1,053 174,170
Carrefour Supermarche ................................. 988 625,079
Cie Generale Des Eaux ................................. 9,142 1,952,152
Compagnie De Saint Goban .............................. 1,973 365,830
Elf Sanofi ............................................ 4,139 486,756
Groupe Danone ......................................... 1,900 523,884
Lagardere Groupe ...................................... 11,769 489,969
Paribas ............................................... 11,163 1,194,625
Peugeot ............................................... 2,040 438,652
Rhodia, Inc.* ......................................... 18,268 509,442
Rhone Polenc .......................................... 7,800 439,942
Seita ................................................. 5,260 238,387
SGS-Thomson Microelectronics* ......................... 13,810 978,793
</TABLE>
See notes to financial statements
<PAGE> 65
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
FRANCE - CONTINUED
Societe Generale ...................................... 5,070 $ 1,054,119
Societe National Elf-Aquitaine ........................ 4,986 700,999
Total Cie Francaise Petroles .......................... 7,474 971,677
Union Assurancesfederale .............................. 1,110 174,969
-----------
11,319,445
-----------
GERMANY - 12.8%
Allianz AG Holdings ................................... 1,600 533,599
Bayer AG .............................................. 10,200 528,210
Bilfinger and Berger Bau AG ........................... 5,940 203,698
Continental AG ........................................ 15,380 483,503
Deutsche Bank AG ...................................... 11,600 981,459
Deutsche Lufthansa AG ................................. 33,900 854,266
Dresdner Bank ......................................... 17,200 929,807
Henkel KGAA ........................................... 5,500 456,809
Karstadt AG ........................................... 1,100 535,180
Muenchener Rueckversicherungs - Gesellschaft AG ....... 4,246 2,109,346
RWE AG ................................................ 4,600 272,389
SAP AG ................................................ 1,550 941,035
Schering AG ........................................... 4,900 577,318
SGL Carbon AG ......................................... 2,401 279,824
Siemens AG ............................................ 7,450 454,989
SKW Trostberg AG ...................................... 11,770 420,917
Veba AG ............................................... 15,730 1,058,347
Volkswagen AG ......................................... 593 573,076
-----------
12,193,772
-----------
GREAT BRITAIN - 22.6%
Barclays Plc .......................................... 7,000 202,228
Bass Plc .............................................. 24,139 446,929
Billiton Plc .......................................... 199,000 394,999
British Airways Plc ................................... 36,300 390,537
British Petroleum Co. Plc ............................. 36,752 537,008
British Sky Broadcasting Group Plc .................... 47,700 342,521
British Telecommunications Plc ........................ 59,200 741,579
Burmah Castrol Plc .................................... 11,700 208,817
B.A.T. Industries ..................................... 37,100 369,997
Cable & Wireless Plc .................................. 47,000 570,723
Cadbury Schweppes Plc ................................. 23,900 369,750
Compass Group Plc ..................................... 43,600 501,801
Diageo Plc ............................................ 45,584 540,983
Glaxo Wellcome Plc .................................... 43,800 1,321,773
Glynwed International Plc ............................. 57,711 230,547
Great Universal Stores Plc ............................ 33,700 444,072
HSBC Holdings Plc (Frankfurt) ......................... 33,250 843,562
</TABLE>
See notes to financial statements
<PAGE> 66
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
GREAT BRITAIN - CONTINUED
HSBC Holdings Plc ..................................... 8,000 $ 195,663
Hutchison Whampoa ..................................... 37,000 195,315
Kingfisher Plc ........................................ 20,100 323,534
Lloyds TSB Group Plc .................................. 113,900 1,593,027
LucasVarity Plc ....................................... 122,600 486,702
MEPC Plc .............................................. 27,400 240,856
MFI Furniture Group Plc ............................... 153,232 161,022
National Power Plc .................................... 18,000 172,938
Northern Rock Plc ..................................... 24,400 216,520
Nycomed Amersham Plc - Non Voting Shares .............. 69,425 482,890
Nycomed Amersham Plc .................................. 22,076 153,550
Pilkington Plc ........................................ 142,500 263,836
PowerGen Plc .......................................... 25,000 346,110
Prudential Corp. ...................................... 38,700 509,635
Racal Electronics ..................................... 59,900 339,205
Rank Group ............................................ 40,150 220,332
Reed International Ltd. ............................... 35,700 322,748
RMC Group Plc ......................................... 16,350 282,809
Royal Bank of Scotland ................................ 43,300 746,078
Royal & Sun Alliance Insurance Group Plc .............. 62,000 640,662
Sainsbury (J.) Plc .................................... 52,444 467,125
Sears Plc ............................................. 224,300 201,713
Shell Transport & Trading ............................. 76,000 536,862
Smith & Nephew Plc .................................... 95,000 236,105
SmithKline Beecham Plc ................................ 45,002 546,986
Tomkins Plc ........................................... 67,100 357,034
Unilever Plc .......................................... 42,000 446,957
Vickers Plc ........................................... 63,000 231,185
Vodafone Group Plc .................................... 60,200 763,645
Wessex Water Plc ...................................... 77,400 587,420
Zeneca Group Plc ...................................... 17,350 744,332
-----------
21,470,622
-----------
HONG KONG - 0.5%
Dickson Concepts International, Ltd. .................. 73,000 101,755
Hong Kong Electric .................................... 75,500 233,867
Sun Hung Kai Properties Ltd. .......................... 22,000 93,418
-----------
429,040
-----------
IRELAND - 0.8%
CRH Plc ............................................... 10,475 148,834
Greencore Group Plc ................................... 25,000 136,217
Irish Life Plc ........................................ 21,700 200,093
Smurfit (Jefferson) Group ............................. 97,800 291,035
-----------
776,179
-----------
</TABLE>
See notes to financial statements
<PAGE> 67
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
ITALY - 3.6%
Assicurazioni Generali ................................ 15,600 $ 505,123
ENI SPA ............................................... 116,700 760,616
Istituto Banc San Paolo Torina ........................ 51,000 744,663
Telecom Italia SPA-RNC ................................ 293,292 1,427,749
-----------
3,438,151
-----------
JAPAN - 14.3%
Asahi Bank Ltd. ....................................... 82,000 360,556
Bridgestone Corp. ..................................... 28,000 662,005
Canon Sales Co., Inc. ................................. 7,000 95,163
Canon, Inc. ........................................... 14,000 317,884
Dainippon Ink & Chemicals, Inc. ....................... 45,000 137,858
DDI Corp. ............................................. 102 355,121
Ebaba Corp. ........................................... 21,000 186,794
Fanuc Co. ............................................. 8,000 276,797
Fujitsu Ltd. .......................................... 58,000 610,394
Hitachi Ltd . ......................................... 33,000 215,274
Honda Motor Co., Ltd. ................................. 12,000 427,305
Ishihara Sangyo Kaisha * .............................. 22,000 30,448
Ito-Yokado Co., Ltd. .................................. 7,000 329,489
Japan Tobacco, Inc. ................................... 32 216,593
Kawasaki Steel Corp. .................................. 186,000 335,183
Keiyo Bank ............................................ 15,000 37,086
Mitsubishi Chemical Corp. ............................. 139,000 251,489
Mitsubishi Corp. ...................................... 39,000 241,765
Mitsubishi Estate Co., Ltd. ........................... 61,000 536,438
Mitsui Mining & Smelting .............................. 33,000 137,014
Mitsui Trust & Banking ................................ 103,000 242,781
Nichiei Co., Ltd. (Kyoto) ............................. 5,130 349,075
Nintendo Co., Ltd. .................................... 3,200 299,171
Nippon Steel Corp. .................................... 88,000 154,775
Nippon Telegraph and Telephone Corp. .................. 87 721,185
Nippon Yusen Kabushiki Kaisha ......................... 80,000 271,030
Nishimatsu Construction Co. ........................... 62,000 303,900
Nomura Securities Co., Ltd. ........................... 19,000 221,185
Ono Pharmaceutical .................................... 500 11,858
Pioneer Electronic Corp. .............................. 17,000 324,731
Ricoh Corp., Ltd. ..................................... 23,000 242,219
Rohm Co. .............................................. 1,000 102,357
Sanki Engineering ..................................... 2,000 11,029
Sanwa Bank Ltd. (The) ................................. 20,000 178,909
Sekisui Chemical Co., Ltd. ............................ 53,000 271,246
Shin-Etsu Chemical Co. ................................ 10,000 172,998
Sony Corp. ............................................ 7,400 637,425
</TABLE>
See notes to financial statements
<PAGE> 68
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
JAPAN - CONTINUED
Sony Music Entertainment, Inc. ........................ 6,300 $ 267,476
Sumitomo Forestry ..................................... 9,000 50,861
Takeda Chemical Industries ............................ 19,000 505,370
Takefuji Corp. ........................................ 10,100 465,941
Tokyo Steel Manufacturing Co., Ltd. ................... 10,000 51,467
Toppan Printing Co., Ltd. ............................. 15,000 160,456
Tostem Corp. .......................................... 30,000 388,813
Toyota Motor Co. ...................................... 29,000 750,451
West Japan Railway Co. ................................ 90 326,317
Yamanouchi Pharmaceutical ............................. 18,000 374,973
-----------
13,618,655
-----------
MALAYSIA - 0.0%
Malakoff Berhad ....................................... 16,000 29,562
-----------
NETHERLANDS - 7.1%
ASM Lithography Holding N.V. * ........................ 20,300 601,053
De Boer Unigro N.V .................................... 10,300 544,585
ING Groep N.V ......................................... 15,148 992,383
Koninklijke KPN N.V ................................... 14,900 573,810
Philips Electronics N.V ............................... 14,046 1,181,323
Royal Dutch Petroleum Co. ............................. 24,680 1,369,223
TNT Post Group N.V. * ................................. 14,900 381,074
Unilever N.V .......................................... 4,400 349,282
Vedior NV-CVA ......................................... 5,910 167,136
Vendex International N.V .............................. 5,989 225,339
Wolters Kluwer N.V .................................... 2,626 360,604
-----------
6,745,812
-----------
NEW ZEALAND - 0.6%
Fletcher Challenge Paper Shares ....................... 209,900 233,577
Lion Nathan ........................................... 45,000 100,152
Telecom New Zealand ................................... 60,400 249,380
-----------
583,109
-----------
NORWAY - 0.6%
Kvaerner B ............................................ 12,100 374,251
Norsk Hydro ........................................... 4,800 211,419
-----------
585,670
-----------
SINGAPORE - 0.5%
City Developments Ltd. ................................ 36,000 100,634
Singapore Airlines Ltd. ............................... 50,500 236,275
United Overseas Bank .................................. 53,000 164,791
-----------
501,700
-----------
</TABLE>
See notes to financial statements
<PAGE> 69
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
SPAIN - 2.5%
Acerinox, S.A ......................................... 2,100 $ 279,890
Actividades de Construccion y Servicios, SA ........... 9,000 270,776
Banco Bilbao Vizcaya, S.A ............................. 6,500 334,215
Iberdrola I.S.A ....................................... 80,000 1,301,450
Vallehermoso SA ....................................... 6,233 228,454
----------
2,414,785
----------
SWEDEN - 3.4%
Astra AB - A Shares ................................... 19,400 396,589
Autoliv, Inc. ......................................... 19,800 633,223
Incentive AB-B Shares ................................. 19,275 352,938
Skandia Forsakrings AB ................................ 70,445 1,007,178
Stora Kopparbergs Bergslags Aktiebolag ................ 43,900 690,970
Volvo AB .............................................. 6,800 202,546
----------
3,283,444
----------
SWITZERLAND - 8.3%
ABB AG ................................................ 318 469,775
Nestle SA ............................................. 1,010 2,161,718
Novartis AG ........................................... 411 684,142
Roche Holding AG ...................................... 160 1,571,721
UBS AG * .............................................. 5,285 1,965,798
Zurich Versicherungs-Gesellschaft ..................... 1,600 1,021,434
----------
7,874,588
----------
Total Common Stocks (Cost $82,726,005) 90,026,699
----------
</TABLE>
See notes to financial statements
<PAGE> 70
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - Continued
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION (NOTE 1)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PAR AMOUNT FOREIGN BONDS AND DEBT SECURITIES - 0.3% COUPON MATURITY
BERMUDA - 0.2%
(Y)24,000,000 Sanwa International Finance Convertible ........... 1.250% 08/01/05 $ 176,458
-----------
JAPAN - 0.1%
(Y)10,000,000 Yamanouchi Pharmaceutical Convertible ............. 1.250% 03/31/14 104,130
-----------
Total Foreign Bonds and Debt Securities
(Cost $286,872) ................................... 280,588
-----------
PREFERRED STOCKS - 1.7% SHARES
AUSTRALIA - 0.6%
News Corporation Ltd. . ........................... 79,900 566,715
-----------
GERMANY - 1.0%
RWE AG ............................................ 15,220 650,622
Volkswagen AG . ................................... 399 272,106
-----------
922,728
-----------
UNITED STATES - 0.1%
Westpac Banking Strypes Trust Convertible ......... 3,400 102,638
-----------
Total Preferred Stocks (Cost $1,326,602) .......... 1,592,081
-----------
RIGHTS - 0.0%
FRANCE - 0.0%
Air Liquide Bonus Rights * (Cost $0) .............. 3,353 0
-----------
CONVERSION CERTIFICATES - 0.3%
GERMANY - 0.3%
RWE AG (expiring 07/07/98) * (Cost $89,479) ....... 15,220 266,240
-----------
TOTAL INVESTMENTS - 96.8%
(Cost $84,428,958) 92,165,608
Other Assets and Liabilities (net) - 3.2% 3,034,907
-----------
TOTAL NET ASSETS - 100.0% $95,200,515
===========
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare
or pay dividends in the 12 month period.
(Y) - Japanese Yen
</TABLE>
See notes to financial statements
<PAGE> 71
COVA SERIES TRUST
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION RATE MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS - 100.3%
COMMERCIAL PAPER - 56.9%
$ 800,000 American Express Credit Corp. .......................... 5.500% 08/07/98 $ 795,478
800,000 American General Corp. ................................. 5.520% 07/06/98 799,387
800,000 Associates Corp. of North America ...................... 5.510% 07/09/98 799,020
700,000 Chevron Oil Finance Co. ................................ 5.530% 07/17/98 698,280
700,000 Commercial Credit Co. .................................. 5.500% 08/19/98 694,760
700,000 Ford Motor Credit Co. .................................. 5.550% 07/13/98 698,705
800,000 General Electric Capital Corp. ......................... 5.510% 09/03/98 792,163
700,000 IBM Credit Corp. ....................................... 5.510% 07/22/98 697,750
700,000 John Deere Capital Corp. ............................... 5.560% 07/27/98 697,189
800,000 Merrill Lynch & Co., Inc. .............................. 5.510% 08/21/98 793,755
700,000 Norwest Financial, Inc. ................................ 5.570% 07/21/98 697,834
800,000 Prudential Corp. ....................................... 5.500% 07/20/98 797,678
-----------
8,961,998
-----------
MUNICIPAL OBLIGATIONS - 5.1%
800,000 Botsford General Hospital Michigan Revenue ............. 5.650%# 02/15/27 800,000
-----------
U.S. GOVERNMENT AGENCIES - 25.3%
1,000,000 Federal Farm Credit Bank (Discount Note) ............... 5.450% 07/16/98 997,729
1,000,000 Federal Farm Credit Bank (Discount Note) ............... 5.420% 08/05/98 994,731
1,000,000 Federal Farm Credit Bank (Discount Note) ............... 5.400% 09/10/98 989,350
1,000,000 Federal Home Loan Mortgage Corp. (Discount Note) ....... 5.500% 07/14/98 998,014
-----------
3,979,824
-----------
REPURCHASE AGREEMENT - 13.0%
J.P Morgan Repurchase Agreement, collaterized by
U.S. Treasury Note, $2,052,000 par, 5.875% coupon,
2,044,000 due 03/31/99, reppurchase proceeds of $ 2,044,312. 5.500% 07/01/98 2,044,000
-----------
TOTAL INVESTMENTS - 100.3%
(Cost $15,785,822) 15,785,822
Other Assets and Liabilities (net) - -0.3% (41,584)
-----------
TOTAL NET ASSETS - 100.0% $15,744,238
===========
PORTFOLIO FOOTNOTES:
# Variable rate security. Interest rate resets either daily or weekly.
The rate shown represents the rate in effect at June 30, 1998.
</TABLE>
See notes to financial statements
<PAGE> 72
COVA SERIES TRUST
QUALITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DOMESTIC BONDS & DEBT SECURITIES - 84.3%
AIRLINES - 5.7%
$1,000,000 Delta Air Lines, Inc. ........................... 10.500% 04/30/16 $ 1,349,245
1,000,000 United Air Lines, Inc. .......................... 9.125% 01/15/12 1,216,801
-----------
2,566,046
-----------
BANKING - 14.3%
2,000,000 Bank of New York ................................ 8.500% 12/15/04 2,250,027
2,000,000 Chase Manhattan Corp. ........................... 9.750% 11/01/01 2,223,828
2,000,000 Providian National Bank ......................... 6.250% 05/06/01 2,002,878
-----------
6,476,733
-----------
BEVERAGES, FOOD & TOBACCO - 2.6%
1,000,000 Archer-Daniels-Midland Co. ...................... 8.125% 06/01/12 1,183,401
-----------
CHEMICALS - 2.3%
1,000,000 Solutia, Inc. ................................... 7.375% 10/15/27 1,046,382
-----------
CONGLOMERATES - 2.5%
1,000,000 General Electric Capital Corp. .................. 8.125% 04/01/08 1,150,850
-----------
CONSUMER SERVICES - 3.2%
1,200,000 Yale University ................................. 7.375% 04/15/26 1,431,268
-----------
ELECTRIC UTILITIES - 2.3%
1,000,000 Nipsco Capital Markets, Inc. .................... 6.780% 12/01/27 1,036,680
-----------
ELECTRICAL EQUIPMENT - 2.2%
1,000,000 Polaroid Corp. .................................. 6.750% 01/15/02 1,021,425
-----------
ENVIRONMENTAL CONTROLS - 4.5%
2,000,000 USA Waste Services, Inc. (a) .................... 7.000% 10/01/04 2,064,798
-----------
FINANCIAL SERVICES - 1.1%
500,000 U.S. West Capital Funding, Inc. ................. 6.125% 07/15/02 499,705
-----------
HOUSEHOLD PRODUCTS - 2.2%
1,000,000 Black & Decker Corp. ............................ 7.050% 07/01/28 997,470
-----------
INSURANCE - 2.3%
1,000,000 American Annuity Group, Inc. (144A)@ ............ 7.250% 09/28/01 1,025,120
-----------
MEDIA - BROADCASTING & PUBLISHING - 2.3%
1,000,000 Turner Broadcasting Systems, Inc. ............... 7.400% 02/01/04 1,046,127
-----------
OIL & GAS - 15.3%
2,000,000 NGC Corp. Capital Trust ......................... 8.316% 06/01/27 2,349,600
399,000 Noble Drilling Corp. ............................ 9.125% 07/01/06 445,320
2,000,000 Panenergy Corp. ................................. 7.000% 10/15/06 2,113,550
1,000,000 Tosco Corp. ..................................... 7.625% 05/15/06 1,081,973
1,000,000 Union Pacific Resources Group, Inc. ............. 6.750% 05/15/08 1,007,037
-----------
6,997,480
-----------
REAL ESTATE - 2.3%
1,000,000 Federal Realty Investment Trust (REIT) .......... 8.875% 01/15/00 1,038,474
-----------
</TABLE>
See notes to financial statements
<PAGE> 73
COVA SERIES TRUST
QUALITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RETAILERS - 4.9%
$1,000,000 Federated Department Stores, Inc. .............. 8.125% 10/15/02 $ 1,072,073
1,125,000 Kroger Co. ..................................... 7.000% 05/01/18 1,156,672
-----------
2,228,745
-----------
TELEPHONE SYSTEMS - 9.2%
1,000,000 Bellsouth Telecommunications, Inc. ............. 6.375% 06/01/28 1,008,630
2,000,000 LCI International, Inc. ........................ 7.250% 06/15/07 2,046,020
1,000,000 Worldcom, Inc. ................................. 7.750% 04/01/27 1,132,668
-----------
4,187,318
-----------
U.S. GOVERNMENT AGENCY MORTGAGE BACKED
SECURITIES - 0.7%
40,423 Federal Home Loan Mortgage Corp. ............... 8.000% 09/01/08 41,749
36,968 Federal National Mortgage Association .......... 8.000% 09/01/03 38,181
42,494 Federal National Mortgage Association .......... 8.500% 07/01/19 44,406
80,148 Federal National Mortgage Association .......... 7.500% 12/25/19 82,309
85,890 Government National Mortgage Association ....... 9.000% 01/15/20 92,010
-----------
298,655
-----------
U.S. TREASURY SECURITIES - 4.4%
1,000,000 U.S. Treasury Note ............................. 5.500% 02/28/03 999,687
1,000,000 U.S. Treasury Note ............................. 5.500% 05/31/03 1,000,312
-----------
1,999,999
-----------
Total Domestic Bonds & Debt Securities
(Cost $36,513,679) ............................. 38,296,676
-----------
FOREIGN BONDS AND DEBT SECURITIES - 15.0%
CANADA - 6.0%
1,390,000 Hydro-Quebec (Yankee) .......................... 11.750% 02/01/12 2,049,096
600,000 Hydro-Quebec (Yankee) .......................... 13.250% 12/15/13 648,378
-----------
2,697,474
-----------
GREAT BRITAIN - 2.2%
1,000,000 Avon Energy Partners Holdings (U.S.$) .......... 6.730% 12/11/02 1,020,878
-----------
LUXEMBOURG - 2.2%
1,000,000 Tyco International Group SA (Yankee) .......... 6.250% 06/15/03 999,920
-----------
</TABLE>
See notes to financial statements
<PAGE> 74
COVA SERIES TRUST
QUALITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NORWAY - 4.6%
$2,000,000 Petro Geo-Services (Yankee) ..................... 7.125% 03/30/28 $ 2,074,356
-----------
Total Foreign Bonds and Debt Securities
(Cost $6,653,830) 6,792,628
-----------
TOTAL INVESTMENTS - 99.3%
(Cost $43,167,509) 45,089,304
Other Assets and Liabilities (net) - 0.7% 315,124
-----------
TOTAL NET ASSETS - 100.0% $45,404,428
===========
PORTFOLIO FOOTNOTES:
(a) Assets segregated for open futures
@ 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.
REIT - Real Estate Investment Trust
Yankee - U.S. Dollar denominated bonds issued by non-U.S. companies in the U.S.
</TABLE>
See notes to financial statements
<PAGE> 75
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 90.5%
ADVERTISING - 0.1%
Omnicom Group, Inc. ................................... 1,700 $ 84,788
----------
AEROSPACE & DEFENSE - 1.6%
AlliedSignal, Inc. .................................... 5,500 244,063
Boeing Co. ............................................ 9,600 427,800
General Dynamics Corp. ................................ 1,500 69,750
Lockheed Martin Corp. ................................. 1,900 201,163
Northrop Grumman Corp. ................................ 700 72,188
Raytheon Co. Class B .................................. 3,400 201,025
Textron, Inc. ......................................... 1,700 121,869
United Technologies Corp. ............................. 2,300 212,750
----------
1,550,608
----------
AIRLINES - 0.5%
AMR Corp. * ........................................... 1,800 149,850
Delta Air Lines, Inc. ................................. 800 103,400
FDX Corp. * ........................................... 1,500 94,125
Southwest Airlines, Inc. .............................. 2,300 68,138
US Airways Group, Inc. * .............................. 900 71,325
----------
486,838
----------
AUTOMOTIVE - 2.1%
Chrysler Corp. ........................................ 6,300 355,163
Dana Corp. ............................................ 1,200 64,200
Eaton Corp. ........................................... 800 62,200
Echlin, Inc. .......................................... 700 34,344
Ford Motor Co. ........................................ 11,700 690,300
General Motors Corp. .................................. 6,900 461,006
Genuine Parts Co. ..................................... 2,200 76,038
Goodyear Tire & Rubber Co. ............................ 1,700 109,544
Paccar, Inc. .......................................... 900 47,025
TRW, Inc. ............................................. 1,400 76,475
----------
1,976,295
----------
BANKING - 8.4%
Associates First Capital Corp. ........................ 3,400 261,375
Banc One Corp. ........................................ 6,100 340,456
Bank of New York ...................................... 3,600 218,475
BankAmerica Corp. ..................................... 6,500 561,844
BankBoston Corp. ...................................... 2,800 155,750
Bankers Trust New York Corp. .......................... 1,000 116,063
BB&T Corp. ............................................ 1,600 108,200
Beneficial Corp. ...................................... 500 76,594
Chase Manhattan Corp. ................................. 8,000 604,000
Citicorp .............................................. 4,300 641,775
</TABLE>
See notes to financial statements
<PAGE> 76
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
BANKING - CONTINUED
Comerica, Inc. ........................................ 1,600 $ 106,000
Fifth Third Bancorp ................................... 2,300 144,900
First Chicago NBD Corp. ............................... 2,800 248,150
First Union Corp. ..................................... 9,122 531,357
Fleet Financial Group, Inc. ........................... 2,600 217,100
Golden West Financial Corp. ........................... 600 63,788
Huntington Bancshares, Inc. ........................... 2,300 77,050
H.F. Ahmanson & Co. ................................... 1,000 71,000
KeyCorp ............................................... 4,400 156,750
MBNA Corp. ............................................ 5,000 165,000
Mellon Bank Corp. ..................................... 2,400 167,100
Mercantile Bancorp., Inc. ............................. 1,500 75,563
National City Corp. ................................... 3,200 227,200
NationsBank Corp. ..................................... 8,900 680,850
Northern Trust Corp. .................................. 1,200 91,500
Norwest Corp. ......................................... 7,200 269,100
PNC Bank Corp. ........................................ 3,100 166,819
Republic New York Corp. ............................... 1,300 81,819
State Street Corp. .................................... 1,600 111,200
Summit Bancorp ........................................ 1,900 90,250
Suntrust Banks, Inc. .................................. 2,100 170,756
Synovus Financial Corp. ............................... 2,800 66,500
U.S. Bancorp .......................................... 7,000 301,000
Wachovia Corp. ........................................ 2,100 177,450
Washington Mutual, Inc. ............................... 3,700 160,719
Wells Fargo & Co. ..................................... 800 295,200
----------
7,998,653
----------
BEVERAGES, FOOD & TOBACCO - 6.9%
Anheuser-Busch Companies, Inc. ........................ 4,700 221,781
Archer-Daniels-Midland Co. ............................ 5,900 114,313
Bestfoods ............................................. 2,800 162,575
Campbell Soup Co. ..................................... 4,400 233,750
Coca-Cola Co. ......................................... 23,500 2,009,250
ConAgra, Inc. ......................................... 4,700 148,931
Fortune Brands, Inc. .................................. 2,100 80,719
General Mills Co. ..................................... 1,500 102,563
Heinz (H.J.), Co. ..................................... 3,500 196,438
Hershey Foods Corp. ................................... 1,500 103,500
Kellogg Co. ........................................... 4,000 150,250
Pepsico, Inc. ......................................... 14,400 593,100
Philip Morris Companies, Inc. ......................... 23,300 917,438
Pioneer Hi-Bred International, Inc. ................... 2,400 99,300
Quaker Oats Co. ....................................... 1,500 82,406
</TABLE>
See notes to financial statements
<PAGE> 77
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
BEVERAGES, FOOD & TOBACCO - CONTINUED
Ralston-Ralston Purina Group .......................... 1,100 $ 128,494
Sara Lee Corp. ........................................ 4,600 257,313
Seagrams Co., Ltd. .................................... 3,600 147,375
Sysco Corp. ........................................... 3,600 92,250
Unilever N.V .......................................... 6,100 481,519
UST, Inc. ............................................. 2,300 62,100
Wrigley William Jr. Co. ............................... 1,200 117,600
----------
6,502,965
----------
BUILDING MATERIALS - 0.2%
Masco Corp. ........................................... 1,900 114,950
Sherwin Williams Co. .................................. 2,000 66,250
----------
181,200
----------
CHEMICALS - 2.2%
Air Products & Chemicals, Inc. ........................ 2,600 104,000
Avery-Dennison Corp. .................................. 1,200 64,500
Dow Chemical Co. ...................................... 2,200 212,713
Du Pont (E.I.) De Nemours and Co. ..................... 10,700 798,488
Eastman Chemical Co. .................................. 1,100 68,475
Hercules, Inc. ........................................ 1,200 49,350
International Flavors & Fragrances, Inc. .............. 1,300 56,469
Monsanto Co. .......................................... 5,700 318,488
PPG Industries, Inc. .................................. 1,800 125,213
Praxair, Inc. ......................................... 1,700 79,581
Rohm & Haas Co. ....................................... 700 72,756
Sigma Aldrich Corp. ................................... 1,200 42,150
Union Carbide Corp. ................................... 1,400 74,725
----------
2,066,908
----------
COMMERCIAL SERVICES - 0.6%
Cendant Corp.* ........................................ 7,900 164,913
Equifax, Inc. ......................................... 1,600 58,100
Interpublic Group, Inc. ............................... 1,300 78,894
Service Corp. International ........................... 2,600 111,475
Waste Management, Inc. ................................ 4,500 157,500
----------
570,882
----------
COMMUNICATIONS - 2.2%
3 Com Corp.* .......................................... 3,500 107,406
Alltel Corp. .......................................... 2,000 93,000
DSC Communications Corp.* ............................. 1,300 39,000
General Instrument Corp.* ............................. 1,500 40,781
Lucent Technologies, Inc. ............................. 12,500 1,039,844
MCI Communications Corp. .............................. 6,700 389,438
Scientific-Atlanta, Inc. .............................. 900 22,838
</TABLE>
See notes to financial statements
<PAGE> 78
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS - CONTINUED
Tele-Communications TCI Group* ........................ 5,000 $ 192,188
Tellabs, Inc.* ........................................ 1,800 128,925
----------
2,053,420
----------
COMPUTER SOFTWARE & PROCESSING - 5.1%
Adobe Systems, Inc. ................................... 700 29,706
Automatic Data Processing, Inc. ....................... 2,900 211,338
Cabletron Systems, Inc.* .............................. 1,800 24,188
Ceridian Corp.* ....................................... 800 47,000
Cisco Systems, Inc. ................................... 9,700 893,006
Cognizant Corp. ....................................... 1,700 107,100
Computer Associates International, Inc. ............... 5,300 294,481
Computer Sciences Corp. ............................... 1,600 102,400
First Data Corp. ...................................... 4,200 139,913
HBO & Co. ............................................. 4,200 148,050
Microsoft Corp. ....................................... 23,300 2,525,138
Novell Inc.* .......................................... 3,700 47,175
Oracle Corp. .......................................... 9,500 233,344
Parametric Technology Co. ............................. 2,600 70,444
----------
4,873,283
----------
COMPUTERS & INFORMATION - 3.5%
Apple Computer, Inc.* ................................. 1,400 40,163
Compaq Computer Corp. ................................. 15,918 451,659
Dell Computer Corp. ................................... 6,300 584,719
EMC Corp. ............................................. 4,800 215,100
Gateway 2000, Inc.* ................................... 1,500 75,938
Hewlett-Packard Co. ................................... 10,000 598,750
International Business Machines Corp. ................. 9,300 1,067,756
Seagate Technology, Inc ............................... 2,400 57,150
Silicon Graphics, Inc.* ............................... 2,100 25,463
Sun Microsystems, Inc.* ............................... 3,600 156,375
Unisys Corp.* ......................................... 2,500 70,625
----------
3,343,698
----------
CONTAINERS & PACKAGING - 0.1%
Crown Cork & Seal, Inc. ............................... 1,500 71,250
Sealed Air Corp.* ..................................... 900 33,075
----------
104,325
----------
COSMETICS & PERSONAL CARE - 1.0%
Avon Products, Inc. ................................... 1,300 100,750
Colgate-Palmolive Co. ................................. 2,900 255,200
Gillette Co. .......................................... 10,600 600,888
----------
956,838
----------
</TABLE>
See notes to financial statements
<PAGE> 79
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES - 2.2%
American Electric Power Co. ........................... 2,100 $ 95,288
Carolina Power & Light Co. ............................ 1,900 82,413
Central & South West Corp. ............................ 2,800 75,250
Consolidated Edison, Inc. ............................. 2,600 119,763
Dominion Resources, Inc. .............................. 2,300 93,725
DTE Energy Co. ........................................ 1,900 76,713
Duke Energy Corp. ..................................... 3,500 207,375
Edison International .................................. 4,200 124,163
Entergy Corp. ......................................... 3,300 94,875
FirstEnergy Corp. ..................................... 2,800 86,100
FPL Group, Inc. ....................................... 1,900 119,700
Houston Industries, Inc. .............................. 3,300 101,888
PacifiCorp ............................................ 3,900 88,238
Peco Energy Co. ....................................... 2,600 75,888
P.G.& E. Corp. ........................................ 4,200 132,563
Public Service Enterprise Group, Inc. ................. 2,800 96,425
Southern Co. .......................................... 6,900 191,044
Texas Utilities Co. ................................... 2,700 112,388
Unicom Corp. .......................................... 2,700 94,669
----------
2,068,468
----------
ELECTRICAL EQUIPMENT - 4.0%
AMP Inc. .............................................. 2,300 79,063
Applied Materials, Inc. ............................... 3,600 106,200
Cooper Industries, Inc. ............................... 1,300 71,419
Emerson Electric Co. .................................. 4,300 259,613
General Electric Co. .................................. 31,200 2,839,146
Grainger (W.W.), Inc. ................................. 1,200 59,775
Northern Telecom Ltd. ................................. 5,000 283,750
Raychem Corp. ......................................... 1,000 29,563
Thermo Electron Corp. * ............................... 1,700 58,119
----------
3,786,648
----------
ELECTRONICS - 2.4%
Advanced Micro Devices, Inc. * ........................ 1,500 25,594
CBS Corp. ............................................. 6,900 219,075
Honeywell, Inc. ....................................... 1,300 108,631
Intel Corp. ........................................... 15,700 1,163,763
KLA-Tencor Corp. * .................................... 900 24,919
LSI Logic Corp. * ..................................... 1,500 34,594
Micron Technology, Inc. ............................... 2,100 52,106
Motorola, Inc. ........................................ 5,800 304,863
National Semiconductor Corp. * ........................ 1,800 23,738
Perkin-Elmer Corp. .................................... 500 31,094
</TABLE>
See notes to financial statements
<PAGE> 80
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - CONTINUED
Rockwell International Corp. .......................... 2,100 $ 100,931
Texas Instruments, Inc. ............................... 3,800 221,588
----------
2,310,896
----------
ENTERTAINMENT & LEISURE - 1.2%
Brunswick Corp., Inc. ................................. 1,300 32,175
Hasbro, Inc. .......................................... 1,400 55,038
Mattel, Inc. .......................................... 2,900 122,706
Mirage Resorts, Inc. * ................................ 2,200 46,888
Viacom, Inc. Class B * ................................ 3,500 203,875
Walt Disney Co. ....................................... 6,500 682,906
----------
1,143,588
----------
ENVIRONMENTAL CONTROLS - 0.1%
Browning-Ferris Industries, Inc. ...................... 2,100 72,975
----------
FINANCIAL SERVICES - 3.3%
American Express Credit Corp. ......................... 4,700 535,800
American General Corp. ................................ 2,500 177,969
Block, (H.& R.), Inc. ................................. 1,200 50,550
Charles Schwab Corp. .................................. 3,600 117,000
Countrywide Credit Industries, Inc. ................... 1,300 65,975
Federal Home Loan Mortgage Corp. ...................... 6,800 320,025
Federal National Mortgage Association ................. 10,200 619,650
Franklin Resources, Inc. .............................. 3,400 183,600
Green Tree Financial Corp. ............................ 1,400 59,938
Household International, Inc. ......................... 3,300 164,175
J.P. Morgan & Co., Inc. ............................... 1,700 199,113
Lehman Brothers Holdings, Inc. ........................ 1,600 124,100
Merrill Lynch & Co., Inc. ............................. 3,900 359,775
MGIC Investment Corp. ................................. 1,100 62,769
Providian Financial Corp. ............................. 900 70,706
----------
3,111,145
----------
FOREST PRODUCTS & PAPER - 0.7%
Champion International Corp. .......................... 1,200 59,025
Fort James Corp. ...................................... 2,200 97,900
Georgia-Pacific Corp. ................................. 1,000 58,938
International Paper Co. ............................... 3,100 133,300
Mead Corp. ............................................ 1,400 44,450
Union Camp Corp. ...................................... 1,000 49,625
Westvaco Corp. ........................................ 1,700 48,025
Weyerhauser Co. ....................................... 2,200 101,613
Willamette Industries, Inc. ........................... 1,500 48,000
----------
640,876
----------
</TABLE>
See notes to financial statements
<PAGE> 81
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
HEALTH CARE PROVIDERS - 0.9%
Columbia/HCA Healthcare Corp. ......................... 6,400 $ 186,400
HEALTHSOUTH Corp. ..................................... 4,000 106,750
Humana, Inc. * ........................................ 1,800 56,138
Medtronic, Inc. ....................................... 4,600 293,250
Tenet Healthcare Corp. * .............................. 3,200 100,000
United Healthcare Corp. ............................... 1,900 120,650
----------
863,188
----------
HEAVY MACHINERY - 0.6%
Case Corp. ............................................ 1,000 48,250
Caterpiller Tractor, Inc. ............................. 3,800 200,925
Deere & Co. ........................................... 2,500 132,188
Ingersoll-Rand Co. .................................... 1,900 83,719
McDermott International, Inc. ......................... 700 24,106
Parker-Hannifin Corp. ................................. 1,300 49,563
----------
538,751
----------
HOUSEHOLD PRODUCTS - 1.8%
Black & Decker Corp. .................................. 1,000 61,000
Clorox Co. ............................................ 1,100 104,913
Maytag Corp. .......................................... 1,000 49,375
Newell Co. ............................................ 1,800 89,663
Owens-Illinois, Inc. * ................................ 1,600 71,600
Procter & Gamble Co. .................................. 12,800 1,165,600
Rubbermaid, Inc. ...................................... 1,700 56,419
Stanley Works, (The) .................................. 1,100 45,719
Whirlpool Corp. ....................................... 800 55,000
----------
1,699,289
----------
INDUSTRIAL - DIVERSIFIED - 1.6%
Armstrong World Industries, Inc. ...................... 700 47,163
Corning, Inc. ......................................... 2,300 79,925
Dover Corp. ........................................... 2,400 82,200
Eastman Kodak Co. ..................................... 3,100 226,494
Fluor Corp. ........................................... 1,000 51,000
Illinois Tool Works, Inc. ............................. 2,500 166,719
ITT Industries, Inc. .................................. 1,500 56,063
Johnson Controls, Inc. ................................ 1,000 57,188
Minnesota Mining & Manufacturing Co. .................. 3,900 320,531
Tenneco, Inc. ......................................... 2,100 79,931
Tyco International Ltd. ............................... 5,600 352,800
----------
1,520,014
----------
INSURANCE - 4.4%
Aetna, Inc. ........................................... 1,500 114,188
Allstate Corp. ........................................ 4,000 366,250
American International Group .......................... 6,600 963,600
</TABLE>
See notes to financial statements
<PAGE> 82
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
INSURANCE - CONTINUED
Aon Corp. ............................................. 1,700 $ 119,425
Chubb Corp. ........................................... 1,600 128,600
Cigna Corp. ........................................... 2,400 165,600
Cincinnati Financial Corp. ............................ 1,700 65,238
Conseco, Inc. ......................................... 1,800 84,150
General RE Corp. ...................................... 800 202,800
Hartford Financial Services Group, Inc. ............... 1,100 125,813
Jefferson Pilot Corp. ................................. 1,100 63,731
Lincoln National Corp. ................................ 1,000 91,375
Loews Corp. ........................................... 1,300 113,263
Marsh & McLennan Cos., Inc. ........................... 2,550 154,116
MBIA, Inc. ............................................ 1,000 74,875
Progressive Corp. ..................................... 700 98,700
Safeco Corp. .......................................... 1,600 72,700
St. Paul Cos .......................................... 2,300 96,744
SunAmerica, Inc. ...................................... 1,900 109,131
Torchmark Corp. ....................................... 1,600 73,200
Transamerica Corp. .................................... 800 92,100
Travelers Group, Inc. ................................. 11,300 685,063
Unum Corp. ............................................ 1,300 72,150
----------
4,132,812
----------
LODGING - 0.2%
Hilton Hotels Corp. ................................... 2,700 76,950
Marriott International, Inc. Class A .................. 2,700 87,413
----------
164,363
----------
MEDIA - BROADCASTING & PUBLISHING - 1.9%
Clear Channel Communications, Inc.* ................... 1,200 130,950
Comcast Corp. ......................................... 3,500 142,078
Dow Jones & Co., Inc. ................................. 1,200 66,900
Dun & Bradstreet Corp. ................................ 2,000 72,250
Gannett Co., Inc. ..................................... 2,800 198,975
Knight-Ridder, Inc. ................................... 1,000 55,063
McGraw-Hill Companies, Inc. ........................... 1,100 89,719
MediaOne Group, Inc.* ................................. 6,000 263,625
New York Times Co. .................................... 1,100 87,175
R.R. Donnelley & Sons Co. ............................. 1,700 77,775
Time Warner, Inc. ..................................... 5,500 469,906
Times Mirror Co. Class A .............................. 1,100 69,163
Tribune Co. ........................................... 1,400 96,338
----------
1,819,917
----------
MEDICAL SUPPLIES - 0.8%
Baxter International, Inc. ............................ 2,900 156,056
Becton Dickinson & Co. ................................ 1,300 100,913
</TABLE>
See notes to financial statements
<PAGE> 83
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
MEDICAL SUPPLIES - CONTINUED
Biomet, Inc. .......................................... 1,400 $ 46,288
Boston Scientific Corp.* .............................. 1,900 136,088
Cardinal Health, Inc. ................................. 1,100 103,125
Guidant Corp. ......................................... 1,500 106,969
St. Jude Medical, Inc. ................................ 1,100 40,494
United States Surgical Corp. .......................... 900 41,063
--------
730,996
--------
METALS - 0.6%
Alcan Aluminum Ltd. ................................... 2,700 74,588
Allegheny Teledyne, Inc. .............................. 2,300 52,613
Aluminum Company of America ........................... 1,700 112,094
Barrick Gold Corp. .................................... 4,300 82,506
Freeport-McMoran Copper & Gold, Inc. .................. 2,400 36,450
Nucor Corp. ........................................... 1,000 46,000
Phelps Dodge Corp. .................................... 800 45,750
Placer Dome, Inc. ..................................... 3,600 42,300
Reynolds Metals Co. ................................... 900 50,344
USX - U.S. Steel Group, Inc. .......................... 1,300 42,900
--------
585,545
--------
MINING - 0.1%
Inco, Ltd. ............................................ 2,200 29,975
Newmont Mining Corp. .................................. 1,900 44,888
--------
74,863
--------
OFFICE EQUIPMENT - 0.6%
Bay Networks, Inc. * .................................. 2,200 70,950
Harris Corp., Inc. .................................... 1,000 44,688
IKON Office Solutions, Inc. ........................... 1,500 21,844
Pitney Bowes, Inc. .................................... 2,700 129,938
Xerox Corp. ........................................... 3,100 315,038
--------
582,458
--------
OIL & GAS - 7.2%
Amerada Hess Corp. .................................... 1,300 70,606
Amoco Corp. ........................................... 9,600 399,600
Anadarko Petroleum Corp. .............................. 700 47,031
Apache Corp. .......................................... 1,300 40,950
Ashland, Inc. ......................................... 1,000 51,625
Atlantic Richfield Co. ................................ 3,200 250,000
Baker Hughes, Inc. .................................... 1,800 62,213
Burlington Resources, Inc. ............................ 2,000 86,125
Chevron Corp. ......................................... 6,400 531,600
Coastal Corp. ......................................... 1,300 90,756
Columbia Gas System, Inc. ............................. 1,200 66,750
Dresser Industries, Inc. .............................. 1,800 79,313
</TABLE>
See notes to financial statements
<PAGE> 84
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
OIL & GAS - CONTINUED
Enron Corp. ........................................... 3,300 $ 178,406
Exxon Corp. ........................................... 23,600 1,682,975
Halliburton Co. ....................................... 2,600 115,863
Mobil Corp. ........................................... 7,600 582,350
Occidental Petroleum Corp. ............................ 3,700 99,900
Phillips Petroleum Co. ................................ 2,900 139,744
Royal Dutch Petroleum Co. ............................. 20,500 1,123,656
Schlumberger Ltd. ..................................... 4,800 327,900
Sonat, Inc. ........................................... 1,300 50,213
Texaco, Inc. .......................................... 5,500 328,281
Union Pacific Resources Group, Inc. ................... 3,100 54,444
Unocal Corp. .......................................... 2,700 96,525
USX - Marathon Group .................................. 3,100 106,369
Western Atlas, Inc.* .................................. 600 50,925
Williams Companies, Inc. .............................. 4,200 141,750
----------
6,855,870
----------
PHARMACEUTICALS - 9.1%
Abbott Laboratories ................................... 14,800 604,950
Alza Corp.* ........................................... 1,000 43,250
American Home Products Corp. .......................... 12,500 646,875
Amgen, Inc.* .......................................... 2,600 169,975
Bristol-Myers Squibb Co. .............................. 9,500 1,091,906
Eli Lilly & Co. ....................................... 10,700 706,869
Johnson & Johnson ..................................... 12,900 951,375
Merck & Co., Inc. ..................................... 11,500 1,538,125
Pfizer, Inc. .......................................... 12,400 1,347,725
Pharmacia & Upjohn, Inc. .............................. 5,100 235,238
Schering-Plough Corp. ................................. 7,000 641,375
Warner Lambert Co. .................................... 7,800 541,125
----------
8,518,788
----------
RESTAURANTS - 0.6%
McDonald's Corp. ...................................... 6,700 462,300
Tricon Global Restaurants, Inc.* ...................... 1,700 53,869
Wendy's International, Inc. ........................... 1,700 39,950
----------
556,119
----------
RETAILERS - 5.3%
Albertson's, Inc. ..................................... 2,500 129,531
American Stores Co. ................................... 3,000 72,563
AutoZone, Inc.* ....................................... 1,600 51,100
Circuit City Stores, Inc. ............................. 1,100 51,563
Consolidated Stores Corp.* ............................ 1,200 43,500
Costco Companies, Inc.* ............................... 2,100 132,431
CVS Corp. ............................................. 3,800 147,963
</TABLE>
See notes to financial statements
<PAGE> 85
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
RETAILERS - CONTINUED
Dayton-Hudson Corp. ................................... 4,200 $ 203,700
Dillard's, Inc. Class A ............................... 1,300 53,869
Federated Department Stores, Inc.* .................... 2,100 113,006
Gap, Inc. ............................................. 3,800 234,175
Home Depot, Inc. ...................................... 7,000 581,438
J.C. Penney Co., Inc. ................................. 2,500 180,781
Kimberly-Clark Corp. .................................. 5,400 247,725
K-Mart Corp.* ......................................... 4,900 94,325
Kroger Co. ............................................ 2,600 111,475
Limited, Inc. (The) ................................... 2,300 76,188
Lowes Companies, Inc. ................................. 3,400 137,913
May Department Stores (The) Co. ....................... 2,300 150,650
Nordstrom, Inc. ....................................... 800 61,775
Rite Aid Corp. ........................................ 2,600 97,663
Sears, Roebuck and Co. ................................ 3,800 232,038
Tandy Corp. ........................................... 1,100 58,369
TJX Companies, Inc. ................................... 3,400 82,025
Toys "R" Us, Inc.* .................................... 3,000 70,688
Venator Group, Inc.* .................................. 1,700 32,513
Walgreen Co. .......................................... 4,900 202,431
Wal-Mart Stores, Inc. ................................. 21,400 1,300,050
Winn Dixie Stores, Inc. ............................... 1,600 81,900
----------
5,033,348
----------
TELEPHONE SYSTEMS - 5.6%
Airtouch Communications, Inc.* ........................ 5,400 315,563
Ameritech Corp. ....................................... 10,500 471,188
AT&T Corp. ............................................ 15,500 885,438
Bell Atlantic Corp. ................................... 14,800 675,250
Bellsouth Corp. ....................................... 9,500 637,688
Frontier Corp. ........................................ 1,800 56,700
GTE Corp. ............................................. 9,100 506,188
Nextel Communications, Inc.* .......................... 2,600 64,675
SBC Communications Corp. .............................. 17,500 700,000
Sprint Corp. .......................................... 4,200 296,100
U.S. WEST, Inc. ....................................... 4,700 220,900
Worldcom, Inc.* ....................................... 9,800 474,688
----------
5,304,378
----------
TEXTILES, CLOTHING & FABRICS - 0.3%
Fruit of the Loom, Inc.* .............................. 900 29,869
Liz Claiborne, Inc. ................................... 800 41,800
Nike, Inc. ............................................ 2,900 141,194
VF Corp. .............................................. 1,500 77,250
----------
290,113
----------
</TABLE>
See notes to financial statements
<PAGE> 86
COVA SERIES TRUST
STOCK INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION - 0.5%
Burlington Northern Santa Fe Corp. ................ 1,500 $ 147,281
CSX Corp. ......................................... 2,300 104,650
Laidlaw, Inc. Class B ............................. 3,300 40,219
Norfolk Southern Corp. ............................ 3,900 116,269
Union Pacific Corp. ............................... 2,500 110,313
-----------
518,732
-----------
Total Common Stocks (Cost $48,825,471) ............ 85,674,841
-----------
SHORT-TERM INVESTMENTS - 9.6%
U.S. GOVERNMENT AGENCY - 0.5%
Federal Farm Credit Bank at 5.33%,
due 07/07/98 (a) .................................. 500,000 492,967
-----------
REPURCHASE AGREEMENT - 9.1%
J. P. Morgan Repurchase Agreement at
5.50%, due 07/01/98, collaterized by
U.S. Treasury Bond, $5,429,000 par,
13.25% coupon, due 05/05/14,
repurchase proceeds of $8,616,316. ................ 8,615,000 8,615,000
-----------
Total Short-Term Investments
(Cost $9,107,967) ................................. 9,107,967
-----------
TOTAL INVESTMENTS - 100.1%
(Cost $57,933,438) ................................ 94,782,808
Other Assets and Liabilities (net) - (0.1%) ....... (99,852)
-----------
TOTAL NET ASSETS - 100.0% ......................... $94,682,956
===========
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay
dividends in the last 12 month period.
(a) Assets segregated for open futures
</TABLE>
See notes to financial statements
<PAGE> 87
COVA SERIES TRUST
VKAC GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS - 90.2%
AEROSPACE & DEFENSE - 1.1%
13,970 AlliedSignal, Inc. .................................. $ 619,919
----------
BANKING - 9.3%
10,200 BankBoston Corp. .................................... 567,375
20,000 Chase Manhattan Corp. ............................... 1,509,993
6,400 Dresdner Bank AG (ADR) .............................. 345,699
13,270 First Union Corp. ................................... 772,978
4,980 Fleet Financial Group, Inc. ......................... 415,830
11,960 NationsBank Corp. ................................... 914,940
14,250 Washington Mutual, Inc. ............................. 618,984
----------
5,145,799
----------
BEVERAGES, FOOD & TOBACCO - 4.5%
8,200 Dole Food Company, Inc. ............................. 407,438
28,561 Philip Morris Companies, Inc. ....................... 1,124,589
5,230 Ralston-Ralston Purina Group ........................ 610,929
4,120 Unilever N.V. (U.S.$) ............................... 325,223
----------
2,468,179
----------
CHEMICALS - 1.4%
4,860 Airgas, Inc.* ....................................... 69,863
4,550 BetzDearborn, Inc. .................................. 191,953
6,510 Imperial Chemical Industries Plc (ADR) .............. 419,895
3,100 Rhodia, Inc. (144A)*# ............................... 84,475
----------
766,186
----------
COMMERCIAL SERVICES - 2.9%
22,200 Avis Rent A Car, Inc.* .............................. 549,450
12,520 USA Waste Services, Inc.* ........................... 618,175
12,490 Waste Management, Inc. (a) .......................... 437,150
----------
1,604,775
----------
COMMUNICATIONS - 1.9%
25,570 Alcatel Alsthom (ADR) ............................... 1,040,379
400 Loral Space & Communications, Ltd.* ................. 11,300
----------
1,051,679
----------
COMPUTER SOFTWARE & PROCESSING - 5.5%
14,440 BMC Software, Inc. .................................. 749,978
16,940 Cognizant Corp. ..................................... 1,067,220
11,235 Computer Associates International, Inc. ............. 624,245
10,550 First Data Corp. .................................... 351,447
2,000 Microsoft Corp. Convertible Preferred ............... 190,000
----------
2,982,890
----------
COMPUTERS & INFORMATION - 2.8%
11,150 International Business Machines Corp. ............... 1,280,159
11,630 Quantum Corp. ....................................... 241,323
----------
1,521,482
----------
CONTAINERS & PACKAGING - 0.9%
10,310 Crown Cork & Seal, Inc. ............................. 489,725
----------
COSMETICS & PERSONAL CARE - 1.3%
7,890 Colgate-Palmolive Co. ............................... 694,320
----------
ELECTRIC UTILITIES - 6.7%
9,910 BEC Energy .......................................... 411,265
13,120 Consolidated Edison, Inc. ........................... 604,340
11,450 Edison International ................................ 338,491
800 Entergy Corp. ....................................... 23,000
</TABLE>
See notes to financial statements
<PAGE> 88
COVA SERIES TRUST
VKAC GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES - CONTINUED
6,400 FPL Group, Inc. ..................................... $ 403,200
11,190 GPU, Inc. ........................................... 423,122
39,400 Niagara Mohawk Power Corp.* ......................... 588,538
36,831 Northeast Utilities* ................................ 623,825
7,160 P.G.&E. Corp. ....................................... 225,988
----------
3,641,769
----------
ELECTRICAL EQUIPMENT - 0.5%
9,410 Raychem Corp. ....................................... 278,183
----------
ELECTRONICS - 4.0%
6,090 International Rectifier Corp.* ...................... 51,765
5,600 Micron Technology, Inc. ............................. 138,950
2,920 Motorola, Inc. ...................................... 153,483
9,730 Philips Electronics N.V ............................. 827,050
7,450 Texas Instruments, Inc. ............................. 434,428
21,830 VLSI Technology, Inc.* .............................. 366,334
6,920 Xilinx, Inc.* ....................................... 235,280
----------
2,207,290
----------
FINANCIAL SERVICES - 2.5%
12,660 American General Corp. .............................. 901,234
11,010 Block, (H.& R.), Inc. ............................... 463,796
----------
1,365,030
----------
FOREST PRODUCTS & PAPER - 1.3%
6,490 Boise Cascade Corp. ................................. 212,548
8,130 Fort James Corp. .................................... 361,785
8,500 Stone Container Corp.* .............................. 132,813
----------
707,146
----------
HEALTH CARE PROVIDERS - 2.7%
9,210 Columbia/HCA Healthcare Corp. ....................... 268,241
400 Fresenius Medical Care AG Preferred Class D* ........ 26
13,890 Pacificare Health Systems, Inc. Class B* ............ 1,227,529
----------
1,495,796
----------
HEAVY MACHINERY - 1.8%
6,240 AGCO Corp. .......................................... 128,310
6,900 Flowserve Corp. ..................................... 169,913
15,280 Ingersoll-Rand Co. .................................. 673,275
----------
971,498
----------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 0.9%
8,420 Black & Decker Corp. ................................ 513,620
----------
HOUSEHOLD PRODUCTS - 0.9%
7,970 Benckiser N.V.- B Shares * .......................... 491,649
----------
INDUSTRIAL - DIVERSIFIED - 0.6%
6,550 Fluor Corp. ......................................... 334,050
----------
INSURANCE - 4.3%
3,750 Allstate Corp. ...................................... 343,359
4,990 Conseco, Inc. ....................................... 233,283
7,920 Equitable Companies, Inc. (The) ..................... 593,505
4,900 Everest RE Holdings, Inc. ........................... 188,344
4,900 EXEL Limited (U.S.$) ................................ 381,281
5,060 Provident Companies, Inc. ........................... 174,570
6,950 Travelers Group, Inc. ............................... 421,344
----------
2,335,686
----------
</TABLE>
See notes to financial statements
<PAGE> 89
COVA SERIES TRUST
VKAC GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
LODGING - 0.6%
10,700 Hilton Hotels Corp. ................................. $ 304,950
----------
MEDIA - BROADCASTING & PUBLISHING - 0.5%
10,100 Capstar Broadcasting Corp. (144A)*# ................. 253,763
----------
MEDICAL SUPPLIES - 1.5%
7,480 Beckman Coulter, Inc. ............................... 435,710
10,100 St. Jude Medical, Inc. .............................. 371,806
----------
807,516
----------
OFFICE EQUIPMENT - 1.0%
5,300 Xerox Corp. ......................................... 538,613
----------
OIL & GAS - 7.7%
12,430 Coastal Corp. ....................................... 867,769
20,280 El Paso Natural Gas Co. ............................. 775,710
8,460 Exxon Corp. ......................................... 603,304
6,100 Mobil Corp. ......................................... 467,413
14,010 Texaco, Inc. ........................................ 836,222
5,800 Valero Energy Corp. ................................. 192,850
15,590 YPF Sociedad Anonima (ADR) .......................... 468,674
----------
4,211,942
----------
PHARMACEUTICALS - 9.6%
11,220 Alza Corp.* ......................................... 485,265
21,060 American Home Products Corp. ........................ 1,089,855
4,420 Merck & Co., Inc. ................................... 591,175
20,100 Mylan Laboratories, Inc. ............................ 604,256
15,030 Pharmacia & Upjohn, Inc. ............................ 693,259
15,200 Rhone-Poulenc, S.A. (ADR) ........................... 854,050
7,990 SmithKline Beecham Plc (ADR) ........................ 483,395
10,970 Watson Pharmaceutical, Inc. ......................... 512,162
----------
5,313,417
----------
REAL ESTATE - 0.6%
11,700 Arden Realty Group, Inc. (REIT) ..................... 302,738
----------
RETAILERS - 3.2%
16,050 Federated Department Stores, Inc.* .................. 863,691
13,290 Gap, Inc. ........................................... 818,996
4,140 Gymboree Corp.* ..................................... 62,747
----------
1,745,434
----------
TELEPHONE SYSTEMS - 5.2%
4,110 Airtouch Communications, Inc.* ...................... 240,178
5,570 Bellsouth Corp. ..................................... 373,886
14,410 Cincinnati Bell, Inc. ............................... 412,486
10,470 GTE Corp. ........................................... 582,394
6,010 SBC Communications Corp. ............................ 240,400
6,100 Sprint Corp. ........................................ 430,050
12,350 U.S. WEST, Inc. ..................................... 580,450
----------
2,859,844
----------
TEXTILES, CLOTHING & FABRICS - 1.3%
1,400 Adidas AG (ADR) ..................................... 121,964
9,710 Tommy Hilfiger Corp.* ............................... 606,875
----------
728,839
----------
</TABLE>
See notes to financial statements
<PAGE> 90
COVA SERIES TRUST
VKAC GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TRANSPORTATION - 1.2%
11,970 Canadian National Railway Co. ........................................... $ 635,906
-----------
Total Common and Preferred Stocks (Cost $39,792,497) .................... 49,389,633
-----------
CORPORATE BONDS AND DEBT SECURITIES - 3.5%
COMPUTERS & INFORMATION - 0.5%
500,000 Hewlett-Packard Co. Convertible ......................................... + 10/14/07 268,925
-----------
FINANCIAL SERVICES - 1.0%
1,000,000 Deutsche Bank Finance BV Convertible (144A)# ............................ + 02/12/17 557,500
-----------
INDUSTRIAL - DIVERSIFIED - 1.1%
350,000 ADT Operations, Inc. Convertible ........................................ + 07/06/10 588,875
-----------
PHARMACEUTICALS - 0.9%
700,000 Roche Holdings, Inc. Convertible+ ....................................... + 04/20/10 406,000
50,000 Sandoz Capital BVI Ltd. Convertible ..................................... 2.000% 10/06/02 79,188
-----------
485,188
-----------
Total Corporate Bonds and Debt Securities (Cost $1,274,519) 1,900,488
-----------
WARRANTS - 0.1%
PHARMACEUTICALS - 0.1%
9,000 Rhone-Poulenc, S.A. (expiring 11/15/01)* (Cost $9,000) ...................................... 57,375
-----------
SHORT-TERM INVESTMENT - 6.2%
$3,378,000 Federal Home Loan Mortgage Corp. (Discount Note) (Cost $3,377,484) 5.500% 07/01/98 3,377,484
-----------
TOTAL INVESTMENTS - 100.0%
(Cost $44,453,500) 54,724,980
Other Assets and Liabilities (net) - 0.0% (14,175)
-----------
TOTAL NET ASSETS - 100.0% $54,710,805
===========
</TABLE>
PORTFOLIO FOOTNOTES:
(a) Assets segregated for open futures
* Non-income producing security as this stock did not declare
or pay dividends in the last 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
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
See notes to financial statements
<PAGE> 91
COVA SERIES TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DOMESTIC BONDS & DEBT SECURITIES - 81.2%
AEROSPACE & DEFENSE - 2.9%
$350,000 Dyncorp, Inc. .................................. 9.500% 03/01/07 $ 362,250
300,000 Sequa Corp. .................................... 9.625% 10/15/99 309,750
250,000 Sequa Corp. .................................... 9.375% 12/15/03 261,250
----------
933,250
----------
AUTOMOTIVE - 2.8%
500,000 Aetna Industries, Inc. ......................... 11.875% 10/01/06 542,500
100,000 Collins & Aikman Corp. ......................... 11.500% 04/15/06 111,250
250,000 Stanadyne Automotive Corp. (144A)# ............. 10.250% 12/15/07 256,875
----------
910,625
----------
BEVERAGES, FOOD & TOBACCO - 0.6%
150,000 Fleming Companies, Inc. ........................ 10.500% 12/01/04 156,750
50,000 Fleming Companies, Inc. ........................ 10.625% 07/31/07 52,375
----------
209,125
----------
BUILDING MATERIALS - 1.9%
575,000 American Standard Co., Inc. .................... 10.875% 05/15/99 602,313
----------
CHEMICALS - 2.5%
534,000 ISP Holdings, Inc. ............................. 9.750% 02/15/02 563,370
250,000 Pioneer Americas Acquisition Corp. ............. 9.250% 06/15/07 248,750
----------
812,120
----------
COMMERCIAL SERVICES - 1.6%
150,000 CSC Holdings, Inc. ............................. 8.125% 08/15/09 160,875
300,000 CSC Holdings, Inc. ............................. 10.500% 05/15/16 351,750
----------
512,625
----------
COMMUNICATIONS - 4.1%
400,000 Echostar Communications Corp. .................. 0%, 12.875%++ 06/01/04 392,000
850,000 Fonorola, Inc. ................................. 12.500% 08/15/02 945,625
----------
1,337,625
----------
COMPUTER SOFTWARE & PROCESSING - 0.8%
250,000 PSINet, Inc. ................................... 10.000% 02/15/05 256,250
----------
CONTAINERS & PACKAGING - 1.0%
250,000 Fonda Group, Inc. .............................. 9.500% 03/01/07 242,500
75,000 Sweetheart Cup Co., Inc. ....................... 9.625% 09/01/00 74,625
----------
317,125
----------
COSMETICS & PERSONAL CARE - 0.8%
250,000 Revlon Consumer Products Corp. ................. 8.625% 02/01/08 251,563
----------
ELECTRIC UTILITIES - 3.0%
500,000 AES Corp. ...................................... 10.250% 07/15/06 546,250
100,000 AES Corp. ...................................... 8.375% 08/15/07 101,500
50,000 El Paso Electric Co. ........................... 8.250% 02/01/03 53,600
150,000 El Paso Electric Co. ........................... 8.900% 02/01/06 168,000
112,142 Midland Cogeneration Venture L.P. .............. 10.330% 07/23/02 121,898
----------
991,248
----------
ELECTRONICS - 2.6%
550,000 Communications & Power Corp. ................... 12.000% 08/01/05 618,750
50,000 DecisionOne Corp. .............................. 9.750% 08/01/07 48,500
300,000 DecisionOne Holdings Corp. ..................... 0%, 11.500%++ 08/01/08 183,000
----------
850,250
----------
ENTERTAINMENT & LEISURE - 9.2%
500,000 Argosy Gaming Co. .............................. 13.250% 06/01/04 565,000
25,000 Booth Creek Ski Holdings, Inc. (144A)# ......... 12.500% 03/15/07 26,875
150,000 Booth Creek Ski Holdings, Inc. ................. 12.500% 03/15/07 161,250
300,000 Coast Hotels & Casino .......................... 13.000% 12/15/02 345,000
400,000 Grand Casinos, Inc. ............................ 10.125% 12/01/03 440,000
650,000 Selmer Co., Inc. ............................... 11.000% 05/15/05 715,000
</TABLE>
See notes to financial statements
<PAGE> 92
\COVA SERIES TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ENTERTAINMENT & LEISURE - CONTINUED
$500,000 Silver Cinemas, Inc. (144A)# ................... 10.500% 04/15/05 $ 505,000
189,000 Waterford Gaming LLC ........................... 12.750% 11/15/03 209,318
----------
2,967,443
----------
ENVIRONMENTAL CONTROLS - 1.0%
276,000 Envirosource, Inc. ............................ 9.750% 06/15/03 278,070
50,000 Norcal Waste Systems, Inc. .................... 13.500% 11/15/05 57,750
----------
335,820
----------
FINANCIAL SERVICES - 5.5%
475,000 Americo Life, Inc. ............................ 9.250% 06/01/05 494,000
500,000 AmeriCredit Corp. ............................. 9.250% 02/01/04 515,000
300,000 ContiFinancial Corp. .......................... 8.375% 08/15/03 311,189
250,000 ContiFinancial Corp. .......................... 8.125% 04/01/08 257,483
200,000 Trizec Finance Ltd. ........................... 10.875% 10/15/05 226,000
----------
1,803,672
----------
FOOD RETAILERS - 1.9%
100,000 Jitney-Jungle Stores of America, Inc. ......... 12.000% 03/01/06 113,250
290,000 Pantry, Inc. (The) ............................ 12.000% 11/15/00 310,663
200,000 Pantry, Inc. (The) ............................ 10.250% 10/15/07 205,000
----------
628,913
----------
FOREST PRODUCTS & PAPER - 1.0%
300,000 SD Warren Co. ................................. 12.000% 12/15/04 333,375
----------
HEALTH CARE PROVIDERS - 2.4%
100,000 Imagyn Medical Technolgies, Inc. .............. 12.500% 04/01/04 35,500
250,000 Oxford Health Plans, Inc. (144A)# ............. 11.000% 05/15/05 257,500
500,000 Paragon Health Network, Inc. .................. 0%, 10.500% ++ 11/01/07 333,750
150,000 Paragon Health Network, Inc. .................. 9.500% 11/01/07 153,375
----------
780,125
----------
HEAVY CONSTRUCTION - 1.5%
500,000 Del Webb Corp. ................................ 9.375% 05/01/09 498,750
----------
INDUSTRIAL - DIVERSIFIED - 1.6%
150,000 Community Distributors, Inc. .................. 10.250% 10/15/04 152,250
200,000 Insilco Corp. ................................. 10.250% 08/15/07 210,000
250,000 Universal Compression, Inc. (144A)# ........... 0%, 9,875% ++ 02/15/08 158,750
----------
521,000
----------
MEDIA - BROADCASTING & PUBLISHING - 12.4%
350,000 Capstar Broadcasting Corp. .................... 9.250% 07/01/07 369,250
300,000 Century Communications Corp. .................. 8.875% 01/15/07 319,500
150,000 Century Communications Corp. .................. 8.750% 10/01/07 159,000
450,000 EZ Communications, Inc. ....................... 9.750% 12/01/05 498,375
400,000 Gray Communications Systems, Inc. ............. 10.625% 10/01/06 441,000
450,000 International Cabletel, Inc. .................. 0%, 12.750% ++ 04/15/05 398,250
100,000 International Cabletel, Inc. .................. 0%, 11.500% ++ 02/01/06 83,000
425,000 K-III Communications Corp. .................... 10.250% 06/01/04 454,750
150,000 Northland Cable Television .................... 10.250% 11/15/07 160,875
400,000 Pegasus Communications Corp. .................. 9.625% 10/15/05 409,000
500,000 United International Holdings, Inc. ........... 0%, 10.750% ++ 02/15/08 310,000
350,000 Young Broadcasting, Inc. ...................... 11.750% 11/15/04 388,500
----------
3,991,500
----------
MINING - 1.3%
200,000 Renco Steel Holdings, Inc. (144A)# ............ 10.875% 02/01/05 201,000
200,000 WCI Steel, Inc. ............................... 10.000% 12/01/04 206,500
----------
407,500
----------
OIL & GAS - 5.9%
450,000 Dawson Production Services, Inc. .............. 9.375% 02/01/07 454,500
145,000 Giant Industries, Inc. ........................ 9.750% 11/15/03 151,888
500,000 Giant Industries, Inc. ........................ 9.000% 09/01/07 515,625
150,000 KCS Energy, Inc. .............................. 11.000% 01/15/03 162,000
</TABLE>
See notes to financial statements
<PAGE> 93
COVA SERIES TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OIL & GAS - CONTINUED
$ 400,000 National Energy Group ...................................... 10.750% 11/01/06 $ 364,000
100,000 Petroleum Heat & Power Co., Inc. ........................... 12.250% 02/01/05 100,000
150,000 Wainoco Oil Corp. (144A)# .................................. 9.125% 02/15/06 151,875
-----------
1,899,888
-----------
RETAILERS - 2.4%
100,000 Big 5 Corp. ................................................ 10.875% 11/15/07 104,000
400,000 Cole National Group ........................................ 9.875% 12/31/06 434,000
250,000 Home Interiors & Gifts, Inc. (144A)# ....................... 10.125% 06/01/08 256,563
-----------
794,563
-----------
TELEPHONE SYSTEMS - 7.6%
400,000 Centennial Cellular Corp. .................................. 10.125% 05/15/05 450,000
250,000 GST Telecommunications, Inc. (144A)# ....................... 0%, 10.500% ++ 05/01/08 151,250
150,000 Intermedia Communications of Florida, Inc. ................. 13.500% 06/01/05 177,750
400,000 Intermedia Communications of Florida, Inc. ................. 0%, 11.250% ++ 07/15/07 294,000
500,000 Intermedia Communications of Florida, Inc. (144A)# ......... 8.600% 06/01/08 508,750
250,000 IXC Communications, Inc. (144A)# ........................... 9.000% 04/15/08 251,875
500,000 Level 3 Communications, (144A)# ............................ 9.125% 05/01/08 489,375
250,000 Triton Communications LLC (144A)# .......................... 0%, 11.000% ++ 05/01/08 141,875
-----------
2,464,875
-----------
TEXTILES, CLOTHING & FABRICS - 1.4%
50,000 Pillowtex Corp. ............................................ 10.000% 11/15/06 54,250
150,000 Pillowtex Corp. ............................................ 9.000% 12/15/07 155,063
250,000 Scovill Fasteners, Inc. .................................... 11.250% 11/30/07 258,125
-----------
467,438
-----------
TRANSPORTATION - 0.7%
250,000 Alpha Shipping Plc (144A)# ................................. 9.500% 02/15/08 240,000
-----------
WHOLESALE - 0.8%
250,000 Kevco, Inc. ................................................ 10.375% 12/01/07 261,250
-----------
Total Domestic Bonds & Debt Securities (Cost $25,649,713) 26,380,231
-----------
FOREIGN BONDS & DEBT SECURITIES - 8.6%
CANADA - 1.9%
1,000,000 MetroNet Communications Corp. (144A)# ...................... 0%, 9,950% ++ 06/15/08 623,750
-----------
GREAT BRITAIN - 1.0%
300,000 Diamond Cable Communication Plc (Yankee) ................... 0%, 10.750% ++ 02/15/07 222,750
100,000 Esprit Telecom Group Plc (Yankee) .......................... 11.500% 12/15/07 103,500
-----------
326,250
-----------
KOREA - 1.1%
400,000 Korea Development Bank (Yankee) ............................ 6.250% 05/01/00 365,519
-----------
LUXEMBOURG - 2.4%
1,000,000 Millicom International Cellular S.A. (Yankee) .............. 0%, 13.500% ++ 06/01/06 777,500
-----------
MEXICO - 1.5%
500,000 Satelites Mexicanos S.A. (144A)# ........................... 10.125% 11/01/04 488,125
-----------
NETHERLANDS - 0.7%
250,000 Netia Holdings B.V. (Yankee) ............................... 10.250% 11/01/07 240,938
-----------
Total Foreign Bonds & Debt Securities (Cost $2,719,394) 2,822,082
-----------
PREFERRED STOCK - 3.1%
COMMERCIAL SERVICES - 0.0%
116 CSC Holdings, Inc. ......................................... 13,572
-----------
</TABLE>
See notes to financial statements
<PAGE> 94
COVA SERIES TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- -----------------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES - 0.4%
1,279 El Paso Electric Co. (PIK) ..................................... $ 141,380
MEDIA - BROADCASTING & PUBLISHING - 1.9%
538 Time Warner, Inc. .............................................. 598,519
-----------
OIL & GAS - 0.8%
10,000 Coastal Finance, Inc. .......................................... 245,625
-----------
Total Equities (Cost $909,926) ................................. 999,096
-----------
WARRANTS - 0.1%
MEDIA - BROADCASTING & PUBLISHING - 0.0%
930 American Telecasting, Inc. (expiring 06/15/99)* ................ 465
-----------
MEDICAL SUPPLIES - 0.0%
250 Urohealth Systems, Inc. (expiring 04/10/04)* ................... 3
-----------
TELEPHONE SYSTEMS - 0.1%
350 Intermedia Communications of Florida, Inc. (expiring 06/01/00)* 47,250
-----------
Total Warrants (Cost $5,402) 47,718
-----------
REPURCHASE AGREEMENTS - 5.1% MATURITY
---------
J. P. Morgan Repurchase Agreement at 5.50%,
collaterized by U.S. Treasury Bond, $1,103,000
par, 12.00% coupon, due 08/15/13, repurchase
proceeds of $1,645,251.
$1,645,000 (Cost $1,645,000) 07/01/98 1,645,000
-----------
TOTAL INVESTMENTS - 98.1%
(Cost $30,929,435) 31,894,127
Other Assets and Liabilities (net) - 1.9% 612,002
-----------
TOTAL NET ASSETS - 100.0% $32,506,129
===========
</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.
++ Security is a "step-up" bond where the
coupon increases or steps up at a
predetermined date.
PIK - Payment in Kind
Yankee - U.S. Dollar denominated bonds issued
by non-U.S. companies in the U.S.
See notes to financial statements
<PAGE> 95
COVA SERIES TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
JUNE 30, 1998
- --------------------------------------------------------------------------------
The following table summarizes the portfolio composition of domestic
and foreign bonds and debt holdings at June 30, 1998, 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 PORFOLIO
BB 19.4
B 78.1
CCC 1.3
NR 1.2
------
100.0%
------
Note: NR = Not Rated
See notes to financial statements
<PAGE> 96
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO OF INVESTMENTS -
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CONVERTIBLE PREFERRED STOCKS - 3.9%
BANKING - 0.3%
9,500 Westpac Banking Strypes Trust ...................... $ 286,781
----------
CONTAINERS & PACKAGING - 0.8%
13,300 Owens-Illinois, Inc.* .............................. 693,263
----------
FINANCIAL SERVICES - 1.0%
7,000 Coltec Capital Trust* .............................. 327,747
10,000 Frontier Financing Trust ........................... 578,750
----------
906,497
----------
HEAVY MACHINERY - 0.3%
10,000 Ingersoll-Rand Co. ................................. 240,000
----------
INSURANCE - 0.4%
3,200 Fleetword Capital Trust ............................ 169,600
3,000 Life RE Capital Trust II ........................... 228,750
----------
398,350
----------
RETAILERS - 0.6%
7,000 CVS Corp.* ......................................... 534,188
----------
TELEPHONE SYSTEMS - 0.5%
10,000 IXC Communications, Inc.* .......................... 481,250
----------
Convertible Preferred Stocks (Cost $3,553,008) 3,540,329
----------
DOMESTIC BONDS AND DEBT SECURITIES - 80.6%
AEROSPACE & DEFENSE - 2.0%
$1,000,000 BE Aerospace, Inc. ................................. 9.875% 02/01/06 1,070,000
500,000 Orbital Sciences Corp. ............................. 5.000% 10/01/02 741,245
----------
1,811,245
----------
AUTOMOTIVE - 1.9%
100,000 Diamond Triumph Autoglass .......................... 9.250% 04/01/08 102,500
700,000 Navistar International Corp. ....................... 8.000% 02/01/08 707,000
600,000 Oshkosh Truck Corp. ................................ 8.750% 03/01/08 609,000
250,000 Safelite Glass, Inc. (144A)# ....................... 9.875% 12/15/06 260,000
----------
1,678,500
----------
BANKING - 0.5%
500,000 Credit Suisse First Boston Convertible ............. 2.625% 04/20/03 477,500
----------
BEVERAGES, FOOD & TOBACCO - 0.3%
300,000 Diamond Brands, Inc. (144A)# ....................... 10.125% 04/15/08 302,250
----------
CHEMICALS - 0.6%
500,000 Sovereign Specialty Chemicals, Inc. ................ 9.500% 08/01/07 512,500
----------
COAL - 0.6%
505,000 P & L Coal Holdings Corp. (144A)# .................. 8.875% 05/15/08 522,044
----------
COMMERCIAL SERVICES - 5.1%
500,000 Dyncorp, Inc. ...................................... 9.500% 03/01/07 517,500
500,000 Interim Services, Inc. Convertible ................. 4.500% 06/01/05 524,995
505,000 Interpublic Group Companies Convertible (144A)# .... 1.800% 09/16/04 472,175
850,000 Iron Mountain, Inc. ................................ 10.125% 10/01/06 935,000
400,000 Metamor Worldwide, Inc. Convertible ................ 2.940% 08/15/04 387,500
200,000 Outsourcing Solutions, Inc. Convertible ............ 11.000% 11/01/06 215,000
500,000 Pierce Leahy Corp. ................................. 9.125% 07/15/07 518,750
500,000 Unicco Service Co. ................................. 9.875% 10/15/07 507,500
500,000 United Defense Industries, Inc. .................... 8.750% 11/15/07 507,500
----------
4,585,920
----------
</TABLE>
See notes to financial statements
<PAGE> 97
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMUNICATIONS - 5.0%
$500,000 Cencall Communications Corp. ....................... 0%, 10.125% ++ 01/15/04 $ 491,250
500,000 Comcast Cellular Holdings .......................... 9.500% 05/01/07 523,750
400,000 Dobson Wireline Co. ................................ 12.250% 06/15/08 394,000
1,000,000 GST USA, Inc. ...................................... 0%, 13.875% ++ 12/15/05 815,000
500,000 Jacor Communications, Inc. ......................... 9.750% 12/15/06 546,250
1,000,000 Jacor Communications, Inc. Convertible ............. + 02/09/18 438,750
500,000 NTL, Inc. .......................................... 10.000% 02/15/07 537,500
1,000,000 Qwest Communications International, Inc. ........... 0%, 8.290% ++ 02/01/08 725,000
----------
4,471,500
----------
COMPUTER SOFTWARE & PROCESSING - 3.3%
600,000 Affiliated Computer Services, Inc. Convertible ..... 4.000% 03/15/05 665,628
500,000 Arbor Software Corp. Convertible ................... 4.500% 03/15/05 438,125
750,000 National Data Corp. Convertible .................... 5.000% 11/01/03 773,438
600,000 Orbital Imaging Corp. (144A)# ...................... 11.625% 03/01/05 615,000
500,000 Unisys Corp. ....................................... 9.750% 09/15/16 522,500
----------
3,014,691
----------
COMPUTERS & INFORMATION - 0.5%
450,000 Comverse Technology, Inc. Convertible (144A)# ...... 4.500% 07/01/05 452,250
----------
CONTAINERS & PACKAGING - 0.9%
775,000 U.S. Can Corp. ..................................... 10.125% 10/15/06 821,500
----------
COSMETICS & PERSONAL CARE - 0.6%
500,000 Chattem, Inc. ...................................... 8.875% 04/01/08 500,000
----------
ELECTRONICS - 0.7%
350,000 Analog Devices, Inc. Convertible ................... 3.500% 12/01/00 440,563
250,000 Read-Rite Corp. Convertible ........................ 6.500% 09/01/04 150,625
----------
591,188
----------
ENTERTAINMENT & LEISURE - 3.6%
425,000 Grand Casinos, Inc. ................................ 9.000% 10/15/04 461,125
250,000 Majestic Star Casino LLC ........................... 12.750% 05/15/03 274,375
500,000 Regal Cinemas, Inc. (144A)# ........................ 9.500% 06/01/08 507,500
500,000 Riddell Sports, Inc. ............................... 10.500% 07/15/07 506,250
300,000 Silver Cinemas, Inc. (144A)# ....................... 10.500% 04/15/05 303,000
200,000 Six Flags Entertainment Corp. ...................... 8.875% 04/01/06 203,750
500,000 Trump Atlantic City Association .................... 11.250% 05/01/06 487,500
500,000 Viacom International ............................... 8.000% 07/07/06 517,500
----------
3,261,000
----------
FINANCIAL SERVICES - 1.0%
250,000 AEI Holding Co. (144A)# ............................ 10.000% 11/15/07 250,625
500,000 Navistar Financial Corp. ........................... 9.000% 06/01/02 525,625
150,000 Ocwen Financial Corp. .............................. 11.875% 10/01/03 170,250
----------
946,500
----------
FOREST PRODUCTS & PAPER - 0.3%
300,000 U.S. Timberlands, (144A)# .......................... 9.625% 11/15/07 309,375
----------
HEALTH CARE PROVIDERS - 3.1%
500,000 HEALTHSOUTH Corp. Convertible ...................... 3.250% 04/01/03 497,500
250,000 HEALTHSOUTH Corp. Convertible ...................... 3.250% 04/01/03 249,688
500,000 Integrated Health Services, Inc. ................... 10.250% 04/30/06 537,500
500,000 Leiner Health Products Group ....................... 9.625% 07/01/07 533,750
500,000 Multicare Companies, Inc. .......................... 9.000% 08/01/07 496,250
500,000 Tenet Healthcare Corp. ............................. 8.625% 01/15/07 518,125
----------
2,832,813
----------
HEAVY CONSTRUCTION - 0.6%
500,000 American Builders & Contractors Supply Co. ......... 10.625% 05/15/07 502,500
----------
</TABLE>
See notes to financial statements
<PAGE> 98
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 2.1%
$ 500,000 D.R. Horton, Inc. ................................... 10.000% 04/15/06 $ 538,750
500,000 Falcon Building Products, Inc. ...................... 0%, 10.500% ++ 06/15/07 337,500
500,000 Interface, Inc. ..................................... 9.500% 11/15/05 537,500
500,000 MDC Holdings, Inc. .................................. 8.375% 02/01/08 500,000
----------
1,913,750
----------
INDUSTRIAL - DIVERSIFIED - 0.8%
500,000 Interep National Radio Sales (144A)# ................ 10.000% 07/01/08 507,500
250,000 R.H. Donnelly, Inc .................................. 9.125% 06/01/08 255,000
----------
762,500
----------
INDUSTRIAL TECHNOLOGY - 0.3%
300,000 Viasystems, Inc. .................................... 9.750% 06/01/07 297,750
----------
INSURANCE - 0.8%
250,000 American International Group Convertible ............ 2.250% 07/30/04 310,418
500,000 Loews Corp. Convertible ............................. 3.125% 09/15/07 454,875
----------
765,293
----------
LODGING - 0.6%
500,000 Hard Rock Hotel, Inc. (144A)# ....................... 9.250% 04/01/05 516,250
----------
MEDIA - BROADCASTING & PUBLISHING - 7.6%
500,000 Allbritton Communications Co. ....................... 9.750% 11/30/07 552,500
1,000,000 Century Communications Corp. ........................ 9.500% 03/01/05 1,085,000
500,000 Chancellor Radio .................................... 9.375% 10/01/04 527,500
550,000 Clear Channel Communications, Inc. Convertible ...... 2.625% 04/01/03 601,222
350,000 Cumulus Media, Inc. ................................. 10.375% 07/01/08 355,250
1,000,000 Fox Liberty Networks LLC ............................ 8.875% 08/15/07 1,020,000
500,000 L-3 Communications .................................. 10.375% 05/01/07 555,000
750,000 Mediacom LLC (144A)# ................................ 8.500% 04/15/08 750,938
200,000 Price Communications Wireless, Inc. ................. 11.750% 07/15/07 221,000
750,000 Renaissance Media Group (144A)# ..................... 0%, 10.000% ++ 04/15/08 464,063
575,000 Sinclair Broadcasting Group, Inc. (144A)# ........... 10.000% 09/30/05 619,563
----------
6,752,036
----------
MEDICAL & BIO-TECHNOLOGY - 0.9%
350,000 Centocor, Inc. Convertible .......................... 4.750% 02/15/05 349,563
500,000 Prime Medical Services, Inc. ........................ 8.750% 04/01/08 492,500
----------
842,063
----------
METALS - 0.3%
250,000 WCI Steel, Inc. ..................................... 10.000% 12/01/04 258,125
----------
MISCELLANEOUS - 0.3%
250,000 General Binding Corp. (144A)# ....................... 9.375% 06/01/08 255,000
----------
OIL & GAS - 6.5%
500,000 Baker Hughes, Inc. Convertible ...................... + 05/05/08 370,000
500,000 Chesapeake Energy Corp. (144A)# ..................... 9.625% 05/01/05 502,500
500,000 Dailey International, Inc. .......................... 9.500% 02/15/08 490,000
500,000 Flores & Rucks, Inc. ................................ 9.750% 10/01/06 546,250
400,000 Giant Industries, Inc. .............................. 9.000% 09/01/07 412,500
500,000 GSI Group, Inc. ..................................... 10.250% 11/01/07 527,500
500,000 HS Resources, Inc. .................................. 9.875% 12/01/03 519,375
500,000 KCS Energy, Inc. .................................... 8.875% 01/15/08 478,750
150,000 Parker Drilling Corp. Convertible ................... 5.500% 08/01/04 129,000
500,000 Pogo Producing Co. .................................. 8.750% 05/15/07 510,000
400,000 Swift Energy Co. Convertible ........................ 6.250% 11/15/06 378,500
500,000 Texaco Capital, Inc. Convertible .................... 3.500% 08/05/04 517,500
500,000 Vintage Petroleum, Inc. ............................. 8.625% 02/01/09 507,500
----------
5,889,375
----------
</TABLE>
See notes to financial statements
<PAGE> 99
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PHARMACEUTICALS - 0.6%
$ 200,000 Alza Corp. .................................................. 5.000% 05/01/06 $ 256,768
300,000 SBC Jersey .................................................. 2.500% 07/07/02 324,000
-----------
580,768
-----------
REAL ESTATE - 0.5%
500,000 BF Saul (REIT) .............................................. 9.750% 04/01/08 496,250
-----------
RETAILERS - 3.1%
246,000 Businessland, Inc. .......................................... 5.500% 03/01/07 178,965
750,000 Costco Companies, Inc. ...................................... + 08/19/17 574,688
750,000 SBA Communications Corp. .................................... 0%, 12.000% ++ 03/01/08 472,500
500,000 Specialty Retailers, Inc. ................................... 9.000% 07/15/07 523,125
1,000,000 Stater Brothers Holdings, Inc. .............................. 9.000% 07/01/04 1,025,000
-----------
2,774,278
-----------
TELEPHONE SYSTEMS - 8.6%
550,000 Amer Mobile/AMSC Acquisition Corp. (144A)# .................. 12.250% 04/01/08 519,750
450,000 Bell Atlantic Financial Services, Inc. Convertible .......... 5.750% 04/01/03 460,971
500,000 Global Crossing Holdings Ltd. (144A)# ....................... 9.625% 05/15/08 524,375
250,000 Hyperion Telecommunications, Inc. ........................... 12.250% 09/01/04 270,625
1,000,000 Intermedia Communications, Inc. ............................. 0%, 11.250% ++ 07/15/07 736,250
500,000 IXC Communications, Inc. .................................... 9.000% 04/15/08 503,750
500,000 Level 3 Communications, Inc. ................................ 9.125% 05/01/08 490,000
600,000 MasTec, Inc. ................................................ 7.750% 02/01/08 576,000
1,000,000 Nextel Communications, Inc. ................................. 0%, 9.950% ++ 02/15/08 643,750
500,000 NEXTLINK Communications, Inc. ............................... 9.625% 10/01/07 515,000
250,000 Price Communications Wireless, Inc. ......................... 9.125% 12/15/06 251,250
500,000 RCN Corp. ................................................... 0%, 11.125% ++ 10/15/07 322,500
850,000 Telefonica de Argentina ..................................... 9.125% 05/07/08 803,250
575,000 Vanguard Cellular Systems, Inc. ............................. 9.375% 04/15/06 603,750
500,000 Viatel, Inc. (144A)# ........................................ 11.250% 04/15/08 525,000
-----------
7,746,221
-----------
TEXTILES, CLOTHING & FABRICS - 2.5%
500,000 Delta Mills, Inc. ........................................... 9.625% 09/01/07 492,500
430,000 GFSI, Inc. .................................................. 9.625% 03/01/07 451,500
500,000 Guess ?, Inc. ............................................... 9.500% 08/15/03 512,500
750,000 Pillowtex Corp. ............................................. 9.000% 12/15/07 775,313
-----------
2,231,813
-----------
TRANSPORTATION - 0.6%
500,000 Ryder TRS, Inc. ............................................. 10.000% 12/01/06 583,975
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 13.3%
1,500,000 Federal National Mortgage Association ....................... 8.500% 02/01/05 1,560,897
5,000,000 U.S. Treasury Note .......................................... 7.500% 05/15/02 5,337,500
5,000,000 U.S. Treasury Note .......................................... 5.500% 05/31/03 5,001,551
-----------
11,899,948
-----------
WHOLESALE - 0.6%
500,000 Kevco, Inc. ................................................. 10.375% 12/01/07 522,500
-----------
Total Domestic Bonds and Debt Securities (Cost $71,565,836) 72,681,171
-----------
FOREIGN BONDS AND DEBT SECURITIES - 9.0%
ARGENTINA - 0.3%
100,000 Comp Nav Perez Companc (144A)# .............................. 9.000% 01/30/04 97,125
200,000 Comp Nav Perez Companc (U.S.$) .............................. 9.000% 01/30/04 198,500
-----------
295,625
-----------
BRAZIL - 0.5%
500,000 Globo Comunicacoes Participation (U.S.$) .................... 10.625% 12/05/08 446,250
-----------
</TABLE>
See notes to financial statements
<PAGE> 100
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CANADA - 1.6%
$ 425,000 Canadian Airlines Corp. (Yankee) .......................... 10.000% 05/01/05 $ 433,500
750,000 MetroNet Communications Corp. (U.S.$) ..................... 0%, 9.950% ++ 06/15/08 467,813
500,000 Rogers Cantel, Inc. (Yankee) .............................. 8.300% 10/01/07 492,500
-----------
1,393,813
-----------
CHINA - 0.2%
250,000 Cathay International Ltd. (144A)# ......................... 13.000% 04/15/08 225,000
-----------
GREAT BRITAIN - 1.3%
250,000 Esprit Telecom Group Plc (144A)# .......................... 10.875% 06/15/08 248,125
475,000 Swiss Life Finance Ltd. (144A)# ........................... 2.000% 05/20/03 499,938
500,000 Telewest Communications Plc (Yankee) ...................... 0%, 11.000% ++ 10/01/07 417,500
-----------
1,165,563
-----------
MEXICO - 3.5%
500,000 Coca-Cola Femsa, S.A. (Yankee) ............................ 8.950% 11/01/06 507,773
500,000 Grupo Televisa S.A. (Yankee) .............................. 0%, 13.250% ++ 05/15/08 405,000
500,000 Mexican (Global Bond) ..................................... 9.875% 01/15/07 520,250
300,000 Mexico- Par (U.S.$) ....................................... 6.250% 12/31/19 248,438
400,000 Pepsi-Gemex, S.A. (Yankee) ................................ 9.750% 03/30/04 398,000
250,000 Petroleos Mexicanos (144A)# ............................... 9.000% 06/01/07 242,500
250,000 Petroleos Mexicanos (U.S.$) ............................... 9.000% 06/01/07 242,725
500,000 TV Azteca, S.A. (Yankee) .................................. 10.500% 02/15/07 500,000
-----------
3,064,686
-----------
PANAMA - 1.0%
1,000,000 Panama (Republic of) (U.S.$) .............................. 8.875% 09/30/27 947,500
-----------
SWITZERLAND - 0.6%
1,000,000 Roche Holdings, Inc. Convertible (144A)# .................. + 04/20/10 580,000
-----------
Total Foreign Bonds and Debt Securities (Cost $8,164,653) 8,118,437
-----------
WARRANTS - 0.0%
COMPUTER SOFTWARE & PROCESSING - 0.0%
600 Orbital Imaging Corp. (144A)# (expiring 03/01/05)* ........ 0
-----------
TOTAL INVESTMENTS - 93.5%
(Cost $83,283,497) 84,339,937
Other Assets and Liabilities (net) - 6.5% 5,900,977
-----------
TOTAL NET ASSETS - 100.0% $90,240,914
===========
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or
pay dividends in the last 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.
Yankee - U.S. Dollar denominated bonds issued by non-U.S. companies
in the U.S.
REIT - Real Estate Investment Trust
See notes to financial statements
<PAGE> 101
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
JUNE 30, 1998
- --------------------------------------------------------------------------------
The following table summarizes the portfolio composition of
domestic and foreign bonds and debt holdings at June 30, 1998,
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 PORFOLIO
U.S. Gov't and Agency Obligations 14.6%
AAA 0.4
AA 1.7
A 2.2
BBB 5.1
BB 14.4
B 52.5
CCC 3.5
NR 5.6
-----
100.0%
-----
Note: NR = Not Rated
See notes to financial statements
<PAGE> 102
COVA SERIES TRUST
MID CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
- -------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS - 87.3%
AEROSPACE & DEFENSE - 2.9%
Coltec Industries, Inc.* ............................... 8,000 $159,000
Orbital Sciences Corp.* ................................ 3,000 112,125
--------
271,125
--------
AUTOMOTIVE - 1.1%
Snap-On, Inc. .......................................... 3,000 108,750
--------
BANKING - 1.6%
Cullen/Frost Bankers, Inc. ............................. 2,000 108,500
TCF Financial Corp. .................................... 1,500 44,250
--------
152,750
--------
BEVERAGES, FOOD & TOBACCO - 9.8%
Corn Products International, Inc.* ..................... 3,000 101,625
Dean Foods Co. ......................................... 4,000 219,750
Dreyers Grand Ice Cream, Inc. .......................... 5,000 100,625
IBP, Inc. .............................................. 4,000 72,500
Smithfield Foods, Inc.* ................................ 6,000 183,000
Tyson Foods, Inc. ...................................... 4,000 86,750
Universal Foods Corp. .................................. 7,000 155,313
--------
919,563
--------
CHEMICALS - 2.1%
Crompton & Knowles Corp. ............................... 6,000 151,125
Morton International, Inc. ............................. 2,100 52,500
--------
203,625
--------
COMMERCIAL SERVICES - 3.3%
Laidlaw Environmental Services, Inc.* .................. 44,000 159,500
Unisource Worldwide, Inc. .............................. 14,000 151,375
--------
310,875
--------
COMMUNICATIONS - 1.9%
Plantronics, Inc.* ..................................... 3,500 180,250
--------
COMPUTER SOFTWARE & PROCESSING - 3.2%
Adobe Systems, Inc. .................................... 5,000 212,188
Cabletron Systems, Inc.* ............................... 7,000 94,063
--------
306,251
--------
CONTAINERS & PACKAGING - 2.1%
Ball Corp. ............................................. 5,000 200,938
--------
ELECTRIC UTILITIES - 7.7%
FirstEnergy Corp. ...................................... 4,000 123,000
LG&E Energy Corp.* ..................................... 4,000 108,250
Niagara Mohawk Power Corp.* ............................ 12,000 179,250
See notes to financial statements
<PAGE> 103
COVA SERIES TRUST
MID CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
- ---------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- ---------------------------------------------------------------------------
ELECTRIC UTILITIES - CONTINUED
Northeast Utilities* ............................. 13,000 $220,188
Sierra Pacific Resources ......................... 2,800 101,675
--------
732,363
--------
ENTERTAINMENT & LEISURE - 1.4%
Hasbro, Inc. ..................................... 3,300 129,731
--------
FOREST PRODUCTS & PAPER - 4.3%
Buckeye Technologies, Inc.* ...................... 6,000 141,375
Caraustar Industries, Inc. ....................... 3,000 86,625
Fort James Corp. ................................. 4,000 178,000
--------
406,000
--------
HEALTH CARE PROVIDERS - 6.4%
Coventry Health Care, Inc.* ...................... 6,500 96,688
MedPartners, Inc.* ............................... 27,000 216,000
Sierra Health Services, Inc.* .................... 6,000 151,125
Trigon Healthcare, Inc.* ......................... 4,000 144,750
--------
608,563
--------
HOUSEHOLD PRODUCTS - 1.8%
Jostens, Inc. .................................... 7,000 168,875
--------
INSURANCE - 6.8%
American Heritage Life Investment Corp. .......... 6,000 138,750
Everest RE Holdings, Inc. ........................ 3,000 115,313
LandAmerica Financial Group, Inc. ................ 1,600 91,600
ReliaStar Financial Corp. ........................ 3,000 144,000
Transatlantic Holdings, Inc. ..................... 2,000 154,625
--------
644,288
--------
MEDIA - BROADCASTING & PUBLISHING - 1.1%
TV Azteca, S.A. (ADR) ............................ 10,000 108,125
--------
MEDICAL SUPPLIES - 4.2%
Acuson Corp.* .................................... 10,000 181,875
Mettler-Toledo International, Inc.* .............. 3,400 68,213
St. Jude Medical, Inc. ........................... 4,000 147,250
--------
397,338
--------
OIL & GAS - 5.6%
Coflexip S.A. (ADR) .............................. 1,600 97,800
NGC Corp. ........................................ 11,000 137,500
Southwest Gas Corp. .............................. 5,500 134,406
Ultramar Diamond Shamrock Corp. .................. 5,000 157,813
--------
527,519
--------
PHARMACEUTICALS - 1.5%
Mylan Laboratories, Inc. ......................... 4,800 144,300
--------
See notes to financial statements
<PAGE> 104
COVA SERIES TRUST
MID CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
REAL ESTATE - 3.5%
Equity Office Properties Trust (REIT) ............... 6,000 $ 170,250
Healthcare Realty Trust, Inc. (REIT) ................ 6,000 163,500
----------
333,750
----------
RESTAURANTS - 2.7%
Tricon Global Restaurants, Inc.* .................... 8,000 253,495
----------
RETAILERS - 8.1%
Consolidated Stores Corp.* .......................... 2,500 90,625
Nine West Group, Inc.* .............................. 7,000 187,688
OfficeMax, Inc.* .................................... 11,000 181,500
Proffitt's, Inc.* ................................... 2,700 109,013
Stride Rite Corp. ................................... 4,800 72,300
Talbots, Inc. ....................................... 4,900 128,319
----------
769,445
----------
TEXTILES, CLOTHING & FABRICS - 4.2%
Fruit of the Loom, Inc.* ............................ 6,000 199,125
Polymer Group, Inc.* ................................ 17,000 197,625
----------
396,750
----------
TOTAL INVESTMENTS - 87.3%
(Cost $8,073,179) 8,274,669
Other Assets and Liabilities (net) - 12.7% 1,204,856
----------
TOTAL NET ASSETS - 100.0% $9,479,525
==========
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay
dividends in the 12 month period.
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
See notes to financial statements
<PAGE> 105
COVA SERIES TRUST
LARGE CAP RESEARCH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 88.3%
ADVERTISING - 1.4%
Young & Rubicam, Inc.* .................................. 2,500 $ 80,000
----------
AEROSPACE & DEFENSE - 0.6%
United Technologies Corp. ............................... 375 34,688
----------
AIRLINES - 0.3%
Delta Air Lines, Inc. ................................... 150 19,388
----------
AUTOMOTIVE - 0.4%
Ford Motor Co. .......................................... 400 23,600
----------
BANKING - 8.6%
Banc One Corp. .......................................... 1,200 66,975
BankAmerica Corp. ....................................... 650 56,184
BankBoston Corp. ........................................ 800 44,500
Chase Manhattan Corp. ................................... 1,150 86,825
Comerica, Inc. .......................................... 600 39,750
First Chicago NBD Corp. ................................. 450 39,881
First Union Corp. ....................................... 700 40,775
Mellon Bank Corp. ....................................... 1,200 83,550
Norwest Corp. ........................................... 700 26,163
----------
484,603
----------
BEVERAGES, FOOD & TOBACCO - 7.7%
Archer-Daniels-Midland Co. .............................. 3,700 71,688
Bestfoods ............................................... 1,000 58,063
Fortune Brands, Inc. .................................... 1,800 69,188
Heinz (H.J.), Co. ....................................... 1,950 109,444
Philip Morris Companies, Inc. ........................... 1,500 59,063
Sara Lee Corp. .......................................... 1,200 67,125
----------
434,571
----------
CHEMICALS - 2.5%
Air Products & Chemicals, Inc. .......................... 1,400 56,000
Du Pont (E.I.) De Nemours and Co. ....................... 720 53,730
Rohm & Haas Co. ......................................... 300 31,181
----------
140,911
----------
COMMERCIAL SERVICES - 1.5%
USA Waste Services, Inc.* ............................... 1,700 83,938
----------
COMMUNICATIONS - 0.5%
Alltel Corp. ............................................ 600 27,900
----------
</TABLE>
See notes to financial statements
<PAGE> 106
COVA SERIES TRUST
LARGE CAP RESEARCH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE & PROCESSING - 2.5%
First Data Corp. ........................................ 4,225 $ 140,737
----------
COMPUTERS & INFORMATION - 5.4%
Compaq Computer Corp. ................................... 1,245 35,327
EMC Corp. ............................................... 2,100 94,106
Hewlett-Packard Co. ..................................... 300 17,963
International Business Machines Corp. ................... 550 63,147
Sun Microsystems, Inc.* ................................. 2,125 92,305
----------
302,848
----------
CONTAINERS & PACKAGING - 1.1%
Crown Cork & Seal, Inc. ................................. 1,250 59,375
----------
ELECTRIC UTILITIES - 2.7%
Baltimore Gas and Electric Co. .......................... 1,100 34,169
Carolina Power & Light Co. .............................. 1,250 54,219
FirstEnergy Corp. ....................................... 2,000 61,500
----------
149,888
----------
ELECTRICAL EQUIPMENT - 1.0%
Emerson Electric Co. .................................... 900 54,338
----------
ELECTRONICS - 0.3%
Intel Corp. ............................................. 250 18,531
----------
ENTERTAINMENT & LEISURE - 1.2%
Hasbro, Inc. ............................................ 1,750 68,797
----------
FINANCIAL SERVICES - 3.6%
American General Corp. .................................. 900 64,069
Heller Financial, Inc.* ................................. 900 27,000
Morgan Stanley, Dean Witter & Co. ....................... 1,200 109,650
----------
200,719
----------
FOREST PRODUCTS & PAPER - 3.9%
Abitibi-Consolidated, Inc. .............................. 2,000 25,625
Bowater, Inc. ........................................... 1,250 59,063
Fort James Corp. ........................................ 1,800 80,100
Sonoco Products Co. ..................................... 1,870 56,568
----------
221,356
----------
HEALTH CARE PROVIDERS - 3.5%
Columbia/HCA Healthcare Corp. ........................... 2,200 64,075
Humana, Inc.* ........................................... 1,900 59,256
United Healthcare Corp. ................................. 1,150 73,025
----------
196,356
----------
</TABLE>
See notes to financial statements
<PAGE> 107
COVA SERIES TRUST
LARGE CAP RESEARCH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
HEAVY MACHINERY - 1.4%
Deere & Co. ............................................. 1,510 $ 79,841
----------
HOUSEHOLD PRODUCTS - 0.7%
Rubbermaid, Inc. ........................................ 1,200 39,825
----------
INDUSTRIAL - DIVERSIFIED - 1.0%
Eastman Kodak Co. ....................................... 750 54,797
----------
INSURANCE - 4.2%
Allstate Corp. .......................................... 600 54,938
Chubb Corp. ............................................. 600 48,225
Cigna Corp. ............................................. 500 34,500
Jefferson Pilot Corp. ................................... 450 26,072
Mercury General Corp. ................................... 1,150 74,103
----------
237,838
----------
MEDIA - BROADCASTING & PUBLISHING - 3.8%
CBS Corp. ............................................... 1,500 47,625
R.R. Donnelley & Sons Co. ............................... 1,200 54,900
Time Warner, Inc. ....................................... 650 55,534
Tribune Co. ............................................. 800 55,050
----------
213,109
----------
MEDICAL SUPPLIES - 2.8%
Baxter International, Inc. .............................. 1,000 53,813
St. Jude Medical, Inc. .................................. 1,300 47,856
United States Surgical Corp. ............................ 1,200 54,750
----------
156,419
----------
OFFICE EQUIPMENT - 0.8%
Xerox Corp. ............................................. 450 45,731
----------
OIL & GAS - 9.2%
British Petroleum Co. Plc (ADR) ......................... 1,200 105,900
Chevron Corp. ........................................... 800 66,450
Coastal Corp. ........................................... 600 41,888
Columbia Gas System, Inc. ............................... 750 41,719
ENI SPA (ADR) ........................................... 1,200 78,000
Exxon Corp. ............................................. 700 49,919
Mobil Corp. ............................................. 1,200 91,950
Total S.A. (ADR) ........................................ 650 42,494
----------
518,320
----------
PHARMACEUTICALS - 5.0%
American Home Products Corp. ............................ 1,400 72,450
Bristol-Myers Squibb Co. ................................ 450 51,722
Merck & Co., Inc. ....................................... 325 43,469
</TABLE>
See notes to financial statements
<PAGE> 108
COVA SERIES TRUST
LARGE CAP RESEARCH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - CONTINUED
Pharmacia & Upjohn, Inc. ................................ 2,000 $ 92,250
SmithKline Beecham Plc (ADR) ............................ 400 24,200
----------
284,091
----------
RESTAURANTS - 0.6%
Tricon Global Restaurants, Inc.* ........................ 1,000 31,688
----------
RETAILERS - 3.8%
J.C. Penney Co., Inc. ................................... 800 57,850
May Department Stores (The) Co. ......................... 850 55,675
TJX Companies, Inc. ..................................... 2,200 53,075
Toys "R" Us, Inc.* ...................................... 2,100 49,481
----------
216,081
----------
TELEPHONE SYSTEMS - 4.7%
AT&T Corp. .............................................. 1,750 99,969
Bell Atlantic Corp. ..................................... 1,000 45,625
Bellsouth Corp. ......................................... 550 36,919
SBC Communications Corp. ................................ 1,200 48,000
Worldcom, Inc.* ......................................... 700 33,906
----------
264,419
----------
TEXTILES, CLOTHING & FABRICS - 1.6%
Fruit of the Loom, Inc.* ................................ 800 26,550
VF Corp. ................................................ 1,200 61,800
----------
88,350
----------
TOTAL INVESTMENTS - 88.3%
(Cost $4,736,623) ....................................... 4,973,053
Other Assets and Liabilities (net) - 11.7% .............. 656,982
----------
TOTAL NET ASSETS - 100.0% ............................... $5,630,035
==========
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay dividends
in the 12 month period.
ADR - American Depositary Receipt
</TABLE>
See notes to financial statements
<PAGE> 109
COVA SERIES TRUST
DEVELOPING GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 94.3%
AEROSPACE & DEFENSE - 2.8%
Orbital Sciences Corp.* ................................. 6,300 $ 235,463
----------
BANKING - 0.8%
Net.B@nk, Inc.* ......................................... 2,400 70,800
----------
BEVERAGES, FOOD & TOBACCO - 0.6%
Dreyers Grand Ice Cream, Inc. ........................... 2,500 50,313
----------
CHEMICALS - 0.6%
Eco Soil Systems, Inc.* ................................. 4,600 48,300
----------
COMMERCIAL SERVICES - 12.5%
Armor Holdings, Inc.* ................................... 8,000 92,000
Butler International, Inc.* ............................. 3,700 96,663
Caribiner International, Inc.* .......................... 6,000 105,000
G & K Services, Inc. Class A ............................ 1,600 69,800
ICOS Corp.* ............................................. 5,200 99,450
Kroll-O'Gara Co. (The)* ................................. 6,000 128,250
Labor Ready, Inc.* ...................................... 1,800 54,338
M/A/R/C, Inc. ........................................... 3,600 59,400
Norrell Corp. ........................................... 2,400 47,850
Professional Staff Plc (ADR)* ........................... 3,600 49,500
SCB Computer Technology, Inc.* .......................... 6,700 73,700
SOS Staffing Services, Inc.* ............................ 2,200 38,638
Steiner Leisure Ltd. .................................... 900 27,225
TAVA Technologies, Inc.* ................................ 8,500 83,938
TeleTech Holdings, Inc.* ................................ 3,600 44,100
----------
1,069,852
----------
COMMUNICATIONS - 7.1%
CellStar Corp. .......................................... 11,800 152,663
IFR Systems, Inc.* ...................................... 2,000 36,000
Plantronics, Inc.* ...................................... 8,000 411,990
----------
600,653
----------
COMPUTER SOFTWARE & PROCESSING - 19.3%
Accerl8 Technology Corp.* ............................... 3,800 46,550
AlphaNet Solutions, Inc.* ............................... 5,400 61,425
Alydaar Software Corp.* ................................. 2,200 27,913
BrightStar Information Technology Group, Inc.* .......... 4,700 65,213
CACI International, Inc.* ............................... 1,700 35,806
Caere Corp.* ............................................ 6,800 89,250
CMG Information Services, Inc. .......................... 2,800 198,100
Cognicase, Inc.* ........................................ 5,800 86,275
</TABLE>
See notes to financial statements
<PAGE> 110
COVA SERIES TRUST
DEVELOPING GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE & PROCESSING - CONTINUED
Computer Task Group, Inc. ............................... 1,500 $ 50,250
Information Management Resources, Inc. .................. 7,100 240,069
INTERSOLV, Inc.* ........................................ 2,500 40,156
Landmark Systems Corp.* ................................. 7,800 67,275
Learning Co., Inc. (The)* ............................... 5,000 148,125
Mastech Corp.* .......................................... 3,000 84,375
Mercury Interactive Corp.* .............................. 1,300 58,013
RadiSys Corp.* .......................................... 6,200 133,300
Security First Network Bank* ............................ 5,600 83,650
Smallworldwide Plc (ADR)* ............................... 1,900 55,338
USWeb Corp.* ............................................ 3,200 75,800
----------
1,646,883
----------
COMPUTERS & INFORMATION - 2.3%
Analogic Corp.* ......................................... 1,700 76,075
MICROS Systems, Inc. .................................... 3,600 119,137
----------
195,212
----------
CONSUMER SERVICES - 0.8%
York Group, Inc. (The) .................................. 3,600 68,400
----------
ELECTRICAL EQUIPMENT - 2.2%
Technitrol, Inc. ........................................ 4,700 187,706
----------
ELECTRONICS - 4.9%
ADFlex Solutions, Inc.* ................................. 5,100 45,263
Artesyn Technologies, Inc.* ............................. 8,800 140,800
Fluke Corp. ............................................. 1,800 59,175
Lecroy Corp.* ........................................... 2,400 54,900
LTX Corp.* .............................................. 7,700 37,778
Merix Corp.* ............................................ 3,200 31,800
SLI, Inc.* .............................................. 1,700 44,413
----------
414,129
----------
ENTERTAINMENT & LEISURE - 0.8%
Harvey Entertainment Co. (The)* ......................... 1,200 10,800
Play By Play Toys & Novelties, Inc.* .................... 2,400 24,750
Toymax International, Inc.* ............................. 4,400 30,250
----------
65,800
----------
FOOD RETAILERS - 0.5%
Wild Oats Markets, Inc.* ................................ 1,300 39,488
----------
HEALTH CARE PROVIDERS - 4.3%
Counsel Corp.* .......................................... 4,200 47,775
Express Scripts, Inc.* .................................. 600 48,375
Healthcare Services Group, Inc.* ........................ 5,200 82,550
</TABLE>
See notes to financial statements
<PAGE> 111
COVA SERIES TRUST
DEVELOPING GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
HEALTH CARE PROVIDERS - CONTINUED
Hooper Holmes, Inc. ..................................... 6,000 $ 126,000
Horizon Health Corp.* ................................... 3,300 57,750
----------
362,450
----------
HEAVY MACHINERY - 1.3%
Flow International Corp.* ............................... 4,300 49,719
JLG Industries, Inc. .................................... 3,200 64,800
----------
114,519
----------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 2.6%
Crossmann Communities, Inc. ............................. 1,500 45,563
McGrath Rentcorp ........................................ 6,000 126,750
Meadowcraft, Inc.* ...................................... 4,600 50,600
----------
222,913
----------
INDUSTRIAL - DIVERSIFIED - 2.8%
Matthews International Corp. Class A .................... 5,700 140,006
Park-Ohio Holdings Corp.* ............................... 3,500 64,750
Strategic Distribution, Inc.* ........................... 5,400 29,700
----------
234,456
----------
MEDICAL SUPPLIES - 5.0%
Arrow International, Inc. ............................... 1,500 41,156
Hologic, Inc.* .......................................... 5,100 92,756
Life Technologies, Inc. ................................. 1,700 53,338
Maxxim Medical, Inc.* ................................... 3,300 95,700
Orthofix International, N.V.* ........................... 3,500 45,500
Physio-Control International Corp.* ..................... 2,700 71,044
Thermedics, Inc.* ....................................... 2,400 29,700
----------
429,194
----------
OFFICE EQUIPMENT - 0.6%
In Focus Systems, Inc. .................................. 7,000 49,438
----------
OIL & GAS - 11.5%
Ceanic Corp.* ........................................... 3,000 58,125
Core Laboratories N.V ................................... 5,900 127,588
Dawson Geophysical Co.* ................................. 2,200 41,800
Dawson Production Services, Inc.* ....................... 4,500 67,500
Edge Petroleum Corp.* ................................... 6,600 76,313
Friede Goldman International, Inc.* ..................... 1,300 37,538
Gulf Island Fabrication, Inc. ........................... 5,200 97,500
Harken Energy Corp.* .................................... 24,500 117,906
Seitel, Inc.* ........................................... 6,800 110,075
Stone Energy Corp.* ..................................... 2,600 92,463
Superior Energy Services, Inc.* ......................... 8,000 40,500
Vintage Petroleum, Inc. ................................. 6,000 113,250
----------
980,558
----------
</TABLE>
See notes to financial statements
<PAGE> 112
COVA SERIES TRUST
DEVELOPING GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - 0.6%
Kos Pharmaceuticals, Inc.* .............................. 4,900 $ 49,613
----------
REAL ESTATE - 1.1%
Healthcare Realty Trust, Inc. (REIT) .................... 3,300 89,925
----------
RETAILERS - 3.8%
Eagle Hardware & Garden, Inc.* .......................... 6,600 152,625
Shoe Carnival, Inc.* .................................... 3,400 47,175
Stage Stores, Inc.* ..................................... 2,800 126,700
----------
326,500
----------
TEXTILES, CLOTHING & FABRICS - 5.5%
Kenneth Cole Productions, Inc. Class A* ................. 2,900 75,038
Quiksilver, Inc.* ....................................... 3,100 61,806
St. John Knits, Inc. .................................... 3,000 115,875
Tarrant Apparel Group* .................................. 7,600 143,450
Vans, Inc.* ............................................. 7,300 70,719
----------
466,888
----------
TOTAL INVESTMENTS - 94.3%
(Cost $7,760,807) ....................................... 8,019,453
Other Assets and Liabilities (net) - 5.7% ............... 480,322
----------
TOTAL NET ASSETS - 100.0% ............................... $8,499,775
==========
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay
dividends in the 12 month period.
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
</TABLE>
See notes to financial statements
<PAGE> 113
COVA SERIES TRUST
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 41.9%
BANKING - 3.7%
330 Banc One Corp. ......................................... $ 18,418
310 Chase Manhattan Corp. .................................. 23,405
180 Crestar Financial Corp. ................................ 9,821
380 First Union Corp. ...................................... 22,135
270 H.F. Ahmanson & Co. .................................... 19,170
----------
92,949
----------
BEVERAGES, FOOD & TOBACCO - 3.1%
935 IBP, Inc. .............................................. 16,947
410 Pepsico, Inc. .......................................... 16,887
540 Philip Morris Companies, Inc. .......................... 21,263
900 Sysco Corp. ............................................ 23,063
----------
78,160
----------
BUILDING MATERIALS - 0.5%
360 Sherwin Williams Co. ................................... 11,925
----------
CHEMICALS - 3.1%
375 Avery-Dennison Corp. ................................... 20,156
340 Ecolab, Inc. ........................................... 10,540
610 Millipore Corp. ........................................ 16,623
325 Praxair, Inc. .......................................... 15,214
590 Solutia, Inc. .......................................... 16,926
----------
79,459
----------
COMMERCIAL SERVICES - 0.5%
600 Cendant Corp.* ......................................... 12,525
----------
COMMUNICATIONS - 0.9%
309 Tellabs, Inc.* ......................................... 22,132
----------
COMPUTER SOFTWARE & PROCESSING - 3.5%
420 Computer Associates International, Inc. ................ 23,336
595 First Data Corp. ....................................... 19,821
125 Microsoft Corp. ........................................ 13,547
302 Networks Associates, Inc. .............................. 14,458
760 Oracle Corp. ........................................... 18,668
----------
89,830
----------
CONTAINERS & PACKAGING - 1.0%
250 Crown Cork & Seal, Inc. ................................ 11,875
397 Sealed Air Corp.* ...................................... 14,590
----------
26,465
----------
COSMETICS & PERSONAL CARE - 0.6%
225 Estee Lauder Companies - Class A ....................... 15,680
----------
ELECTRIC UTILITIES - 0.8%
470 New Century Energies, Inc. ............................. 21,356
----------
ELECTRICAL EQUIPMENT - 1.7%
245 General Electric Co. ................................... 22,295
400 Grainger (W.W.), Inc. .................................. 19,925
----------
42,220
----------
ELECTRONICS - 2.8%
1,020 Adaptec, Inc.* ......................................... 14,599
525 Analog Devices, Inc.* .................................. 12,895
</TABLE>
See notes to financial statements
<PAGE> 114
COVA SERIES TRUST
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRONICS - CONTINUED
805 Applied Materials, Inc. ................................ $ 23,748
665 KLA-Tencor Corp. * ..................................... 18,412
----------
69,654
----------
FINANCIAL SERVICES - 2.2%
250 Block, (H.& R.), Inc. .................................. 10,531
625 Heller Financial, Inc. * ............................... 18,750
523 SLM Holding Corp. ...................................... 25,627
----------
54,908
----------
FOREST PRODUCTS & PAPER - 0.5%
400 Mead Corp. ............................................. 12,700
----------
GAS COMPANIES - 0.6%
251 Consolidated Natural Gas Co. ........................... 14,778
----------
HEALTH CARE PROVIDERS - 0.4%
340 Columbia/HCA Healthcare Corp. .......................... 9,903
----------
HOUSEHOLD PRODUCTS - 0.9%
455 Newell Co. ............................................. 22,665
----------
MEDIA - BROADCASTING & PUBLISHING - 0.5%
190 Tribune Co. ............................................ 13,074
----------
MEDICAL SUPPLIES - 0.5%
320 Bard (C.R.), Inc. ...................................... 12,180
----------
OIL & GAS - 4.8%
242 Atlantic Richfield Co. ................................. 18,906
470 Baker Hughes, Inc. ..................................... 16,244
350 Murphy Oil Corp. ....................................... 17,741
850 Ocean Energy, Inc.* .................................... 16,628
1,000 Oryx Energy Co.* ....................................... 22,125
480 USX - Marathon Group ................................... 16,470
275 Vastar Resources, Inc. ................................. 12,014
----------
120,128
----------
PHARMACEUTICALS - 3.6%
250 Allergan, Inc. ......................................... 11,594
195 Bristol-Myers Squibb Co. ............................... 22,413
160 Eli Lilly & Co. ........................................ 10,570
180 Merck & Co., Inc. ...................................... 24,075
250 Schering-Plough Corp. .................................. 22,906
----------
91,558
----------
RESTAURANTS - 0.4%
350 Tricon Global Restaurants, Inc.* ....................... 11,091
----------
RETAILERS - 3.4%
628 Consolidated Stores Corp.* ............................. 22,765
600 Dillard's, Inc. Class A ................................ 24,863
920 Pep Boys - Manny, Moe & Jack ........................... 17,423
340 Wal-Mart Stores, Inc. .................................. 20,655
----------
85,706
----------
TELEPHONE SYSTEMS - 0.9%
695 Frontier Corp. ......................................... 21,893
----------
</TABLE>
See notes to financial statements
<PAGE> 115
COVA SERIES TRUST
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION - 1.0%
255 Burlington Northern Santa Fe Corp. ....................... $ 25,038
----------
Total Common Stocks (Cost $1,012,349) .................... 1,057,977
----------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS - 38.0% COUPON MATURITY
------ --------
U.S. GOVERNMENT AGENCY MORTGAGE BACKED
SECURITIES - 6.9%
$43,567 Federal Home Loan Mortgage Corp. ......... 6.500% 01/01/12 43,907
44,606 Federal National Mortgage Association .... 6.000% 03/01/11 44,160
39,605 Government National Mortgage Association . 6.500% 03/15/24 39,556
47,689 Government National Mortgage Association . 7.000% 07/20/27 48,210
----------
175,833
----------
U.S. TREASURY SECURITIES - 31.1%
150,000 U.S. Treasury Note ....................... 6.375% 05/15/00 152,297
150,000 U.S. Treasury Note ....................... 6.375% 08/15/02 154,594
150,000 U.S. Treasury Note ....................... 7.250% 05/15/04 162,791
150,000 U.S. Treasury Note ....................... 6.625% 05/15/07 161,250
150,000 U.S. Treasury Note ....................... 6.125% 08/15/07 156,188
----------
787,120
----------
Total U.S. Government and Agency
Obligations (Cost $948,416) 962,953
----------
TOTAL INVESTMENTS - 79.9%
(Cost $1,960,765) 2,020,930
Other Assets and Liabilities (net) - 20.1% 509,847
----------
TOTAL NET ASSETS - 100.0% $2,530,777
==========
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay
dividends in the last 12 month period.
</TABLE>
See notes to financial statements
<PAGE> 116
COVA SERIES TRUST
SMALL CAP EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 90.5%
ADVERTISING - 1.2%
THINK New Ideas, Inc.*................................................................ 800 $ 20,900
--------
AUTOMOTIVE - 2.4%
Aftermarket Technology Corp.*......................................................... 1,100 20,625
Superior Industries International, Inc.*.............................................. 800 22,550
--------
43,175
--------
BANKING - 5.7%
Associated Banc-Corp. ................................................................ 396 14,909
Bank United Corp. .................................................................... 400 19,150
CCB Financial Corp. .................................................................. 200 21,250
Commercial Federal Corp. ............................................................. 550 17,394
Sovereign Bancorp, Inc. .............................................................. 1,230 20,103
St. Paul Bancorp, Inc. ............................................................... 500 11,297
--------
104,103
--------
BEVERAGES, FOOD & TOBACCO - 2.7%
Canandaigua Wine Co. Inc. Class A*.................................................... 350 17,216
Hormel Foods Corp. ................................................................... 500 17,281
Performance Food Group Co.*........................................................... 746 14,827
--------
49,324
--------
CHEMICALS - 6.9%
Cytec Industries, Inc.*............................................................... 350 15,488
Hanna (M.A.) Co. ..................................................................... 1,150 21,059
International Specialty Products, Inc.*............................................... 950 17,694
Minerals Technologies, Inc. .......................................................... 600 30,525
OM Group, Inc. ....................................................................... 450 18,563
RPM, Inc. ............................................................................ 1,225 20,825
--------
124,154
--------
COAL - 0.8%
Zeigler Coal Holding Co. ............................................................. 800 13,700
--------
COMMERCIAL SERVICES - 2.9%
Interim Services, Inc.*............................................................... 400 12,850
Iron Mountain, Inc. .................................................................. 500 22,375
Rental Service Corp.*................................................................. 500 16,813
--------
52,038
--------
COMPUTER SOFTWARE & PROCESSING - 9.9%
Cognos, Inc.*......................................................................... 1,100 29,305
Condor Technology Solutions, Inc.*.................................................... 1,100 16,225
Cotelligent Group, Inc.*.............................................................. 900 21,038
National Data Corp. .................................................................. 800 35,000
SPSS, Inc.*........................................................................... 1,100 25,575
Sungard Data Systems, Inc.*........................................................... 800 30,700
</TABLE>
See notes to financial statements
<PAGE> 117
COVA SERIES TRUST
SMALL CAP EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE & PROCESSING - CONTINUED
SystemSoft Corp.* ....................................... 1,172 $ 1,758
Vanstar Corp.* .......................................... 1,500 21,844
----------
181,445
----------
COMPUTERS & INFORMATION - 2.3%
CDW Computer Centers, Inc.* ............................. 148 7,400
Zebra Technologies Corp. Class A* ....................... 800 34,200
----------
41,600
----------
CONTAINERS & PACKAGING - 1.5%
AptarGroup, Inc. ........................................ 250 15,547
Caraustar Industries, Inc. .............................. 300 8,663
Sealed Air Corp.* ....................................... 103 3,785
----------
27,995
----------
ELECTRIC UTILITIES - 0.6%
Cleco Corp. ............................................. 350 10,413
----------
ELECTRICAL EQUIPMENT - 1.1%
Barnett, Inc.* .......................................... 1,000 20,250
----------
ELECTRONICS - 8.1%
Amkor Technology, Inc.* ................................. 1,600 14,950
CFM Technologies, Inc.* ................................. 1,306 18,937
General Scanning, Inc.* ................................. 1,900 16,981
Kulicke & Soffa Industries, Inc.* ....................... 1,900 32,300
Photronics, Inc.* ....................................... 750 16,547
PRI Automation, Inc.* ................................... 1,400 23,888
SBS Technologies, Inc.* ................................. 600 18,075
SMART Modular Technologies, Inc.* ....................... 466 6,815
----------
148,493
----------
ENTERTAINMENT & LEISURE - 0.1%
Ballantyne of Omaha, Inc. ............................... 225 1,884
----------
FINANCIAL SERVICES - 6.5%
Aames Financial Corp. ................................... 750 10,313
Finova Group, Inc ....................................... 350 19,819
Resource Bancshares Mortgage Group, Inc. ................ 1,085 20,208
Rock Financial Corp. .................................... 1,200 12,300
Sirrom Capital Corp. .................................... 730 18,980
Southern Pacific Funding Corp.* ......................... 850 13,334
UniCapital Corp.* ....................................... 1,200 22,950
----------
117,904
----------
HEALTH CARE PROVIDERS - 3.8%
Alternative Living Services, Inc.* ...................... 100 2,700
American Oncology Resources, Inc.* ...................... 1,400 17,106
</TABLE>
See notes to financial statements
<PAGE> 118
COVA SERIES TRUST
SMALL CAP EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
HEALTH CARE PROVIDERS - CONTINUED
Beverly Enterprises, Inc.* .............................. 700 $ 9,669
Integrated Health Services, Inc. ........................ 600 22,500
Sun Healthcare Group, Inc.* ............................. 1,100 16,088
----------
68,063
----------
HEAVY MACHINERY - 1.1%
DT Industries, Inc. ..................................... 800 19,400
----------
HOUSEHOLD PRODUCTS - 1.1%
Blyth Industries, Inc.* ................................. 600 19,950
----------
INSURANCE - 2.5%
CMAC Investment Corp. ................................... 350 21,525
HCC Insurance Holdings, Inc. ............................ 1,050 23,100
----------
44,625
----------
MEDICAL SUPPLIES - 7.0%
DENTSPLY International, Inc. ............................ 1,150 28,750
Hanger Orthopedic Group, Inc.* .......................... 800 16,300
Lunar Corp.* ............................................ 500 9,188
Maxxim Medical, Inc.* ................................... 1,100 31,900
Ocular Sciences, Inc.* .................................. 700 22,750
ResMed, Inc.* ........................................... 400 18,225
----------
127,113
----------
OIL & GAS - 5.9%
Consolidated Natural Gas Co. ............................ 99 5,829
EEX Corp.* .............................................. 1,950 18,281
Global Industries Ltd. .................................. 850 14,344
IRI International Corp.* ................................ 1,500 16,125
Ocean Energy, Inc.* ..................................... 1,853 36,249
Swift Energy Co. ........................................ 980 15,614
----------
106,442
----------
PHARMACEUTICALS - 8.1%
Allergan, Inc. .......................................... 700 32,463
Penederm, Inc.* ......................................... 1,200 24,000
PharMerica, Inc.* ....................................... 1,118 13,486
R.P. Scherer Corp.* ..................................... 450 39,875
Shire Pharmaceuticals Group Plc (ADR)* .................. 1,000 21,375
Zonagen, Inc.* .......................................... 700 15,356
----------
146,555
----------
RESTAURANTS - 0.8%
Brinker International, Inc.* ............................ 800 15,400
----------
</TABLE>
See notes to financial statements
<PAGE> 119
COVA SERIES TRUST
SMALL CAP EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
RETAILERS - 3.3%
Bombay Co., Inc. (The)* ................................. 1,600 $ 7,600
Discount Auto Parts, Inc.* .............................. 550 14,300
Marks Brothers Jewelers, Inc.* .......................... 1,000 19,500
Petco Animal Supplies, Inc.* ............................ 920 18,343
----------
59,743
----------
TELEPHONE SYSTEMS - 2.0%
IXC Communications, Inc.* ............................... 750 36,375
----------
TEXTILES, CLOTHING & FABRICS - 1.2%
Kellwood Co. ............................................ 600 21,450
----------
TRANSPORTATION - 1.0%
Hub Group, Inc. Class A* ................................ 857 18,104
----------
TOTAL INVESTMENTS - 90.5%
(Cost $1,573,655) 1,640,598
Other Assets and Liabilities (net) - 9.5% 171,582
----------
TOTAL NET ASSETS - 100.0% $1,812,180
==========
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay
dividends in the 12 month period.
ADR - American Depositary Receipt
</TABLE>
See notes to financial statements
<PAGE> 120
COVA SERIES TRUST
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 89.2%
BANKING - 20.4%
Banc One Corp. .......................................... 716 $ 39,962
Chase Manhattan Corp. ................................... 600 45,300
Comerica, Inc. .......................................... 600 39,750
Crestar Financial Corp. ................................. 700 38,194
First Union Corp. ....................................... 650 37,863
H.F. Ahmanson & Co. ..................................... 600 42,600
KeyCorp ................................................. 1,100 39,188
MBNA Corp. .............................................. 1,000 33,000
Mellon Bank Corp. ....................................... 690 48,041
National City Corp. ..................................... 520 36,920
NationsBank Corp. ....................................... 500 38,250
PNC Bank Corp. .......................................... 800 43,050
U.S. Bancorp ............................................ 1,000 43,000
Wachovia Corp. .......................................... 460 38,870
Wells Fargo & Co. ....................................... 100 36,900
----------
600,888
----------
BEVERAGES, FOOD & TOBACCO - 5.9%
IBP, Inc. ............................................... 2,300 41,688
Philip Morris Companies, Inc. ........................... 1,200 47,250
Sara Lee Corp. .......................................... 700 39,156
UST, Inc. ............................................... 1,700 45,900
----------
173,994
----------
BUILDING MATERIALS - 1.2%
Sherwin Williams Co. .................................... 1,080 35,775
----------
CHEMICALS - 5.3%
Avery-Dennison Corp. .................................... 440 23,650
Ecolab, Inc. ............................................ 820 25,420
Millipore Corp. ......................................... 1,300 35,425
Praxair, Inc. ........................................... 800 37,450
RPM, Inc. ............................................... 1,912 32,504
----------
154,449
----------
COMPUTER SOFTWARE & PROCESSING - 1.8%
First Data Corp. ........................................ 1,600 53,300
----------
CONTAINERS & PACKAGING - 1.3%
Crown Cork & Seal, Inc. ................................. 800 38,000
----------
ELECTRIC UTILITIES - 5.1%
Ameren Corp. ............................................ 800 31,800
Baltimore Gas and Electric Co. .......................... 780 24,229
New Century Energies, Inc. .............................. 700 31,806
</TABLE>
See notes to financial statements
<PAGE> 121
COVA SERIES TRUST
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES - CONTINUED
Scana Corp. ............................................. 1,000 $ 29,813
Unicom Corp. ............................................ 900 31,556
----------
149,204
----------
ELECTRICAL EQUIPMENT - 3.8%
Cooper Industries, Inc. ................................. 700 38,456
Grainger (W.W.), Inc. ................................... 700 34,869
Hubbell, Inc. Class B ................................... 900 37,463
----------
110,788
----------
ELECTRONICS - 1.0%
Applied Materials, Inc. ................................. 1,000 29,500
----------
FINANCIAL SERVICES - 4.5%
Federal National Mortgage Association ................... 650 39,488
Heller Financial, Inc.* ................................. 1,500 45,000
SLM Holding Corp. ....................................... 1,000 49,000
----------
133,488
----------
FOREST PRODUCTS & PAPER - 2.3%
Consolidated Papers, Inc. ............................... 1,200 32,700
Mead Corp. .............................................. 1,100 34,925
----------
67,625
----------
GAS COMPANIES - 4.0%
Consolidated Natural Gas Co. ............................ 900 52,988
National Fuel Gas Co. ................................... 1,500 65,337
----------
118,325
----------
HEALTH CARE PROVIDERS - 1.7%
Columbia/HCA Healthcare Corp. ........................... 1,700 49,513
----------
HEAVY MACHINERY - 1.6%
FMC Corp.* .............................................. 700 47,731
----------
HOUSEHOLD PRODUCTS - 1.4%
Newell Co. .............................................. 800 39,850
----------
MEDICAL SUPPLIES - 1.6%
Bard (C.R.), Inc. ....................................... 1,200 45,675
----------
METALS - 1.8%
Aluminum Company of America ............................. 800 52,750
----------
OIL & GAS - 8.1%
Atlantic Richfield Co. .................................. 518 40,469
Baker Hughes, Inc. ...................................... 1,500 51,844
Murphy Oil Corp. ........................................ 800 40,550
</TABLE>
See notes to financial statements
<PAGE> 122
COVA SERIES TRUST
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------
<S> <C> <C>
OIL & GAS - CONTINUED
Oryx Energy Co.* ........................................ 700 $ 15,488
Phillips Petroleum Co. .................................. 800 38,550
USX - Marathon Group .................................... 1,500 51,469
----------
238,370
----------
PHARMACEUTICALS - 4.7%
Abbott Laboratories ..................................... 1,100 44,963
Allergan, Inc. .......................................... 1,000 46,375
Pharmacia & Upjohn, Inc. ................................ 1,030 47,509
----------
138,847
----------
REAL ESTATE - 2.7%
FelCor Suite Hotels, Inc. (REIT)* ....................... 1,300 40,788
Nationwide Health Properties, Inc. (REIT) ............... 790 18,861
Prentiss Properties Trust (REIT) ........................ 780 18,964
----------
78,613
----------
RETAILERS - 6.1%
Dillard's, Inc. Class A ................................. 1,275 52,833
Genuine Parts Co. ....................................... 1,200 41,475
May Department Stores (The) Co. ......................... 700 45,850
Pep Boys - Manny, Moe & Jack ............................ 2,100 39,769
----------
179,927
----------
TELEPHONE SYSTEMS - 1.5%
Frontier Corp. .......................................... 1,415 44,573
----------
TRANSPORTATION - 1.4%
Burlington Northern Santa Fe Corp. ...................... 410 40,257
----------
TOTAL INVESTMENTS - 89.2%
(Cost $2,462,590) 2,621,442
Other Assets and Liabilities (net) - 10.8% 316,816
----------
TOTAL NET ASSETS - 100.0% $2,938,258
==========
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay
dividends in the 12 month period.
REIT - Real Estate Investment Trust
</TABLE>
See notes to financial statements
<PAGE> 123
COVA SERIES TRUST
GROWTH & INCOME EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 90.7%
BANKING - 8.4%
Banc One Corp. .......................................... 1,840 $ 102,695
Chase Manhattan Corp. ................................... 1,430 107,965
Crestar Financial Corp. ................................. 890 48,561
First Union Corp. ....................................... 1,700 99,025
H.F. Ahmanson & Co. ..................................... 1,425 101,175
----------
459,421
----------
BEVERAGES, FOOD & TOBACCO - 7.4%
IBP, Inc. ............................................... 5,025 91,078
Pepsico, Inc. ........................................... 2,530 104,204
Philip Morris Companies, Inc. ........................... 2,680 105,525
Sysco Corp. ............................................. 4,060 104,038
----------
404,845
----------
BUILDING MATERIALS - 1.0%
Sherwin Williams Co. .................................... 1,575 52,172
----------
CHEMICALS - 8.3%
Avery-Dennison Corp. .................................... 2,000 107,500
Ecolab, Inc. ............................................ 1,665 51,615
Millipore Corp. ......................................... 3,215 87,609
Praxair, Inc. ........................................... 2,100 98,306
Solutia, Inc. ........................................... 3,850 110,447
----------
455,477
----------
COMMERCIAL SERVICES - 0.7%
Cendant Corp.* .......................................... 1,840 38,410
----------
COMMUNICATIONS - 2.1%
Tellabs, Inc.* .......................................... 1,575 112,809
----------
COMPUTER SOFTWARE & PROCESSING - 7.8%
Computer Associates International, Inc. ................. 1,800 100,013
First Data Corp. ........................................ 3,155 105,101
Microsoft Corp. ......................................... 600 65,025
Networks Associates, Inc. ............................... 1,230 58,886
Oracle Corp. ............................................ 4,050 99,478
----------
428,503
----------
CONTAINERS & PACKAGING - 2.5%
Crown Cork & Seal, Inc. ................................. 1,075 51,063
Sealed Air Corp.* ....................................... 2,400 88,200
----------
139,263
----------
COSMETICS & PERSONAL CARE - 1.3%
Estee Lauder Companies - Class A ........................ 1,000 69,688
----------
</TABLE>
See notes to financial statemetns
<PAGE> 124
COVA SERIES TRUST
GROWTH & INCOME EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES - 0.9%
New Century Energies, Inc. .............................. 1,050 $ 47,709
----------
ELECTRICAL EQUIPMENT - 3.8%
General Electric Co. .................................... 1,225 111,475
Grainger (W.W.), Inc. ................................... 1,930 96,138
----------
207,613
----------
ELECTRONICS - 5.2%
Adaptec, Inc.* .......................................... 4,800 68,700
Analog Devices, Inc. .................................... 2,250 55,266
Applied Materials, Inc. ................................. 2,650 78,175
KLA-Tencor Corp.* ....................................... 2,900 80,294
----------
282,435
----------
FINANCIAL SERVICES - 4.7%
Block, (H.& R.), Inc. ................................... 1,200 50,550
Heller Financial, Inc.* ................................. 2,600 78,000
SLM Holding Corp. ....................................... 2,635 129,111
----------
257,661
----------
FOREST PRODUCTS & PAPER - 1.0%
Mead Corp. .............................................. 1,725 54,769
----------
GAS COMPANIES - 1.8%
Consolidated Natural Gas Co. ............................ 1,700 100,088
----------
HEALTH CARE PROVIDERS - 1.2%
Columbia/HCA Healthcare Corp. ........................... 2,295 66,842
----------
HOUSEHOLD PRODUCTS - 1.9%
Newell Co. .............................................. 2,115 105,353
----------
MEDIA - BROADCASTING & PUBLISHING - 0.9%
Tribune Co. ............................................. 700 48,169
----------
MEDICAL SUPPLIES - 1.1%
Bard (C.R.), Inc. ....................................... 1,550 58,997
----------
OIL & GAS - 10.0%
Atlantic Richfield Co. .................................. 1,150 89,844
Baker Hughes, Inc. ...................................... 2,800 96,775
Murphy Oil Corp. ........................................ 2,000 101,375
Ocean Energy, Inc.* ..................................... 5,500 107,594
USX - Marathon Group .................................... 2,980 102,251
Vastar Resources, Inc. .................................. 1,175 51,333
----------
549,172
----------
</TABLE>
See notes to financial statemetns
<PAGE> 125
COVA SERIES TRUST
GROWTH & INCOME EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 1998 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - 7.7%
Allergan Specialty Therapeutics, Inc.* .................. 3 $ 26
Allergan, Inc. .......................................... 1,035 47,998
Bristol-Myers Squibb Co. ................................ 850 97,697
Eli Lilly & Co. ......................................... 830 54,832
Merck & Co., Inc. ....................................... 870 116,363
Schering-Plough Corp. ................................... 1,155 105,827
----------
422,743
----------
RESTAURANTS - 0.9%
Tricon Global Restaurants, Inc.* ........................ 1,523 48,260
----------
RETAILERS - 7.3%
Consolidated Stores Corp.* .............................. 2,831 102,624
Dillard's, Inc. Class A ................................. 2,300 95,306
Pep Boys - Manny, Moe & Jack ............................ 4,900 92,794
Wal-Mart Stores, Inc. ................................... 1,820 110,565
----------
401,289
----------
TELEPHONE SYSTEMS - 1.0%
Frontier Corp. .......................................... 1,700 53,550
----------
TRANSPORTATION - 1.8%
Burlington Northern Santa Fe Corp. ...................... 1,030 101,133
----------
TOTAL INVESTMENTS - 90.7%
(Cost $4,792,585) 4,966,371
Other Assets and Liabilities (net) - 9.3% 511,325
----------
TOTAL NET ASSETS - 100.0% $5,477,696
==========
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay dividends
in the 12 month period.
</TABLE>
See notes to financial statemetns
<PAGE> 126
THIS PAGE LEFT INTENTIONALLY BLANK
<PAGE> 127
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
Small Cap Stock Quality Bond Select Equity Large Cap Stock
Portfolio Portfolio Portfolio Portfolio
--------------- ------------ ------------- ---------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (Note 1)* $72,491,908 $28,447,773 $153,991,425 $62,652,725
Cash 5,317,709 1,463,303 2,380,903 631,129
Cash denominated in foreign currencies ** -- 4,066 -- --
Receivable for investments sold 311,214 225,573 3,297,468 72,219
Receivable for Trust shares sold 24,587 27,169 83,167 64,378
Dividends receivable 96,455 -- 170,745 68,317
Interest receivable 17,342 386,198 16,554 3,458
Unrealized appreciation on forward currency
contracts (Note 5) -- 30,322 -- --
Receivable from investment adviser (Note 2) -- 4,198 -- --
----------- ----------- ------------ -----------
Total assets 78,259,215 30,588,602 159,940,262 63,492,226
----------- ----------- ------------ -----------
LIABILITIES
Payables for:
Payable for investments purchased 495,007 221,242 3,127,437 376,344
Payable for delayed delivery investments -- 1,191,321 -- --
Payable for Trust shares redeemed 4 18 3,916 957
Net variation margin on financial futures
contracts (Note 4) -- -- -- --
Unrealized depreciation on forward currency
contracts (Note 5) -- -- -- --
Investment advisory fee payable (Note 2) 14,116 -- 59,119 6,467
Payable to custodian -- -- -- --
Accrued expenses 24,182 15,381 24,464 19,124
----------- ----------- ------------ -----------
Total liabilities 533,309 1,427,962 3,214,936 402,892
----------- ----------- ------------ -----------
NET ASSETS $77,725,906 $29,160,640 $156,725,326 $63,089,334
=========== =========== ============ ===========
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Paid in surplus $70,263,736 $28,552,838 $135,696,321 $50,605,090
Accumulated net realized gain (loss) 1,571,114 172,770 15,936,115 2,623,599
Unrealized appreciation on investments, futures
contracts and foreign currency 5,839,607 411,104 5,079,778 9,850,460
Undistributed (distributions in excess of) net
investment income 51,449 23,928 13,112 10,185
----------- ----------- ------------ -----------
Total $77,725,906 $29,160,640 $156,725,326 $63,089,334
=========== =========== ============ ===========
Capital shares outstanding 5,863,644 2,754,892 10,558,511 3,858,688
=========== =========== ============ ===========
NET ASSET VALUE AND OFFERING PRICE PER SHARE $ 13.256 $ 10.585 $ 14.844 $ 16.350
=========== =========== ============ ===========
- ---------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $66,652,301 $28,058,223 $148,911,647 $52,802,265
** Cost of cash denominated in foreign currencies -- 13,094 -- --
</TABLE>
See Notes to Financial Statements
<PAGE> 128
<TABLE>
<CAPTION>
International VKAC Growth
Equity Money Market Quality Income Stock Index and Income High Yield
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ------------- ----------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
$92,165,608 $15,785,822 $ 45,089,304 $94,782,808 $54,724,980 $31,894,127
1,261,655 3,661 -- 386 1,139 951
2,940,545 -- -- -- -- --
1,455,459 -- -- -- 21,054 --
4,501 -- -- -- -- --
261,676 -- -- 102,765 62,044 16,519
11,643 3,904 615,396 7,905 752 626,977
354,397 -- -- -- -- --
-- -- -- -- 2,492 2,533
- ----------- ----------- ------------ ----------- ----------- -----------
98,455,484 15,793,387 45,704,700 94,893,864 54,812,461 32,541,107
- ----------- ----------- ------------ ----------- ----------- -----------
2,874,291 -- -- -- 36,400 --
-- -- -- -- -- --
29,702 12,149 34,168 79,280 27,779 14,546
-- -- 9,844 55,250 12,750 --
311,504 -- -- -- -- --
11,859 -- 11,883 34,108 -- --
-- -- 221,676 -- -- --
27,613 37,000 22,701 42,270 24,727 20,432
- ----------- ----------- ------------ ----------- ----------- -----------
3,254,969 49,149 300,272 210,908 101,656 34,978
- ----------- ----------- ------------ ----------- ----------- -----------
$95,200,515 $15,744,238 $ 45,404,428 $94,682,956 $54,710,805 $32,506,129
=========== =========== ============ =========== =========== ===========
- ----------------------------------------------------------------------------------------------------
$84,418,848 $15,821,941 $ 45,431,838 $48,277,120 $41,352,429 $31,061,717
3,581,346 (77,703) (1,919,448) 9,452,566 3,040,337 455,270
7,679,440 -- 1,858,240 36,938,212 10,295,327 964,692
(479,119) -- 33,798 15,058 22,712 24,450
- ----------- ----------- ------------ ----------- ----------- -----------
$95,200,515 $15,744,238 $ 45,404,428 $94,682,956 $54,710,805 $32,506,129
=========== =========== ============ =========== =========== ===========
7,359,502 15,746,758 4,223,969 4,640,752 3,146,160 2,967,051
=========== =========== ============ =========== =========== ===========
$ 12.936 $ 1.000 $ 10.749 $ 20.403 $ 17.390 $ 10.956
=========== =========== ============ =========== =========== ===========
- ----------------------------------------------------------------------------------------------------
$84,428,958 $15,785,822 $ 43,167,509 $57,933,438 $44,453,500 $30,929,435
3,044,174 -- -- -- -- --
</TABLE>
See notes to financial statements
<PAGE> 129
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
Bond Mid-Cap Large Cap Developing
Debenture Value Research Growth
Portfolio Portfolio Portfolio Portfolio
---------- --------- --------- ----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (Note 1)* $84,339,937 $8,274,669 $4,973,053 $ 8,019,453
Cash 5,250,436 1,118,452 666,819 613,761
Cash denominated in foreign currencies ** -- -- -- --
Receivable for investments sold -- -- -- --
Receivable for Trust shares sold 26,602 82,504 59,943 57,301
Dividends receivable 1,721 5,340 6,689 479
Interest receivable 1,620,047 4,415 2,868 2,365
Unrealized appreciation on forward currency
contracts (Note 5) -- -- -- --
Receivable from investment adviser (Note 2) -- 6,026 8,232 7,521
----------- ---------- ---------- -----------
Total assets 91,238,743 9,491,406 5,717,604 8,700,880
----------- ---------- ---------- -----------
LIABILITIES
Payables for:
Payable for investments purchased 941,902 -- 76,528 190,003
Payable for delayed delivery investments -- -- -- --
Payable for Trust shares redeemed 2,117 2 40 --
Net variation margin on financial futures
contracts (Note 4) -- -- -- --
Unrealized depreciation on forward currency
contracts (Note 5) -- -- -- --
Investment advisory fee payable (Note 2) 35,951 -- -- --
Payable to custodian -- -- -- --
Accrued expenses 17,859 11,879 11,001 11,102
----------- ---------- ---------- -----------
Total liabilities 997,829 11,881 87,569 201,105
----------- ---------- ---------- -----------
NET ASSETS $90,240,914 $9,479,525 $5,630,035 $ 8,499,775
=========== ========== ========== ===========
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Paid in surplus $87,890,633 $9,183,865 $5,244,101 $ 8,317,000
Accumulated net realized gain (loss) 1,203,720 91,573 147,904 (67,185)
Unrealized appreciation on investments, futures
contracts and foreign currency 1,056,440 201,490 236,430 258,646
Undistributed (distributions in excess of) net
investment income 90,121 2,597 1,600 (8,686)
----------- ---------- ---------- -----------
Total $90,240,914 $9,479,525 $5,630,035 $ 8,499,775
=========== ========== ========== ===========
Capital shares outstanding 7,331,508 840,022 494,011 744,981
=========== ========== ========== ===========
NET ASSET VALUE AND OFFERING PRICE PER SHARE $ 12.309 $ 11.285 $ 11.397 $ 11.409
=========== ========== ========== ===========
- ----------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $83,283,497 $8,073,179 $4,736,623 $ 7,760,807
** Cost of cash denominated in foreign currencies -- -- -- --
</TABLE>
See Notes to Financial Statements
<PAGE> 130
<TABLE>
<CAPTION>
Growth &
Small Cap Equity Income
Balanced Equity Income Equity
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ---------
<S> <C> <C> <C>
$2,020,930 $ 1,640,598 $2,621,442 $4,966,371
482,177 166,580 364,442 494,275
-- -- -- --
1,350 -- -- 5,686
9,849 11,715 15,188 7,320
980 546 4,653 4,671
13,697 598 1,701 2,224
-- -- -- --
13,929 14,430 11,101 8,128
---------- ----------- ---------- ----------
2,542,912 1,834,467 3,018,527 5,488,675
---------- ----------- ---------- ----------
-- 10,146 69,133 --
-- -- -- --
-- -- -- --
-- -- -- --
-- -- -- --
-- -- -- --
-- -- -- --
12,135 12,141 11,136 10,979
---------- ----------- ---------- ----------
12,135 22,287 80,269 10,979
---------- ----------- ---------- ----------
$2,530,777 $ 1,812,180 $2,938,258 $5,477,696
========== =========== ========== ==========
---------------------------------------------------------------------
$2,399,484 $ 1,740,172 $2,651,405 $5,083,864
70,073 6,355 126,453 219,393
60,165 66,943 158,852 173,786
1,055 (1,290) 1,548 653
---------- ----------- ---------- ----------
$2,530,777 $ 1,812,180 $2,938,258 $5,477,696
========== =========== ========== ==========
230,320 167,782 242,898 463,621
========== =========== ========== ==========
$ 10.988 $ 10.801 $ 12.097 $ 11.815
========== =========== ========== ==========
---------------------------------------------------------------------
$1,960,765 $ 1,573,655 $2,462,590 $4,792,585
-- -- -- --
</TABLE>
See notes to financial statements
<PAGE> 131
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
FOR SIX MONTHS ENDED JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
Small Cap Quality Select Large Cap
Stock Bond Equity Stock
Portfolio Portfolio Portfolio Portfolio
---------- -------- ----------- ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (1) $ 382,718 $ -- $ 901,379 $ 332,719
Interest 98,220 742,512 82,318 16,237
---------- -------- ----------- ----------
Total investment income 480,938 742,512 983,697 348,956
---------- -------- ----------- ----------
EXPENSES
Investment advisory fee (Note 2) 298,157 63,417 457,821 151,998
Custody, fund accounting, and transfer agent fees 82,332 27,850 109,172 69,372
Audit 6,344 6,344 6,344 6,344
Trustee fees and expenses 2,217 2,217 2,217 2,217
Legal 134 134 134 134
Shareholder reporting 177 177 177 177
---------- -------- ----------- ----------
Total operating expenses 389,361 100,139 575,865 230,242
Interest Expense (Note 3) -- -- -- --
---------- -------- ----------- ----------
Total expenses 389,361 100,139 575,865 230,242
Less fees waived and expenses reimbursed
by the adviser 56,125 25,192 51,316 54,860
---------- -------- ----------- ----------
Net expenses 333,236 74,947 524,549 175,382
---------- -------- ----------- ----------
Net investment income 147,702 667,565 459,148 173,574
---------- -------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS,
FUTURES CONTRACTS AND FOREIGN CURRENCY RELATED
TRANSACTIONS
Net realized gain (loss) on investments 1,762,334 170,832 15,994,161 2,634,673
Net realized gain (loss) on futures contracts -- -- -- --
Net realized gain on foreign currency related
transactions -- 1,938 -- --
---------- -------- ----------- ----------
Net realized gain (loss) on investments,
futures contracts and foreign currency
related transactions 1,762,334 172,770 15,994,161 2,634,673
---------- -------- ----------- ----------
Unrealized appreciation on investments,
futures contracts and foreign currency
Beginning of period 5,055,622 344,990 5,798,007 4,728,305
End of period 5,839,607 411,104 5,079,778 9,850,460
---------- -------- ----------- ----------
Net change in unrealized appreciation
(depreciation) on investments,
futures contracts and foreign currency 783,985 66,114 (718,229) 5,122,155
---------- -------- ----------- ----------
Net realized and unrealized gain/(loss) on
investments, futures contracts and foreign
currency related transactions 2,546,319 238,884 15,275,932 7,756,828
---------- -------- ----------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $2,694,021 $906,449 $15,735,080 $7,930,402
========== ======== =========== ==========
- ----------------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withhholding taxes of: $ -- $ -- $ 3,055 $ 5
</TABLE>
See note to financial statements
<PAGE> 132
<TABLE>
<CAPTION>
VKAC
International Money Quality Growth
Equity Market Income Stock Index and Income High Yield
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------- --------- --------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C>
$ 1,012,591 $ -- $ -- $ 666,361 $ 368,924 $ 30,306
126,421 502,364 1,693,070 88,819 143,517 1,488,690
----------- --------- ----------- ----------- ----------- -----------
1,139,012 502,364 1,693,070 755,180 512,441 1,518,996
----------- --------- ----------- ----------- ----------- -----------
335,412 45,127 117,302 231,438 155,345 122,355
110,218 19,062 43,578 77,553 54,832 33,176
6,344 8,322 8,322 8,322 8,322 8,322
2,217 1,653 1,653 1,653 1,653 1,653
134 112 112 112 112 112
177 177 177 177 177 177
----------- --------- ----------- ----------- ----------- -----------
454,502 74,453 171,144 319,255 220,441 165,795
-- -- 14,536 2,032 -- 73
----------- --------- ----------- ----------- ----------- -----------
454,502 74,453 185,680 321,287 220,441 165,868
77,611 65,427 30,381 41,530 39,205 27,126
----------- --------- ----------- ----------- ----------- -----------
376,891 9,026 155,299 279,757 181,236 138,742
----------- --------- ----------- ----------- ----------- -----------
762,121 493,338 1,537,771 475,423 331,205 1,380,254
----------- --------- ----------- ----------- ----------- -----------
3,139,846 (64) 540,844 9,034,559 2,841,545 549,762
-- -- (30,288) 451,974 248,082 --
613,033 -- -- -- -- --
----------- --------- ----------- ----------- ----------- -----------
3,752,879 (64) 510,556 9,486,533 3,089,627 549,762
----------- --------- ----------- ----------- ----------- -----------
1,285,706 -- 1,993,312 31,962,906 6,466,491 1,305,260
7,679,440 -- 1,858,240 36,938,212 10,295,327 964,692
----------- --------- ----------- ----------- ----------- -----------
6,393,734 -- (135,072) 4,975,306 3,828,836 (340,568)
----------- --------- ----------- ----------- ----------- -----------
10,146,613 (64) 375,484 14,461,839 6,918,463 209,194
----------- --------- ----------- ----------- ----------- -----------
$10,908,734 $ 493,274 $ 1,913,255 $14,937,262 $ 7,249,668 $ 1,589,448
=========== ========= =========== =========== =========== ===========
---------------------------------------------------------------------------------------------------------------
$ 142,439 $ -- $ -- $ -- $ 3,362 $ --
</TABLE>
See notes to financial statements
<PAGE> 133
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
FOR SIX MONTHS ENDED JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
Bond Mid-Cap Large Cap Developing
Debenture Value Research Growth
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (1) $ 52,114 $ 30,002 $ 25,359 $ 3,493
Interest 2,802,179 15,639 9,708 9,188
---------- -------- -------- --------
Total investment income 2,854,293 45,641 35,067 12,681
---------- -------- -------- --------
EXPENSES
Investment advisory fee (Note 2) 272,730 26,344 16,060 19,248
Custody, fund accounting, and transfer agent fees 56,278 14,742 12,927 13,981
Audit 6,344 8,291 8,244 8,244
Trustee fees and expenses 2,009 2,237 2,217 2,217
Legal 134 285 285 285
Shareholder reporting 177 177 177 177
---------- -------- -------- --------
Total operating expenses 337,672 52,076 39,910 44,152
Interest Expense (Note 3) -- -- -- --
---------- -------- -------- --------
Total expenses 337,672 52,076 39,910 44,152
Less fees waived and expenses reimbursed by
the adviser 28,579 23,098 22,244 22,766
---------- -------- -------- --------
Net expenses 309,093 28,978 17,666 21,386
---------- -------- -------- --------
Net investment income 2,545,200 16,663 17,401 (8,705)
---------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS,
FUTURES CONTRACTS AND FOREIGN CURRENCY RELATED
TRANSACTIONS
Net realized gain (loss) on investments 1,203,791 91,423 148,537 (67,167)
Net realized gain (loss) on futures contracts -- -- -- --
Net realized gain on foreign currency related
transactions -- -- -- --
---------- -------- -------- --------
Net realized gain (loss) on investments,
futures contracts and foreign currency
related transactions 1,203,791 91,423 148,537 (67,167)
---------- -------- -------- --------
Unrealized appreciation on investments, futures
contracts and foreign currency
Beginning of period 1,213,703 46,986 6,584 8,505
End of period 1,056,440 201,490 236,430 258,646
---------- -------- -------- --------
Net change in unrealized appreciation
(depreciation) on investments, futures contracts
and foreign currency (157,263) 154,504 229,846 250,141
---------- -------- -------- --------
Net realized and unrealized gain/(loss) on
investments, futures contracts and foreign currency
related transactions 1,046,528 245,927 378,383 182,974
---------- -------- -------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $3,591,728 $262,590 $395,784 $174,269
========== ======== ======== ========
- ----------------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withhholding taxes of: $ -- $ 151 $ 111 $ --
</TABLE>
See notes to financial statements
<PAGE> 134
<TABLE>
<CAPTION>
Growth &
Small Cap Equity Income
Balanced Equity Income Equity
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ---------
<S> <C> <C> <C>
$ 5,101 $ 4,034 $ 25,302 $ 21,343
31,718 3,303 6,196 13,045
-------- -------- -------- --------
36,819 7,337 31,498 34,388
-------- -------- -------- --------
9,681 7,842 11,139 19,474
14,283 13,316 10,439 13,081
8,244 8,244 8,244 8,244
2,217 2,217 2,217 2,217
133 133 133 133
177 177 177 177
-------- -------- -------- --------
34,735 31,929 32,349 43,326
-- -- -- --
-------- -------- -------- --------
34,735 31,929 32,349 43,326
24,087 23,302 20,096 21,906
-------- -------- -------- --------
10,648 8,627 12,253 21,420
-------- -------- -------- --------
26,171 (1,290) 19,245 12,968
-------- -------- -------- --------
74,649 7,443 126,453 229,369
-- -- -- --
-- -- -- --
-------- -------- -------- --------
74,649 7,443 126,453 229,369
-------- -------- -------- --------
44,924 2,599 122,751 98,922
60,165 66,943 158,852 173,786
-------- -------- -------- --------
15,241 64,344 36,101 74,864
-------- -------- -------- --------
89,890 71,787 162,554 304,233
-------- -------- -------- --------
$116,061 $ 70,497 $181,799 $317,201
======== ======== ======== ========
---------------------------------------------------------------
$ -- $ -- $ -- $ --
</TABLE>
See notes to financial statements
<PAGE> 135
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Small Cap Stock Quality Bond
Portfolio Portfolio
-------------------------------- --------------------------------
Six months ended Year ended Six months ended Year ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 147,702 $ 192,685 $ 667,565 $ 605,946
Net realized gain (loss) on investments,
futures contracts, and foreign currency
related transactions 1,762,334 2,316,556 172,770 98,268
Net change in unrealized appreciation
(depreciation) on investments, futures
contracts and foreign currency
related transactions 783,985 4,557,270 66,114 281,253
----------- ----------- ----------- -----------
Net increase in net assets resulting from
operations 2,694,021 7,066,511 906,449 985,467
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (96,253) (192,883) (643,157) (660,166)
Net realized gains (2,461,868) (99,847) -- (76,278)
----------- ----------- ----------- -----------
Total distributions (2,558,121) (292,730) (643,157) (736,444)
----------- ----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 16,777,145 38,022,176 10,248,432 15,683,372
Net asset value of shares issued through
dividend reinvestment 2,558,121 914,326 643,157 879,467
Cost of shares repurchased (1,502,328) (603,894) (621,707) (3,986,444)
----------- ----------- ----------- -----------
Net increase (decrease) in net assets
from capital share transactions 17,832,938 38,332,608 10,269,882 12,576,395
----------- ----------- ----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS 17,968,838 45,106,389 10,533,174 12,825,418
NET ASSETS:
Beginning of period 59,757,068 14,650,679 18,627,466 5,802,048
----------- ----------- ----------- -----------
End of period $77,725,906 $59,757,068 $29,160,640 $18,627,466
=========== =========== =========== ===========
Net Assets at end of period includes
undistributed (distributions in
excess of) net investment income 51,449 $ -- $ 23,928 $ (480)
=========== =========== =========== ===========
CAPITAL SHARE TRANSACTIONS:
Beginning shares 4,559,948 1,341,383 1,790,249 575,476
----------- ----------- ----------- -----------
Shares sold 1,217,372 3,186,388 962,865 1,518,698
Shares issued through dividend reinvestment 194,905 82,158 60,846 85,914
Shares repurchased (108,581) (49,981) (59,068) (389,839)
----------- ----------- ----------- -----------
Net increase (decrease) in shares outstanding 1,303,696 3,218,565 964,643 1,214,773
----------- ----------- ----------- -----------
Ending shares 5,863,644 4,559,948 2,754,892 1,790,249
=========== =========== =========== ===========
</TABLE>
See notes to financial statements
<PAGE> 136
<TABLE>
<CAPTION>
Select Equity Large Cap Stock International Equity
Portfolio Portfolio Portfolio
----------------------------------- ---------------------------------- ----------------------------------
Six months ended Year ended Six months ended Year ended Six months ended Year ended
June 30, 1998 December 31, June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997 (Unaudited) 1997
---------------- ----------- ---------------- ----------- ---------------- -----------
<S> <C> <C> <C> <C> <C>
$ 459,148 $ 500,179 $ 173,574 $ 199,335 $ 762,121 $ 555,071
15,994,161 9,123,149 2,634,673 2,193,907 3,752,879 191,480
(718,229) 4,743,432 5,122,155 3,145,916 6,393,734 402,592
------------ ------------ ----------- ----------- ----------- -----------
15,735,080 14,366,760 7,930,402 5,539,158 10,908,734 1,149,143
------------ ------------ ----------- ----------- ----------- -----------
(455,252) (490,963) (163,389) (202,300) (1,590,564) (557,716)
(9,083,861) (330,961) (537,969) (1,756,862) (20,171) (42,415)
------------ ------------ ----------- ----------- ----------- -----------
(9,539,113) (821,924) (701,358) (1,959,162) (1,610,735) (600,131)
------------ ------------ ----------- ----------- ----------- -----------
35,351,949 68,852,468 23,226,071 17,343,331 18,385,262 52,754,470
9,539,113 1,157,234 701,358 2,369,560 1,610,735 673,824
(1,292,578) (457,582) (323,228) (7,808,393) (2,862,520) (827,522)
------------ ------------ ----------- ----------- ----------- -----------
43,598,484 69,552,120 23,604,201 11,904,498 17,133,477 52,600,772
------------ ------------ ----------- ----------- ----------- -----------
49,794,451 83,096,956 30,833,245 15,484,494 26,431,476 53,149,784
106,930,875 23,833,919 32,256,089 16,771,595 68,769,039 15,619,255
------------ ------------ ----------- ----------- ----------- -----------
$156,725,326 $106,930,875 $63,089,334 $32,256,089 $95,200,515 $68,769,039
============ ============ =========== =========== =========== ===========
$ 13,112 $ 9,216 $ 10,185 $ -- $ (479,119) $ 349,324
============ ============ =========== =========== =========== ===========
7,656,774 2,218,737 2,329,781 1,509,371 5,994,704 1,425,198
------------ ------------ ----------- ----------- ----------- -----------
2,344,473 5,382,252 1,507,746 1,243,518 1,467,545 4,584,724
641,497 93,395 42,928 179,193 125,855 57,454
(84,233) (37,610) (21,767) (602,301) (228,602) (72,672)
------------ ------------ ----------- ----------- ----------- -----------
2,901,737 5,438,037 1,528,907 820,410 1,364,798 4,569,506
10,558,511 7,656,774 3,858,688 2,329,781 7,359,502 5,994,704
============ ============ =========== =========== =========== ===========
</TABLE>
See notes to financial statements
<PAGE> 137
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Money Market Quality Income
Portfolio Portfolio
--------------------------------- ---------------------------------
Six months ended Year ended Six months ended Year ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997
---------------- ----------- ---------------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 493,338 $ 2,527,383 $ 1,537,771 $ 3,348,394
Net realized gain (loss) on investments,
futures contracts, and foreign currency
related transactions (64) (2,455) 510,556 (436,095)
Net change in unrealized appreciation
(depreciation) on investments, futures
contracts and foreign currency
related transactions -- -- (135,072) 1,309,494
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations 493,274 2,524,928 1,913,255 4,221,793
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (493,338) (2,527,383) (2,398,139) (3,338,386)
Net realized gains -- -- -- --
------------ ------------ ------------ ------------
Total distributions (493,338) (2,527,383) (2,398,139) (3,338,386)
------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 15,364 57,494,205 131,208 27,417,912
Net asset value of shares issued through
dividend reinvestment 493,338 2,527,383 2,398,139 4,139,374
Cost of shares repurchased (6,743,163) (68,995,258) (6,475,695) (33,929,181)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets from
capital share transactions (6,234,461) (8,973,670) (3,946,348) (2,371,895)
------------ ------------ ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (6,234,525) (8,976,125) (4,431,232) (1,488,488)
NET ASSETS:
Beginning of period 21,978,763 30,954,888 49,835,660 51,324,148
------------ ------------ ------------ ------------
End of period $ 15,744,238 $ 21,978,763 $ 45,404,428 $ 49,835,660
============ ============ ============ ============
Net Assets at end of period includes
undistributed (distributions in excess
of) net investment income $ -- $ -- $ 33,798 $ 894,166
============ ============ ============ ============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 21,981,219 31,030,072 4,572,261 4,801,097
------------ ------------ ------------ ------------
Shares sold 15,364 57,419,022 11,813 2,544,684
Shares issued through dividend reinvestment 493,338 2,527,383 223,488 392,730
Shares repurchased (6,743,163) (68,995,258) (583,593) (3,166,250)
------------ ------------ ------------ ------------
Net increase (decrease) in shares outstanding (6,234,461) (9,048,853) (348,292) (228,836)
------------ ------------ ------------ ------------
Ending shares 15,746,758 21,981,219 4,223,969 4,572,261
============ ============ ============ ============
</TABLE>
See notes to financial statements
<PAGE> 138
<TABLE>
<CAPTION>
Stock Index VKAC Growth and Income High Yield
Portfolio Portfolio Portfolio
---------------------------------- ---------------------------------- ---------------------------------
Six months ended Year ended Six months ended Year ended Six months ended Year ended
June 30, 1998 December 31, June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997 (Unaudited) 1997
---------------- ----------- ---------------- ----------- ---------------- -----------
<S> <C> <C> <C> <C> <C>
$ 475,423 $ 1,068,561 $ 331,205 $ 567,657 $ 1,380,254 $ 3,153,490
9,486,533 16,291,273 3,089,627 5,894,224 549,762 909,331
4,975,306 4,753,502 3,828,836 2,424,361 (340,568) 268,083
------------ ------------ ------------ ------------ ------------ ------------
14,937,262 22,113,336 7,249,668 8,886,242 1,589,448 4,330,904
------------ ------------ ------------ ------------ ------------ ------------
(479,051) (1,058,007) (317,776) (563,938) (1,365,047) (3,144,247)
(16,176,509) (288,033) (5,909,576) (513,391) -- --
------------ ------------ ------------ ------------ ------------ ------------
(16,655,560) (1,346,040) (6,227,352) (1,077,329) (1,365,047) (3,144,247)
------------ ------------ ------------ ------------ ------------ ------------
1,961,431 34,246,387 2,961,700 9,997,804 863,776 13,533,122
16,655,560 4,855,058 6,227,352 2,585,409 1,365,047 4,949,889
(12,593,039) (56,051,623) (3,329,927) (4,155,928) (3,209,552) (27,471,849)
------------ ------------ ------------ ------------ ------------ ------------
6,023,952 (16,950,178) 5,859,125 8,427,285 (980,729) (8,988,838)
------------ ------------ ------------ ------------ ------------ ------------
4,305,654 3,817,118 6,881,441 16,236,198 (756,328) (7,802,181)
90,377,302 86,560,184 47,829,364 31,593,166 33,262,457 41,064,638
------------ ------------ ------------ ------------ ------------ ------------
$ 94,682,956 $ 90,377,302 $ 54,710,805 $ 47,829,364 $ 32,506,129 $ 33,262,457
============ ============ ============ ============ ============ ============
$ 15,058 $ 18,686 $ 22,712 $ 9,283 $ 24,450 $ 9,243
============ ============ ============ ============ ============ ============
4,289,352 5,367,589 2,804,973 2,258,899 3,051,753 3,864,501
------------ ------------ ------------ ------------ ------------ ------------
86,122 1,698,260 161,273 626,726 77,030 1,249,817
816,453 286,130 360,343 175,231 124,923 461,088
(551,175) (3,062,627) (180,429) (255,883) (286,655) (2,523,653)
------------ ------------ ------------ ------------ ------------ ------------
351,400 (1,078,237) 341,187 546,074 (84,702) (812,748)
------------ ------------ ------------ ------------ ------------ ------------
4,640,752 4,289,352 3,146,160 2,804,973 2,967,051 3,051,753
============ ============ ============ ============ ============ ============
</TABLE>
See notes to financial statements
<PAGE> 139
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Bond Debenture Mid-Cap Value
Portfolio Portfolio
-------------------------------- ------------------------------
Six months ended Year ended Six months ended Period ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997*
-------------------------------- ------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 2,545,200 $ 1,745,813 $ 16,663 $ 2,098
Net realized gain (loss) on investments,
futures contracts, and foreign currency
related transactions 1,203,791 964,071 91,423 150
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign
currency related transactions (157,263) 930,642 154,504 46,986
----------- ----------- ---------- ----------
Net increase in net assets resulting from operations 3,591,728 3,640,526 262,590 49,234
----------- ----------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (2,455,079) (1,747,981) (14,075) (2,089)
Net realized gains (954,738) (18,188) -- --
----------- ----------- ---------- ----------
Total distributions (3,409,817) (1,766,169) (14,075) (2,089)
----------- ----------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 32,131,212 44,653,139 7,033,404 2,185,306
Net asset value of shares issued through
dividend reinvestment 3,409,817 2,000,414 14,075 2,089
Cost of shares repurchased (894,205) (778,993) (45,377) (5,632)
----------- ----------- ---------- ----------
Net increase (decrease) in net assets from
capital share transactions 34,646,824 45,874,560 7,002,102 2,181,763
----------- ----------- ---------- ----------
TOTAL INCREASE (DECREASE) IN NET ASSETS 34,828,735 47,748,917 7,250,617 2,228,908
NET ASSETS:
Beginning of period 55,412,179 7,663,262 2,228,908 --
----------- ----------- ---------- ----------
End of period $90,240,914 $55,412,179 $9,479,525 $2,228,908
=========== =========== ========== ==========
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 90,121 $ -- $ 2,597 $ 9
=========== =========== ========== ==========
CAPITAL SHARE TRANSACTIONS:
Beginning shares 4,574,812 698,547 212,659 --
----------- ----------- ---------- ----------
Shares sold 2,550,231 3,775,808 630,185 213,013
Shares issued through dividend reinvestment 277,516 169,197 1,252 200
Shares repurchased (71,051) (68,740) (4,074) (554)
----------- ----------- ---------- ----------
Net increase (decrease) in shares outstanding 2,756,696 3,876,265 627,363 212,659
----------- ----------- ---------- ----------
Ending shares 7,331,508 4,574,812 840,022 212,659
=========== =========== ========== ==========
* Fund commenced operations on August 20, 1997
** Fund commenced operations on July 1, 1997
See notes to financial statements
</TABLE>
<PAGE> 140
<TABLE>
<CAPTION>
Large Cap Research Developing Growth Balanced
Portfolio Portfolio Portfolio
- -------------------------------- ------------------------------ ------------------------------
Six months ended Period ended Six months ended Period ended Six months ended Period ended
June 30, 1998 December 31, June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997* (Unaudited) 1997* (Unaudited) 1997**
- -------------------------------- ------------------------------ ------------------------------
<S> <C> <C> <C> <C> <C>
$ 17,401 $ 2,322 $ (8,705) $ 345 $ 26,171 $ 17,015
148,537 (633) (67,167) 4,555 74,649 7,388
229,846 6,584 250,141 8,505 15,241 44,924
---------- ---------- ---------- ---------- ---------- ----------
395,784 8,273 174,269 13,405 116,061 69,327
---------- ---------- ---------- ---------- ---------- ----------
(15,994) (2,129) -- (326) (25,116) (17,093)
-- -- (4,573) -- -- (11,993)
---------- ---------- ---------- ---------- ---------- ----------
(15,994) (2,129) (4,573) (326) (25,116) (29,086)
---------- ---------- ---------- ---------- ---------- ----------
3,954,158 1,345,530 6,592,560 1,735,826 958,257 1,429,858
15,994 2,129 4,573 326 25,116 29,086
(72,917) (793) (1,204) (15,081) (4,591) (38,135)
---------- ---------- ---------- ---------- ---------- ----------
3,897,235 1,346,866 6,595,929 1,721,071 978,782 1,420,809
---------- ---------- ---------- ---------- ---------- ----------
4,277,025 1,353,010 6,765,625 1,734,150 1,069,727 1,461,050
1,353,010 -- 1,734,150 -- 1,461,050 --
---------- ---------- ---------- ---------- ---------- ----------
$5,630,035 $1,353,010 $8,499,775 $1,734,150 $2,530,777 $1,461,050
========== ========== ========== ========== ========== ==========
$ 1,600 $ 193 $ (8,686) $ 19 $ 1,055 $ --
========== ========== ========== ========== ========== ==========
136,592 -- 164,390 -- 140,640 --
---------- ---------- ---------- ---------- ---------- ----------
362,515 136,458 580,289 165,753 87,808 141,462
1,409 215 408 31 2,289 2,804
(6,505) (81) (106) (1,394) (417) (3,626)
---------- ---------- ---------- ---------- ---------- ----------
357,419 136,592 580,591 164,390 89,680 140,640
---------- ---------- ---------- ---------- ---------- ----------
494,011 136,592 744,981 164,390 230,320 140,640
========== ========== ========== ========== ========== ==========
See notes to financial statements
</TABLE>
<PAGE> 141
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Small Cap Equity Equity Income
Portfolio Portfolio
-------------------------------- ------------------------------
Six months ended Year ended Six months ended Period ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997** (Unaudited) 1997**
-------------------------------- ------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ (1,290) $ (96) $ 19,245 $ 11,052
Net realized gain (loss) on investments,
futures contracts, and foreign currency
related transactions 7,443 42,782 126,453 24,201
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign
currency related transactions 64,344 2,599 36,101 122,751
---------- ---------- ---------- ----------
Net increase in net assets resulting from operations 70,497 45,285 181,799 158,004
---------- ---------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- -- (17,697) (11,052)
Net realized gains (35,585) (8,189) (2,530) (21,671)
---------- ---------- ---------- ----------
Total distributions (35,585) (8,189) (20,227) (32,723)
---------- ---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 435,458 1,277,390 1,109,469 1,528,693
Net asset value of shares issued through
dividend reinvestment 35,585 8,189 20,227 32,723
Cost of shares repurchased (14,720) (1,730) (36,321) (3,386)
---------- ---------- ---------- ----------
Net increase (decrease) in net assets from
capital share transactions 456,323 1,283,849 1,093,375 1,558,030
---------- ---------- ---------- ----------
TOTAL INCREASE (DECREASE) IN NET ASSETS 491,235 1,320,945 1,254,947 1,683,311
NET ASSETS:
Beginning of period 1,320,945 -- 1,683,311 --
---------- ---------- ---------- ----------
End of period $1,812,180 $1,320,945 $2,938,258 $1,683,311
========== ========== ========== ==========
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ (1,290) $ -- $ 1,548 $ --
========== ========== ========== ==========
CAPITAL SHARE TRANSACTIONS:
Beginning shares 126,779 -- 152,372 --
---------- ---------- ---------- ----------
Shares sold 39,018 126,145 92,037 149,720
Shares issued through dividend reinvestment 3,359 798 1,674 2,966
Shares repurchased (1,374) (164) (3,185) (314)
---------- ---------- ---------- ----------
Net increase (decrease) in shares outstanding 41,003 126,779 90,526 152,372
---------- ---------- ---------- ----------
Ending shares 167,782 126,779 242,898 152,372
========== ========== ========== ==========
** Fund commenced operations on July 1, 1997
See notes to financial statements
</TABLE>
<PAGE> 142
<TABLE>
<CAPTION>
Growth & Income Equity
Portfolio
- --------------------------------
Six months ended Year ended
June 30, 1998 December 31,
(Unaudited) 1997**
- --------------------------------
<S> <C>
$ 12,968 $ 7,199
229,369 8,581
74,864 98,922
---------- ----------
317,201 114,702
---------- ----------
(12,444) (7,070)
-- (18,557)
---------- ----------
(12,444) (25,627)
---------- ----------
2,913,810 2,310,416
12,444 25,628
(144,674) (33,760)
---------- ----------
2,781,580 2,302,284
---------- ----------
3,086,337 2,391,359
2,391,359 --
---------- ----------
$5,477,696 $2,391,359
========== ==========
$ 653 $ 129
========== ==========
223,292 --
---------- ----------
252,381 224,036
1,056 2,398
(13,108) (3,142)
---------- ----------
240,329 223,292
---------- ----------
463,621 223,292
========== ==========
</TABLE>
See notes to financial statements
<PAGE> 143
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Small Cap Stock
Portfolio
------------------------------------------------------
For the period
from May 1, 1996
Six months ended Year ended (date of initial
June 30, 1998 December public offering) to
(Unaudited) 1997 December 31, 1996
------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $13.105 $10.922 $10.512
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.026 0.057 0.057
Net realized and unrealized gains 0.577 2.217 0.843
------- ------- -------
Total from investment operations 0.603 2.274 0.900
------- ------- -------
DISTRIBUTIONS
Dividends from net investment income (0.017) (0.055) (0.055)
Distributions from net realized gains (0.435) (0.036) (0.435)
Distributions in excess of net investment income -- -- --
Return of capital distributions -- -- --
------- ------- -------
Total distributions (0.452) (0.091) (0.490)
------- ------- -------
NET ASSET VALUE, END OF PERIOD $13.256 $13.105 $10.922
------- ------- -------
TOTAL RETURN 4.71%* 20.89% 8.65%*
------- ------- -------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 77.7 $ 59.8 $ 14.7
RATIOS TO AVERAGE NET ASSETS (1):
Operating Expenses 0.95%** 0.95% 0.95%**
Interest Expense -- -- --
Net investment income 0.42%** 0.56% 0.87%**
PORTFOLIO TURNOVER RATE 27.2%* 79.1% 102.4%*
(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 Operating Expenses to Average Net Assets: 1.11%** 1.39% 2.68%**
Ratio of Net Investment Income to Average Net Assets: 0.26%** 0.12% (0.86%)**
+ Amount is less than $.0005
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE> 144
<TABLE>
<CAPTION>
Quality Bond Select Equity
Portfolio Portfolio
- ----------------------------------------------------------- -----------------------------------------------------------
For the period For the period
from May 1, 1996 from May 1, 1996
Six months ended Year ended (date of initial Six months ended Year ended (date of initial
June 30, 1998 December 31, public offering) to June 30, 1998 December 31, public offering) to
(Unaudited) 1997 December 31, 1996 (Unaudited) 1997 December 31, 1996
- ----------------------------------------------------------- -----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 10.405 $ 10.082 $ 9.897 $ 13.966 $ 10.742 $ 10.084
-------- -------- -------- -------- -------- --------
0.249 0.446 0.459 0.046 0.078 0.081
0.171 0.452 0.102 1.796 3.294 0.771
-------- -------- -------- -------- -------- --------
0.420 0.898 0.561 1.842 3.372 0.852
-------- -------- -------- -------- -------- --------
(0.240) (0.531) (0.376) (0.046) (0.077) (0.081)
-- (0.044) -- (0.918) (0.071) (0.113)
-- -- -- -- -- (0.000)+
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
(0.240) (0.575) (0.376) (0.964) (0.148) (0.194)
-------- -------- -------- -------- -------- --------
$ 10.585 $ 10.405 $ 10.082 $ 14.844 $ 13.966 $ 10.742
-------- -------- -------- -------- -------- --------
4.14%* 9.06% 5.68%* 13.11%* 31.55% 8.52%*
-------- -------- -------- -------- -------- --------
$ 29.2 $ 18.6 $ 5.8 $ 156.7 $ 106.9 $ 23.8
0.65%** 0.65% 0.65%** 0.78%** 0.83% 0.85%**
-- -- -- -- -- --
5.79%** 5.92% 5.94%** 0.69%** 0.81% 1.35%**
175.8%* 163.7% 181.3%* 94.8%* 134.8% 123.9%*
0.87%** 1.08% 1.52%** 0.86%** 1.00% 1.70%**
5.57%** 5.49% 5.07%** 0.61%** 0.64% 0.50%**
See notes to financial statements
</TABLE>
<PAGE> 145
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Large Cap Stock
Portfolio
------------------------------------------------------
For the period
from May 1, 1996
Six months ended Year ended (date of initial
June 30, 1998 December public offering) to
(Unaudited) 1997 December 31, 1996
------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $13.845 $11.112 $10.003
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.046 0.113 0.124
Net realized and unrealized gains 2.644 3.560 1.304
------- ------- -------
Total from investment operations 2.690 3.673 1.428
------- ------- -------
DISTRIBUTIONS
Dividends from net investment income (0.043) (0.118) (0.122)
Distributions from net realized gains (0.142) (0.822) (0.197)
Distributions in excess of net investment income -- -- --
Return of capital distributions -- -- --
------- ------- -------
Total distributions (0.185) (0.940) (0.319)
------- ------- -------
NET ASSET VALUE, END OF PERIOD $16.350 $13.845 $11.112
------- ------- -------
TOTAL RETURN 19.38%* 33.25% 14.35%*
------- ------- -------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 63.1 $ 32.3 $ 16.8
RATIOS TO AVERAGE NET ASSETS (1):
Operating Expenses 0.75%** 0.75% 0.75%**
Interest Expense -- -- --
Net investment income 0.74%** 0.99% 1.56%**
PORTFOLIO TURNOVER RATE 25.0%* 59.5% 35.5%*
(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 Operating Expenses to Average Net Assets: 0.98%** 1.08% 1.23%**
Ratio of Net Investment Income to Average Net Assets: 0.51%** 0.66% (1.08%)**
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE> 146
<TABLE>
<CAPTION>
International Equity
Portfolio
- -----------------------------------------------------------
For the period
from May 1, 1996
Six months ended Year ended (date of initial
June 30, 1998 December 31, public offering) to
(Unaudited) 1997 December 31, 1996
- -----------------------------------------------------------
<S> <C> <C>
$11.472 $10.959 $10.215
------- ------- -------
0.097 0.122 0.096
1.590 0.539 0.755
------- ------- -------
1.687 0.661 0.851
------- ------- -------
(0.220) (0.137) (0.086)
(0.003) (0.011) (0.021)
-- -- --
-- -- --
------- ------- -------
(0.223) (0.148) (0.107)
------- ------- -------
$12.936 $11.472 $10.959
------- ------- -------
14.78%* 5.96% 8.44%*
------- ------- -------
$ 95.2 $ 68.8 $ 15.6
0.91%** 0.95% 0.95%**
-- -- --
1.84%** 1.35% 1.43%**
34.4%* 74.1% 48.2%*
1.10%** 1.53% 3.80%**
1.65%** 0.77% (1.42%)**
</TABLE>
See notes to financial statements
<PAGE> 147
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Money Market
Portfolio
-------------------------------------------------------------------------
Six months ended Years Ended December 31,
June 30, 1998 ------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993
---------------- ------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- ------- ------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.027 0.055 0.053 0.059 0.041 0.032
Net realized and unrealized gains -- -- -- -- -- --
------- ------- ------- ------- ------- ------
Total from investment operations 0.027 0.055 0.053 0.059 0.041 0.032
------- ------- ------- ------- ------- ------
DISTRIBUTIONS
Dividends from net investment income (0.027) (0.055) (0.053) (0.059) (0.041) (0.032)
Distributions from net realized gains -- -- -- -- -- --
Distributions in excess of net investment income -- -- -- -- -- --
Return of capital distributions -- -- -- -- -- --
------- ------- ------- ------- ------- ------
Total distributions (0.027) (0.055) (0.053) (0.059) (0.041) (0.032)
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- ------- ------
TOTAL RETURN 2.73%* 5.49% 5.42% 6.01% 4.23% 3.24%
------- ------- ------- ------- ------- ------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 15.7 $ 22 $ 31.0 $ 34.4 $ 75.9 $ 6.6
RATIOS TO AVERAGE NET ASSETS (1):
Operating Expenses 0.10%** 0.10% 0.11% 0.11% 0.10% 0.10%
Interest Expense -- -- -- -- -- --
Net investment income 5.50%** 5.49% 5.31% 5.68% 4.37% 3.23%
PORTFOLIO TURNOVER RATE 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 Operating Expenses to Average Net Assets: 0.82%** 0.68% 0.74% 0.64% 0.68% 0.86%
Ratio of Net Investment Income to Average Net Assets: 4.78%** 4.91% 4.68% 5.25% 3.79% 2.47%
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
</TABLE>
<PAGE> 148
<TABLE>
<CAPTION>
Quality Income
Portfolio
- -----------------------------------------------------------------------------------
Six months ended Years Ended December 31,
June 30, 1998 --------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$10.900 $ 10.690 $ 10.871 $ 9.815 $ 10.886 $ 10.699
------- -------- -------- -------- -------- --------
0.410 0.737 0.651 0.667 0.603 0.641
0.037 0.199 (0.359) 1.056 (1.071) 0.518
------- -------- -------- -------- -------- --------
0.447 0.936 0.292 1.723 (0.468) 1.159
------- -------- -------- -------- -------- --------
(0.598) (0.726) (0.471) (0.667) (0.603) (0.641)
-- -- (0.002) -- -- (0.331)
-- -- -- -- -- --
-- -- -- -- -- --
------- -------- -------- -------- -------- --------
(0.598) (0.726) (0.473) (0.667) (0.603) (0.972)
------- -------- -------- -------- -------- --------
$10.749 $ 10.900 $ 10.690 $ 10.871 $ 9.815 $ 10.886
------- -------- -------- -------- -------- --------
4.12%* 9.08% 2.82% 17.99% (4.33%) 11.04%
------- -------- -------- -------- -------- --------
$ 45.4 $ 49.8 $ 51.3 $ 41.4 $ 33.9 $ 51.1
0.60%** 0.60% 0.60% 0.60% 0.59% 0.60%
0.06%** 0.06% -- -- -- --
6.55%** 6.41% 6.06% 6.42% 5.69% 5.82%
65.2%* 308.0% 320.3% 219.5% 177.6% 318.4%
0.73%** 0.70% 0.71% 0.75% 0.68% 0.70%
6.42%** 6.31% 5.95% 6.27% 5.60% 5.73%
</TABLE>
See notes to financial statements
<PAGE> 149
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
Stock Index
Portfolio
-------------------------------------------------------------------------
Six months ended Years Ended December 31,
June 30, 1998 ------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993
---------------- ------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $21.070 $16.126 $13.844 $10.587 $11.115 $10.552
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.124 0.273 0.286 0.260 0.311 0.205
Net realized and unrealized gains 3.555 5.018 2.797 3.637 (0.337) 0.726
------- ------- ------- ------- ------- -------
Total from investment operations 3.679 5.291 3.083 3.897 (0.026) 0.931
------- ------- ------- ------- ------- -------
DISTRIBUTIONS
Dividends from net investment income (0.125) (0.268) (0.284) (0.260) (0.311) (0.205)
Distributions from net realized gains (4.221) (0.079) (0.517) (0.380) (0.185) (0.163)
Distributions in excess of net investment income -- -- -- -- -- --
Return of capital distributions -- -- -- -- (0.006) --
------- ------- ------- ------- ------- -------
Total distributions (4.346) (0.347) (0.801) (0.640) (0.502) (0.368)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $20.403 $21.070 $16.126 $13.844 $10.587 $11.115
------- ------- ------- ------- ------- -------
TOTAL RETURN 17.45%* 32.91% 22.48% 36.87% (0.11%) 8.84%
------- ------- ------- ------- ------- -------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 94.7 $ 90.4 $ 86.6 $ 86.0 $ 36.8 $ 91.3
RATIOS TO AVERAGE NET ASSETS (1):
Operating Expenses 0.60%** 0.60% 0.60% 0.61% 0.58% 0.60%
Interest Expense 0.00%*** 0.02% -- -- -- --
Net investment income 1.03%** 1.32% 1.77% 2.41% 2.23% 2.29%
PORTFOLIO TURNOVER RATE 2.8%* 27.2% 1.3% 3.9% 47.1% 44.1%
(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 Operating Expenses to Average Net Assets: 0.69%** 0.69% 0.67% 0.78% 0.80% 0.74%
Ratio of Net Investment Income to Average Net Assets: 0.94%** 1.23% 1.70% 2.24% 2.01% 2.15%
* Non-annualized
** Annualized
*** Amount is less than 0.00%
See notes to financial statements
</TABLE>
<PAGE> 150
<TABLE>
<CAPTION>
VKAC Growth and Income
Portfolio
- --------------------------------------------------------------------------
Six months ended Years Ended December 31,
June 30, 1998 ---------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$17.052 $ 3.986 $ 12.512 $ 10.306 $ 11.170 $ 10.282
------- ------- -------- -------- -------- --------
0.118 0.212 0.243 0.224 0.331 0.182
2.454 3.265 2.007 3.089 (0.864) 1.371
------- ------- -------- -------- -------- --------
2.572 3.477 2.250 3.313 (0.533) 1.553
------- ------- -------- -------- -------- --------
(0.114) (0.211) (0.241) (0.232) (0.323) (0.182)
(2.120) (0.200) (0.535) (0.875) (0.008) (0.483)
-- -- -- -- -- --
-- -- -- -- -- --
------- ------- -------- -------- -------- --------
(2.234) (0.411) (0.776) (1.107) (0.331) (0.665)
------- ------- -------- -------- -------- --------
$17.390 $17.052 $ 13.986 $ 12.512 $ 10.306 $ 11.170
------- ------- -------- -------- -------- --------
15.18%* 24.98% 18.18% 32.24% (4.54%) 15.01%
------- ------- -------- -------- -------- --------
$ 54.7 $ 47.8 $ 31.6 $ 19.7 $ 10.9 $ 6.5
0.70%** 0.70% 0.70% 0.69% 0.70% 0.69%
-- -- -- -- -- --
1.28%** 1.36% 1.99% 2.05% 3.47% 1.84%
38.7%* 94.5% 113.0% 180.1% 326.0% 135.9%
0.85%** 0.88% 1.02% 1.19% 1.49% 2.05%
1.13%** 1.18% 1.67% 1.55% 2.68% 0.47%
</TABLE>
See notes to financial statements
<PAGE> 151
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
High Yield
Portfolio
-------------------------------------------------------------------------
Six months ended Years Ended December 31,
June 30, 1998 ------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993
---------------- ------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.899 $ 10.626 $ 10.446 $ 9.823 $ 11.287 $ 10.445
------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.485 0.922 0.952 0.949 0.978 1.028
Net realized and unrealized gains 0.052 0.281 0.187 0.621 (1.464) 1.170
------- -------- -------- -------- -------- --------
Total from investment operations 0.537 1.203 1.139 1.570 (0.486) 2.198
------- -------- -------- -------- -------- --------
DISTRIBUTIONS
Dividends from net investment income (0.480) (0.930) (0.954) (0.947) (0.978) (1.028)
Distributions from net realized gains -- -- -- -- -- (0.328)
Distributions in excess of net investment income -- -- (0.005) -- -- --
Return of capital distributions -- -- -- -- -- --
------- -------- -------- -------- -------- --------
Total distributions (0.480) (0.930) (0.959) (0.947) (0.978) (1.356)
------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $10.956 $ 10.899 $ 10.626 $ 10.446 $ 9.823 $ 11.287
------- -------- -------- -------- -------- --------
TOTAL RETURN 4.97%* 11.54% 11.29% 16.69% (4.52%) 21.98%
------- -------- -------- -------- -------- --------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 32.5 $ 33.3 $ 41.1 $ 36.5 $ 19.7 $ 18.8
RATIOS TO AVERAGE NET ASSETS (1):
Operating Expenses 0.85%** 0.85% 0.85% 0.86% 0.86% 0.84%
Interest Expense 0.00%*** 0.02% -- -- -- --
Net investment income 8.46%** 8.13% 8.89% 9.50% 9.48% 8.97%
PORTFOLIO TURNOVER RATE 39.6%* 109.4% 117.3% 118.9% 200.1% 213.1%
(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 Operating Expenses to Average Net Assets: 1.02%** 0.99% 1.04% 1.09% 1.16% 1.38%
Ratio of Net Investment Income to Average Net Assets: 8.29%** 7.99% 8.70% 9.27% 9.18% 8.43%
* Non-annualized
** Annualized
*** Amount is less than 0.00%
See notes to financial statements
</TABLE>
<PAGE> 152
<TABLE>
<CAPTION>
Bond Debenture Mid-Cap Value
Portfolio Portfolio
- ----------------------------------------------------- --------------------------------------
For the period For the period
from May 1, 1996 from August 20, 1997
Six months ended Year ended (date of initial Six months ended (commencement
June 30, 1998 December 31, public offering) to June 30, 1998 of operations) to
(Unaudited) 1997 December 31, 1996 (Unaudited) December 31, 1997
- ----------------------------------------------------- --------------------------------------
<S> <C> <C> <C> <C>
$12.112 $ 10.970 $10.098 $10.481 $10.000
------- -------- ------- ------- -------
0.361 0.544 0.345 0.020 0.010
0.321 1.147 0.949 0.801 0.481
------- -------- ------- ------- -------
0.682 1.691 1.294 0.821 0.491
------- -------- ------- ------- -------
(0.349) (0.549) (0.342) (0.017) (0.010)
(0.136) -- (0.080) -- --
-- -- -- -- --
-- -- -- -- --
------- -------- ------- ------- -------
(0.485) (0.549) (0.422) (0.017) (0.010)
------- -------- ------- ------- -------
$12.309 $ 12.112 $10.970 $11.285 $10.481
------- -------- ------- ------- -------
5.66%* 15.63% 12.89%* 7.80%* 4.90%*
------- -------- ------- ------- -------
$ 90.2 $ 55.4 $ 7.7 $ 9.5 $ 2.2
0.85%** 0.85% 0.85%** 1.10%** 1.10%**
-- -- -- -- --
7.00%** 6.68% 7.26%** 0.63%** 0.97%**
64.9%* 100.3% 58.1%* 22.5%* 1.5%*
0.93%** 1.07% 2.05%** 1.98%** 8.41%**
6.92%** 6.46% 6.06%** (0.25%)** (6.34%)**
See notes to financial statements
</TABLE>
<PAGE> 153
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Large Cap Research
Portfolio
-------------------------------------------
For the period
from August 20, 1997
Six months ended (commencement
June 30, 1998 of operations) to
(Unaudited) December 31, 1997
-------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.905 $10.000
------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.035 0.017
Net realized and unrealized gains 1.490 (0.096)
------- -------
Total from investment operations 1.525 (0.079)
------- -------
DISTRIBUTIONS
Dividends from net investment income (0.033) (0.016)
Distributions from net realized gains -- --
Distributions in excess of net investment income -- --
Return of capital distributions -- --
------- -------
Total distributions (0.033) (0.016)
------- -------
NET ASSET VALUE, END OF PERIOD $11.397 $ 9.905
------- -------
TOTAL RETURN 15.37%* (0.74)%*
------- -------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 5.6 $ 1.4
RATIOS TO AVERAGE NET ASSETS (1):
Operating Expenses 1.10%** 1.10%**
Interest Expense -- --
Net investment income 1.08%** 1.53%**
PORTFOLIO TURNOVER RATE 66.7%* 1.3%*
(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 Operating Expenses to Average Net Assets: 2.48%** 10.04%**
Ratio of Net Investment Income to Average Net Assets: (0.30)%** (7.41)%**
</TABLE>
* Non-annualized
** Annualized
See notes to financial statements
<PAGE> 154
<TABLE>
<CAPTION>
Developing Growth Balanced
Portfolio Portfolio
--------------------------------------- --------------------------------------
For the period For the period
from August 20, 1997 from July 1, 1997
Six months ended (commencement Six months ended (commencement
June 30, 1998 of operations) to June 30, 1998 of operations) to
(Unaudited) December 31, 1997 (Unaudited) December 31, 1997
--------------------------------------- --------------------------------------
<S> <C> <C> <C>
$10.549 $10.000 $10.389 $10.000
------- ------- ------- -------
(0.012) 0.002 0.116 0.123
0.878 0.549 0.594 0.477
------- ------- ------- -------
0.866 0.551 0.710 0.600
------- ------- ------- -------
-- (0.002) (0.111) (0.124)
(0.006) -- -- (0.087)
-- -- -- --
-- -- -- --
------- ------- ------- -------
(0.006) (0.002) (0.111) (0.211)
------- ------- ------- -------
$11.409 $10.549 $10.988 $10.389
------- ------- ------- -------
8.21%* 5.52%* 6.85%* 6.01%*
------- ------- ------- -------
$ 8.5 $ 1.7 $ 2.5 $ 1.5
1.00%** 1.00%** 1.10%** 1.10%**
-- -- -- --
(0.41)%** 0.18%** 2.70%** 2.74%**
5.2%* 9.1%* 26.6%* 13.6%*
2.06%** 9.00%** 3.58%** 3.81%**
(1.47)%** (7.82)%** 0.22%** 0.03%**
</TABLE>
See notes to financial statements
<PAGE> 155
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Small Cap Equity
Portfolio
-------------------------------------
For the period
from July 1, 1997
Six months ended (commencement
June 30, 1998 of operations) to
(Unaudited) December 31, 1997
-------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.419 $10.000
------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (0.008) (0.001)
Net realized and unrealized gains 0.608 0.485
------- -------
Total from investment operations 0.600 0.484
------- -------
DISTRIBUTIONS
Dividends from net investment income -- --
Distributions from net realized gains (0.218) (0.065)
Distributions in excess of net investment income -- --
Return of capital distributions -- --
------- -------
Total distributions (0.218) --
------- -------
NET ASSET VALUE, END OF PERIOD $10.801 $10.419
------- -------
TOTAL RETURN 5.78%* 4.86%*
------- -------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 1.8 $ 1.3
RATIOS TO AVERAGE NET ASSETS (1):
Operating Expenses 1.10%** 1.10%**
Interest Expense -- --
Net investment income (0.16)%** (0.02)%**
PORTFOLIO TURNOVER RATE 33.2%* 36.2%*
(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 Operating Expenses to Average Net Assets: 4.07%** 3.97%**
Ratio of Net Investment Income to Average Net Assets: (3.13)%** (2.89)%**
* Non-annualized
** Annualized
</TABLE>
<PAGE> 156
<TABLE>
<CAPTION>
Equity Income Growth & Income Equity
Portfolio Portfolio
------------------------------------- -------------------------------------
For the period For the period
from July 1, 1997 from July 1, 1997
Six months ended (commencement Six months ended (commencement
June 30, 1998 of operations) to June 30, 1998 of operations) to
(Unaudited) December 31, 1997 (Unaudited) December 31, 1997
------------------------------------- ---------------- -----------------
<S> <C> <C> <C>
$11.047 $10.000 $10.710 $10.000
------- ------- ------- -------
0.080 0.074 0.028 0.033
1.055 1.192 1.104 0.793
------- ------- ------- -------
1.135 1.266 1.132 0.826
------- ------- ------- -------
(0.074) (0.074) (0.027) (0.032)
(0.011) (0.145) -- (0.084)
-- -- -- --
-- -- -- --
------- ------- ------- -------
(0.085) (0.219) (0.027) (0.116)
------- ------- ------- -------
$12.097 $11.047 $11.815 $10.710
------- ------- ------- -------
10.27%* 12.69%* 10.62%* 8.26%*
------- ------- ------- -------
$ 2.9 $ 1.7 $ 5.5 $ 2.4
1.10%** 1.10%** 1.10%** 1.10%**
-- -- -- --
1.73%** 1.65%** 0.66%** 0.87%**
40.8%* 17.9%* 38.7%* 18.1%*
2.90%** 3.58%** 2.22%** 3.51%**
(0.07)%** (0.83)%** (0.46)%** (1.54)%**
</TABLE>
See notes to financial statements
<PAGE> 157
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
1. SIGNIFICANT ACCOUNTING POLICIES
Cova Series Trust (the Trust) is registered as an open-end management investment
company under the Investment Company Act of 1940, as amended (the 1940 Act). The
Trust offers eighteen diversified portfolios (each, a Fund and collectively, the
Funds) 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, Mid-Cap Value Portfolio, Large Cap
Research Portfolio, and Developing Growth Portfolio. Van Kampen American Capital
Investment Advisory Corporation manages the Money Market Portfolio, Quality
Income Portfolio, Stock Index Portfolio, VKAC Growth and Income Portfolio and
High Yield Portfolio. Mississippi Valley Advisors Inc. manages the Balanced
Portfolio, Small Cap Equity Portfolio, Equity Income Portfolio and Growth &
Income Equity 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 VKAC 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 Balanced
Portfolio, Small Cap Equity Portfolio, Equity Income Portfolio and Growth &
Income Equity Portfolio commenced operations on July 1, 1997. The Mid-Cap Value
Portfolio, Large Cap Research Portfolio and Developing Growth Portfolio
commenced operations on August 20, 1997.
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 the securities exchange on which the securities are listed. 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, which approximates market value. The Money Market Portfolio,
in accordance with Rule 2a-7 of the 1940 Act, values its investments at
amortized cost.
<PAGE> 158
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
A. SECURITY VALUATION - CONTINUED
Under the amortized cost method, investments are recorded at cost and any
discount or premium is accreted or amortized, respectively, on a straight line
basis to the maturity of the investment. Value on any given date equals original
cost plus or minus accreted discount or amortized premium, respectively, to that
date. Futures contracts and options are valued based upon their daily settlement
prices. Forward currency exchange contracts are valued at forward rates and are
marked-to-market daily.
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.
In addition, any Funds subject to federal excise tax regulations will distribute
substantially all of their net investment income and net capital gains, if any,
in each calendar year in order to avoid the payment of federal excise 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 from net investment
income and net realized capital gains may differ from their ultimate
characterization for federal income tax purposes due to timing differences. For
the Quality Income, Stock Index and VKAC 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.
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.
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 primarily use derivative instruments to
protect against possible changes in the market value of their investments. All
of the Funds' holdings, including derivative instruments, are marked to market
each day with the change in value reflected in unrealized
appreciation/depreciation of investments. Upon disposition, a realized gain or
loss is recognized accordingly.
<PAGE> 159
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
F. DERIVATIVES - CONTINUED
The primary risks associated with the use of these financial instruments for
hedging purposes are the possibility of (a) an imperfect correlation between the
change in market value of the hedged securities held by the Funds and the change
in market value of these financial instruments, and (b) 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 the Funds may hold.
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 temporary substitute for purchasing or
selling specific securities.
Upon entering into a futures contract, the Funds are required to make initial
margin deposits with the broker or segregate liquid investments to satisfy the
broker's margin requirements. Initial margin deposits are recorded as assets and
held in a segregated account at the custodian. 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" the contract on a daily basis
to reflect the value of the contract's settlement price 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, respectively, 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 - A purchased 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 investments, the value of
which are 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.
<PAGE> 160
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
F. DERIVATIVES - CONTINUED
The premium received for a written option is recorded as a liability. The
liability is marked-to-market daily based on the option's quoted market 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 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 this loss can be greater than premium received. 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 Quality Bond and International
Equity Portfolios 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 to sell 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.
<PAGE> 161
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
G. FOREIGN CURRENCY TRANSLATION - CONTINUED
The Fund does not isolate that portion 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 activity in
forward foreign currency contracts, 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, and changes in the contract value of forward
foreign currency contracts.
H. REPURCHASE AGREEMENTS - The Funds may enter into repurchase agreements with
selected commercial banks and broker-dealers, under which the Fund acquires
securities as collateral and agrees to resell the securities at an agreed upon
time and at an agreed upon price. The Fund accrues interest for 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 collateral securities 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 collateral
securities 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 as collateral and agrees to
repurchase them at a mutually agreed upon date and price. This practice is the
equivalent of borrowing using the securities as collateral and can create
leverage. 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 collateral 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"), 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., Van Kampen American Capital Investment Advisory Corporation, and
Mississippi Valley Advisors Inc. (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'
<PAGE> 162
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
performance of advisory services and will make recommendations 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 Verage Daily Net Assets % Per Annum
- ---- ----------------------- -----------
Small Cap Stock All .85%
Quality Bond First $75 Million .55%
Over $75 Million .50%
Select Equity First $50 Million .75%
Over $50 Million .65%
Large Cap Stock All .65%
International Equity First $50 Million .85%
Over $50 Million .75%
Money Market First $500 Million .50%
Over $500 Million .40%
Quality Income First $500 Million .50%
Over $500 Million .45%
Stock Index All .50%
VKAC Growth and Income First $500 Million .60%
Over $500 Million .50%
High Yield First $500 Million .75%
Over $500 Million .65%
Bond Debenture All .75%
Mid-Cap Value All 1%
<PAGE> 163
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
Fund Average Daily Net Assets % Per Annum
- ---- ------------------------ -----------
Large Cap Research All 1%
Developing Growth All .90%
Balanced All 1%
Small Cap Equity All 1%
Equity Income All 1%
Growth & Income Equity All 1%
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 other 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 an annual rate of 0.10% of the average daily net assets of each Fund.
The Trust has entered into Custodian, Fund Accounting, and Transfer Agency
Agreement with Investors Bank & Trust Company ("Investors Bank").
Cova Variable Annuity Accounts One and Five, Cova Variable Life Account One and
First Cova Variable Annuity Account One are separate investment accounts offered
by Cova Financial Services Life Insurance Co. and its subsidiaries, Cova
Financial Life Insurance Co. and First Cova Life Insurance Co. (collectively
"Cova Life"). At June 30, 1998, Cova Life owned all shares of beneficial
interest of each Fund except those listed below.
Percentage of Ownership
----------------------------------------------------
Mississippi Valley
Cova Life Lord Abbett & Co. Advisors Inc.
----------- ----------------- ------------------
Mid-Cap Value 98.8% 1.2% ---
Large Cap Research 97.5% 2.5% ---
Developing Growth 98.7% 1.3% ---
Balanced 55.3% --- 44.7%
Small Cap Equity 38.8% --- 61.2%
Equity Income 57.7% --- 42.3%
Growth & Income Equity 78.1% --- 21.9%
<PAGE> 164
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
3. INVESTMENT TRANSACTIONS
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term securities, for the six months ended June 30, 1998 were as
follows:
Purchases
----------------------------------------------------
Portfolio: U.S. Government Non-Government Total
- ---------- --------------- -------------- -----
Small Cap Stock $ 0 $ 31,347,313 $ 31,347,313
Quality Bond 37,592,447 13,596,713 51,189,160
Select Equity 0 158,536,443 158,536,443
Large Cap Stock 0 34,638,689 34,638,689
International Equity 0 44,411,845 44,411,845
Quality Income 7,922,342 22,348,724 30,271,066
Stock Index 0 2,493,023 2,493,023
VKAC Growth and Income 0 18,699,728 18,699,728
High Yield 0 12,128,079 12,128,079
Bond Debenture 9,152,285 66,204,317 75,356,602
Mid-Cap Value 0 7,049,979 7,049,979
Large Cap Research 0 5,329,403 5,329,403
Developing Growth 0 6,478,405 6,478,405
Balanced 415,716 668,280 1,083,996
Small Cap Equity 0 808,102 808,102
Equity Income 0 1,694,942 1,694,942
Growth & Income Equity 0 3,801,268 3,801,268
<PAGE> 165
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
3. INVESTMENT TRANSACTIONS - CONTINUED
Sales
----------------------------------------------------
Portfolio: U.S. Government Non-Government Total
- ---------- --------------- -------------- -----
Small Cap Stock $ 0 $ 18,071,632 $ 18,071,632
Quality Bond 33,542,228 5,082,826 38,625,054
Select Equity 0 124,183,588 124,183,588
Large Cap Stock 0 11,757,176 11,757,176
International Equity 0 27,583,811 27,583,811
Quality Income 5,896,572 25,615,254 31,511,826
Stock Index 0 18,019,573 18,019,573
VKAC Growth and Income 0 18,705,242 18,705,242
High Yield 0 12,773,093 12,773,093
Bond Debenture 12,646,367 32,388,966 45,035,333
Mid-Cap Value 0 1,080,888 1,080,888
Large Cap Research 0 1,959,983 1,959,983
Developing Growth 0 218,895 218,895
Balanced 0 431,697 431,697
Small Cap Equity 0 485,443 485,443
Equity Income 0 827,613 827,613
Growth & Income Equity 0 1,359,634 1,359,634
<PAGE> 166
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
3. INVESTMENT TRANSACTIONS - CONTINUED
At June 30, 1998, the cost of securities for federal income tax purposes and the
unrealized appreciation (depreciation) of investments for federal income tax
purposes for each Fund was as follows:
Federal Gross Gross
Income Unrealized Unrealized
Portfolio: Tax Cost Appreciation (Depreciation)
- ---------- -------- ------------ --------------
Small Cap Stock $ 66,652,301 $10,885,506 $(5,045,899)
Quality Bond 28,058,223 411,655 (22,105)
Select Equity 148,911,647 9,037,985 (3,958,207)
Large Cap Stock 52,802,265 10,722,380 (871,920)
International Equity 84,428,958 13,639,110 (5,902,460)
Money Market 15,785,822 ------- -------
Quality Income 43,167,509 1,971,165 (49,370)
Stock Index 57,933,438 37,955,949 (1,106,579)
VKAC Growth and Income 44,453,500 11,164,388 (892,908)
High Yield 30,929,435 1,189,166 (224,474)
Bond Debenture 83,283,497 1,976,817 (920,377)
Mid-Cap Value 8,073,179 551,747 (350,257)
Large Cap Research 4,736,623 302,919 (66,489)
Developing Growth 7,760,807 799,037 (540,391)
Balanced 1,960,765 128,501 (68,336)
Small Cap Equity 1,573,655 192,403 (125,460)
Equity Income 2,462,590 242,898 (84,046)
Growth & Income Equity 4,792,585 440,626 (266,840)
For temporary cash management purposes, the following Funds engaged in bank
borrowings:
Average Daily Weighted Average Maximum Dollar
Portfolio Borrowings Interest Rate Amount Borrowed
- --------- ---------- ------------- ---------------
Quality Income 544,146 6.50% $2,975,701
Stock Index 63,035 6.50% 888,199
High Yield 2,471 6.50% 391,910
<PAGE> 167
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
4. FUTURES CONTRACTS
Transactions in futures contracts for the six months ended June 30, 1998, were
as follows:
<TABLE>
<CAPTION>
VKAC
Quality Income Stock Index Growth and Income
Portfolio Portfolio Portfolio
--------- --------- ---------
<S> <C> <C> <C>
Futures Contracts Outstanding at December 31, 1997 35 22 4
Contracts Opened 140 78 18
Contracts Closed (140) (74) (16)
==== === ===
Futures Contracts Outstanding at June 30, 1998 35 26 6
==== === ===
</TABLE>
The futures contracts outstanding as of June 30, 1998 and the description and
unrealized appreciation (depreciation) were as follows:
Unrealized
Notional Appreciation/
Contracts Value (Depreciation)
--------- ----- --------------
Quality Income Portfolio:
U.S. Long Bond 35 $ 4,325,781 $(63,555)
September 1998 - Sold
Stock Index Portfolio:
S&P 500 Index Futures 26 $ 7,429,500 $ 88,842
September 1998 - Purchased
VKAC Growth and Income Portfolio:
S&P 500 Index Futures 6 $ 1,714,500 $ 23,847
September 1998 - Purchased
<PAGE> 168
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
5. FORWARD FOREIGN CURRENCY CONTRACTS
Open forward foreign currency contracts for the Quality Bond Portfolio at June
30, 1998, were as follows:
Forward Foreign Currency Contracts to Sell:
Value at In
Settlement June 30, Exchange Unrealized
Date Contracts to Deliver 1998 for U.S.$ Appreciation
---- -------------------- ---- --------- ------------
7/30/98 1,866,536 Deutsche Mark $1,036,884 $1,051,611 $14,727
7/30/98 6,342,725 French Franc 1,051,191 1,066,786 15,595
=======
$30,322
=======
Open forward foreign currency contracts for the International Equity Portfolio
at June 30, 1998, were as follows:
Forward Foreign Currency Contracts to Buy:
<TABLE>
<CAPTION>
Value at In Unrealized
Settlement June 30, Exchange Appreciation/
Date Contracts to Receive 1998 for U.S.$ (Depreciation)
---- -------------------- ---- --------- --------------
<S> <C> <C> <C> <C> <C>
7/1/98 266,224,879 Italian Lira $ 149,845 $ 149,162 $ 683
7/1/98 1,600,000 Swedish Krona 200,673 201,068 (395)
7/8/98 438,695 Australian Dollar 272,027 277,519 (5,492)
7/8/98 10,660,520 Austrian Schilling 840,828 850,378 (9,550)
7/8/98 1,263,610 British Pound Sterling 2,106,769 2,068,392 38,377
7/8/98 9,652,060 French Franc 1,597,307 1,619,181 (21,874)
7/8/98 7,962,913 German Deutsche Mark 4,417,270 4,437,540 (20,270)
7/8/98 408,924,139 Italian Lira 230,189 224,888 5,301
7/8/98 501,803,047 Japanese Yen 3,621,582 3,726,005 (104,423)
7/8/98 709,723 New Zealand Dollar 368,861 374,595 (5,734)
7/8/98 990,528 Singapore Dollar 586,493 616,000 (29,507)
=========
$(152,884)
=========
</TABLE>
<PAGE> 169
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998
5. FORWARD FOREIGN CURRENCY CONTRACTS- CONTINUED
Forward Foreign Currency Contracts to Sell:
<TABLE>
<CAPTION>
Value at In Unrealized
Settlement June 30, Exchange Appreciation/
Date Contracts to Deliver 1998 for U.S.$ (Depreciation)
---- -------------------- ---- --------- --------------
<S> <C> <C> <C> <C> <C>
7/1/98 1,925,485 Finnish Markka $ 351,432 $ 350,231 $ (1,201)
7/8/98 3,017,248 Australian Dollar 1,870,943 1,985,349 114,406
7/8/98 10,660,520 Austrian Schilling 840,828 821,304 (19,524)
7/8/98 1,525,634 British Pound Sterling 2,543,630 2,510,424 (33,206)
7/8/98 9,652,060 French Franc 1,597,307 1,561,822 (35,485)
7/8/98 10,450,131 German Deutsche Mark 5,797,006 5,778,407 (18,599)
7/8/98 408,924,139 Italian Lira 230,189 223,945 (6,244)
7/8/98 525,294,644 Japanese Yen 3,791,124 3,915,164 124,040
7/8/98 1,795,727 New Zealand Dollar 933,285 976,682 43,397
7/8/98 1,319,087 Singapore Dollar 781,033 807,028 25,995
7/8/98 625,000 Swiss Franc 412,533 414,731 2,198
=========
$ 195,777
=========
</TABLE>
6. 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 issued 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.
<PAGE> 170
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