<PAGE>
- -----------------------------------------------------------------------------
SMALL CAP STOCK PORTFOLIO For the Period ended 6/30/99
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
- -----------------------------------------------------------------------------
The Russell 2000 Index1 returned 9.29% for the six months ended June 30,1999.
Small-cap stocks were aided by a broadening in the U.S. equity market in the
latter end of the period, reversing the dismal results of the first quarter
(-5.42%). The second quarter's strong performance (15.55%) marked the first
quarter since the third quarter of 1997 that the performance of the Russell 2000
Index topped that of the S&P 500 Index2, which returned 7.05% in the second
quarter of 1999. The shift in market sentiment was driven by continued
improvement in the global economy and rising interest rates in the U.S. In stark
contrast with recent quarters, value stocks led the market, outperforming growth
stocks for the period.
The Portfolio did well in the first quarter, but fell short of the Russell
2000's second quarter increase due to adverse stock selection. The Portfolio's
return was driven by holdings in Concentric Networks, Microstrategy Inc.,
Mueller Industries, and Allegiance Telecom. However, investments in Education
Management Corp., ITT Educational, Orbital Sciences, and Alterra Healthcare were
less successful. From a sector standpoint, technology hardware and
communications were positive contributors, while software and health services
detracted from the Portfolio's return.
We expect the equity market broadening that began in the second quarter to
continue, to the benefit of small-cap names. Even though the Federal Reserve
changed its stance on interest rates back to a neutral bias from a tightening
one, we believe it's likely to enact at least one more 25 basis point rate
increase before the end of the year; rising interest rates and continued
improvement in the global economy should accentuate the market's broadening.
Internal valuation tools and price-to-earnings ratios are both at historical
extremes in favor of small-cap stocks. Given these factors, we believe small-cap
stocks continue to be undervalued relative to large caps.
DENISE E. HIGGINS
STEPHEN J. RICH
Portfolio Managers
J.P. Morgan Investment Management Inc.
1 The Russell 2000 Index is an unmanaged index consisting of the stocks of 2000
U.S. -based companies. The Index does not include fees or expenses and is not
available for direct investment.
2 The S&P 500 Index is an unmanaged index consisting of the stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE As of 6/30/99
% of net assets
- ----------------------------------------------------------------
<S> <C>
1. Mueller Industries 1.5
- ----------------------------------------------------------------
2. Human Genome Sciences, Inc. 1.2
- ----------------------------------------------------------------
3. Allegiance Telecom, Inc. 1.2
- ----------------------------------------------------------------
4. Applied Micro Circuits Corp. 1.1
- ----------------------------------------------------------------
5. IDEC Pharmaceuticals Corp. 1.1
- ----------------------------------------------------------------
6. Geon Co. 1.1
- ----------------------------------------------------------------
7. Bank United Corp. 1.1
- ----------------------------------------------------------------
8. Wellman, Inc. 1.1
- ----------------------------------------------------------------
9. National Commerce Bancorp 1.1
- ----------------------------------------------------------------
10. ATMI, Inc. 1.0
- ----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
[Column Graph]
Small Cap Stock Portfolio
- ---------------------------------------------
<S> <C>
Software 10.9
Consumer Services 8.3
Basic Industry 8.3
Communications 7.3
Banks 6.0
Technology 5.9
Drugs 5.5
Capital Goods 4.8
Retail 4.2
Other 38.8
- ---------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return3
Inception 5/1/96 (for the period ended 6/30/99)
- ----------------------------------------------------------------------------------------------------
1 Year 3 Year Since inception
- ------------------------------ ------------------- ------------------------------- -----------------
<S> <C> <C> <C>
Small Cap Stock Portfolio,
managed by JPMIM -4.22% 9.70% 9.09%
- ------------------------------ ------------------- ------------------------------- -----------------
Russell 2000 Index 1.50% 11.22% 10.48%
- ------------------------------ ------------------- ------------------------------- -----------------
</TABLE>
3 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Small Cap
Stock Portfolio managed by J.P. Morgan Investment Management (JPMIM) and the
return on the investment will fluctuate, and redemption proceeds may be higher
or lower than an investor's original cost.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
- ------------------------------------------------------------------------------
QUALITY BOND PORTFOLIO For the Period ended 6/30/99
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
- ------------------------------------------------------------------------------
Strong stock market performance, the solidity of the labor market with an
associated high level of consumer confidence, improvement in current and
prospective industrial sector performance, bottoming commodity prices and
significant action taken by Japan to improve its own internal weakness, have all
contributed to increased optimism for the global economy. The improving outlook
throughout the first half of the year led to an expected 25 basis point interest
rate increase on June 30th. In a surprise move, however, the Federal Reserve
also announced a shift back to a neutral bias from a tightening one.
The Portfolio's -2.09% return slightly underperformed the Salomon Broad
Investment Grade Index's1 -1.39% return for the six-month period ending June 30,
1999. Interest rates rose through much of the period in anticipation of a Fed
tightening, negatively affecting total return performance. Strong economic
fundamentals and attractive spreads in the corporate market were overwhelmed by
weak technicals. Given that this situation is not expected to improve until
later in the year, the Portfolio's corporate exposure was pared down. Mortgages
traded to longer durations and underperformed all other sectors during the
period due to the accelerating Treasury market sell-off.
We expect global recovery to continue. In the U.S., above-trend growth should
persist through the intermediate term, putting upward pressure on labor markets.
Though we do not expect a sharp increase in domestic inflation, the trajectory
of price changes will likely shift upward. Despite the Federal Reserve's return
to a neutral bias, we think two additional 25 basis point increases in the
Federal Funds rate are likely by early first-quarter 2000, with more tightening
possible should inflation emerge or growth not slow. Given this interest rate
view, we expect to maintain a moderately short duration position relative to the
index in the near term. We will likely continue to maintain an index-like
corporate allocation and look to opportunistically reduce our mortgage exposure,
in favor of adding to our U.S. Treasury positions, thus maintaining a more
defensive risk posture.
HARRIET T. HUBER
WILLIAM G. TENNILLE
Portfolio Managers
J.P. Morgan Investment Management Inc.
1 The Salomon Brothers Broad Investment-Grade Bond Index (BIG)
is a market-capitalized weighted index that includes fixed-rate Treasury,
government sponsored, corporate (Baa3/BBB or better) and mortgage securities.
The index does not reflect any expenses.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
CREDIT QUALITY
As of 6/30/99
<S> <C>
Treasury 29.5%
Agency 41.3
AAA 8.3
AA 1.4
A 9.4
BBB 9.3
BB 0.8
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO COMPOSITION
As of 6/30/99
[Column Graph]
Quality Bond Portfolio
- -----------------------------------------------------------------
<S> <C>
U.S. Government
Securities 31.2
Corporates 21.8
High Yield Corporates 0.5
Emerging Market Debt 0.3
Asset-Backed 3.6
Mortgage-Backed 42.6
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return2
Inception 5/1/96 (for the period ended
6/30/99)
- ----------------------------- ------------ ----------------------------- ------------------
1 Year 3 Year Since inception
- ----------------------------- ------------ ----------------------------- ------------------
<S> <C> <C> <C>
Quality Bond Portfolio,
managed by JPMIM 1.89% 6.59% 6.56%
- ----------------------------- ------------ ----------------------------- ------------------
Salomon Brothers BIG Index 3.12% 7.25% 7.28%
- ----------------------------- ------------ ----------------------------- ------------------
</TABLE>
2 "Average Annual Return" is calculated including reinvestment of
all income dividends and capital gain distributions. Results represent past
performance and do not indicate future results. The value of an investment in
the Quality Bond Portfolio managed by J.P. Morgan Investment Management (JPMIM)
and the return on the investment will fluctuate, and redemption proceeds may be
higher or lower than an investor's original cost.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
- -----------------------------------------------------------------------------
SELECT EQUITY PORTFOLIO For the Period ended 6/30/99
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
- -----------------------------------------------------------------------------
U.S. equity markets were pulled in opposing directions during the first half of
1999. Robust first quarter earnings reports suggested that corporate profits
would be healthier than originally anticipated; but strong growth prospects sent
a chill through the bond market. At the same time, early indications of an
improving global economic scene shifted the Federal Reserve focus from
supporting liquidity to preventing domestic over-heating, culminating in a rate
hike on the last day of the period. Against this backdrop, cyclical sectors,
such as basic industry and capital goods, suddenly showed surprising vigor.
Through this turbulence, however, the strength and consistency of S&P 500 Index1
returns remained remarkable: the index has now achieved double digit gains on a
trailing four quarter basis 17 of the last 18 quarters.
The true hallmark of this period was the dramatic reversal of prevailing trends:
the largest stocks underperformed the broader market, and value outperformed
growth. The S&P Value Index2 finished the first half of the year up 13.92%,
while the S&P Growth Index3 was up only 10.95% for the same time period. Signs
of an improving global economy proved the catalyst. Fears of a looming
deflationary spiral faded, stimulating investor appetite for more cyclical,
economically sensitive sectors. Meanwhile, prospects for global reflation
dramatically altered interest rate expectations. Thus, investors were less
willing to pay up for growth as it was easier to come by, and was being
discounted at higher rates.
Although slightly overshadowed by the S&P 500's 12.38% return, Portfolio results
(11.32%) benefited from the market's rotation out of the high-priced, mega-cap
growth names and into a broader collection of stocks this period. Our valuation
discipline kept the Portfolio concentrated in stocks which our analysts have
identified as being the most attractively priced relative to their long-term
fundamentals. Conversely, we continued to underweight the "Nifty Fifty" stocks,
which underperformed during the period.
The Portfolio's holdings in the technology sector boosted performance. The tilt
toward Internet infrastructure companies, such as Sun Microsystems, EMC Corp.,
and Cisco Systems significantly advanced relative returns. The Portfolio was
also overweight in Texas Instruments, whose more cyclical characteristics and
digital signal processor prowess gained favor with investors during the period.
Multi-sector portfolio holdings also outpaced their S&P 500 counterparts. Higher
earnings expectations drove Tyco International shares higher. Results were also
enhanced by not holding General Electric or America OnLine, which turned in
comparably dull performance for the six months ended June 30. Detracting
slightly from the Portfolio's success was the underperformance of long-distance
carrier holdings relative to the regional Bell operating companies.
Going forward, we expect the market to continue to broaden. The largest stocks
still trade at a considerable premium to the rest of the market at a time when
global economic recovery should disproportionately improve prospects for
cyclical companies. As valuation creeps back into consideration, we are
confident that our research-driven, disciplined investment approach will deliver
superior results.
PEGGY ADAMS
MICHAEL J. KELLY
Portfolio Managers
J.P. Morgan Investment Management Inc.
1 The S&P 500 Index is an unmanaged index consisting of the stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
2 The S&P Value Index contains those companies within the S&P 500 Index deemed
by Standard & Poor's to have lower price-to-book ratios. The Index does not
include fees or expenses and is not available for direct investment.
3 The S&P Growth Index contains those companies within the S&P 500 Index deemed
by Standard & Poor's to have higher price-to-book ratios. The Index does not
include fees or expenses and is not available for direct investment.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99
- ---------------------------------------------------------------
% of net assets
<S> <C>
1. Tyco International Ltd. 3.6
- ---------------------------------------------------------------
2. BankAmerica Corp. 3.6
- ---------------------------------------------------------------
3. MCI WorldCom, Inc. 3.2
- ---------------------------------------------------------------
4. Microsoft Corp. 3.2
- ---------------------------------------------------------------
5. Waste Management, Inc. 3.0
- ---------------------------------------------------------------
6. Cisco Systems, Inc. 2.9
- ---------------------------------------------------------------
7. IBM Corp. 2.8
- ---------------------------------------------------------------
8. Philip Morris Co., Inc. 2.6
- ---------------------------------------------------------------
9. Procter & Gamble Co. 2.4
- ---------------------------------------------------------------
10. SBC Communications Corp. 2.4
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/99
[Column Graph]
Select Equity Portfolio
- -----------------------------------------------------------------
<S> <C>
Technology 17.8
Finance 11.8
Drugs 8.7
Multi-Industry 10.6
Energy 4.9
Telephone 8.4
Consumer Staples 9.3
Retail 5.2
Other 17.5
Insurance 5.8
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return4
Inception 5/1/96 (for the period ended 6/30/99)
- --------------------------------------- ------------ -------------------------------- ----------------
1 Year 3 Year Since inception
- --------------------------------------- ------------ -------------------------------- ----------------
<S> <C> <C> <C>
Select Equity Portfolio,
managed by JPMIM 20.62% 25.50% 23.43%
- --------------------------------------- ------------ -------------------------------- ----------------
S&P 500 Index 22.76% 29.07% 28.56%
- --------------------------------------- ------------ -------------------------------- ----------------
</TABLE>
4 "Average Annual Return" is calculated including reinvestment of
all income dividends and capital gain distributions. Results represent past
performance and do not indicate future results. The value of an investment in
the Select Equity Portfolio managed by J.P. Morgan Investment Management (JPMIM)
and the return on the investment will fluctuate, and redemption proceeds may be
higher or lower than an investor's original cost.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
- -------------------------------------------------------------------------------
LARGE CAP STOCK PORTFOLIO For the Period ended 6/30/99
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
- -------------------------------------------------------------------------------
During the first half of the year, the S&P 500 Index1 rose 12.38% and hit an all
time new high on the last day of June. During this time period, we saw a shift
in performance from growth stocks to value stocks. The S&P Value Index2 finished
the first half of the year up 13.92%, while the S&P Growth Index3 was up only
10.95%. The global economy and interest rates were the major issues during the
time period. The global economy appears to be gaining strength after
experiencing lackluster growth in 1998 and interest rates have risen.
During the first half of the year, the Portfolio's return of 12.75% outperformed
the S&P 500 Index's return of 12.38%. During this time period, the market
broadened out as investors moved away from the high multiple growth stocks for
the more economically sensitive cyclical stocks. This broadening effect is
favorable to the Portfolio as it benefits from being underweighted in many of
the former market leaders such as GE and Microsoft as it does from being
overweighted in many of the formerly overlooked non-nifty-fifty names. The
Portfolio remains well positioned to take advantage of the valuation correction
of the nifty fifty stocks. In addition, the Portfolio's performance was
positively impacted by stock selection during the time period.
We expect the market broadening that began in the second quarter to continue.
The largest stocks still trade at a very large premium over the rest of the
market. We will continue to maintain our conviction that the market leaders are
over priced and invest the majority of the fund in the broader market. As
always, we will remain sector and factor neutral relative to the benchmark and
continue to focus solely on stock selection.
JOHN M. DEVLIN, JR.
JAMES WIESS
Portfolio Managers
J.P. Morgan Investment Management Inc.
1 The S&P 500 Index is an unmanaged index consisting of the stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
2 The S&P Value Index contains those companies within the S&P 500 Index deemed
by Standard & Poor's to have lower price-to-book ratios. The Index does not
include fees or expenses and is not available for direct investment.
3 The S&P Growth Index contains those companies within the S&P 500 Index deemed
by Standard & Poor's to have higher price-to-book ratios. The Index does not
include fees or expenses and is not available for direct investment.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99
% of net assets
- ------------------------------------------------------------
<S> <C>
1. IBM Corp. 3.1
- ------------------------------------------------------------
2. Microsoft Corp. 3.0
- ------------------------------------------------------------
3. Cisco Systems, Inc. 2.7
- ------------------------------------------------------------
4. Intel Corp. 2.6
- ------------------------------------------------------------
5. Lucent Technologies, Inc. 2.3
- ------------------------------------------------------------
6. MCI WorldCom, Inc. 2.3
- ------------------------------------------------------------
7. General Electric Co. 2.2
- ------------------------------------------------------------
8. Citigroup, Inc. 2.1
- ------------------------------------------------------------
9. Bristol-Myers Squibb Co. 2.1
- ------------------------------------------------------------
10. Exxon Corp. 2.0
- ------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/99
[Column Graph]
Large Cap Stock Portfolio
- -----------------------------------------------------------------
<S> <C>
Technology 19.8
Health & Drugs 11.4
Finance 2.5
Consumer Staples 7.4
Multi-Industry 7.8
Telephone 9.1
Energy 6.1
Retail 6.0
Services 6.3
Other 23.6
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return4
Inception 5/1/96 (for the period ended
6/30/99)
- -------------------------------- ----------------- ------------------------------ -----------------
1 Year 3 Year Since inception
- -------------------------------- ----------------- ------------------------------ -----------------
<S> <C> <C> <C>
Large Cap Stock Portfolio,
managed by JPMIM 24.95% 30.46% 29.60%
- -------------------------------- ----------------- ------------------------------ -----------------
S&P 500 Index 22.76% 29.07% 28.56%
- -------------------------------- ----------------- ------------------------------ -----------------
</TABLE>
o
4 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Large Cap
Stock Portfolio managed by J.P. Morgan Investment Management (JPMIM) and the
return on the investment will fluctuate, and redemption proceeds may be higher
or lower than an investor's original cost.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
- -----------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO For the Period ended 6/30/99
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
- -----------------------------------------------------------------------------
In the first six months of the year, confidence in the Asian equity markets
improved as Japan continued its outperformance that we saw in the first quarter.
First quarter GDP figures were robust and the Nikkei Index1 rose above 17,500
for the first time in two years. In contrast, European equities lagged during
the first half of the year, as many markets posted negative returns in both
local currency and U.S. dollars despite interest rate reductions by both the
Bank of England and the European Central Bank. Once again, the strength of the
U.S. dollar detracted from returns.
The Portfolio's return of 5.68% outperformed the MSCI EAFE Index2 return of
4.11% during the six-month period, largely as the result of stock selection,
with positive returns in all major markets. In particular, stock selection
decisions in Continental Europe, Japan and the U.K. were all positive
contributors to performance. Stock selection benefited in particular from the
broadening of the market, as well as continued strength in mergers and
acquisitions.
International equity markets continue to focus on improving expectations for
economic growth and corporate profitability. While equity valuations in many
countries look demanding, the U.S. continues to appear more overvalued than
most. We have increased our Japanese exposure to a near neutral position,
encouraged by continuing restructuring efforts. However, it seems likely that
unemployment will remain high, suppressing consumer confidence and capital
spending. In Continental Europe, we have increased our exposure, focusing on the
improving economic outlook for the second half of the year.
NIGEL EMMETT
PAUL QUINSEE
Portfolio Managers
J.P. Morgan Investment Management Inc.
1 The Nikkei Index is a price-weighted index of 225 top-rated Japanese companies
listed on the Tokyo stock exchange. The Index does not include fees or expenses
and is not available for direct reinvestment.
2 The Morgan Stanley Capital International Europe, Australia and Far East Index
is an unmanaged index and is an aggregate of 15 individual country indexes that
collectively represent many of the major markets of the world. The Index does
not include fees or expenses and is not available for direct investment.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99
% of net
assets
- --------------------------------------------------------------
<S> <C>
1. BP Amoco Plc 1.7
- --------------------------------------------------------------
2. Roche Holding AG 1.5
- --------------------------------------------------------------
3. Mannesmann AG 1.5
- --------------------------------------------------------------
4. Lloyds TSB Group Plc 1.5
- --------------------------------------------------------------
5. Nippon Telegraph & Telephone Corp. 1.5
- --------------------------------------------------------------
6. Total Cie Francaise Petroles 1.4
- --------------------------------------------------------------
7. Vodaphone Group Plc 1.4
- --------------------------------------------------------------
8. Vivendi 1.2
- --------------------------------------------------------------
9. Societe National Elf-Aquitaine 1.2
- --------------------------------------------------------------
10. Veba AG 1.2
- --------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/99
[Column Graph]
International Equity Portfolio
- -----------------------------------------------------------------
<S> <C>
United Kingdom 20.4
Japan 21.0
France 11.3
Germany 11.5
Switzerland 6.6
Netherlands 8.1
Italy 2.6
Australia 3.2
Spain 3.6
Sweden 2.7
Other 9.0
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return3
Inception 5/1/96 (for the period ended 6/30/99)
- --------------------------------------- --------- -------------------------------- ---------------------
1 Year 3 Year Since inception
- --------------------------------------- --------- -------------------------------- ---------------------
<S> <C> <C> <C>
International Equity Portfolio,
managed by JPMIM 5.02% 10.84% 10.83%
- --------------------------------------- --------- -------------------------------- ---------------------
MSCI EAFE Index 7.92% 9.01% 7.89%
- --------------------------------------- --------- -------------------------------- ---------------------
</TABLE>
3 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the International
Equity Portfolio managed by J.P. Morgan Investment Management (JPMIM) and the
return on the investment will fluctuate, and redemption proceeds may be higher
or lower than an investor's original cost.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
- ----------------------------------------------------------------------
BOND DEBENTURE PORTFOLIO For the Period ended 6/30/99
MANAGED BY LORD, ABBETT & CO.
Letter to Policyholders
- ----------------------------------------------------------------------
During the period, interest rates rose and the U.S. economy continued to grow
strongly. Many global economies, including those in the Pacific Rim and South
America, showed signs of definite improvement. Despite little hard evidence of
increasing wages or rising basic materials costs, the strength of the U.S.
economy sparked concerns about a surge in inflation. Given these conditions, the
U.S. Federal Reserve Board increased its key, short-term interest rate by 0.25%.
Bond prices generally declined during the period.
Despite disappointing returns for the overall bond market during the period, the
Portfolio's continued focus on high-yield bonds enabled it to perform well.
Holdings in convertible securities also helped boost performance, especially
during the month of April when the stock market advanced and convertibles posted
solid returns.
Amid the market's concerns about interest rates and inflation, we reduced the
portfolio's duration and holdings in government bonds, because of their
interest-rate sensitivity. Investment in convertible bonds was also reduced,
because we believe that many of these investments reached their full value
prices during April's equity market advance, and because of a change in equity
market trends. The Portfolio remains overweighted in the high-yield/lower-rated
sector, because we believe that improved U.S. corporate earnings growth and
expected growth in the global economy, in the absence of significant signs of
inflation, create an excellent scenario for many high-yield/lower-rated
corporate bond investments.
Despite fears in the marketplace, we are optimistic that inflation will not
become a threat to the U.S. economy. With the increase in rates that has
occurred since the beginning of 1999 and the U.S. Federal Reserve Board's recent
rate hike, we expect the U.S. economy to grow at a more sustainable rate of 2.5%
to 3% during the second half of 1999. At this level of growth, much of the
inflationary fear that has consumed the market recently will likely be
eliminated. We believe that this will create an improved environment for bond
investments in general and particularly for high-yield/lower-rated investments,
which tend to perform well in a growing economy. Therefore, we expect to remain
overweighted in this sector during the coming months to benefit from high
current yields and to position the portfolio to capture potential capital
appreciation from these issues when conditions in the bond market improve.
CHRISTOPHER J. TOWLE
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99
% of net assets
- ----------------------------------------------------------------------
<S> <C>
1. U.S. Treasury Notes (5/31/03) 7.3
- ----------------------------------------------------------------------
2. U.S. Treasury Notes (11/15/08) 4.2
- ----------------------------------------------------------------------
3. Intermedia Communications of Florida, Inc.(7/15/07) 1.1
- ----------------------------------------------------------------------
4. Call-Net Enterprises, Inc. 1.0
- ----------------------------------------------------------------------
5. Sinclair Broadcast Group Inc. 1.0
- ----------------------------------------------------------------------
6. McLeodUSA, Inc. 0.9
- ----------------------------------------------------------------------
7. FNMA 0.9
- ----------------------------------------------------------------------
8. Gulf Canada Resources Ltd. 0.9
- ----------------------------------------------------------------------
9. Nextel Communications, Inc. 0.8
- ----------------------------------------------------------------------
10. Pierce Leahy Corp. 0.8
- ----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO COMPOSITION
As of 6/30/99
[Column Graph]
Bond Debenture Portfolio
- -----------------------------------------------------------------
<S> <C>
High Yield 63.2
Convertibles 19.3
U.S. Government Securities 12.4
Cash & Equivalents 5.1
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return1
Inception 5/1/96 (for the period ended
6/30/99)
- ----------------------------- ------------ ----------------------------- -----------------
1 Year 3 Year Since inception
- ----------------------------- ------------ ----------------------------- -----------------
<S> <C> <C> <C>
Bond Debenture Portfolio,
managed by Lord, Abbett 1.54% 11.14% 11.22%
- ----------------------------- ------------ ----------------------------- -----------------
First Boston High
Yield Index2 -0.85% 8.06% 7.97%
- ----------------------------- ------------ ----------------------------- -----------------
Salomon Brothers
BIG Index3 3.12% 7.25% 7.28%
- ----------------------------- ------------ ----------------------------- -----------------
Merrill Lynch
Convertible Index4 13.74% 15.32% 14.69%
- ----------------------------- ------------ ----------------------------- -----------------
</TABLE>
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Bond Debenture
Portfolio managed by Lord Abbett and the return on the investment will
fluctuate, and redemption proceeds may be higher or lower than an investor's
original cost.
2 The First Boston High Yield Index is representative of lower rated debt,
including straight-preferred stocks.
3The Salomon Brothers Broad Investment-Grade Bond Index (BIG) is a
market-capitalized weighted index that includes fixed-rate Treasury, government
sponsored, corporate (Baa3/BBB or better) and mortgage securities. The index
does not reflect any expenses.
4 The Merrill Lynch Convertible Index is representative of the equity-related
securities. The three indices chosen have elements of these three categories,
but since there is no one index combining all three categories, these three
separate indices may not be a valid comparison for the Portfolio. These indices
do not include fees or expenses and are not available for direct investment.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains.
Performance numbers are net of all Portfolio operating expenses, but they do not
include any insurance charges imposed in connection with your variable insurance
contract. If this performance information included the effects of these fees or
charges, performance numbers would be lower.
<PAGE>
- --------------------------------------------------------------------
MID-CAP VALUE PORTFOLIO For the Period ended 6/30/99
MANAGED BY LORD, ABBETT & CO.
Letter to Policyholders
- --------------------------------------------------------------------
The market volatility that characterized 1998 continued into early 1999, as
investors feared that instability in Asia and South America would limit earnings
growth for many companies with global operations. Given these conditions,
large-cap growth stocks, often perceived as safe and liquid, continued to
outperform most other equity investments. Performance in the stock market
broadened during the second quarter (more stocks participated in the market's
move higher than had been the case in earlier quarters) and the stocks of
mid-sized companies handily outperformed large-cap growth stocks.
Careful stock selection enabled the Portfolio to hold its own relative to
mid-cap benchmarks during the first quarter's difficult market environment and
to perform well when the market broadened in the second quarter. During the
first half of the period, when healthcare services and electric utilities stocks
were subject to some weakness, we used the opportunity to build positions in
these areas. This helped the Portfolio to perform well during the second quarter
as a number of these holdings moved higher due to merger and acquisition
activity. Technology stocks also performed well during the second quarter and
the Portfolio's holdings in this sector appreciated.
In contrast to the last several years, interest rates generally moved higher
throughout the first half of 1999 and stronger-than-expected economic growth
resulted in a 0.25% rate hike by the U.S. Federal Reserve Board on June 30.
Given this shift in the interest rate environment, we expect the U.S. economy to
grow at a more sustainable rate of 2.5% to 3% during the second half of the
year. Further, given the trend toward rising rates, we expect a less favorable
environment for many large-cap growth stocks since higher interest rates
generally impede price/earnings multiple expansion.
We expect that the trend favoring value stocks will continue through the
remainder of 1999. We look forward to executing our research-driven, value-based
investment strategy in such an environment.
EDWARD VON DER LINDE
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99 % of net assets
- ------------------------------------------------------------------
<S> <C>
1. Dynergy, Inc. 3.3
- ------------------------------------------------------------------
2. MedPartners, Inc. 2.9
- ------------------------------------------------------------------
3. Varian Medical Systems, Inc. 2.8
- ------------------------------------------------------------------
4. Safety-Kleen Corp. 2.7
- ------------------------------------------------------------------
5. Amerada Hess Corp. 2.6
- ------------------------------------------------------------------
6. Northeast Utilities 2.6
- ------------------------------------------------------------------
7. Cabletron Systems, Inc. 2.5
- ------------------------------------------------------------------
8. Dillard's, Inc. 2.5
- ------------------------------------------------------------------
9. Kerr-Mcgee Corp. 2.2
- ------------------------------------------------------------------
10. OfficeMax, Inc. 2.2
- ------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/99
[Column Graph]
Mid-Cap Value Portfolio
- -----------------------------------------------------------------
<S> <C>
Auto 3.1
Basic Industry 16.7
Consumer Cyclicals 3.8
Consumer Discretionary 8.0
Consumer Services 6.3
Consumer Staples 4.6
Energy 8.6
Financial Services 9.1
Health Care 4.2
Materials & Processing 4.2
Other 12.6
Producer Durables 2.5
Technology 4.1
Utilities 12.2
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return1
Inception 8/20/97 (for the period ended 6/30/99)
- --------------------------------------- ------------------------------------ -----------------------
1 Year Since inception
- --------------------------------------- ------------------------------------ -----------------------
<S> <C> <C>
Mid-Cap Value Portfolio,
managed by Lord, Abbett 4.61% 9.44%
- --------------------------------------- ------------------------------------ -----------------------
Russell Midcap Index2 11.31% 19.60%
- --------------------------------------- ------------------------------------ -----------------------
</TABLE>
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Mid-Cap Value
Portfolio managed by Lord Abbett and the return on the investment will
fluctuate, and redemption proceeds may be higher or lower than an investor's
original cost.
2The Russell Midcap Index measures the performance of the 800 smallest
securities in the Russell 1000 Index, which represents approximately 35% of
total market capitalization. The Index does not include fees or expenses and is
not available for direct investment.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
- --------------------------------------------------------------------------------
LARGE CAP RESEARCH PORTFOLIO For the Period ended 6/30/99
MANAGED BY LORD, ABBETT & CO.
Letter to Policyholders
- --------------------------------------------------------------------------------
In early 1999 investors remained concerned about the economic instability that
had plagued Asian and South American economies throughout 1998 and the impact
such instability might have on corporate earnings worldwide. As a result,
large-cap growth stocks, often perceived as safe and liquid, continued to
outperform most other equity investments. This trend reversed during the second
quarter of 1999 as Asian and Latin American markets showed signs of improvement,
and investors began to investigate opportunities in small-cap, mid-cap and value
stocks.
Early in the period we reduced the Portfolio's health care and retail holdings
which, in our opinion, appeared to have approached their full value. At the same
time, we began to increase holdings for cyclical companies, including those in
the energy, aluminum and paper businesses. In April, when cyclical stocks
advanced, the Portfolio was well-positioned to participate in the upswing.
During the period we reduced the Portfolio's investments in
interest-rate-sensitive financial companies, although the Portfolio still
maintains a focus on insurance companies, since such companies continue to
benefit from industry consolidation.
Although themes in the market may deviate in the short-term, we expect that
cyclical stocks will continue to perform well in the third quarter and through
the end of the year. Based on the meaningful steps Japan and other Pacific Rim
countries have taken to stimulate their economies, we believe global economic
expansion will slowly begin. A long-term trend toward falling interest rates and
global disinflation created a valuation gap between growth and value stocks that
was historically wide. During the second quarter, we saw that gap begin to
narrow. However, we believe that stock prices for many cyclical companies do not
yet adequately reflect their earnings potential.
ROBERT MORRIS
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99 % of net assets
- --------------------------------------------------------------------
<S> <C>
1. Unisys Corp. 3.5
- --------------------------------------------------------------------
2. IBM Corp. 3.2
- --------------------------------------------------------------------
3. First Data Corp. 3.2
- --------------------------------------------------------------------
4. AT&T Corp. 3.2
- -------------------------------------------------------------------
5. Heinz (H.J.), Co. 2.8
- -------------------------------------------------------------------
6. Sun Microsystems, Inc. 2.4
- -------------------------------------------------------------------
7. Texas Instruments, Inc. 2.4
- -------------------------------------------------------------------
8. EMC Corp. 2.4
- -------------------------------------------------------------------
9. BP Amoco Plc (ADR) 2.3
- -------------------------------------------------------------------
10. Ace Ltd. 2.2
- --------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/99
[Column Graph]
Large Cap Research Portfolio
- -----------------------------------------------------------------
<S> <C>
Auto 3.5
Basic Industry 6.7
Cash & Equivalents 3.2
Consumer Cyclicals 2.7
Consumer Discretionary 2.8
Consumer Staples 5.2
Energy 4.7
Financial Services 17.6
Integrated Oils 5.6
Materials & Processing 6.5
Other 6.5
Producer Durables 2.9
Technology 27.4
Utilities 4.7
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return1
Inception 8/20/97 (for the period ended
6/30/99)
- --------------------------------------- ------------------------------ ---------------------
1 Year Since inception
- --------------------------------------- ------------------------------ ---------------------
<S> <C> <C>
Large Cap Research Portfolio,
managed by Lord, Abbett 19.04% 18.09%
- --------------------------------------- ------------------------------ ---------------------
S&P 500 Index2 22.76% 27.26%
- --------------------------------------- ------------------------------ ---------------------
</TABLE>
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Large Cap
Research Portfolio managed by Lord Abbett and the return on the investment will
fluctuate, and redemption proceeds may be higher or lower than an investor's
original cost.
2 The S&P 500 Index is an unmanaged index consisting of the stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
- ----------------------------------------------------------------------------
DEVELOPING GROWTH PORTFOLIO For the Period ended 6/30/99
MANAGED BY LORD, ABBETT & CO.
Letter to Policyholders
- ----------------------------------------------------------------------------
Early in the period small-cap stocks were subject to volatility--performing well
in January, then falling back in February and March. During the second quarter,
small caps once again performed well, although small-cap growth stocks did not
perform as strongly as small-cap value stocks.
Bottom-up stock picking continues to drive performance for the Portfolio, and
careful investment in the technology and retail sectors contributed to the
Portfolio's positive return. The Portfolio is currently maintaining larger
weightings in the technology and health care sectors than it has in the past,
though it still carries less exposure to these sectors than the Russell 2000
Growth Index1. We remain underweighted in financial services stocks, because we
believe this area generally does not offer the long-term earnings growth
potential we seek. The Portfolio was overweighted in the consumer discretionary
sector, which includes companies in the retail and leisure industries, where we
have discovered several interesting investments as a result of our ongoing,
proprietary research.
While valuations are high for many Internet-related issues, we believe that
there are companies in this sector possessing fundamental strength and excellent
growth potential. Going forward, we expect to make select investments in this
area. We are also confident that opportunities we have identified in the retail
and health care sectors may enhance return potential for the Portfolio.
In our opinion, renewed investor confidence about global economic conditions and
an anticipated global economic expansion create a favorable environment for
earnings growth among smaller companies. While small-company stocks have begun
to find favor once again, we believe that the return potential in the small-cap
growth sector has yet to be fully appreciated, and we expect improving market
conditions for small-cap growth stocks.
STEPHEN J. MCGRUDER
Portfolio Manager
Lord, Abbett & Co.
1The Russell Growth 2000 Index is an unmanaged index and measures the
performance of those Russell 2000 companies with higher price-to-book ratios and
higher forecasted growth values. The Index does not include fees or expenses and
is not available for direct investment.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET
VALUE As of 6/30/99
% of net assets
- ---------------------------------------------------------------
<S> <C>
1. Plantronics, Inc. 3.3
- ---------------------------------------------------------------
2. Security First Technologies Corp. 2.3
- ---------------------------------------------------------------
3. Orbital Sciences Corp. 2.3
- ---------------------------------------------------------------
4. Pacific Sunwear of California, Inc. 2.3
- ---------------------------------------------------------------
5. Ames Department Stores, Inc. 1.9
- ---------------------------------------------------------------
6. IMRglobal Corp. 1.9
- ---------------------------------------------------------------
7. SLI, Inc. 1.7
- ---------------------------------------------------------------
8. Stillwater Mining Co. 1.7
- ---------------------------------------------------------------
9. RadiSys Corp. 1.6
- ---------------------------------------------------------------
10. Nielsen Media Research 1.5
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/99
[Column Graph]
Developing Growth Portfolio
- -----------------------------------------------------------------
<S> <C>
Capital Goods 3.1
Consumer Cyclicals 1.8
Consumer Disc. 20.0
Consumer Services 14.3
Energy 7.2
Financial Services 8.3
Health Care 6.0
Materials & Processing 3.1
Other 7.0
Technology 29.2
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return2
Inception 8/20/97 (for the period ended 6/30/99)
- --------------------------------------- -------------------------------- ------------------
1 Year Since inception
- --------------------------------------- -------------------------------- ------------------
<S> <C> <C>
Developing Growth Portfolio,
managed by Lord Abbett 14.02% 15.22%
- --------------------------------------- -------------------------------- ------------------
Russell 2000 Index3 1.50% 5.49%
- --------------------------------------- -------------------------------- ------------------
</TABLE>
2 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Developing
Growth Portfolio managed by Lord Abbett and the return on the investment will
fluctuate, and redemption proceeds may be higher or lower than an investor's
original cost.
3 The Russell 2000 Index is an unmanaged index consisting of the stocks of 2000
U.S. -based companies. The Index does not include fees or expenses and is not
available for direct investment.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
- -------------------------------------------------------------------------------
LORD ABBETT GROWTH AND INCOME PORTFOLIO For the Period ended 6/30/99
MANAGED BY LORD, ABBETT & CO.
Letter to Policyholders
- -------------------------------------------------------------------------------
In early 1999, investors remained concerned about the economic instability that
had plagued Asian and South American economies throughout 1998 and the impact
such instability might have on corporate earnings worldwide. As a result,
large-cap growth stocks, often perceived as safe and liquid, continued to
outperform most other equity investments. This trend reversed during the second
quarter of 1999 as Asian and Latin American markets showed signs of improvement,
and investors began to investigate opportunities in small-cap, mid-cap and value
stocks.
The Portfolio was well-positioned vis-a-vis the market during the period under
review. For example, early on, the portfolio's technology holdings enjoyed a
considerable advance in share price, enhancing performance. As these investments
approached what we believed were their full value prices, we pared back the
positions, investing instead in undervalued cyclical stocks, including companies
in the manufacturing and commodities industries. In April, when cyclical stocks
advanced, the portfolio benefited. We reduced the portfolio's investments in
interest-rate-sensitive financial companies, although we maintain a focus on
insurance companies, since such companies continue to benefit from industry
consolidation.
Although themes in the market may deviate in the short-term, we expect that
cyclical stocks will continue to perform well in the third quarter and into year
end. Based on the meaningful steps Japan and other Pacific Rim countries have
taken to stimulate their economies, we believe global economic expansion will
slowly begin. A long-term trend toward falling interest rates and global
disinflation created a valuation gap between growth and value stocks that was
historically wide. During the second quarter we saw that gap begin to narrow.
However, we believe that stock prices for many cyclical companies do not yet
adequately reflect their earnings potential.
W. THOMAS HUDSON JR.
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99 % of net assets
- ------------------------------------------------------------------
<S> <C>
1. AT&T Corp. 3.5
- ------------------------------------------------------------------
2. IBM Corp. 2.9
- ------------------------------------------------------------------
3. Mobil Corp. 2.8
- ------------------------------------------------------------------
4. Texas Instruments, Inc. 2.8
- ------------------------------------------------------------------
5. QUALCOMM, Inc. 2.6
- ------------------------------------------------------------------
6. American Home Products Corp. 2.5
- ------------------------------------------------------------------
7. American General Corp. 2.4
- ------------------------------------------------------------------
8. Total S.A. (ADR) 2.3
- ------------------------------------------------------------------
9. Waste Management, Inc. 2.3
- ------------------------------------------------------------------
10. International Paper Co. 2.3
- ------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/99
[Column Graph]
Growth & Income Portfolio
- -----------------------------------------------------------------
<S> <C>
Auto 2.6
Basic Industry 9.3
Capital Goods 3.1
Other 5.3
Consumer Cyclicals 2.4
Consumer Services 4.2
Consumer Staples 4.3
Energy 4.4
Financial Services 21.7
Integrated Oils 7.5
Materials & Processing 3.8
Technology 26.4
Utilities 5.0
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return1
Inception 1/8/99 (for the period ended 6/30/99)
- ---------------------------------------------------------------------------------
Since inception
- ---------------------------------------------------------------------------------
<S> <C>
Lord Abbett Growth and Income
Portfolio, managed by Lord, Abbett 9.58%
- ---------------------------------------------------------------------------------
S&P 500 Index2 7.75%
- ---------------------------------------------------------------------------------
</TABLE>
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Lord Abbett
Growth and Income Portfolio managed by Lord Abbett and the return on the
investment will fluctuate, and redemption proceeds may be higher or lower than
an investor's original cost.
2 The S&P 500 Index is an unmanaged index consisting of the stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
- ------------------------------------------------------------------------------
BALANCED PORTFOLIO For the Period ended 6/30/99
MANAGED BY MISSISSIPPI VALLEY ADVISORS
Letter to Policyholders
- ------------------------------------------------------------------------------
The stock market ended the second quarter with the strength of a bull. The
question remains whether or not this is the beginning of a summer rally.
However, it certainly has been a lucrative year for the mid-to-small cap
sectors, which have lagged for several years. The Dow Jones Industrial Average1,
the S&P 500 Index2, and the New York Stock Exchange composite indices all rose
six to twelve percent for the second quarter. Advancing issues led declining
issues by three-to-one on the New York Stock Exchange and nearly two-to-one on
the NASDAQ. With earnings for the second quarter expected to be better than
earlier anticipated, the market could continue to rally.
The bond market continued to register the decline realized in the first quarter
of 1999. The bellwether 30-year bond ended the quarter down 3.54%. One possible
reason for this decline, according to Federal Reserve Chairman Alan Greenspan,
could be inflation concerns. To dissuade this potential concern, the Federal
Reserve decided to raise the Federal Funds rate to 5%, a 25 basis point
increase, on June 30, 1999. Time will tell whether the Federal Reserve continues
to show concern regarding inflation with small adjustments in rates a la 1994. A
robust U.S. economy and optimistic earnings forecasts provide the foundation for
the bond market to continue to remain within its range this year.
Looking ahead, the prospect of declining economic growth and corporate profits
suggests a defensive stock mix.
<TABLE>
<CAPTION>
Normal Range of Portfolio
Assets
-------------------------------- --------------- -----------
Current Minimum Maximum
-------------------------------- --------------- -----------
<S> <C> <C> <C>
Stocks 55% 45% 70%
Bonds 35% 25% 50%
Cash and Equivalents 10% 5% 10%
</TABLE>
PETER MERZIAN
Portfolio Manager
Mississippi Valley Advisors
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99 % of net assets
- -----------------------------------------------------------------------------------
<S> <C>
1. FNMA (6.0%, 11/01/13) 5.6%
- -----------------------------------------------------------------------------------
2. Du Pont (E.I.) de Nemours and Co. (8.25%, 9/15/06) 2.0%
- -----------------------------------------------------------------------------------
3. U.S. Treasury Note (7.25%, 5/15/04) 2.0%
- -----------------------------------------------------------------------------------
4. U.S. Treasury Note (6.625%, 5/15/07) 1.9%
- -----------------------------------------------------------------------------------
5. U.S. Treasury Note (6.375%, 8/15/02) 1.9%
- -----------------------------------------------------------------------------------
6. J.C Penney Co., Inc. (7.6%, 4/01/07) 1.9%
- -----------------------------------------------------------------------------------
7. U.S. Treasury Note (6.125%, 8/15/07) 1.9%
- -----------------------------------------------------------------------------------
8. U.S. Treasury Note (6.375%, 5/15/00) 1.9%
- -----------------------------------------------------------------------------------
9. GMAC (6.85%, 6/17/04) 1.9%
- -----------------------------------------------------------------------------------
10. Merrill Lynch & Co., Inc. (6.55%, 8/01/04) 1.9%
- -----------------------------------------------------------------------------------
</TABLE>
1 The Dow Jones Industrial Average is an unweighted market index representing 30
large capitalized industrial companies. The Index does not reflect any expenses
and is not available for direct investment.
2 The S&P 500 Index is an unmanaged index consisting of the stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
3 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Balanced
Portfolio managed by Mississippi Valley Advisors (MVA) and the return on the
investment will fluctuate, and redemption proceeds may be higher or lower than
an investor's original cost.
4 The Salomon Brothers Broad Investment-Grade Bond Index (BIG) is a
market-capitalized weighted index that includes fixed-rate Treasury, government
sponsored, corporate (Baa3/BBB or better) and mortgage securities. The index
does not reflect any expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<TABLE>
<CAPTION>
Average Annual Return3
Inception 7/1/97 (for the period ended
6/30/99)
- --------------------------------------- ---------------------------- -------------------------
1 Year Since inception
- --------------------------------------- ---------------------------- -------------------------
<S> <C> <C>
Balanced Portfolio,
managed by MVA 13.77% 13.52%
- --------------------------------------- ---------------------------- -------------------------
S&P 500 Index2 22.76% 26.40%
- --------------------------------------- ---------------------------- -------------------------
Salomon Brothers BIG Index4 3.12% 6.79%
- --------------------------------------- ---------------------------- -------------------------
</TABLE>
<PAGE>
- ------------------------------------------------------------------------------
SMALL CAP EQUITY PORTFOLIO For the Period ended 6/30/99
MANAGED BY MISSISSIPPI VALLEY ADVISORS
Letter to Policyholders
- ------------------------------------------------------------------------------
Small cap stocks recorded a spectacular second quarter. As measured by the
Russell 2000 Index1, small cap stocks rose 15.6% versus a 7.0% gain for the S&P
500 Index2, generally considered the benchmark for large cap stocks. This
outperformance was in sharp contrast to the first quarter, which saw small cap
stocks decline 5.4% versus a 5.0% gain for large cap stocks. The performance
also contrasts sharply to the recent history of small cap stocks being soundly
trounced in the market by their larger counterparts. In fact the impressive 8.6%
outperformance during the quarter was the best since the fourth quarter of 1992
when the spread was 9.4%. The major turn began to occur in the market in mid
April as cyclicals and small cap value stocks began to outperform large cap
growth stocks. We view this broadening in the market to be extremely healthy
given the large difference in valuation between the largest companies in the S&P
500 Index, which sell at P/Es of more than 35 times earnings compared to the P/E
of the Russell 2000 Index of 17 to 18 times earnings. While the second quarter
continues a trend of extreme volatility in small cap stocks from quarter to
quarter, we view the outperformance as a significant change and are cautiously
optimistic that small cap stocks will show greater participation in the growth
of the market.
Not only did small cap stocks outperform in the quarter but there was also good
breadth. For the quarter, performance was led by energy, followed closely by
cyclicals, technology (although internet stocks lagged slightly in the quarter,
they remained the leaders in performance year to date) and utilities. Slightly
weaker segments in the quarter included REITs, financial services, healthcare
and consumer staples. Every industry sector within the Russell 2000 Index showed
a positive return for the quarter. Our style of broad diversification worked
well in the quarter and permitted solid outperformances. Looking ahead we
continue to see good value in technology stocks, consumer cyclicals, industrial
cyclicals and capital goods. Possible additions to the portfolio may occur in
the financial sector given their recent underperformance in the market and solid
fundamentals.
ROBERT J. ANTHONY
Portfolio Manager
Mississippi Valley Advisors
1 The Russell 2000 Index is an unmanaged index consisting of the stocks of 2000
U.S. -based companies. The Index does not include fees or expenses and is not
available for direct investment.
2 The S&P 500 Index is an unmanaged index consisting of the stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99 % of net
assets
- ----------------------------------------------------------------
<S> <C>
1. Kulicke & Soffa Industries, Inc. 3.1
- ----------------------------------------------------------------
2. PRI Automation, Inc. 2.8
- ----------------------------------------------------------------
3. Lason Inc. 2.6
- ----------------------------------------------------------------
4. Texas Industries, Inc. 2.6
- ----------------------------------------------------------------
5. Superior Industries International, Inc. 2.1
- ----------------------------------------------------------------
6. Metris Companies, Inc. 2.1
- ----------------------------------------------------------------
7. Photronics, Inc. 2.0
- ----------------------------------------------------------------
8. DENTSPLY International, Inc. 1.8
- ----------------------------------------------------------------
9. SMART Modulars Technologies, Inc. 1.7
- ----------------------------------------------------------------
10.Sungard Data Systems, Inc. 1.7
- ----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/99
[Column Graph]
Small Cap Equity Portfolio
- -----------------------------------------------------------------
<S> <C>
Technology 26.7
Consumer Growth 25.4
Interest Sensitive 15.6
Industrial Cyclicals 8.8
Consumer Staples 5.5
Energy 3.7
Consumer Cyclicals 3.2
Capital Goods 4.5
Other 6.6
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return3
Inception 7/1/97 (for the period ended 6/30/99)
- ----------------------------------- -------------------------------- -----------------------
1 Year Since inception
- ----------------------------------- -------------------------------- -----------------------
<S> <C> <C>
Small Cap Equity Portfolio,
managed by MVA .09% 5.37%
- ----------------------------------- -------------------------------- -----------------------
Russell 2000 Index1 1.50% 8.74%
- ----------------------------------- -------------------------------- -----------------------
</TABLE>
3 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Small Cap
Equity Portfolio managed by Mississippi Valley Advisors (MVA) and the return on
the investment will fluctuate, and redemption proceeds may be higher or lower
than an investor's original cost.
Performance data is historical and includes
changes in share price and reinvestment of dividends and capital gains.
Performance numbers are net of all Portfolio operating expenses, but they do not
include any insurance charges imposed in connection with your variable insurance
contract. If this performance information included the effects of these fees or
charges, performance numbers would be lower.
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO For the Period ended 6/30/99
MANAGED BY MISSISSIPPI VALLEY ADVISORS
Letter to Policyholders
- --------------------------------------------------------------------------------
1999's second quarter witnessed a resurgence in the downtrodden value segment of
the market. Continued strength in the U.S. economy, and improving economic
trends worldwide helped focus investor attention back on cyclicals. In addition,
higher interest rates during the period put pressure on some of the more
overvalued higher multiple growth stocks, which in turn helped the value segment
of the market show improvement.
Sectors that performed well during the quarter include telecommunications,
electric utilities, consumer staples, retailers, industrial cyclicals, capital
goods and energy. Only pharmaceuticals and several bank stocks meaningfully
underperformed the market.
Looking ahead, we will keep a keen eye on any further actions by the Federal
Reserve as the inflation hawks seek to curb any sign of an overheated economy.
We will watch corporate earnings with equal fervor, which, to date, have been
better than expected.
EQUITY COMMITTEE
Mississippi Valley Advisors
1 The S&P 500 Index is an unmanaged index consisting of the stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
2 The Russell 1000 Index consists of the largest 1000 companies in the Russell
3000 Index. The Index represents the universe of large capitalization stocks
from which most active money managers typically select. The Index does not
include fees or expenses and is not available for direct investment.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99 % of net
assets
- ------------------------------------------------------------------
<S> <C>
1. Hewlett-Packard Co. 2.2
- ------------------------------------------------------------------
2. Pepsico, Inc. 2.1
- ------------------------------------------------------------------
3. USX-Marathon Group 2.1
- ------------------------------------------------------------------
4. Halliburton Co. 2.1
- ------------------------------------------------------------------
5. Murphy Oil Corp. 2.1
- ------------------------------------------------------------------
6. First Union Corp. 2.0
- ------------------------------------------------------------------
7. Raytheon Co. 2.0
- ------------------------------------------------------------------
8. Dillard's, Inc. 2.0
- ------------------------------------------------------------------
9. GTE Corp. 2.0
- ------------------------------------------------------------------
10. Masco Corp. 1.9
- ------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/99
[Column Graph]
Equity Income Portfolio
- -----------------------------------------------------------------
<S> <C>
Interest Sensitive 43.2
Energy 11.3
Industrial Cyclicals 6.8
Consumer Growth 10.1
Technology 5.7
Consumer Cyclicals 3.8
Consumer Staples 6.8
Capital Goods 3.9
Other 8.4
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return3
Inception 7/1/97 (for the period ended 6/30/99)
- ------------------------------------ ------------------------------- ------------------
1 Year Since inception
- ------------------------------------ ------------------------------- ------------------
<S> <C> <C>
Equity Income Portfolio,
managed by MVA 10.25% 17.05%
- ------------------------------------ ------------------------------- ------------------
Russell 1000 Index2 21.93% 25.97%
- ------------------------------------ ------------------------------- ------------------
</TABLE>
3 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Equity Income
Portfolio managed by Mississippi Valley Advisors (MVA) and the return on the
investment will fluctuate, and redemption proceeds may be higher or lower than
an investor's original cost.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
- --------------------------------------------------------------------------------
GROWTH & INCOME EQUITY PORTFOLIO For the Period ended 6/30/99
MANAGED BY MISSISSIPPI VALLEY ADVISORS
Letter to Policyholders
- --------------------------------------------------------------------------------
The second quarter was greeted by a shift in the market and a shift by the
Federal Reserve. Value investing came into vogue and small caps became more
interesting than large cap growth.
The Growth & Income Equity Portfolio was a beneficiary of continued improvement
in the global economy, which had a direct impact on energy and economically
sensitive stocks. The significant rally in energy stocks gave us the opportunity
to further reduce our overweighting and look for bargains in the depressed
technology area, financial stocks, and consumer staple stocks.
Recent concerns over Federal Reserve policy have made equity investors nervous;
however, now that the Fed has actively raised the Federal Funds Rate to 5% we
can focus on an improving earnings environment, at least until August when the
Federal Reserve meets again.
The Growth & Income Equity Portfolio's performance was good on both a relative
and absolute basis outperforming the S&P 500 Index1 each of the last three
months, the second quarter and year-to-date.
This transition from growth to value should be more than a one-quarter
phenomenon and we fully expect to take advantage of valuation discrepancies in
companies that have visible and predictable earnings growth.
EQUITY COMMITTEE
Mississippi Valley Advisors
1 The S&P 500 Index is an unmanaged index consisting of the stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/99 % of net assets
- -------------------------------------------------------------- -------------------
<S> <C>
1. Millipore Corp. 2.5
- -------------------------------------------------------------- -------------------
2. Applied Materials, Inc. 2.4
- -------------------------------------------------------------- -------------------
3. Tandy Corp. 2.3
- -------------------------------------------------------------- -------------------
4. KLA-Tencor Corp. 2.3
- -------------------------------------------------------------- -------------------
5. Hewlett-Packard Co. 2.2
- -------------------------------------------------------------- -------------------
6. Dillard's, Inc. 2.1
- -------------------------------------------------------------- -------------------
7. GTE Corp. 2.1
- -------------------------------------------------------------- -------------------
8. Microsoft Corp. 2.1
- -------------------------------------------------------------- -------------------
9. MBNA Corp. 2.1
- -------------------------------------------------------------- -------------------
10. Merck & Co., Inc. 2.0
- -------------------------------------------------------------- -------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/99
[Column Graph]
Growth and Income Equity Portfolio
- -----------------------------------------------------------------
<S> <C>
Consumer Growth 22.7
Interest Sensitive 17.5
Technology 17.9
Energy 8.4
Industrial Cyclicals 8.8
Consumer Staples 7.8
Capital Goods 6.7
Consumer Cyclicals 2.1
Other 8.1
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return2
Inception 7/1/97 (for the period ended 6/30/99)
- ------------------------------------- --------------------------------------- ---------------------
1 Year Since inception
- ------------------------------------- --------------------------------------- ---------------------
<S> <C> <C>
Growth & Income Equity Portfolio,
managed by MVA 18.29% 19.02%
- ------------------------------------- --------------------------------------- ---------------------
S&P 500 Index 22.76% 26.40%
- ------------------------------------- --------------------------------------- ---------------------
</TABLE>
2 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Growth &
Income Equity Portfolio managed by Mississippi Valley Advisors (MVA) and the
return on the investment will fluctuate, and redemption proceeds may be higher
or lower than an investor's original cost.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include any insurance charges
imposed in connection with your variable insurance contract. If this performance
information included the effects of these fees or charges, performance numbers
would be lower.
<PAGE>
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 95.3%
ADVERTISING - 1.3%
24/7 Media, Inc.*...............................................7,500 $ 288,750
HA-LO Industries, Inc.*........................................52,150 514,981
TMP Worldwide, Inc.*............................................4,300 273,050
------------
1,076,781
------------
AIRLINES - 0.2%
Alaska Air Group, Inc.*.........................................4,400 183,700
------------
APPAREL RETAILERS - 0.6%
Finish Line, Inc. (The)*.......................................22,700 255,375
Pacific Sunwear of California, Inc.*............................4,400 107,250
Shoe Carnival, Inc.*............................................6,000 102,000
------------
464,625
------------
AUTOMOTIVE - 1.9%
Dura Automotive Systems, Inc.*..................................7,000 232,750
Intermet Corp..................................................17,200 260,150
Lithia Motors, Inc.*...........................................12,000 246,000
National R.V. Holdings, Inc.*...................................8,200 201,413
Sonic Automotive, Inc.*........................................12,900 177,375
Tower Automotive, Inc.*........................................17,200 437,525
------------
1,555,213
------------
BANKING - 7.6%
BancorpSouth, Inc...............................................4,700 85,188
Bank North Group, Inc..........................................11,100 366,300
Bank of Commerce...............................................11,700 238,388
Bank United Corp...............................................22,300 896,181
Colonial Bancgroup, Inc........................................33,600 468,300
Commercial Federal Corp........................................20,250 469,547
Community First Bankshares, Inc................................19,400 463,175
Creditrust Corp.*...............................................4,300 119,325
GBC Bancorp....................................................10,500 212,625
Gold Banc Corp., Inc............................................4,300 56,438
Hamilton Bancorp, Inc.*........................................13,800 331,200
Hudson United Bancorp..........................................19,004 581,998
MicroFinancial, Inc.............................................5,800 83,013
National Commerce Bancorp......................................40,100 877,188
Prime Bancshares, Inc...........................................6,900 123,338
Republic Security Financial Corp...............................17,900 149,913
Sterling Bancshares, Inc........................................1,700 22,738
Summit Bancshares, Inc..........................................4,200 72,975
Sun Bancorp, Inc.*..............................................8,480 148,400
Trustco Bank Corp. N.Y..........................................3,798 102,071
Westamerica Bancorp.............................................6,400 233,600
------------
6,101,901
------------
BEVERAGES, FOOD & TOBACCO - 1.8%
American Italian Pasta Co.*....................................10,600 321,975
Beringer Wine Estates Holdings, Inc.*...........................7,400 309,182
Coors (Adolph), Co..............................................3,300 163,350
Keebler Foods Co.*.............................................16,500 501,162
Kensey Nash Corp.*.............................................23,400 187,200
------------
1,482,869
------------
BUILDING MATERIALS - 0.9%
Caprock Communications Corp.*..................................10,800 437,400
Elcor Corp......................................................5,300 231,544
Rock of Ages Corp.*.............................................6,100 62,525
------------
731,469
------------
CHEMICALS - 4.8%
Albemarle Corp.................................................21,400 494,875
Bush Boake Allen, Inc.*........................................12,200 356,850
General Chemical Group, Inc....................................25,400 79,375
Gentek, Inc....................................................26,900 373,238
Geon Co. (The).................................................27,900 899,775
Georgia Gulf Corp..............................................34,700 585,563
Minerals Technologies, Inc......................................4,700 262,319
Wellman, Inc...................................................55,600 886,125
------------
3,938,120
------------
COMMERCIAL SERVICES - 6.1%
Armor Holdings, Inc.*..........................................12,400 129,425
Carriage Services, Inc.*........................................3,600 67,500
Central Parking Corp...........................................11,400 390,450
Comfort Systems USA, Inc.*.....................................11,200 201,600
Intelligent Life Corp.*.........................................4,600 30,188
Kroll-O'Gara Co. (The)*........................................12,900 284,606
MedQuist, Inc.*................................................12,300 538,125
Metzler Group, Inc. (The)*......................................5,400 149,175
Newgen Results Corp.*...........................................1,500 18,000
Nielsen Media Research*.........................................9,700 283,725
On Assignment, Inc.*...........................................14,100 368,363
Profit Recovery Group International, Inc. (The)*...............13,100 619,794
Regis Corp.....................................................12,250 234,665
Romac International, Inc.*.....................................13,100 116,263
Service Experts, Inc.*.........................................10,600 232,538
Steiner Leisure Ltd.*..........................................16,925 513,039
Tetra Tech, Inc.*..............................................14,625 243,141
Trimeris, Inc.*.................................................3,400 49,300
Wind River Systems, Inc.*......................................26,100 419,231
------------
4,889,128
------------
COMMUNICATIONS - 4.1%
Allegiance Telecom, Inc.*......................................17,800 976,775
ANTEC Corp.*....................................................9,100 291,769
Concord Communications, Inc.*..................................14,400 648,000
Copper Mountain Networks, Inc.*.................................1,400 108,150
Juniper Networks, Inc.*.........................................2,200 327,800
L-3 Communications Holdings, Inc.*.............................15,400 744,013
Phone.com, Inc.*................................................1,600 89,600
Razorfish, Inc.*................................................1,600 59,300
Seachange International, Inc.*..................................4,000 72,500
------------
3,317,907
------------
COMPUTER SOFTWARE & PROCESSING - 6.7%
About.com, Inc.*................................................1,200 62,250
Acxiom Corp.*...................................................8,600 214,463
Allaire Corp.*..................................................2,800 191,100
Alloy Online, Inc.*.............................................5,200 59,475
Aspect Development, Inc.*......................................15,400 284,900
Brocade Communications Systems, Inc.*.............................500 48,219
Cais Internet, Inc.*............................................2,200 40,425
CareInsite, Inc.*...............................................2,600 122,850
CCC Information Services Group, Inc.*..........................10,100 130,038
Computer Horizons Corp.*.......................................12,800 176,800
Concur Technologies, Inc.*......................................6,300 177,188
Drkoop.com, Inc.*...............................................3,700 58,969
Excalibur Technologies Corp.*...................................8,300 118,275
I2 Technologies, Inc.*..........................................7,300 313,900
IDX Systems Corp.*..............................................6,400 144,400
Legato Systems, Inc.*...........................................4,000 231,000
Macromedia, Inc.*...............................................3,300 116,325
Media Metrix, Inc.*...............................................700 37,275
Mentor Graphics Corp.*..........................................7,900 101,219
Mpath Interactive, Inc.*........................................6,900 151,800
Multex.com, Inc.*...............................................5,800 151,525
Net Perceptions, Inc.*..........................................9,300 202,856
New Era of Networks, Inc.*......................................9,600 421,800
Proxicom, Inc.*.................................................1,100 28,256
Rhythms NetConnections, Inc.*...................................3,800 221,825
Saleslogix Corp.*...............................................8,000 119,000
Sanchez Computer Associates, Inc.*.............................11,200 387,800
Software.Com, Inc.*.............................................1,900 44,056
Source Information Management Co. (The)*.......................13,600 183,600
Unify Corp.*...................................................19,400 261,295
USWeb Corp.*...................................................16,400 363,875
Viant Corp.*....................................................1,300 45,500
Xoom.com, Inc.*.................................................3,700 194,250
------------
5,406,509
------------
COMPUTERS & INFORMATION - 0.5%
Safeguard Scientifics, Inc.*....................................1,100 68,200
Visual Networks, Inc.*.........................................11,000 352,000
------------
420,200
------------
CONSUMER SERVICES - 0.7%
Education Management Corp.*....................................28,500 591,375
------------
CONTAINERS & PACKAGING - 0.6%
AptarGroup, Inc.................................................6,600 198,000
Ivex Packaging Corp.*..........................................14,800 325,600
------------
523,600
------------
ELECTRIC UTILITIES - 0.9%
Cleco Corp.....................................................22,000 668,250
Rare Medium Group, Inc.*........................................5,800 72,138
------------
740,388
------------
ELECTRICAL EQUIPMENT - 1.3%
Applied Power, Inc.............................................14,300 390,569
MicroStratetgy, Inc.*..........................................18,100 685,538
------------
1,076,107
------------
ELECTRONICS - 4.1%
Applied Micro Circuits Corp.*..................................11,100 912,975
ATMI, Inc.*....................................................28,000 833,000
Exar Corp.*....................................................11,800 292,050
HI/FN, Inc.*....................................................3,800 289,275
Maker Communications, Inc.*.....................................3,300 102,300
PLX Technology, Inc.*...........................................1,300 61,588
SDL, Inc.*.....................................................12,700 648,494
WESCO International, Inc.*......................................9,100 186,550
------------
3,326,232
------------
ENTERTAINMENT & LEISURE - 2.5%
Anchor Gaming*.................................................11,400 547,913
Cinar Corp.*...................................................19,800 485,100
Florida Panthers Holdings, Inc.*...............................13,000 138,938
JAKKS Pacific, Inc.*............................................4,600 137,138
MGM Grand, Inc.*...............................................15,100 739,900
------------
2,048,989
------------
FINANCIAL SERVICES - 2.9%
Allied Capital Corp............................................19,100 458,400
Donaldson, Lufkin, & Jenrette, Inc -DLJdirect*..................2,300 67,850
First Federal Financial Corp.*.................................16,400 315,700
Gabelli Asset Management, Inc.*................................12,700 200,819
Heller Financial, Inc...........................................8,600 239,188
Litchfield Financial Corp......................................30,530 517,102
Ocwen Financial Corp.*.........................................22,100 196,138
TD Waterhouse Group, Inc.*......................................5,500 137,844
Wit Capital Group, Inc.*........................................5,700 193,800
------------
2,326,841
------------
FOREST PRODUCTS & PAPER - 1.9%
Caraustar Industries, Inc......................................28,200 696,188
Gaylord Container Corp.*.......................................23,500 186,531
Universal Forest Products, Inc.................................31,600 679,400
------------
1,562,119
------------
HEALTH CARE PROVIDERS - 2.2%
Alterra Healthcare Corp.*......................................46,060 633,325
Renal Care Group, Inc.*.........................................8,950 231,581
Sunrise Assisted Living, Inc.*.................................21,300 742,838
Women First Healthcare, Inc.*..................................13,100 173,575
------------
1,781,319
------------
HEAVY MACHINERY - 3.7%
Applied Science and Technology, Inc.*...........................7,600 171,000
IDEXX Corp.....................................................16,750 550,656
Kennametal, Inc.................................................7,800 241,800
Lam Research Corp.*.............................................6,900 322,144
Manitowoc Company, Inc..........................................5,200 216,450
Milacron, Inc..................................................13,100 242,350
New Holland N.V................................................21,200 363,050
Smith International, Inc.*......................................8,600 373,563
Terex Corp.*...................................................18,200 553,963
------------
3,034,976
------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 1.3%
Furniture Brands International, Inc.*..........................15,500 432,063
Herman Miller, Inc..............................................7,500 157,500
Hon Industries, Inc.............................................2,900 84,644
Stanley Furniture Co., Inc.*...................................18,600 418,500
------------
1,092,707
------------
HOUSEHOLD PRODUCTS - 0.1%
Blyth Industries, Inc.*.........................................3,100 106,563
------------
INDUSTRIAL - DIVERSIFIED - 0.7%
ABC Rail Products Corp.*.......................................11,100 227,550
Shaw Group, Inc.*..............................................17,600 279,400
------------
506,950
------------
INSURANCE - 2.3%
Annuity and Life Re (Holdings) Ltd.............................21,400 480,163
E. W. Blanch Holdings, Inc......................................6,400 436,400
Fremont General Corp...........................................16,000 302,000
RenaissanceRe Holdings Ltd.....................................18,200 673,400
------------
1,891,963
------------
LODGING - 0.4%
Extended Stay America, Inc.*...................................13,600 163,200
Sunterra Corp.*.................................................7,600 105,925
Vistana, Inc.*..................................................6,000 94,500
------------
363,625
------------
MEDIA - BROADCASTING & PUBLISHING - 2.0%
Entercom Communications Corp.*.................................19,100 816,525
Radio One, Inc.*................................................1,600 74,400
TheStreet.com, Inc.*............................................2,200 79,200
TV Guide, Inc. *................................................3,100 113,538
World Gate Communications, Inc.*...............................10,200 522,750
------------
1,606,413
------------
MEDICAL SUPPLIES - 3.6%
CONMED Corp.*..................................................15,800 483,875
Kopin Corp.*....................................................2,300 55,056
Mettler-Toledo International, Inc.*............................21,800 540,913
MiniMed, Inc.*..................................................1,700 130,794
MKS Instruments, Inc.*.........................................18,600 346,425
Novoste Corp.*..................................................3,500 73,500
Osteotech, Inc.*................................................9,450 271,688
ResMed, Inc.*...................................................7,500 248,906
Sangstat Medical Corp.*........................................31,300 539,925
Xomed Surgical Products, Inc.*..................................4,400 214,225
------------
2,905,307
------------
MEDICAL & BIO-TECHNOLOGY - 1.0%
Affymetrix, Inc.*..............................................10,100 498,688
IDEXX Laboratories, Inc.*......................................15,000 349,688
------------
848,376
------------
METALS - 2.5%
Amcast Industrial Corp..........................................5,800 94,613
Commercial Metals Co...........................................14,900 424,650
Mueller Industries*............................................35,100 1,191,206
Schnitzer Steel Industries, Inc................................14,200 318,613
------------
2,029,082
------------
OIL & GAS - 4.9%
Atmos Energy Corp..............................................20,900 522,500
Barrett Resources Corp.*........................................3,100 118,963
Cooper Cameron Corp.*..........................................21,900 811,669
Devon Energy Corp..............................................14,500 518,375
ENSCO International, Inc.......................................15,100 301,056
Global Marine, Inc.*...........................................15,100 233,113
National-Oilwell, Inc.*........................................19,100 242,331
Newfield Exploration Co.*......................................19,100 543,156
Public Service Co. of North Carolina............................9,500 277,875
Wicor, Inc.....................................................11,100 310,106
------------
3,879,144
------------
PHARMACEUTICALS - 4.0%
Applied Analytical Industries, Inc.*...........................14,900 167,625
Human Genome Sciences, Inc.*...................................25,400 1,003,300
IDEC Pharmaceuticals Corp.*....................................11,800 909,338
Incyte Pharmaceuticals, Inc.*...................................3,200 84,600
Inhale Therapeutic Systems, Inc.*...............................3,500 83,344
Ligand Pharmaceuticals*........................................42,600 473,925
Millennium Pharmaceuticals, Inc.*..............................10,200 367,200
U.S. Bioscience, Inc.*.........................................17,100 166,725
------------
3,256,057
------------
REAL ESTATE - 4.6%
Arden Realty Group, Inc. (REIT)................................17,100 421,088
Burnham Pacific Properties, Inc. (REIT)........................15,700 193,306
Centerpoint Properties Corp. (REIT).............................3,200 117,200
Cousins Properties, Inc. (REIT)................................12,400 419,275
Franchise Finance Corp. of America (REIT).......................7,300 160,600
Macerich Co. (The) (REIT)......................................10,400 273,000
Manufactured Home Communities, Inc. (REIT).....................16,600 431,600
Mills Corp. (REIT).............................................11,500 249,406
Misson West Properties Inc. (REIT).............................15,500 127,875
National Golf Properties, Inc. (REIT)..........................10,800 262,575
Post Properties, Inc. (REIT)...................................18,567 761,247
Realty Information Group, Inc.(REIT)*...........................7,100 308,850
------------
3,726,022
------------
RETAILERS - 3.5%
Ames Department Stores, Inc.*..................................13,100 597,688
Barnesandnoble.com inc.*........................................5,300 95,400
EToys Inc.*.....................................................3,300 134,475
General Nutrition Co., Inc.*...................................10,800 251,775
School Specialty, Inc.*........................................27,500 441,719
ShopKo Stores, Inc.*...........................................20,500 743,125
Stamps.Com, Inc.*...............................................5,900 103,250
Williams-Sonoma, Inc.*..........................................4,100 142,731
Zale Corp.*.....................................................9,100 364,000
------------
2,874,163
------------
TELEPHONE SYSTEMS - 3.4%
American Mobile Satellite Corp.*...............................16,700 273,463
Citadel Communication Corp.*....................................8,500 307,594
Concentric Network Corp.*......................................16,800 667,800
Covad Communications Group, Inc.*...............................3,850 205,253
Digital Island, Inc.*..........................................10,800 193,725
ITC DeltaCom, Inc.*............................................13,800 386,400
NEXTLINK Communications, Inc.*..................................7,400 550,375
NorthPoint Communications Group, Inc.*..........................2,800 102,200
Redback Networks Inc.*............................................600 75,338
------------
2,762,148
------------
TEXTILES, CLOTHING & FABRICS - 0.1%
Columbia Sportswear Co.*........................................5,500 84,563
------------
TRANSPORTATION - 3.2%
American Classic Voyages Co.*...................................8,300 199,200
American Freightways Corp.*.....................................8,700 170,194
C.H. Robinson Worldwide, Inc...................................17,700 650,475
Forward Air Corp.*..............................................5,700 160,313
Pegasus Systems, Inc.*..........................................3,800 142,263
Werner Enterprises, Inc........................................40,075 831,556
Willis Lease Finance Corp.*....................................28,500 464,906
------------
2,618,907
------------
WATER COMPANIES - 0.4%
E-Town Corp.....................................................7,800 356,850
------------
TOTAL INVESTMENTS - 95.3%
(Cost $69,465,636) $ 77,489,208
Other Assets and Liabilities (net) - 4.7%............................ 3,834,788
------------
TOTAL NET ASSETS - 100.0% $81,323,996
============
PORTFOLIO FOOTNOTES:
*Non-income producing security as this stock did not declare or pay dividends in the
last 12 month period.
</TABLE>
REIT - Real Estate Investment Trust
See notes to financial statements
<PAGE>
COVA SERIES TRUST
QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
DOMESTIC BONDS AND DEBT SECURITIES - 85.9%
ASSET BACKED SECURITIES - 4.1%
$ 400,000 California Infrastucture...................................... 6.380% 09/25/08 $ 397,134
1,230,000 Citibank Credit Card Master Trust............................. 6.150% 03/10/11 1,143,900
565,000 Discover Card Master Trust.................................... 5.650% 11/16/04 555,522
730,000 Ford Credit Auto Loan Master Trust............................ 5.500% 02/15/03 724,339
595,000 Money Store Home Equity Trust................................. 6.485% 12/15/38 583,942
500,000 Peco Energy Transition Trust.................................. 5.800% 03/01/07 484,388
-------------
3,889,225
-------------
CORPORATE BONDS - 19.2%
735,000 Aerial Communications, Inc. (144A)^........................... + 02/01/08 347,799
500,000 Armstrong World Industries, Inc............................... 6.350% 08/15/03 490,718
60,000 Banc One Corp................................................. 7.625% 10/15/26 59,935
50,000 CalEnergy Co., Inc............................................ 7.520% 09/15/08 50,044
188,000 Calpine Corp.................................................. 7.625% 04/15/06 177,895
200,000 Canadian Imperial Bank........................................ 6.200% 08/01/00 200,378
2,000,000 Chase Manhattan Corp. (b)..................................... 9.750% 11/01/01 2,144,987
650,000 Citigroup Capital (b)......................................... 7.750% 12/01/36 654,298
125,000 Clear Channel Communications, Inc............................. 7.250% 10/15/27 115,511
1,200,000 Coastal Corp.................................................. 6.500% 05/15/06 1,162,999
250,000 Columbus Southern Power....................................... 6.850% 10/03/05 246,647
750,000 Comcast Cable Communications (b).............................. 6.200% 11/15/08 699,625
165,000 COMM.......................................................... 6.455% 09/15/08 156,905
1,000,000 Federated Department Stores, Inc. (b)......................... 8.125% 10/15/02 1,045,187
225,000 Fleet Capital Ltd............................................. 7.920% 12/11/26 225,105
1,000,000 General Electric Capital Corp. (b)............................ 8.125% 04/01/08 1,105,347
500,000 General Motors Acceptance Corp. (b)........................... 6.750% 11/04/04 497,734
225,000 Ingersoll-Rand Co............................................. 6.391% 11/15/27 218,995
125,000 Kincaid Generation LLC (144A)^................................ 7.330% 06/15/20 119,175
200,000 LASMO (USA), Inc.............................................. 7.500% 06/30/06 200,028
75,000 Lenfest Communications, Inc. (144A)^.......................... 7.625% 02/15/08 76,875
300,000 National Fuel Gas Co. (b)..................................... 6.214% 08/12/27 295,559
10,000 NationsBank Corp.............................................. 7.250% 10/15/25 9,750
30,000 News America Holdings, Inc.................................... 7.700% 10/30/25 29,133
100,000 NGC Corp...................................................... 7.625% 10/15/26 94,822
150,000 PacifiCorp.................................................... 6.750% 07/15/04 150,383
2,000,000 Providian National Bank (b)................................... 6.250% 05/06/01 1,977,412
1,000,000 Solutia, Inc.................................................. 7.375% 10/15/27 954,355
500,000 Statoil....................................................... 6.500% 12/01/28 442,810
60,000 Stena AB...................................................... 8.750% 06/15/07 55,050
70,000 Tele-Communications TCI Group................................. 7.875% 02/15/26 73,664
60,000 Tricon Global Restaurants, Inc................................ 7.450% 05/15/05 59,787
1,000,000 Turner Broadcasting Systems, Inc.............................. 7.400% 02/01/04 1,020,468
100,000 U.S. Cellular Corp............................................ 7.250% 08/15/07 98,750
500,000 Western Resources, Inc........................................ 6.250% 08/15/03 491,968
200,000 Williams Companies, Inc....................................... 6.125% 02/01/01 198,649
1,100,000 WorldCom, Inc. (b)............................................ 7.750% 04/01/27 1,199,235
1,200,000 Yale University (b)........................................... 7.375% 04/15/26 1,201,430
-----------------
18,349,412
-----------------
CORPORATE MORTGAGE BACKED SECURITIES - 3.0%
1,065,000 Deutsche Mortgage and Asset Receiving Corp.................... 6.538% 06/15/31 1,027,496
400,000 Lehman Brothers Commercial Conduit Mortgage Trust............. 6.480% 01/18/08 386,682
170,000 Morgan Stanley Capital, Inc................................... 6.520% 01/15/08 165,118
170,000 Morgan Stanley Capital, Inc................................... 6.170% 10/03/08 $ 163,816
117,122 Mortgage Capital Funding, Inc................................. 6.525% 01/20/07 116,735
685,000 Nomura Asset Securities Corp.................................. 6.590% 03/15/30 666,221
351,030 Ocwen Residential Corp. (144A)^............................... 7.000% 10/25/30 346,423
----------------
2,872,491
----------------
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 43.7%
25,336 Federal Home Loan Mortgage Corp............................... 8.000% 09/01/08 26,016
1,200,000 Federal Home Loan Mortgage Corp............................... 5.125% 10/15/08 1,090,754
295,932 Federal Home Loan Mortgage Corp............................... 6.500% 07/15/16 295,868
150,000 Federal Home Loan Mortgage Corp............................... 6.500% 09/15/23 150,256
37,546 Federal Home Loan Mortgage Corp............................... 8.500% 08/01/26 39,264
22,669 Federal National Mortgage Association......................... 8.000% 09/01/03 23,387
150,000 Federal National Mortgage Association......................... 6.500% 11/25/07 150,311
282,386 Federal National Mortgage Association......................... 7.000% 05/01/11 283,987
578,210 Federal National Mortgage Association......................... 7.000% 05/01/12 581,489
24,706 Federal National Mortgage Association......................... 7.000% 09/01/12 24,847
330,033 Federal National Mortgage Association......................... 6.500% 06/01/14 325,775
29,260 Federal National Mortgage Association......................... 8.500% 07/01/19 30,590
365,780 Federal National Mortgage Association......................... 7.000% 02/01/26 362,547
333,836 Federal National Mortgage Association......................... 7.000% 03/01/26 330,885
920,578 Federal National Mortgage Association......................... 7.000% 09/01/27 912,441
536,154 Federal National Mortgage Association......................... 6.500% 01/01/28 519,255
620,739 Federal National Mortgage Association......................... 6.500% 04/01/28 601,175
944,522 Federal National Mortgage Association (b)..................... 7.000% 06/01/28 936,174
407,064 Federal National Mortgage Association......................... 7.000% 07/01/28 403,466
425,812 Federal National Mortgage Association......................... 7.000% 08/01/28 422,048
460,000 Federal National Mortgage Association......................... 6.160% 08/07/28 429,392
929,404 Federal National Mortgage Association (b)..................... 7.000% 09/01/28 922,247
783,522 Federal National Mortgage Association......................... 6.500% 10/01/28 758,827
912,057 Federal National Mortgage Association......................... 6.500% 11/01/28 883,310
1,656,196 Federal National Mortgage Association......................... 7.000% 02/01/29 1,641,557
1,649,117 Federal National Mortgage Association......................... 6.500% 03/01/29 1,597,140
6,496,831 Federal National Mortgage Association......................... 6.500% 04/01/29 6,292,063
3,035,000 Federal National Mortgage Association (a)..................... 6.000% 07/01/29 2,858,591
2,900,000 Federal National Mortgage Association (a)..................... 7.000% 07/01/29 2,872,813
41,592 Government National Mortgage Association...................... 9.000% 01/15/20 44,195
74,966 Government National Mortgage Association...................... 7.500% 02/15/27 75,896
890,459 Government National Mortgage Association...................... 7.000% 07/15/28 881,037
1,215,501 Government National Mortgage Association...................... 7.000% 11/15/28 1,202,641
1,083,229 Government National Mortgage Association...................... 7.000% 12/15/28 1,071,768
12,652,158 Government National Mortgage Association...................... 7.000% 01/15/29 12,518,299
438,611 Government National Mortgage Association...................... 7.000% 02/15/29 433,971
----------------
41,994,282
----------------
U.S. TREASURY SECURITIES - 15.9%
543,000 U.S. Treasury Bond............................................ 6.750% 08/15/26 579,483
3,350,000 U.S. Treasury Bond............................................ 5.250% 02/15/29 3,010,813
395,000 U.S. Treasury Note (b)........................................ 6.250% 02/28/02 401,049
1,305,000 U.S. Treasury Note............................................ 5.375% 06/30/03 1,289,096
3,795,000 U.S. Treasury Note............................................ 5.250% 05/15/04 3,729,775
600,000 U.S. Treasury Note (b)........................................ 5.875% 11/15/05 599,813
2,535,000 U.S. Treasury Note............................................ 6.875% 05/15/06 2,669,672
1,450,000 U.S. Treasury Note............................................ 6.625% 05/15/07 $ 1,510,719
180,000 U.S. Treasury Note............................................ 5.625% 05/15/08 176,344
1,325,000 U.S. Treasury Note............................................ 5.500% 05/15/09 1,294,359
----------------
15,261,123
----------------
Total Domestic Bonds and Debt Securities (Cost $84,525,760)... 82,366,533
----------------
FOREIGN BONDS AND DEBT SECURITIES - 2.9%
CANADA - 2.5%
149,800 Express Pipeline L.P. (144A) (U.S.$)^......................... 6.470% 12/31/11 136,666
80,000 Gulf Canada Resources Ltd. (Yankee)........................... 8.250% 03/15/17 74,206
100,000 Hydro-Quebec (Yankee)......................................... 9.500% 11/15/30 123,890
1,390,000 Hydro-Quebec (Yankee) (b)..................................... 11.750% 02/01/12 1,882,171
200,000 Laidlaw, Inc. (Yankee)........................................ 6.720% 10/01/27 179,483
----------------
2,396,416
----------------
MEXICO - 0.2%
140,000 United Mexican States (U.S.$)................................. 11.375% 09/15/16 147,350
----------------
PERU - 0.1%
105,000 Peru (PDI) (U.S.$)*........................................... 4.500% 03/07/17 64,772
----------------
PHILIPPINE ISLANDS - 0.1%
90,000 Philippines (Republic of) (U.S.$)............................. 8.875% 04/15/08 88,088
----------------
Total Foreign Bonds and Debt Securities (Cost $2,946,747)..... 2,696,626
----------------
TOTAL INVESTMENTS - 88.8%
(Cost $87,472,507)............................................ 85,063,159
Other Assets and Liabilities (net) - 11.2%.................... 10,773,326
----------------
TOTAL NET ASSETS - 100.0%..................................... $ 95,836,485
================
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.
</TABLE>
See notes to financial statements
<PAGE>
COVA SERIES TRUST
SELECT EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 99.4%
AEROSPACE & DEFENSE - 0.3%
Coltec Industries, Inc.* 32,900 $ 713,519
--------------
AUTOMOTIVE - 0.6%
Lear Corp.* 30,600 1,522,350
--------------
BANKING - 9.3%
BankAmerica Corp..............................................118,957 8,721,029
Dime Bancorp, Inc..............................................43,500 875,438
First Union Corp...............................................86,500 4,065,500
KeyCorp........................................................77,600 2,492,900
U.S. Bancorp...................................................85,800 2,917,200
Washington Mutual, Inc.........................................96,360 3,408,735
--------------
22,480,802
--------------
BEVERAGES, FOOD & TOBACCO - 6.2%
Pepsi Bottling Group, Inc. (The)...............................27,700 638,831
Pepsico, Inc..................................................146,100 5,652,244
Philip Morris Co., Inc........................................157,500 6,329,531
Seagrams Co., Ltd..............................................46,600 2,347,475
--------------
14,968,081
--------------
CHEMICALS - 4.6%
Monsanto Co...................................................100,500 3,963,469
Rohm & Haas Co.................................................96,200 4,124,575
USEC, Inc.....................................................209,000 3,108,875
--------------
11,196,919
--------------
COMMERCIAL SERVICES - 2.7%
Allied Waste Industries, Inc.*................................114,300 2,257,425
Cendant Corp.*................................................113,400 2,324,700
Service Corp. International....................................97,000 1,867,250
--------------
6,449,375
--------------
COMMUNICATIONS - 3.0%
Lucent Technologies, Inc.......................................22,045 1,486,660
SBC Communications Corp........................................98,600 5,718,800
--------------
7,205,460
--------------
COMPUTER SOFTWARE & PROCESSING - 6.5%
Cisco Systems, Inc.*..........................................109,000 7,030,500
Microsoft Corp.*...............................................84,900 7,656,919
Oracle Corp.*..................................................29,950 1,111,894
--------------
15,799,313
--------------
COMPUTERS & INFORMATION - 6.8%
Dell Computer Corp.............................................43,300 1,602,100
EMC Corp.*.....................................................60,400 3,322,000
International Business Machines Corp...........................51,600 6,669,300
Quantum Corp.*.................................................32,600 786,475
Sun Microsystems, Inc.*........................................60,800 4,187,600
--------------
16,567,475
--------------
COSMETICS & PERSONAL CARE - 0.8%
Gillette Co. 49,600 2,033,600
--------------
ELECTRIC UTILITIES - 0.7%
Dominion Resources, Inc........................................28,900 1,251,731
PP&L Resources, Inc............................................13,500 415,125
--------------
1,666,856
--------------
ELECTRONICS - 4.5%
Applied Materials, Inc.*.......................................21,400 1,580,925
Input/Output, Inc.*...........................................262,200 1,982,888
Intel Corp.....................................................38,200 2,272,900
Motorola, Inc..................................................13,000 1,231,750
Texas Instruments, Inc.........................................26,500 3,842,500
--------------
10,910,963
--------------
ENTERTAINMENT & LEISURE - 2.6%
International Game Technology..................................83,900 1,552,150
Mattel, Inc...................................................142,000 3,754,125
Mirage Resorts, Inc.*..........................................57,900 969,825
--------------
6,276,100
--------------
ENVIRONMENTAL CONTROLS - 5.1%
Republic Services, Inc.*......................................199,700 4,942,575
Waste Management, Inc.........................................135,875 7,303,281
--------------
12,245,856
--------------
FINANCIAL SERVICES - 2.5%
CIT Group, Inc. (The).........................................156,500 4,518,938
Federal National Mortgage Association..........................21,500 1,470,063
--------------
5,989,001
--------------
FOOD RETAILERS - 1.1%
Kroger Co.* 96,900 2,707,144
--------------
FOREST PRODUCTS & PAPER - 1.3%
Kimberly-Clark Corp............................................31,400 1,789,800
Smurfit-Stone Container Corp.*.................................65,083 1,338,269
--------------
3,128,069
--------------
HEALTH CARE PROVIDERS - 1.6%
HEALTHSOUTH Corp.* ...........................................252,300 3,768,731
--------------
HEAVY MACHINERY - 1.0%
Cooper Industries, Inc. .......................................46,600 2,423,200
--------------
HOUSEHOLD PRODUCTS - 2.4%
Procter & Gamble Co. ..........................................65,600 5,854,800
--------------
INDUSTRIAL - DIVERSIFIED - 3.6%
Tyco International Ltd. ...................................... 92,810 8,793,748
--------------
INSURANCE - 5.7%
Aon Corp.......................................................68,300 2,817,375
Marsh & McLennan Co., Inc......................................61,800 4,665,900
Provident Companies, Inc.......................................59,100 2,364,000
Unum Corp......................................................72,700 3,980,325
--------------
13,827,600
--------------
LODGING - 0.4%
Starwood Hotels & Resorts Worldwide, Inc...................... 34,016 1,039,614
--------------
MEDIA - BROADCASTING & PUBLISHING - 0.2%
News Corp., Ltd. (The) (ADR) ................................. 12,900 455,531
--------------
MEDICAL SUPPLIES - 1.6%
Forest Laboratories, Inc.* ................................... 85,400 3,949,750
--------------
METALS - 1.0%
Allegheny Teledyne, Inc. .....................................103,100 2,332,638
--------------
OIL & GAS - 5.0%
Chevron Corp....................................................6,600 628,238
Columbia Energy Group..........................................37,600 2,357,050
Cooper Cameron Corp.*..........................................70,100 2,598,081
Mobil Corp.....................................................41,900 4,148,100
Tosco Corp.....................................................94,600 2,453,688
--------------
12,185,157
--------------
PHARMACEUTICALS - 5.4%
Alza Corp.*....................................................16,300 829,263
American Home Products Corp....................................53,500 3,076,250
Bristol-Myers Squibb Co........................................38,100 2,683,669
Eli Lilly & Co.................................................27,400 1,962,525
Genzyme Corp.*.................................................39,700 1,925,450
Genzyme Surgical Products*......................................7,089 31,235
Warner Lambert Co..............................................38,400 2,664,000
--------------
13,172,392
--------------
RETAILERS - 4.0%
Abercrombie & Fitch Co.*.......................................21,800 1,046,400
AutoZone, Inc.*................................................15,100 454,888
Dayton-Hudson Corp.............................................21,300 1,384,500
Federated Department Stores, Inc.*.............................40,800 2,159,850
TJX Companies, Inc.............................................62,000 2,065,375
Wal-Mart Stores, Inc...........................................54,000 2,605,500
--------------
9,716,513
--------------
TELEPHONE SYSTEMS - 5.9%
AT&T Corp......................................................38,800 2,165,525
Bell Atlantic Corp.............................................22,400 1,464,400
GTE Corp.......................................................33,100 2,507,325
Level 3 Communications, Inc.*...................................9,600 576,600
MCI WorldCom, Inc.*............................................89,214 7,694,708
--------------
14,408,558
--------------
TEXTILES, CLOTHING & FABRICS - 0.9%
Fruit of the Loom, Inc.*......................................152,200 1,483,950
Jones Apparel Group, Inc.*.....................................17,400 597,038
--------------
2,080,988
--------------
TRANSPORTATION - 2.1%
CNF Transportation, Inc........................................27,200 1,043,800
Union Pacific Corp.............................................67,500 3,936,094
--------------
4,979,894
--------------
TOTAL INVESTMENTS - 99.4%
(Cost $211,045,126).................................................. 240,849,997
Other Assets and Liabilities (net) - 0.6%............................ 1,342,927
--------------
TOTAL NET ASSETS - 100.0%............................................ $242,192,924
==============
</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
See notes to financial statements
<PAGE>
COVA SERIES TRUST
LARGE CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 1999 (Unaudited)
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- -------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 97.4%
AEROSPACE & DEFENSE - 1.8%
AlliedSignal, Inc..............................................35,000 $ 2,205,000
Boeing Co......................................................12,400 547,925
Coltec Industries, Inc.*........................................1,500 32,531
Lockheed Martin Corp...........................................23,700 882,825
Raytheon Co.....................................................8,600 592,325
--------------
4,260,606
--------------
AIRLINES - 0.1%
Southwest Airlines, Inc.........................................5,700 177,413
--------------
AUTOMOTIVE - 1.8%
Cooper Tire & Rubber Co.........................................1,600 37,800
Dana Corp......................................................11,700 538,931
Delphi Automotive Systems Corp.................................27,700 514,181
Ford Motor Co..................................................14,200 801,413
General Motors Corp............................................15,300 1,009,800
Genuine Parts Co...............................................11,200 392,000
Goodyear Tire & Rubber Co......................................11,000 646,938
Lear Corp.*.....................................................4,600 228,850
Paccar, Inc.....................................................3,600 192,150
--------------
4,362,063
--------------
BANKING - 7.5%
Associated Banc-Corp............................................2,000 83,000
Associates First Capital Corp..................................24,300 1,076,794
Astoria Financial Corp..........................................1,900 83,481
BancWest Corp...................................................1,700 63,113
Bank One Corp.....................................................100 5,956
BankAmerica Corp...............................................60,901 4,464,769
BankBoston Corp................................................24,800 1,267,900
Colonial Bancgroup, Inc...........................................600 8,363
Commercial Federal Corp...........................................600 13,913
Compass Bancshares, Inc.........................................3,700 100,825
Dime Bancorp, Inc...............................................3,500 70,438
First American Corp.............................................7,800 324,188
First Union Corp...............................................33,500 1,574,500
FirstMerit Corp.................................................4,600 129,088
Golden West Financial Corp......................................2,000 196,000
Greenpoint Financial Corp.......................................3,800 124,688
Hibernia Corp...................................................4,700 73,731
Household International, Inc...................................15,000 710,625
Huntington Bancshares, Inc......................................3,500 122,500
KeyCorp........................................................17,000 546,125
Mellon Bank Corp................................................3,600 130,950
Mercantile Bankshares Corp......................................2,300 81,363
M&T Bank Corp.....................................................300 165,000
National Commerce Bancorp.........................................700 15,313
North Fork Bancorp., Inc........................................4,900 104,431
Pacific Century Financial Corp..................................2,400 51,750
Peoples Heritage Financial Group, Inc...........................3,200 60,200
PNC Bank Corp..................................................10,500 605,063
Southtrust Corp.................................................5,500 211,063
Sovereign Bancorp, Inc..........................................5,000 60,625
Summit Bancorp..................................................6,000 250,875
Suntrust Banks, Inc............................................11,100 770,756
TCF Financial Corp..............................................2,700 75,263
Union Planters Corp.............................................4,900 218,969
U.S. Bancorp...................................................25,800 877,200
Washington Federal, Inc...........................................200 4,488
Washington Mutual, Inc.........................................20,600 728,725
Wells Fargo Co.................................................57,300 2,449,575
Wilmington Trust Corp...........................................1,100 63,113
--------------
17,964,719
--------------
BEVERAGES, FOOD & TOBACCO - 5.8%
Bestfoods.......................................................9,600 475,200
Coca-Cola Co. (The)............................................44,700 2,793,750
Heinz (H.J.), Co...............................................12,300 616,538
Hershey Foods Corp..............................................4,100 243,438
Nabisco Holdings Corp...........................................1,800 77,850
Pepsi Bottling Group, Inc. (The)................................5,200 119,925
Pepsico, Inc...................................................50,600 1,957,588
Philip Morris Co., Inc.........................................83,200 3,343,600
Ralston-Ralston Purina Group....................................8,500 258,719
Sara Lee Corp..................................................26,500 601,219
Seagrams Co., Ltd..............................................38,900 1,959,588
Unilever N.V...................................................20,400 1,422,900
--------------
13,870,315
--------------
BUILDING MATERIALS - 0.2%
Owens Corning...................................................3,300 113,438
Sherwin Williams Co............................................11,500 319,125
USG Corp........................................................1,700 95,200
--------------
527,763
--------------
CHEMICALS - 2.4%
Dow Chemical Co................................................15,700 1,991,938
Georgia Gulf Corp.................................................200 3,375
IMC Global, Inc.................................................8,600 151,575
Lyondell Petro Chemical Co......................................7,500 154,688
Monsanto Co....................................................45,500 1,794,406
PPG Industries, Inc.............................................7,300 431,156
Rohm & Haas Co.................................................12,700 544,513
Solutia, Inc....................................................8,100 172,631
Union Carbide Corp..............................................9,000 438,750
USEC, Inc.......................................................1,800 26,775
--------------
5,709,807
--------------
COMMERCIAL SERVICES - 1.3%
Cendant Corp.*.................................................98,700 2,023,350
Equifax, Inc...................................................14,900 531,744
Nielsen Media Research*.............................................1 19
Service Corp. International....................................31,400 604,450
--------------
3,159,563
--------------
COMMUNICATIONS - 4.0%
3 Com Corp.*...................................................11,300 301,569
Exodus Communications, Inc.*......................................900 107,944
Lucent Technologies, Inc.(a)...................................82,200 5,543,363
SBC Communications Corp........................................63,600 3,688,800
--------------
9,641,676
--------------
COMPUTER SOFTWARE & PROCESSING - 7.8%
America Online, Inc.*..........................................27,100 2,994,550
Automatic Data Processing, Inc.................................18,700 822,800
BMC Software, Inc.*...............................................800 43,200
Cisco Systems, Inc.* (a)......................................100,000 6,450,000
Electronic Arts, Inc.*..........................................1,800 97,650
First Data Corp................................................13,100 641,081
Microsoft Corp.*(a)............................................79,200 7,142,850
Oracle Corp.*..................................................24,900 924,413
Symantec Corp.*...................................................500 12,750
--------------
19,129,294
--------------
COMPUTERS & INFORMATION - 5.5%
Apple Computer, Inc.*...........................................4,000 185,250
Dell Computer Corp.............................................32,900 1,217,300
Electronic Data Systems Corp....................................7,800 441,188
EMC Corp.*.....................................................31,200 1,716,000
Gateway Inc.*...................................................4,900 289,100
International Business Machines Corp. (a)......................57,600 7,444,800
Quantum Corp.*..................................................5,000 120,625
Seagate Technology, Inc.*.......................................7,300 187,063
Sun Microsystems, Inc.*........................................24,200 1,666,775
--------------
13,268,101
--------------
COSMETICS & PERSONAL CARE - 0.3%
Gillette Co....................................................19,700 807,700
--------------
ELECTRIC UTILITIES - 2.2%
Allegheny Energy, Inc...........................................6,000 192,375
Ameren Corp.....................................................6,100 234,088
Central & South West Corp......................................25,400 593,725
Cinergy Corp....................................................7,200 230,400
CMS Energy Corp.................................................5,600 234,500
Constellation Energy Group, Inc.................................6,900 204,413
Dominion Resources, Inc.........................................9,300 402,806
Edison International............................................8,100 216,675
Entergy Corp...................................................11,700 365,625
FPL Group, Inc..................................................1,500 81,938
NiSource, Inc...................................................5,600 144,550
Northeast Utilities*............................................6,000 106,125
Northern States Power Co........................................7,000 169,313
Pinnacle West Capital Corp......................................4,100 165,025
PP&L Resources, Inc.............................................7,600 233,700
P.G.&E. Corp...................................................18,300 594,750
Reliant Energy, Inc.............................................5,500 151,938
Southern Co.....................................................6,500 172,250
TECO Energy, Inc................................................6,100 138,775
Texas Utilities Co.............................................13,500 556,875
Wisconsin Energy Corp...........................................5,700 142,856
--------------
5,332,702
--------------
ELECTRICAL EQUIPMENT - 2.9%
Emerson Electric Co............................................20,100 1,263,788
General Electric Co. (a).......................................45,900 5,186,700
Grainger (W.W.), Inc............................................4,800 258,300
Hubbell, Inc....................................................2,400 108,900
National Service Industries, Inc..................................500 18,000
Symbol Technologies, Inc........................................5,700 210,188
--------------
7,045,876
--------------
ELECTRONICS - 4.6%
Anixter International, Inc.*......................................300 5,475
Applied Materials, Inc.*.......................................11,500 849,563
Input/Output, Inc.*...............................................200 1,513
Intel Corp. (a)...............................................104,100 6,193,950
Motorola, Inc..................................................18,800 1,781,300
National Semiconductor Corp.*...................................5,300 134,156
Sensormatic Electronics Corp.*....................................400 5,575
Texas Instruments, Inc.........................................12,700 1,841,500
Xilinx, Inc.*...................................................4,400 251,900
--------------
11,064,932
--------------
ENTERTAINMENT & LEISURE - 0.4%
International Game Technology...................................5,000 92,500
Mattel, Inc....................................................20,300 536,681
Mirage Resorts, Inc.*..........................................14,300 239,525
--------------
868,706
--------------
ENVIRONMENTAL CONTROLS - 1.0%
Waste Management, Inc..........................................44,300 2,381,125
--------------
FINANCIAL SERVICES - 2.5%
American Express Credit Corp....................................4,200 546,525
Bear Stearns Co., Inc...........................................3,800 177,650
Charter One Financial, Inc......................................5,700 158,531
CIT Group, Inc. (The)...........................................2,700 77,963
Federal National Mortgage Association..........................21,900 1,497,413
Financial Security Assurance Holdings Ltd.........................500 26,000
Finova Group, Inc...............................................2,100 110,513
Franklin Resources, Inc.........................................2,100 85,313
Goldman Sachs Group, Inc. (The)................................14,300 1,033,175
Lehman Brothers Holdings, Inc...................................2,900 180,525
Merrill Lynch & Co., Inc.......................................11,300 903,294
Morgan Stanley, Dean Witter & Co................................6,700 686,750
Ocwen Financial Corp.*............................................400 3,550
Paine Webber Group, Inc.........................................4,700 219,725
Provident Financial Group, Inc....................................500 21,875
Regions Financial Corp..........................................7,300 280,594
Waddell & Reed Financial, Inc. (Class A)..........................200 5,488
Waddell & Reed Financial, Inc. (Class B)..........................700 18,900
--------------
6,033,784
--------------
FOREST PRODUCTS & PAPER - 1.0%
Bowater, Inc....................................................1,900 89,775
Corporate Express, Inc.*........................................1,600 11,200
Fort James Corp.................................................9,500 359,813
International Paper Co.........................................14,700 742,350
Kimberly-Clark Corp............................................18,600 1,060,200
Smurfit-Stone Container Corp.*..................................8,400 172,725
--------------
2,436,063
--------------
HEALTH CARE PROVIDERS - 1.1%
Columbia/HCA Healthcare Corp...................................27,300 622,781
HCR Manor Care, Inc.*...........................................5,100 123,356
Health Management Associates*..................................11,600 130,500
HEALTHSOUTH Corp.*.............................................20,400 304,725
Humana, Inc.*...................................................7,700 99,619
Medtronic, Inc..................................................3,500 272,563
Tenet Healthcare Corp.*........................................14,900 276,581
United Healthcare Corp..........................................7,800 488,475
Wellpoint Health Networks, Inc.*................................3,400 288,575
--------------
2,607,175
--------------
HEAVY MACHINERY - 0.6%
Cooper Industries, Inc..........................................7,100 369,200
Deere & Co.....................................................16,400 649,850
Eaton Corp......................................................3,700 340,400
Parker-Hannifin Corp............................................1,700 77,775
Smith International, Inc.*......................................1,200 52,125
--------------
1,489,350
--------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 0.2%
Furniture Brands International, Inc.*.............................900 25,088
Leggett & Platt, Inc...........................................13,600 378,250
--------------
403,338
--------------
HOUSEHOLD PRODUCTS - 1.6%
Clorox Co.......................................................1,700 181,581
Procter & Gamble Co............................................40,200 3,587,850
--------------
3,769,431
--------------
INDUSTRIAL - DIVERSIFIED - 2.2%
Eastman Kodak Co...............................................25,400 1,720,850
ITT Industries, Inc.............................................6,600 251,625
Temple Inland, Inc..............................................2,000 136,500
Tenneco, Inc...................................................13,400 319,925
Tyco International Ltd.........................................29,900 2,833,025
--------------
5,261,925
--------------
INSURANCE - 5.9%
Aetna, Inc......................................................6,900 617,119
Allstate Corp..................................................46,200 1,657,425
Ambac Financial Group, Inc......................................3,900 222,788
American International Group....................................6,000 702,375
Aon Corp.......................................................14,700 606,375
Chubb Corp......................................................8,500 590,750
Cigna Corp.....................................................10,200 907,800
Citigroup, Inc.(a)............................................108,700 5,163,250
Equitable Companies, Inc. (The).................................5,300 355,100
Fremont General Corp............................................1,600 30,200
Marsh & McLennan Co., Inc......................................15,100 1,140,050
MBIA, Inc.......................................................5,700 369,075
Mercury General Corp............................................3,000 102,000
Ohio Casualty Corp................................................300 10,838
Pacificare Health Systems, Inc.*................................1,300 93,519
Provident Companies, Inc........................................2,400 96,000
St. Paul Co....................................................13,000 413,563
Torchmark Corp..................................................7,400 252,525
Travelers Property Casualty Corp................................3,600 140,850
Unum Corp......................................................11,600 635,100
--------------
14,106,702
--------------
LODGING - 0.4%
Extended Stay America, Inc.*......................................700 8,400
Hilton Hotels Corp.............................................26,400 374,550
Mandalay Resort Group*..........................................1,000 21,125
Starwood Hotels & Resorts Worldwide, Inc.......................17,700 540,956
--------------
945,031
--------------
MEDIA - BROADCASTING & PUBLISHING - 2.2%
Comcast Corp....................................................5,500 211,406
Gannett Co., Inc................................................5,600 399,700
Knight-Ridder, Inc.............................................10,000 549,375
MediaOne Group, Inc.*..........................................24,100 1,792,438
New York Times Co..............................................21,400 787,788
R.R. Donnelley & Sons Co.......................................16,200 600,413
Times Mirror Co.................................................8,100 479,925
Washington Post Co. (The).......................................1,000 537,750
--------------
5,358,795
--------------
MEDICAL SUPPLIES - 0.3%
Forest Laboratories, Inc.*.....................................11,900 550,375
Perkin-Elmer Biosystems Group...................................2,500 286,875
--------------
837,250
--------------
METALS - 0.8%
Alcan Aluminum Ltd..............................................8,000 255,500
Alcoa, Inc.....................................................15,500 959,063
Allegheny Teledyne, Inc........................................15,700 355,213
Freeport-McMoran Copper & Gold, Inc. Class A....................2,000 33,500
Freeport-McMoran Copper & Gold, Inc. Class B...................16,600 297,763
Reynolds Metals Co................................................900 53,100
--------------
1,954,139
--------------
OFFICE EQUIPMENT - 0.5%
Harris Corp., Inc...............................................6,300 246,881
Ryder System, Inc...............................................1,900 49,400
Xerox Corp.....................................................14,300 844,594
--------------
1,140,875
--------------
OIL & GAS - 6.1%
Chevron Corp....................................................1,100 104,706
Columbia Energy Group...........................................4,100 257,019
Conoco, Inc.....................................................5,700 158,888
Consolidated Natural Gas Co.....................................4,000 243,000
Cooper Cameron Corp.*...........................................1,500 55,594
Diamond Offshore Drilling, Inc..................................2,100 59,588
El Paso Energy Corp.............................................5,800 204,088
ENSCO International, Inc........................................3,800 75,763
Exxon Corp.(a).................................................62,800 4,843,450
Global Marine, Inc.*............................................6,300 97,256
K N Energy, Inc.................................................1,200 16,050
Mobil Corp.....................................................28,600 2,831,400
Phillips Petroleum Co...........................................7,500 377,344
Royal Dutch Petroleum Co.......................................65,400 3,940,350
R&B Falcon Corp.*...............................................8,400 78,750
Texaco, Inc....................................................16,400 1,025,000
Tosco Corp......................................................6,700 173,781
Ultramar Diamond Shamrock Corp..................................2,200 47,988
Unocal Corp.....................................................1,600 63,400
Valero Energy Corp................................................800 17,150
--------------
14,670,565
--------------
PHARMACEUTICALS - 8.2%
Alza Corp.*....................................................19,100 971,713
American Home Products Corp....................................64,700 3,720,250
Amgen, Inc.*...................................................18,800 1,144,450
Bristol-Myers Squibb Co. (a)...................................71,600 5,043,325
Chiron Corporation*.............................................4,600 95,450
Eli Lilly & Co.................................................39,100 2,800,538
Genzyme Corp.*..................................................8,100 392,850
Genzyme Surgical Products*......................................1,450 6,389
Johnson & Johnson...............................................2,400 235,200
MedImmune, Inc.*................................................5,400 365,850
Merck & Co., Inc...............................................16,100 1,191,400
Pfizer, Inc.....................................................5,300 581,675
Warner Lambert Co..............................................42,900 2,976,188
Watson Pharmaceutical, Inc.*....................................6,500 227,906
--------------
19,753,184
--------------
REAL ESTATE - 0.0%
Amresco, Inc. (REIT)*.............................................300 1,931
--------------
RETAILERS - 6.0%
Abercrombie & Fitch Co.*........................................4,000 192,000
Albertson's, Inc................................................6,552 337,838
AutoZone, Inc.*.................................................9,000 271,125
Circuit City Stores, Inc........................................3,000 279,000
CompUSA, Inc.*..................................................2,100 15,619
Costco Companies, Inc.*.........................................1,100 88,069
Dayton-Hudson Corp.............................................17,700 1,150,500
Dillard's, Inc..................................................5,300 186,163
Federated Department Stores, Inc.*.............................11,400 603,488
Gap, Inc........................................................6,900 347,588
General Nutrition Co., Inc.*....................................1,900 44,294
Hannaford Brothers Co...........................................2,500 133,750
Home Depot, Inc................................................20,200 1,301,638
J.C. Penney Co., Inc...........................................14,200 689,588
K-Mart Corp.*..................................................26,900 442,169
Kroger Co.*.....................................................2,200 61,463
May Department Stores Co. (The)................................18,200 743,925
Nordstrom, Inc..................................................3,900 130,650
Safeway, Inc.*.................................................19,900 985,050
Sears, Roebuck and Co..........................................20,600 917,988
TJX Companies, Inc.............................................19,400 646,263
Toys "R" Us, Inc.*.............................................13,700 283,419
Wal-Mart Stores, Inc...........................................94,000 4,535,500
--------------
14,387,087
--------------
TELEPHONE SYSTEMS - 7.3%
Ameritech Corp.................................................39,000 2,866,500
AT&T Corp. - Liberty Media Group*...............................3,200 117,600
AT&T Corp......................................................23,800 1,328,338
Bell Atlantic Corp.............................................54,300 3,549,863
GTE Corp.......................................................34,000 2,575,500
Level 3 Communications, Inc.*..................................12,700 762,794
MCI WorldCom, Inc.* (a)........................................63,500 5,476,875
U.S. WEST, Inc.................................................17,000 998,750
--------------
17,676,220
--------------
TEXTILES, CLOTHING & FABRICS - 0.1%
Fruit of the Loom, Inc.*........................................2,400 23,400
Jones Apparel Group, Inc.*......................................7,300 250,481
Reebok International Ltd.*......................................1,100 20,488
Unifi, Inc.*....................................................1,100 23,375
--------------
317,744
--------------
TRANSPORTATION - 0.8%
AMR Corp. *.....................................................5,500 375,375
Burlington Northern Santa Fe Corp..............................14,100 437,100
CNF Transportation, Inc.........................................1,400 53,725
Consolidated Freightways Corp.*...................................100 1,284
CSX Corp........................................................6,500 294,531
Norfolk Southern Corp..........................................11,800 355,475
Union Pacific Corp..............................................7,400 431,513
Wisconsin Central Transport Corp.*................................300 5,663
--------------
1,954,666
--------------
Total Common Stocks (Cost $207,866,159) 234,677,616
--------------
U.S. Government Agencies - 0.2% Par
U.S. Treasury Note at 5.875%, due 11/15/99 (a)...............$270,000 271,181
U.S. Treasury Note at 5.875%, due 02/15/00 (a)................210,000 210,722
--------------
(Cost $483,415) 481,903
--------------
TOTAL INVESTMENTS - 97.6%
(Cost $208,349,574) 235,159,519
Other Assets and Liabilities (net) - 2.4% 5,849,220
--------------
TOTAL NET ASSETS - 100.0% $241,008,739
==============
</TABLE>
PORTFOLIO FOOTNOTES:
(a) Held as collateral for open futures contracts.
* Non-income producing security as this stock did not declare
or pay dividends in the 12 month period.
REIT - Real Estate Investment Trust
See notes to financial statements
<PAGE>
COVA SERIES TRUST
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS - 97.9%
AUSTRALIA - 3.2%
AMP Ltd........................................................23,400 $ 255,576
Australia & New Zealand Banking Group Ltd......................37,900 278,428
Brambles Industries Ltd.........................................7,584 199,609
Broken Hill Proprietary Co., Ltd...............................26,300 304,363
Lend Lease Corp., Ltd..........................................27,300 374,484
National Australia Bank Ltd....................................31,100 514,161
News Corp., Ltd. (The) Preferred...............................80,200 610,447
News Corp., Ltd. (The)..........................................6,300 53,702
Pioneer International Ltd.....................................102,812 261,760
Southcorp Holdings Ltd.........................................78,500 316,715
Telstra Corp., Ltd.............................................81,600 467,150
--------------
3,636,395
--------------
AUSTRIA - 0.7%
Bank Austria AG................................................14,705 772,304
--------------
BELGIUM - 0.3%
Delhaize-Le Lion S.A............................................2,100 178,521
Reunies Electrobel & Tractebel..................................1,022 143,134
--------------
321,655
--------------
DENMARK - 0.6%
Danisco A/S.....................................................8,133 366,377
Great Nordic Store Nord A/S.....................................4,667 157,195
Ratin A/S (B Shs)...............................................1,733 202,978
--------------
726,550
--------------
FINLAND - 1.7%
Merita Plc.....................................................29,551 167,678
Nokia Oyj.......................................................9,473 829,200
Sampo Insurance Co. Plc.........................................5,200 150,474
Stora Enso Oyj (A shs).........................................32,073 344,038
Stora Enso Oyj ( R shs)........................................41,911 454,507
--------------
1,945,897
--------------
FRANCE - 11.3%
Alcatel.........................................................1,551 218,021
Alstom.........................................................10,755 337,803
AXA Co..........................................................3,528 429,800
Canal Plus........................................................739 207,074
Carrefour Supermarche...........................................4,278 627,782
Castorama Dubois Investisse.....................................1,900 450,023
Vivendi........................................................17,340 1,402,646
Compagnie de Saint Goban........................................2,767 440,241
France Telecom S.A..............................................2,005 151,243
Groupe Danone...................................................3,311 852,417
Imetal............................................................902 133,759
Lagardere Groupe................................................7,214 268,186
LVMH (Louis Vuitton Moet Hennessy) (Rights)*....................1,400 40,873
LVMH (Louis Vuitton Moet Hennessy)..............................1,146 335,045
Michelin (Compagnie Generale des Etablissements)................3,400 138,897
Paribas.........................................................6,397 716,075
Renault S.A.....................................................5,921 257,312
Rhodia, S.A....................................................12,576 238,294
Rhone-Poulenc S.A..............................................12,200 556,691
Sanofi-Synthelabo SA*...........................................6,758 286,379
Seita...........................................................6,200 357,547
Societe Generale................................................3,341 587,992
Societe National Elf-Aquitaine..................................9,486 1,390,084
STMicroelectronics N.V..........................................6,651 442,458
Total Cie Francaise Petroles...................................12,858 1,656,470
Usinor Sacilor*................................................14,321 213,105
--------------
12,736,217
--------------
Germany - 11.5%
BASF AG........................................................20,089 886,466
Bayerische Hypo-Und Vereinsbank................................14,380 932,937
Bilfinger and Berger Bau AG....................................12,540 309,283
Continental AG..................................................7,100 168,897
DaimlerChrysler AG.............................................12,308 1,064,683
Deutsche Telekom AG*...........................................15,119 633,681
Dresdner Bank...................................................6,300 245,885
Fresenius Medical Care AG.......................................2,147 128,016
Hochtief AG.....................................................4,400 202,088
Hoechst AG.....................................................11,165 504,750
Karstadt AG.......................................................500 239,943
Mannesmann AG..................................................11,377 1,695,310
Muenchener Rueckversicherungs - Gesellschaft AG.................3,158 583,753
Muenchener Rueckversicherungs-Gesellschaft AG* (new)............4,988 909,186
ProSieben Media AG Preferred (144A)^............................4,100 185,776
RWE AG.........................................................10,937 505,593
SAP AG..........................................................1,313 443,498
Schering AG.....................................................2,607 275,315
SGL Carbon AG*..................................................4,201 324,464
Siemens AG.....................................................12,590 969,796
SKW Trostberg AG................................................7,230 165,885
Veba AG........................................................22,544 1,323,301
Volkswagen AG...................................................4,279 273,645
--------------
12,972,151
--------------
HONG KONG - 1.6%
Cathay Pacific Airways........................................219,000 335,920
Dao Heng Bank Group Ltd........................................73,000 327,451
Hong Kong Electric.............................................54,500 175,623
Hong Kong Telecommunications Ltd..............................119,600 310,635
Sun Hung Kai Properties Ltd....................................72,000 656,604
--------------
1,806,233
--------------
IRELAND - 0.4%
CRH Plc.........................................................8,875 157,199
Greencore Group Plc............................................25,000 77,235
Irish Life & Permanent Plc.....................................10,770 113,687
Jefferson Smurfit Group Plc....................................30,043 70,385
--------------
418,506
--------------
ITALY - 2.6%
Assicurazioni Generali.........................................23,222 804,467
Banca Fideuram SPA.............................................80,546 464,167
ENI SPA........................................................77,721 457,812
Mediaset SPA...................................................30,964 275,214
Mediolanum SPA*................................................30,400 233,010
Monte Dei Paschi Di Siena SPA*.................................29,670 129,855
San Paolo - IMI SPA............................................16,600 226,094
Telecom Italia SPA-RNC*........................................64,630 351,083
--------------
2,941,702
--------------
JAPAN - 20.6%
Alps Electronics Co., Ltd.......................................3,000 70,347
Asahi Bank Ltd.................................................99,000 474,938
Bank of Tokyo - Mitsubishi Ltd. (The)..........................62,000 883,590
Bridgestone Corp...............................................13,000 393,548
Citizen Watch Co, Ltd..........................................32,000 277,916
Dai Nippon Printing Co., Ltd....................................9,000 144,045
DDI Corp...........................................................55 342,556
Denso Corp......................................................6,000 122,084
Ebaba Corp.....................................................17,000 202,341
Fanuc Co.......................................................10,100 543,011
Fuji Heavy Industries Ltd......................................16,000 123,606
Fuji Photo Film.................................................7,000 265,178
Fujitsu Ltd....................................................30,000 604,218
Hitachi Ltd ...................................................28,000 262,862
Hitachi Software Engineering Co., Ltd...........................2,100 104,218
Honda Motor Co., Ltd...........................................15,000 636,476
Industrial Bank of Japan Ltd. (The)............................15,000 119,107
Ito-Yokado Co., Ltd............................................12,000 803,970
Japan Tobacco, Inc.................................................43 476,592
Kawasaki Steel Corp...........................................188,000 351,431
Kyocera Corp....................................................5,500 322,994
Matsushita Electric Industry...................................36,000 699,752
Minebea Co., Ltd...............................................39,000 435,484
Mitsubishi Chemical Corp......................................210,000 727,792
Mitsubishi Corp................................................52,000 352,688
Mitsubishi Estate Co., Ltd.....................................24,000 234,442
Mitsubishi Trust & Banking Corp. (The).........................21,000 204,268
Mitsui Mining & Smelting........................................6,000 31,017
Mitsui Trust & Banking Co., Ltd (The)..........................76,000 121,323
NAMCO Ltd......................................................11,800 317,204
Nichiei Co., Ltd. (Kyoto).......................................4,200 368,238
Nippon Telegraph and Telephone Corp...............................140 1,632,754
Nippon Yusen Kabushiki Kaisha.................................160,000 616,708
Nishimatsu Construction Co.....................................95,000 545,327
Osaka Gas Co., Ltd.............................................85,000 288,958
Ricoh Corp., Ltd...............................................51,000 702,779
Rohm Co.........................................................3,000 466,998
Sekisui Chemical Co., Ltd......................................24,000 139,355
Shohkoh Fund......................................................720 516,923
Snow Brand Milk Product Co Ltd.................................39,000 193,226
Softbank Corp...................................................1,700 344,640
Sony Corp.........................................................700 75,558
Sony Music Entertainment, Inc..................................12,200 1,039,371
Sumitomo Bakelite Co., Ltd.....................................16,000 123,342
Sumitomo Rubber Industries Ltd.................................32,000 226,567
Suzuki Motor Corp..............................................18,000 286,600
Taiheiyo Cement Corp...........................................49,000 140,637
Takashimaya Co., Ltd............................................6,000 57,419
Takeda Chemical Industries.....................................19,000 881,638
Takefuji Corp...................................................5,000 517,370
Tokai Bank.....................................................27,000 154,094
Tokyo Electric Power Co., Inc..................................13,000 274,731
Tokyo Gas Co., Ltd.............................................82,000 202,117
Tokyo Steel Manufacturing Co., Ltd.............................27,200 143,087
Tostem Corp....................................................18,000 346,154
Toyota Motor Co................................................32,000 1,013,730
Uny Co., Ltd*...................................................7,000 105,376
West Japan Railway Co.............................................128 491,249
Yamanouchi Pharmaceutical......................................20,000 765,922
York-Benimaru Co., Ltd..........................................3,900 147,419
--------------
23,457,285
--------------
NETHERLANDS - 8.1%
ABN Amro Holding N.V...........................................44,079 953,244
AEGON N.V.......................................................4,297 311,302
Akzo Nobel N.V..................................................4,947 207,852
Benckiser N.V...................................................3,136 166,349
Equant N.V.*....................................................4,140 381,145
Getronics N.V...................................................7,428 285,321
Heineken N.V....................................................8,360 427,443
ING Groep N.V..................................................21,861 1,181,904
Koninklijke Ahold N.V..........................................11,716 402,976
Koninklijke KPN N.V............................................15,802 740,417
Koninklijke (Royal) Philips Electonics N.V.....................12,552 1,236,377
Laurus N.V.....................................................13,151 304,715
Royal Dutch Petroleum Co.......................................15,880 928,863
TNT Post Group N.V..............................................4,230 100,843
United Pan-Europe Communications N.V.*..........................3,061 165,807
Vedior N.V.....................................................21,987 373,597
Vendex N.V.....................................................21,730 579,579
Wolters Kluwer N.V..............................................9,148 363,636
--------------
9,111,370
--------------
NEW ZEALAND - 0.5%
Fletcher Challenge Energy......................................23,900 64,704
Fletcher Challenge Ltd.*.......................................35,600 51,962
Fletcher Challenge Paper Shares...............................132,200 98,406
Telecom New Zealand............................................76,100 325,566
--------------
540,638
--------------
PORTUGAL - 0.7%
Banco Pinto & Sotto Mayor S.A..................................32,200 571,008
Portugal Telecom S.A. (Rights)*.................................5,352 55
Portugal Telecom S.A............................................5,352 217,428
--------------
788,491
--------------
Singapore - 0.8%
Creative Technology Ltd........................................16,000 208,757
Development Bank of Singapore..................................34,000 415,633
Singapore Press Holdings Ltd....................................8,000 136,350
Venture Manufacturing Ltd......................................26,000 200,176
--------------
960,916
--------------
SPAIN - 3.6%
Actividades de Construccion y Servicios S.A....................10,018 286,387
Banco Santander Central Hispano S.A.*..........................93,338 970,807
Endesa S.A.....................................................41,500 883,795
Iberdrola I.S.A................................................23,189 352,708
Indra Sistemas S.A..............................................8,851 95,249
Repsol S.A.....................................................15,400 314,007
Telefonica S.A.................................................25,392 1,221,405
--------------
4,124,358
--------------
SWEDEN - 2.7%
ABB AB.........................................................28,938 385,453
Autoliv, Inc...................................................21,481 655,812
Electrolux AB...................................................8,292 173,982
Skandia Forsakrings AB.........................................23,550 441,380
Telefonaktiebolaget LM Ericsson................................42,800 1,374,786
--------------
3,031,413
--------------
SWITZERLAND - 6.6%
Compagnie Financiere Richemont AG *...............................119 228,831
Geberit International AG-Reg*.....................................870 198,350
Holderbank Financiere Glarus AG...................................139 164,039
Nestle S.A........................................................558 1,005,182
Novartis AG.......................................................603 880,320
Roche Holding AG..................................................168 1,726,568
SGS Societe Generale de Surveillance Holding S.A.*................191 197,768
Swisscom AG.....................................................2,620 985,723
UBS AG..........................................................4,185 1,248,852
Zurich Allied AG................................................1,394 792,524
--------------
7,428,157
--------------
UNITED KINGDOM - 20.4%
Allied Zurich Plc..............................................22,650 284,769
Arriva Plc......................................................9,000 53,065
Barclays Plc...................................................20,100 584,954
Bass Plc.......................................................13,939 198,217
BG Plc.........................................................49,000 299,338
Billiton Plc..................................................112,500 385,306
British Aerospace Plc..........................................36,900 239,527
British American Tobacco Plc...................................30,550 287,287
BP Amoco Plc..................................................106,317 1,905,711
British Sky Broadcasting Group Plc.............................23,300 216,578
British Telecommunications Plc.................................62,300 1,046,589
Cable & Wireless Plc...........................................69,900 890,571
Cadbury Schweppes Plc..........................................38,800 247,120
Carlton Communications Plc.....................................20,100 165,508
Compass Group Plc..............................................45,500 451,186
Diageo Plc.....................................................30,884 324,646
Glaxo Wellcome Plc.............................................47,100 1,309,083
Glynwed International Plc......................................66,100 216,229
Great Universal Stores Plc.....................................31,600 350,092
Hanson Plc.....................................................17,900 159,580
Hays Plc.......................................................24,500 255,113
HSBC Holdings Plc (Frankfurt)..................................23,850 844,861
HSBC Holdings Plc...............................................9,200 335,598
Hutchison Whampoa..............................................80,000 724,404
Kingfisher Plc.................................................33,100 380,930
Lloyds TSB Group Plc..........................................123,300 1,683,449
MEPC Plc.......................................................31,474 257,521
MFI Furniture Group Plc.......................................144,432 88,802
National Power Plc.............................................50,540 368,105
Northern Foods Plc.............................................50,400 103,690
Nycomed Amersham Plc...........................................18,475 128,991
Nycomed Amersham Plc...........................................19,132 135,993
Ocean Group Plc.................................................9,300 153,212
Pearson Plc....................................................18,100 364,102
Pilkington Plc................................................143,700 197,092
PowerGen Plc...................................................25,500 272,762
Prudential Corp................................................38,900 575,236
Racal Electronics..............................................42,300 257,741
Rentokil Initial PLC...........................................15,100 58,918
Reuters Group Plc..............................................16,000 212,134
RMC Group Plc..................................................11,650 187,611
Royal Bank of Scotland.........................................13,500 274,122
Royal & Sun Alliance Insurance Group Plc.......................54,882 492,306
Sainsbury (J.) Plc.............................................42,444 267,652
Shell Transport & Trading Co...................................25,400 190,505
Invensys Plc...................................................27,400 129,696
Smith & Nephew Plc.............................................28,300 85,884
SmithKline Beecham Plc.........................................57,602 748,725
Tate & Lyle Plc................................................17,900 112,242
Tesco Plc......................................................39,600 102,572
TI Group Plc...................................................14,600 99,433
Tomkins Plc....................................................71,000 307,812
Unilever Plc...................................................32,068 285,383
Vickers Plc....................................................56,600 145,445
Vodafone Group Plc.............................................77,500 1,534,565
Williams Plc...................................................20,700 137,550
Woolwich Plc...................................................52,100 305,545
AstraZeneca Group Plc..........................................16,250 629,694
--------------
23,050,752
--------------
Total Common and Preferred Stocks (Cost $100,721,456)................ 110,770,990
--------------
</TABLE>
See notes to financial statements
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PAR FOREIGN BONDS AND DEBT SECURITIES - 0.5%
BERMUDA - 0.3%
(pound)10,000,000 AB International Cayman Trust ............................ 5.000% 08/01/07 $ 96,822
(pound)24,000,000 Sanwa International Finance Convertible .................. + 08/01/05 208,437
------------------
305,259
------------------
JAPAN - 0.2%
(Y)10,000,000 Nichiei Co., Ltd. Convertible (144A)^ .................... 17.500% 03/31/14 105,600
(Y)10,000,000 Yamanouchi Pharmaceutical ................................ 12.500% 03/31/14 192,101
-------------------
297,701
-------------------
Total Foreign Bonds and Debt Securities (Cost $435,991) 602,960
TOTAL INVESTMENTS - 98.5%
(Cost $101,157,447) 111,373,950
Other Assets and Liabilities (net) - 1.5% 1,749,051
--------------------
TOTAL NET ASSETS - 100.0% $113,123,001
====================
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare or pay
dividends in the 12 month period.
^ Securities that may be resold to "qualified institutional buyers"
under Rule 144A or securities offered pursuant to Section 4(2) of
the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the
Board of Trustees.
+ Zero coupon bond
(Y) - Japanese Yen
(pound) - British Pound
</TABLE>
<PAGE>
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON AND PREFERRED STOCKS - 4.9%
AEROSPACE & DEFENSE - 0.2%
<S> <C> <C>
7,000 Coltec Capital Trust Convertible Preferred*................................................. $ 315,497
-------------
BANKING - 0.2%
10,000 Coastal Finance, Inc. Preferred............................................................. 246,875
-------------
BEVERAGES, FOOD & TOBACCO - 0.3%
10,000 Seagram Co Ltd Aces*........................................................................ 499,375
-------------
CHEMICALS - 0.4%
15,000 Monsanto Co. Convertible Preferred.......................................................... 601,875
-------------
COMMERCIAL SERVICES - 0.0%
338 Petroleum Heat & Power Co., Inc.*........................................................... 3
-------------
CONTAINERS & PACKAGING - 0.4%
13,300 Owens-Illinois, Inc. Convertible Preferred.................................................. 581,875
-------------
ELECTRIC UTILITIES - 0.6%
20,000 Texas Utilities Co. Convertible Preferred................................................... 1,100,000
-------------
HEAVY MACHINERY - 0.2%
10,000 Ingersoll-Rand Co. Convertible Preferred.................................................... 300,000
-------------
INSURANCE - 1.6%
25,000 AmerUs Life Holdings, Inc. Convertible Preferred............................................ 681,250
10,000 Frontier Financing Trust Convertible Preferred*............................................. 461,250
5,000 Jefferson - Pilot "NB" (ACES)............................................................... 615,000
35,000 Lincoln National Corp. Convertible Preferred................................................ 951,563
-------------
2,709,063
-------------
MEDIA - BROADCASTING & PUBLISHING - 0.6%
7,500 MediaOne Group, Inc......................................................................... 678,750
8,500 Sinclair Broadcast Group, Inc. Convertible Preferred........................................ 367,625
-------------
1,046,375
-------------
OIL & GAS - 0.1%
7,000 K N Energy, Inc. Convertible Preferred...................................................... 181,125
-------------
TELEPHONE SYSTEMS - 0.3%
10,000 IXC Communications, Inc. Convertible Preferred (144A)^...................................... 382,000
2,015 Viatel, Inc.Convertible Preferred*.......................................................... 113,092
-------------
495,092
-------------
Total Common and Preferred Stocks (Cost $8,281,459) 8,077,155
-------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
DOMESTIC BONDS AND DEBT SECURITIES - 78.2% COUPON MATURITY
ADVERTISING - 2.4%
$1,000,000 Ackerley Group, Inc. (The) (144A)^............................ 9.000% 01/15/09 992,500
505,000 Interpublic Group of Companies, Inc. (The) Convertible (144A)^ 1.800% 09/16/04 603,475
95,000 Interpublic Group of Companies, Inc. (The) Convertible........ 1.800% 09/16/04 113,525
300,000 Interpublic Group of Companies, Inc. (The) (144A)^............ 1.870% 06/01/06 271,500
500,000 Lamar Advertising............................................. 9.625% 12/01/06 517,500
1,200,000 R.H. Donnelly Corp. (144A)^................................... 9.125% 06/01/08 1,209,000
-------------
3,707,500
-------------
AEROSPACE & DEFENSE - 1.8%
1,000,000 BE Aerospace, Inc............................................. 9.875% 02/01/06 1,020,000
850,000 Dyncorp, Inc.................................................. 9.500% 03/01/07 828,750
500,000 Orbital Sciences Corp......................................... 5.000% 10/01/02 525,625
500,000 United Defense Industries, Inc................................ 8.750% 11/15/07 488,750
-------------
2,863,125
-------------
AIRLINES - 1.0%
1,000,000 America West Airlines, Inc.................................... 10.750% 09/01/05 1,025,000
650,000 Continental Airlines, Inc..................................... 8.000% 12/15/05 631,397
-------------
1,656,397
-------------
AUTOMOTIVE - 1.5%
750,000 Diamond Triumph Autoglass..................................... 9.250% 04/01/08 731,250
700,000 Navistar International Corp................................... 8.000% 02/01/08 689,500
1,100,000 Oshkosh Truck Corp............................................ 8.750% 03/01/08 1,100,000
-------------
2,520,750
-------------
BANKING - 0.8%
500,000 Credit Suisse First Boston Convertible........................ 2.625% 04/20/03 466,250
600,000 Credit Suisse First Boston Convertible........................ 2.250% 03/16/04 594,000
300,000 SBC Jersey.................................................... 2.500% 07/07/02 295,875
-------------
1,356,125
-------------
BEVERAGES, FOOD & TOBACCO - 0.6%
1,225,000 Purina Mills, Inc. (144A)^.................................... 9.000% 03/15/10 924,875
-------------
CHEMICALS - 2.1%
1,000,000 Huntsman Corp. (144A)^........................................ 9.500% 07/01/07 950,000
1,000,000 Lyondell Chemicals (144A)^.................................... 9.625% 05/01/07 1,032,500
1,000,000 Scotts Co. (The) (144A)^...................................... 8.625% 01/15/09 990,000
500,000 Sovereign Specialty Chemicals, Inc............................ 9.500% 08/01/07 503,750
-------------
3,476,250
-------------
COMMERCIAL SERVICES - 5.6%
1,000,000 Allied Waste North America, Inc. (144A)^...................... 7.875% 01/01/09 932,500
750,000 Avis Rent A Car............................................... 11.000% 05/01/09 764,063
1,000,000 Budget Group, Inc............................................. 9.125% 04/01/06 935,000
1,000,000 Charter Communications Holdings LLC (144A)^................... 8.625% 04/01/09 965,000
150,000 CSC Holdings, Inc............................................. 8.125% 08/15/09 153,375
300,000 CSC Holdings, Inc............................................. 10.500% 05/15/16 340,875
250,000 Interim Services, Inc. Convertible............................ 4.500% 06/01/05 213,833
1,000,000 Iron Mountain, Inc............................................ 10.125% 10/01/06 1,040,000
725,000 Mail-Well I Corp.............................................. 8.750% 12/15/08 706,875
400,000 Metamor Worldwide, Inc. Convertible........................... 2.940% 08/15/04 321,500
200,000 Outsourcing Solutions, Inc. (144A)^........................... 11.000% 11/01/06 193,000
450,000 Packaging Corp. of America (144A)^............................ 9.625% 04/01/09 459,000
1,250,000 Pierce Leahy Corp. (144A)^.................................... 11.125% 07/15/06 1,362,500
700,000 Unicco Service Co............................................. 9.875% 10/15/07 670,250
-------------
9,057,771
-------------
COMMUNICATIONS - 7.7%
1,775,000 Bresnan Communications Co. (144A)^............................ 0%, 9.125% ++ 02/01/09 1,162,625
1,000,000 Cencall Communications Corp................................... 0%, 10.125% ++ 01/15/04 1,022,500
500,000 Comcast Cellular Holdings..................................... 9.500% 05/01/07 561,875
450,000 Dobson Communications Corp. (144A)^........................... 11.750% 04/15/07 479,250
1,000,000 Frontiervision LP/Capital..................................... 0%, 11.875% ++ 09/15/07 857,500
1,000,000 ICG Holdings, Inc. (144A)^.................................... 0%, 13.500% ++ 09/15/05 863,750
400,000 Logix Communications Enterprises (144A)^...................... 12.250% 06/15/08 365,000
2,000,000 McLeodUsa, Inc. (144A)^....................................... 0%, 10.500% ++ 03/01/07 1,540,000
2,000,000 Nextel Communications, Inc. (144A)^........................... 0%, 9.950% ++ 02/15/08 1,385,000
1,000,000 NTL, Inc. (144A)^ ............................................ 10.000% 02/15/07 1,040,000
1,000,000 NTL, Inc...................................................... + 10/01/08 687,500
1,000,000 SBA Communications Corp. (144A)^.............................. 0%, 12.000% ++ 03/01/08 580,000
450,000 Splitrock Services, Inc. (144A)^.............................. 11.750% 07/15/08 423,000
1,250,000 Sprint Spectrum L.P........................................... 0%, 12.500% ++ 08/15/06 1,143,750
500,000 Time Warner Telecom, Inc...................................... 9.750% 07/15/08 517,500
-------------
12,629,250
-------------
COMPUTER SOFTWARE & PROCESSING - 1.2%
600,000 Affiliated Computer Services, Inc. Convertible................ 4.000% 03/15/05 795,750
600,000 Arbor Software Corp. Convertible.............................. 4.500% 03/15/05 423,750
600,000 Orbital Imaging Corp. (144A)^................................. 11.625% 03/01/05 549,000
200,000 PSINet, Inc. (144A)^.......................................... 11.500% 11/01/08 212,000
-------------
1,980,500
-------------
COMPUTERS & INFORMATION - 1.8%
1,000,000 National Data Corp. Convertible............................... 5.000% 11/01/03 1,048,750
400,000 Photronics, Inc............................................... 6.000% 06/01/04 439,000
1,600,000 Solectron Corp. Convertible (144A)^........................... + 01/27/19 928,432
650,000 Viasystems, Inc............................................... 9.750% 06/01/07 572,000
-------------
2,988,182
-------------
CONTAINERS & PACKAGING - 0.3%
500,000 U.S. Can Corp................................................. 10.125% 10/15/06 524,375
-------------
COSMETICS & PERSONAL CARE - 0.6%
1,000,000 Chattem, Inc. (144A)^......................................... 8.875% 04/01/08 975,000
-------------
ELECTRIC UTILITIES - 0.1%
50,000 El Paso Electric Co........................................... 8.250% 02/01/03 51,768
98,179 Midland Cogeneration Venture L.P.............................. 10.330% 07/23/02 103,721
-------------
155,489
-------------
ELECTRONICS - 0.9%
50,000 DecisionOne Corp.............................................. 9.750% 08/01/07 2,500
300,000 DecisionOne Holdings Corp..................................... 0%, 11.500% ++ 08/01/08 4,500
500,000 LSI Logic Corp. (144A)^....................................... 4.250% 03/15/04 818,750
600,000 Sanmina Corp. (144A)^......................................... 4.250% 05/01/04 667,500
-------------
1,493,250
-------------
ENTERTAINMENT & LEISURE - 2.6%
1,000,000 Harrah's Operating Co., Inc................................... 7.875% 12/15/05 972,500
700,000 Harrah's Operating Co., Inc................................... 7.500% 01/15/09 681,342
500,000 Loews Cineplex Entertainment Corp. (144A)^.................... 8.875% 08/01/08 480,000
1,000,000 Mohegan Tribal Gaming......................................... 8.750% 01/01/09 995,000
750,000 Riddell Sports, Inc........................................... 10.500% 07/15/07 675,000
500,000 Trump Atlantic City Association............................... 11.250% 05/01/06 450,000
-------------
4,253,842
-------------
FINANCIAL SERVICES - 2.4%
1,000,000 Accuride Corp. (144A)^........................................ 9.250% 02/01/08 995,000
1,000,000 AEI Holding Co., Inc. (144A)^................................. 10.500% 12/15/05 997,500
500,000 Merrill Lynch & Co., Inc...................................... 1.500% 12/15/05 478,125
500,000 Navistar Financial Corp....................................... 9.000% 06/01/02 517,500
150,000 Ocwen Financial Corp.......................................... 11.875% 10/01/03 143,250
500,000 Texaco Capital, Inc. Convertible.............................. 3.500% 08/05/04 509,375
200,000 Trizec Finance Ltd............................................ 10.875% 10/15/05 209,250
-------------
3,850,000
-------------
FOOD RETAILERS - 0.6%
1,000,000 Stater Brothers Holdings, Inc................................. 9.000% 07/01/04 965,000
-------------
FOREST PRODUCTS & PAPER - 0.5%
750,000 Kevco, Inc................................................... 10.375% 12/01/07 513,750
300,000 SD Warren Co................................................. 12.000% 12/15/04 322,500
-------------
836,250
-------------
HEALTH CARE PROVIDERS - 2.2%
250,000 HEALTHSOUTH Corp. Convertible................................. 3.250% 04/01/03 211,095
250,000 HEALTHSOUTH Corp. Convertible................................. 3.250% 04/01/03 210,313
500,000 Integrated Health Services, Inc............................... 10.250% 04/30/06 369,375
250,000 Integrated Health Services, Inc. (144A)^...................... 9.500% 09/15/07 183,750
1,000,000 Leiner Health Products Group.................................. 9.625% 07/01/07 965,000
500,000 Prime Medical Services, Inc................................... 8.750% 04/01/08 487,500
1,000,000 Tenet Healthcare Corp......................................... 8.625% 01/15/07 990,000
250,000 Total Renal Care Holdings, Inc. Convertible (144A)^........... 7.000% 05/15/09 205,313
-------------
3,622,346
-------------
HEAVY CONSTRUCTION - 0.9%
500,000 American Builders & Contractors Supply Co..................... 10.625% 05/15/07 473,125
1,000,000 Lennar Corp................................................... 7.625% 03/01/09 967,500
-------------
1,440,625
-------------
HEAVY MACHINERY - 0.5%
780,000 Scotsman Group, Inc........................................... 8.625% 12/15/07 791,700
-------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 1.2%
1,000,000 D.R. Horton, Inc.............................................. 10.000% 04/15/06 1,035,000
1,000,000 MDC Holdings, Inc............................................. 8.375% 02/01/08 970,000
-------------
2,005,000
-------------
INDUSTRIAL - DIVERSIFIED - 2.5%
200,000 Compass Aerospace Corp. (144A)^............................... 10.125% 04/15/05 183,000
500,000 Dura Operating Corp. (144A)^.................................. 9.000% 05/01/09 480,000
2,500,000 Elan Finance Corp. Convertible................................ + 12/14/18 1,285,925
1,000,000 Fisher Scientific International, Inc. (144A)^................. 9.000% 02/01/08 955,000
250,000 Fonda Group, Inc.............................................. 9.500% 03/01/07 218,750
1,000,000 Safelite Glass Corp. (144A)^.................................. 9.875% 12/15/06 930,000
-------------
4,052,675
-------------
INSURANCE - 0.2%
250,000 American International Group Convertible...................... 2.250% 07/30/04 353,703
-------------
LODGING - 1.6%
900,000 Aztar Corp. (144A)^........................................... 8.875% 05/15/07 866,250
750,000 Isle of Capri Casinos, Inc. (144A)^........................... 8.750% 04/15/09 706,875
1,000,000 Park Place Entertainment Corp. (144A)^........................ 7.875% 12/15/05 957,500
-------------
2,530,625
-------------
MEDIA - BROADCASTING & PUBLISHING - 9.4%
900,000 Allbritton Communications Co.................................. 9.750% 11/30/07 915,750
500,000 Big Flower Press Holdings, Inc. (144A)^....................... 8.875% 07/01/07 472,500
1,000,000 Big Flower Press Holdings, Inc. (144A)^....................... 8.625% 12/01/08 925,000
350,000 Capstar Broadcasting Corp..................................... 9.250% 07/01/07 357,000
1,000,000 Century Communications Corp................................... 9.500% 03/01/05 1,035,000
300,000 Century Communications Corp................................... 8.875% 01/15/07 301,500
150,000 Century Communications Corp................................... 8.750% 10/01/07 149,625
1,000,000 Chancellor Radio.............................................. 9.375% 10/01/04 1,030,000
550,000 Clear Channel Communications, Inc. Convertible................ 2.625% 04/01/03 701,723
500,000 Cumulus Media, Inc............................................ 10.375% 07/01/08 532,500
450,000 EZ Communications, Inc........................................ 9.750% 12/01/05 481,063
1,000,000 Fox Liberty Networks LLC...................................... 8.875% 08/15/07 1,042,500
400,000 Gray Communications Systems, Inc.............................. 10.625% 10/01/06 421,000
1,000,000 Interep National Radio Sales (144A)^.......................... 10.000% 07/01/08 1,027,500
500,000 Jacor Communications, Inc..................................... 9.750% 12/15/06 552,500
425,000 K-III Communications Corp..................................... 10.250% 06/01/04 447,313
500,000 L-3 Communications Corp....................................... 10.375% 05/01/07 525,625
1,000,000 Mediacom LLC (144A)^.......................................... 8.500% 04/15/08 945,000
400,000 Pegasus Communications Corp................................... 9.625% 10/15/05 394,000
250,000 Price Communications Wireless, Inc............................ 9.125% 12/15/06 253,750
750,000 Renaissance Media Group (144A)^............................... 0%, 10.000% ++ 04/15/08 528,750
1,591,000 Sinclair Broadcast Group, Inc. (144A)^........................ 10.000% 09/30/05 1,630,775
500,000 United International Holdings, Inc............................ 0%, 10.750% ++ 02/15/08 331,250
350,000 Young Broadcasting, Inc....................................... 11.750% 11/15/04 372,750
-------------
15,374,374
-------------
METALS - 1.1%
1,000,000 Mascotech, Inc................................................ 4.500% 12/15/03 820,000
500,000 Nortek, Inc. (144A)^.......................................... 8.875% 08/01/08 491,250
500,000 WCI Steel, Inc................................................ 10.000% 12/01/04 511,250
-------------
1,822,500
-------------
OIL & GAS - 2.7%
500,000 Chesapeake Energy Corp. (144A)^............................... 9.625% 05/01/05 470,000
1,085,000 Flores & Rucks, Inc........................................... 9.750% 10/01/06 1,128,400
1,000,000 HS Resources, Inc............................................. 9.875% 12/01/03 1,010,000
150,000 KCS Energy, Inc............................................... 11.000% 01/15/03 95,250
450,000 KCS Energy, Inc............................................... 8.875% 01/15/08 92,250
500,000 Parker Drilling Corp. Convertible............................. 5.500% 08/01/04 332,500
500,000 Pogo Producing Co............................................. 8.750% 05/15/07 476,250
400,000 Swift Energy Co. Convertible.................................. 6.250% 11/15/06 302,500
500,000 Vintage Petroleum, Inc........................................ 8.625% 02/01/09 478,750
-------------
4,385,900
-------------
REAL ESTATE - 0.3%
500,000 BF Saul (REIT)................................................ 9.750% 04/01/08 467,500
-------------
RETAILERS - 0.7%
246,000 Businessland, Inc............................................. 5.500% 03/01/07 196,800
500,000 Costco Companies, Inc......................................... + 08/19/17 469,375
500,000 Saks, Inc..................................................... 8.250% 11/15/08 521,232
-------------
1,187,407
-------------
TELEPHONE SYSTEMS - 6.2%
350,000 AMSC Acquisition Co., Inc..................................... 12.250% 04/01/08 269,500
450,000 Bell Atlantic Financial Services, Inc. Convertible (144A)^.... 5.750% 04/01/03 461,529
1,000,000 GST USA, Inc.................................................. 0%, 13.875% ++ 12/15/05 825,000
1,000,000 Hyperion Telecommunications, Inc.............................. 12.250% 09/01/04 1,060,000
150,000 Intermedia Communications of Florida, Inc..................... 13.500% 06/01/05 168,285
2,500,000 Intermedia Communications of Florida, Inc. (144A)^............ 0%, 11.125% ++ 07/15/07 1,793,750
500,000 Iridium LLC/Capital Corp. (144A)^............................. 14.000% 07/15/05 107,500
700,000 IXC Communications, Inc. (144A)^.............................. 9.000% 04/15/08 672,000
500,000 Level 3 Communications, Inc. (144A)^.......................... 9.125% 05/01/08 493,750
400,000 MasTec, Inc................................................... 7.750% 02/01/08 378,000
1,000,000 NEXTLINK Communications, Inc.................................. 10.750% 11/15/08 1,027,500
1,000,000 Qwest Communications International, Inc....................... 7.500% 11/01/08 973,750
250,000 Triton PCS, Inc. (144A)^...................................... 0%, 11.000% ++ 05/01/08 161,875
1,500,000 United States Cellular Corp. Convertible...................... + 06/15/15 770,625
1,000,000 Viatel, Inc. (144A)^.......................................... 11.250% 04/15/08 1,025,000
-------------
10,188,064
-------------
TEXTILES, CLOTHING & FABRICS - 1.8%
1,000,000 Collins & Aikman Corp......................................... 11.500% 04/15/06 1,010,000
500,000 GFSI, Inc..................................................... 9.625% 03/01/07 420,000
500,000 Interface, Inc................................................ 9.500% 11/15/05 520,000
1,000,000 Pillowtex Corp................................................ 9.000% 12/15/07 945,000
-------------
2,895,000
-------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 12.4%
1,500,000 Federal National Mortgage Association......................... 8.500% 02/01/05 1,524,956
12,000,000 U.S. Treasury Note............................................ 5.500% 05/31/03 11,906,250
7,500,000 U.S. Treasury Note............................................ 4.750% 11/15/08 6,885,938
-------------
20,317,144
-------------
Total Domestic Bonds and Debt Securities (Cost $130,991,475) 127,648,494
-------------
FOREIGN BONDS AND DEBT SECURITIES - 11.7%
ARGENTINA - 0.5%
700,000 Telefonica de Argentina S.A. (U.S.$) (144A)^.................. 9.125% 05/07/08 617,750
300,000 Telefonica de Argentina S.A. (U.S.$).......................... 9.125% 05/07/08 265,500
-------------
883,250
-------------
BERMUDA - 0.5%
750,000 Global Crossing Holdings Ltd. (144A)^......................... 9.625% 05/15/08 768,750
-------------
BRAZIL - 0.2%
400,000 Globo Comunicacoes Participation (U.S.$) (144A)^.............. 10.625% 12/05/08 286,000
-------------
CANADA - 3.8%
3,000,000 Call-Net Enterprises, Inc. (Yankee)........................... 0%, 8.940% ++ 08/15/08 1,680,000
500,000 Canadian Airlines Corp. (Yankee).............................. 10.000% 05/01/05 372,500
1,750,000 Clearnet Communications, Inc. (Yankee)........................ 0%, 10.125% ++ 05/01/09 1,006,250
1,500,000 Gulf Canada Resources Ltd. (Yankee)........................... 8.375% 11/15/05 1,481,250
1,000,000 Rogers Cantel, Inc. (Yankee) (144A)^.......................... 8.300% 10/01/07 992,500
750,000 Tembec Industries, Inc. (Yankee).............................. 8.625% 06/30/09 750,000
-------------
6,282,500
-------------
CHINA - 0.1%
250,000 Cathay International Ltd. (U.S.$) (144A)^..................... 13.000% 04/15/08 96,250
-------------
LUXEMBOURG - 0.5%
1,000,000 Millicom International Cellular S.A. (Yankee) (144A)^......... 0%, 13.500% ++ 06/01/06 740,000
-------------
MEXICO - 1.7%
300,000 Coca-Cola Femsa, S.A. (Yankee)................................ 8.950% 11/01/06 297,375
500,000 Grupo Televisa S.A. (Yankee).................................. 11.875% 05/15/06 515,000
500,000 Grupo Televisa S.A. (Yankee).................................. 0%, 13.250% ++ 05/15/08 405,000
400,000 Pepsi-Gemex S.A. (Yankee)..................................... 9.750% 03/30/04 401,000
500,000 Satelites Mexicanos S.A. (144A)^.............................. 10.125% 11/01/04 398,750
1,000,000 TV Azteca S.A. (Yankee)....................................... 10.500% 02/15/07 752,500
-------------
2,769,625
-------------
PANAMA - 0.5%
1,000,000 Panama (Republic of) (U.S.$).................................. 8.875% 09/30/27 822,500
-------------
SWITZERLAND - 0.7%
2,000,000 Roche Holdings, Inc. Convertible (U.S.$)...................... + 04/20/10 1,137,500
-------------
UNITED KINGDOM - 3.2%
550,000 Diamond Cable Communication Plc (Yankee)...................... 0%, 10.750% ++ 02/15/07 426,250
1,000,000 Esprit Telecom Group Plc (Yankee)............................. 10.875% 06/15/08 1,045,000
1,000,000 Orange Plc (US$).............................................. 8.000% 08/01/08 960,000
1,000,000 RSL Communications Plc (Yankee) (144A)^....................... 12.000% 11/01/08 1,057,500
750,000 Swiss Life Finance Ltd. (U.S.$) (144A)^....................... 2.000% 05/20/03 739,688
1,500,000 TeleWest Communications Plc (144A)^........................... 0%, 9.125% ++ 04/15/09 1,006,875
-------------
5,235,313
-------------
Total Foreign Bonds and Debt Securities (Cost $20,277,341) 19,021,688
-------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
WARRANTS - 0.1%
COMMUNICATIONS - 0.0%
522 NTL, Inc. (expiring 10/14/08)*...................................................... 26,165
450 Splitrock Services, Inc. (expiring 07/15/08)*....................................... 31,500
-------------
57,665
-------------
COMPUTER SOFTWARE & PROCESSING - 0.0%
600 Orbital Imaging Corp. (144A) (expiring 03/01/05)*^.................................. 18,075
-------------
MEDIA - BROADCASTING & PUBLISHING - 0.0%
930 American Telecasting, Inc. (expiring 06/15/99)*..................................... 9
-------------
MEDICAL SUPPLIES - 0.0%
250 Urohealth Systems, Inc. (expiring 04/10/04)*........................................ 656
-------------
TELEPHONE SYSTEMS - 0.0%
350 American Mobile Satellite Corp. (expiring 04/01/08)*................................ 14,044
350 Intermedia Communications of Florida, Inc. (expiring 06/01/00) *.................... 22,838
-------------
36,882
-------------
Total Warrants (Cost $57,828) 113,287
-------------
TOTAL INVESTMENTS - 94.9%
(Cost $159,608,103) $ 154,860,624
Other Assets and Liabilities (net) - 5.1% 8,341,255
-------------
TOTAL NET ASSETS - 100% $ 163,201,879
==============
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
</TABLE>
COVA SERIES TRUST
BOND DEBENTURE PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY
JUNE 30, 1999
The following table summarizes the portfolio composition of long-term debt
holding at June 30, 1999, based upon quality ratings issued by Standard &
Poor's. For securities not rated by Standard & Poor's, the Moody's rating is
used.
<TABLE>
<CAPTION>
PORTFOLIO COMPOSITION BY CREDIT QUALITY
- ---------------------------------------------------------------------
<S> <C>
RATINGS % OF PORTFOLIO
U.S. Gov't and Agency Obligations 13.1 %
AAA 0.2
AA 2.4
A 1.0
BBB 5.4
BB 15.5
B 53.0
CCC 3.4
D 0.1
NR 5.9
- ----------------------------------------------------------------------
100.0 %
=======
Note NR = Not Rated
</TABLE>
See notes to financial statements
<PAGE>
COVA SERIES TRUST
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 95.9%
AEROSPACE & DEFENSE - 2.8%
Coltec Industries, Inc.*.......................................27,000 $ 585,563
Orbital Sciences Corp.*.........................................7,000 165,375
--------------
750,938
--------------
AIRLINES - 0.5%
Skywest, Inc....................................................5,000 124,688
--------------
AUTOMOTIVE - 0.9%
Snap-On, Inc....................................................7,000 253,313
--------------
BANKING - 1.2%
Cullen/Frost Bankers, Inc......................................12,000 330,750
--------------
BEVERAGES, FOOD & TOBACCO - 9.5%
Corn Products International, Inc...............................18,000 547,875
Dean Foods Co..................................................13,000 540,313
Del Monte Foods Co.*...........................................30,300 507,525
IBP, Inc.......................................................12,500 296,875
Tyson Foods, Inc................................................7,000 157,500
Universal Foods Corp...........................................25,000 528,125
---------------
2,578,213
---------------
CHEMICALS - 1.8%
Crompton & Knowles Corp........................................25,000 489,063
--------------
COMMERCIAL SERVICES - 1.2%
Unisource Worldwide, Inc.......................................26,000 313,625
--------------
COMMUNICATIONS - 0.8%
Plantronics, Inc.*..............................................3,500 227,938
--------------
COMPUTER SOFTWARE & PROCESSING - 4.4%
Adobe Systems, Inc..............................................6,400 525,800
Cabletron Systems, Inc.*.......................................52,000 676,000
--------------
1,201,800
--------------
CONTAINERS & PACKAGING - 1.9%
Ball Corp......................................................12,500 528,125
--------------
ELECTRIC UTILITIES - 10.9%
FirstEnergy Corp...............................................13,000 403,000
Illinova Corp..................................................20,000 545,000
IPALCO Enterprises, Inc.........................................8,000 169,500
Niagara Mohawk Holdings, Inc.*.................................36,000 578,250
Northeast Utilities*...........................................39,500 698,648
Scana Corp.....................................................13,000 303,875
Sierra Pacific Resources........................................7,100 258,263
--------------
2,956,536
--------------
ELECTRONICS - 1.7%
Atmel Corp.*...................................................11,000 288,063
Varian Semiconductor Equipment Associates, Inc.*...............10,000 170,000
--------------
458,063
--------------
ENTERTAINMENT & LEISURE - 1.3%
Hasbro, Inc....................................................13,000 363,188
--------------
ENVIRONMENTAL CONTROLS - 3.8%
Republic Services, Inc.*.......................................12,000 297,000
Safety-Kleen Corp.*............................................41,025 743,578
--------------
1,040,578
--------------
FOREST PRODUCTS & PAPER - 1.1%
Buckeye Technologies, Inc.*....................................19,000 288,563
--------------
HEALTH CARE PROVIDERS - 5.2%
MedPartners, Inc.*............................................105,000 794,063
Sierra Health Services, Inc.*..................................18,000 259,875
Trigon Healthcare, Inc.*.......................................10,000 363,750
--------------
1,417,688
--------------
HOUSEHOLD PRODUCTS - 1.3%
Jostens, Inc...................................................16,500 347,531
--------------
INDUSTRIAL - DIVERSIFIED - 2.0%
Tenneco, Inc...................................................22,500 537,188
--------------
INSURANCE - 5.9%
Ace Ltd........................................................11,500 324,875
MONY Group, Inc. (The).........................................15,470 504,709
Transatlantic Holdings, Inc.....................................5,000 374,688
XL Captial Ltd..................................................7,000 395,500
--------------
1,599,772
--------------
MEDICAL SUPPLIES - 7.4%
Acuson Corp.*..................................................33,000 567,188
Mettler-Toledo International, Inc.*.............................4,000 99,250
St. Jude Medical, Inc.*........................................16,200 577,125
Varian Medical Systems, Inc....................................30,000 757,500
--------------
2,001,063
--------------
OIL & GAS - 14.2%
Amerada Hess Corp..............................................12,000 714,000
Dynegy, Inc....................................................44,000 896,500
Eastern Enterprises.............................................9,000 357,750
Kerr-Mcgee Corp................................................12,000 602,250
MDU Resources Group, Inc........................................7,300 166,531
Southwest Gas Corp.............................................10,000 286,250
Ultramar Diamond Shamrock Corp.................................17,000 370,813
Valero Energy Corp.............................................23,000 493,063
--------------
3,887,157
--------------
PHARMACEUTICALS - 1.6%
Mylan Laboratories, Inc........................................16,000 424,000
--------------
REAL ESTATE - 1.8%
Healthcare Realty Trust, Inc. (REIT)...........................23,055 484,155
--------------
RESTAURANTS - 1.6%
CBRL Group, Inc................................................25,000 432,813
--------------
RETAILERS - 7.6%
Consolidated Stores Corp.*.....................................16,800 453,600
Dillard's, Inc.................................................19,000 667,375
OfficeMax, Inc.*...............................................50,000 600,000
Stride Rite Corp................................................4,800 49,500
Venator Group, Inc.*...........................................27,000 281,813
--------------
2,052,288
--------------
TEXTILES, CLOTHING & FABRICS - 3.5%
Jones Apparel Group, Inc.*......................................7,015 240,702
Polymer Group, Inc.*...........................................51,000 599,250
Reebok International Ltd.*......................................6,000 111,750
--------------
951,702
--------------
TOTAL INVESTMENTS - 95.9%
(Cost $23,511,092) $ 26,040,738
Other Assets and Liabilities (net) - 4.1% 1,120,626
--------------
TOTAL NET ASSETS - 100.0% $ 27,161,364
==============
</TABLE>
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
See notes to financial statements
<PAGE>
COVA SERIES TRUST
LARGE CAP RESEARCH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 94.3%
AEROSPACE & DEFENSE - 1.9%
United Technologies Corp........................................6,800 $ 487,475
--------------
AUTOMOTIVE - 2.0%
Delphi Automotive Systems Corp..................................1,677 31,137
Ford Motor Co...................................................5,800 327,338
General Motors Corp.............................................2,400 158,400
--------------
516,875
--------------
BANKING - 6.9%
Bank One Corp...................................................6,053 360,532
BankAmerica Corp................................................5,256 385,331
Chase Manhattan Corp............................................4,450 385,481
First Union Corp................................................2,650 124,550
Mellon Bank Corp................................................7,600 276,450
Wells Fargo Co..................................................5,350 228,713
--------------
1,761,057
--------------
BEVERAGES, FOOD & TOBACCO - 3.3%
Heinz (H.J.), Co...............................................14,300 716,788
Ralston-Ralston Purina Group....................................4,200 127,838
--------------
844,626
--------------
CHEMICALS - 1.0%
Du Pont (E.I.) de Nemours and Co................................3,900 266,419
--------------
COMMUNICATIONS - 1.4%
QUALCOMM, Inc.*.................................................2,500 358,750
--------------
COMPUTER SOFTWARE & PROCESSING - 4.1%
Cadence Design Systems, Inc.*..................................18,100 230,775
First Data Corp................................................16,500 807,462
--------------
1,038,237
--------------
COMPUTERS & INFORMATION - 12.4%
EMC Corp.*.....................................................10,900 599,500
International Business Machines Corp............................6,400 827,200
Seagate Technology, Inc.*.......................................8,500 217,813
Sun Microsystems, Inc.*.........................................9,000 619,875
Unisys Corp.*..................................................22,900 891,669
--------------
3,156,057
--------------
ELECTRIC UTILITIES - 4.5%
Carolina Power & Light Co.......................................8,420 360,481
Duke Energy Corp................................................8,800 478,500
FPL Group, Inc..................................................5,650 308,631
--------------
1,147,612
--------------
ELECTRICAL EQUIPMENT - 0.9%
Emerson Electric Co.............................................3,590 225,721
--------------
ELECTRONICS - 4.0%
Intel Corp......................................................2,900 172,550
Rockwell International Corp.....................................4,100 249,075
Texas Instruments, Inc..........................................4,180 606,100
--------------
1,027,725
--------------
ENVIRONMENTAL CONTROLS - 2.0%
Waste Management, Inc...........................................9,450 507,938
--------------
FINANCIAL SERVICES - 3.6%
American General Corp...........................................6,250 471,094
Federal National Mortgage Association...........................2,400 164,100
Morgan Stanley, Dean Witter & Co................................2,800 287,000
--------------
922,194
--------------
FOREST PRODUCTS & PAPER - 2.9%
Champion International Corp.....................................8,450 404,544
Georgia-Pacific Corp............................................7,200 341,100
--------------
745,644
--------------
HEALTH CARE PROVIDERS - 0.4%
Columbia/HCA Healthcare Corp....................................4,800 109,500
--------------
HEAVY MACHINERY - 1.5%
Deere & Co......................................................9,400 372,475
--------------
INDUSTRIAL TECHNOLOGY - 0.9%
Eastman Kodak Co................................................3,420 231,705
--------------
INSURANCE - 7.1%
Ace Ltd........................................................19,400 548,050
Aetna, Inc......................................................4,200 375,638
Aon Corp........................................................5,500 226,875
Chubb Corp......................................................2,410 167,495
Cigna Corp......................................................5,400 480,600
--------------
1,798,658
--------------
MEDIA - BROADCASTING & PUBLISHING - 4.4%
CBS Corp.*......................................................6,170 268,009
Dow Jones & Co., Inc............................................3,500 185,719
Gannett Co., Inc................................................3,200 228,400
Time Warner, Inc................................................6,100 448,350
--------------
1,130,478
--------------
MEDICAL SUPPLIES - 0.7%
Baxter International, Inc.......................................2,840 172,175
--------------
METALS - 1.9%
Alcoa, Inc......................................................7,600 470,250
--------------
OFFICE EQUIPMENT - 1.0%
Xerox Corp......................................................4,200 248,063
--------------
OIL & GAS - 10.1%
BP Amoco Plc (ADR)..............................................5,460 592,410
Coastal Corp....................................................8,120 324,800
Columbia Energy Group...........................................3,800 238,213
Exxon Corp......................................................7,100 547,588
Mobil Corp......................................................3,400 336,600
Total S.A. (ADR)................................................7,700 496,169
--------------
2,535,780
--------------
PHARMACEUTICALS - 5.8%
American Home Products Corp.....................................7,000 402,500
Bristol-Myers Squibb Co.........................................6,600 464,888
Merck & Co., Inc................................................2,350 173,900
Pharmacia & Upjohn, Inc.........................................7,400 420,413
--------------
1,461,701
--------------
RETAILERS - 2.9%
Consolidated Stores Corp.*.....................................16,900 456,300
Federated Department Stores, Inc.*..............................5,100 269,981
--------------
726,281
--------------
TELEPHONE SYSTEMS - 6.1%
Alltel Corp.....................................................5,700 407,550
AT&T Corp......................................................14,350 800,909
Bell Atlantic Corp..............................................5,300 346,488
--------------
1,554,947
--------------
TEXTILES, CLOTHING & FABRICS - 0.6%
V.F. Corp.......................................................3,550 151,763
--------------
TOTAL INVESTMENTS - 94.3%
(Cost $20,329,656) $ 23,970,106
Other Assets and Liabilities (net) - 5.7% 1,444,801
--------------
TOTAL NET ASSETS - 100.0% $25,414,907
==============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare
or pay dividends in the 12 month period.
ADR - American Depositary Receipt
See notes to financial statements
<PAGE>
COVA SERIES TRUST
DEVELOPING GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 92.8%
AEROSPACE & DEFENSE - 2.3%
Orbital Sciences Corp.*........................................23,300 $ 550,463
--------------
APPAREL RETAILERS - 3.6%
Pacific Sunwear of California, Inc.*...........................22,050 537,469
Shoe Carnival, Inc.*...........................................10,400 176,800
Stage Stores, Inc.*............................................20,800 135,200
--------------
849,469
--------------
BANKING - 0.9%
Net.B@nk, Inc.*.................................................5,700 216,600
--------------
BEVERAGES, FOOD & TOBACCO - 2.6%
Dreyers Grand Ice Cream, Inc....................................4,500 68,063
Horizon Organic Holding Corp.*..................................6,000 87,750
Northland Cranberries, Inc......................................9,000 75,938
Smithfield Foods, Inc.*.........................................6,000 200,625
Twinlab Corp.*.................................................12,500 107,423
United Natural Foods, Inc.*.....................................3,500 86,625
--------------
626,424
--------------
CHEMICALS - 1.2%
Eco Soil Systems, Inc.*........................................10,100 54,288
OM Group, Inc...................................................7,000 241,500
--------------
295,788
--------------
COMMERCIAL SERVICES - 11.7%
Aegis Communications Group, Inc.*..............................28,000 25,376
Armor Holdings, Inc.*..........................................19,000 198,313
Butler International, Inc.*.....................................7,950 106,331
Caribiner International, Inc.*.................................12,700 78,581
Cornell Corrections, Inc.*......................................8,000 131,500
G & K Services, Inc.............................................2,100 109,988
ICOS Corp.*.....................................................7,200 293,850
Iron Mountain, Inc.*............................................6,500 186,063
Kroll-O'Gara Co. (The)*........................................16,200 357,413
Labor Ready, Inc................................................4,900 159,250
M/A/R/C, Inc....................................................6,600 95,700
NFO Worldwide, Inc.*............................................8,000 112,000
Nielsen Media Research*........................................12,500 365,625
SCB Computer Technology, Inc.*.................................12,700 66,675
SOS Staffing Services, Inc.*....................................2,200 11,550
Steiner Leisure Ltd.*...........................................2,800 84,875
TeleTech Holdings, Inc.*.......................................24,800 251,100
U S Liquids Inc.*...............................................7,100 148,213
--------------
2,782,403
--------------
COMMUNICATIONS - 6.0%
CellStar Corp.*................................................28,500 224,438
PairGain Technologies, Inc.*...................................16,700 192,050
Plantronics, Inc.*.............................................12,000 781,484
Sawtek, Inc.*...................................................5,000 229,375
---------------
1,427,347
---------------
COMPUTER SOFTWARE & PROCESSING - 18.7%
Activision, Inc.*...............................................9,500 138,344
Best Software, Inc.*............................................8,100 130,613
Beyond.com Corp.*...............................................5,000 143,438
BrightStar Information Technology Group, Inc.*.................12,000 52,500
Caere Corp.*...................................................12,300 162,975
Cambridge Technology Partners, Inc.*...........................17,000 298,563
CheckFree Corp.*................................................5,200 143,325
CIBER, Inc.*....................................................8,300 158,738
Cognicase, Inc.*................................................5,500 90,063
Computer Horizons Corp.*........................................5,500 75,969
IMRglobal Corp.*...............................................23,500 452,375
Landmark Systems Corp.*........................................15,000 155,625
Mastech Corp.*..................................................5,000 93,125
Mercury Interactive Corp.*......................................2,000 70,750
Mobius Management Systems, Inc.*................................5,000 41,250
National Instruments Corp.*.....................................2,900 117,088
Pegasus Systems, Inc.*..........................................6,500 243,344
Phoenix Technologies Ltd.*......................................5,500 98,313
RadiSys Corp.*..................................................9,600 373,200
Renaissance Worldwide, Inc.*....................................5,000 39,844
Security First Technologies Corp.*.............................12,400 559,550
Sequent Computer Systems, Inc.*................................13,200 234,300
THQ, Inc.*......................................................2,800 80,500
Transaction Systems Architects, Inc.*...........................5,200 202,800
USWeb Corp.*....................................................7,300 161,969
Visio Corp.*....................................................3,500 133,219
--------------
4,451,780
--------------
COMPUTERS & INFORMATION - 4.1%
Advanced Digital Information Corp.*.............................3,000 121,500
Analogic Corp...................................................4,300 133,703
FVC.COM, Inc.*.................................................10,500 68,250
MICROS Systems, Inc.*..........................................10,200 346,800
MicroTouch Systems, Inc.*.......................................8,200 121,975
Xircom, Inc.*...................................................6,000 180,375
--------------
972,603
--------------
ELECTRIC UTILITIES - 0.4%
Independent Energy Holdings Plc (ADR)*..........................7,000 95,375
--------------
ELECTRICAL EQUIPMENT - 1.3%
Ampex Corp.*...................................................19,000 96,188
Technitrol, Inc.................................................6,700 216,075
--------------
312,263
--------------
ELECTRONICS - 4.1%
American Xtal Technology, Inc.*.................................6,000 142,875
Artesyn Technologies, Inc.*.....................................9,100 201,906
Dionex Corp.*...................................................1,200 48,600
Lecroy Corp.*...................................................7,900 187,131
SLI, Inc.*.....................................................14,700 396,900
--------------
977,412
--------------
ENTERTAINMENT & LEISURE - 1.4%
Championship Auto Racing Teams, Inc.*...........................8,000 239,500
Family Golf Centers, Inc.*.....................................12,000 92,250
--------------
331,750
--------------
FINANCIAL SERVICES - 0.1%
Federal Agricultural Mortgage Corp.*..............................200 13,725
--------------
FOOD RETAILERS - 0.6%
Wild Oats Markets, Inc.*........................................4,800 145,650
--------------
HEALTH CARE PROVIDERS - 5.3%
CareMatrix Corp.*..............................................17,600 218,900
Counsel Corp....................................................7,800 49,725
Express Scripts, Inc.*..........................................2,700 162,506
Healthcare Services Group, Inc.*...............................11,750 114,563
Hooper Holmes, Inc.............................................15,500 315,813
Matria Healthcare, Inc.*.......................................18,000 130,500
Sunrise Assisted Living, Inc.*..................................8,100 282,488
--------------
1,274,495
--------------
HEAVY MACHINERY - 0.7%
Flow International Corp.*.......................................8,500 91,906
JLG Industries, Inc.............................................3,800 77,425
--------------
169,331
--------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 1.7%
Crossmann Communities, Inc.*....................................8,900 258,656
McGrath Rentcorp................................................7,900 158,000
--------------
416,656
--------------
INDUSTRIAL - DIVERSIFIED - 1.9%
Identix, Inc.*.................................................13,000 127,563
Matthews International Corp.....................................6,800 201,450
Park-Ohio Holdings Corp.*.......................................4,200 71,138
Strategic Distribution, Inc.*..................................20,400 47,175
--------------
447,326
--------------
MEDICAL SUPPLIES - 3.3%
Arrow International, Inc........................................4,000 103,500
ATS Medical, Inc.*.............................................12,500 98,438
Closure Medical Corp.*..........................................1,500 45,000
Hanger Orthopedic Group, Inc.*.................................14,000 198,625
Maxxim Medical, Inc.*...........................................8,300 193,494
Orthofix International N.V.*....................................4,500 66,938
Theragenics Corp.*.............................................10,500 72,844
--------------
778,839
--------------
METALS - 1.7%
Stillwater Mining Co.*.........................................12,200 398,788
--------------
OFFICE EQUIPMENT - 0.5%
In Focus Systems, Inc.*.........................................7,900 118,500
--------------
OIL & GAS - 5.8%
Core Laboratories N.V.*........................................18,900 263,419
Eagle Geophysical, Inc.*..........................................694 521
Edge Petroleum Corp.*...........................................9,000 57,375
Evergreen Resources, Inc.*......................................6,500 163,719
EXCO Resources, Inc.*..........................................11,000 74,250
Harken Energy Corp.*...........................................34,500 56,063
Seitel, Inc.*..................................................10,800 174,825
Stone Energy Corp.*.............................................6,600 279,675
TransMontaigne Oil Co.*.........................................8,700 109,294
Vintage Petroleum, Inc.........................................20,200 217,150
--------------
1,396,291
--------------
PHARMACEUTICALS - 0.5%
Albany Molecular Research, Inc.*................................3,200 95,200
Kos Pharmaceuticals, Inc.*......................................4,900 24,806
--------------
120,006
--------------
Real Estate - 0.8%
Catellus Development Corp. (REIT)*..............................4,500 69,750
Healthcare Realty Trust, Inc. (REIT)............................5,300 111,300
--------------
181,050
--------------
RETAILERS - 4.1%
Ames Department Stores, Inc.*..................................10,000 456,250
Cost Plus, Inc.*................................................6,900 313,950
General Nutrition Co., Inc.*....................................9,100 212,144
--------------
982,344
--------------
TELEPHONE SYSTEMS - 0.2%
Boston Communications Group, Inc.*..............................4,300 57,781
--------------
TEXTILES, CLOTHING & FABRICS - 6.1%
Kenneth Cole Productions, Inc.*.................................6,900 192,338
Quiksilver, Inc.*..............................................12,000 312,750
St. John Knits, Inc.............................................5,300 155,025
Tarrant Apparel Group*..........................................9,000 204,750
Timberland Co. (The)*...........................................5,300 360,731
Tropical Sportswear International Corp.*........................3,100 98,813
Vans, Inc.*....................................................10,500 120,258
--------------
1,444,665
--------------
TRANSPORTATION - 0.9%
MotivePower Industries, Inc.*..................................11,850 213,300
--------------
WHOLESALE - 0.3%
U.S.A. Floral Products, Inc.*...................................9,500 71,844
--------------
TOTAL INVESTMENTS - 92.8%
(Cost $19,987,486) 22,120,268
Other Assets and Liabilities (net) -7.2% 1,709,004
--------------
TOTAL NET ASSETS - 100.0% $ 23,829,272
==============
</TABLE>
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>
COVA SERIES TRUST
LORD ABBETT GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS - 96.7%
AEROSPACE & DEFENSE - 0.6%
AlliedSignal, Inc..............................................80,000 $ 5,040,000
--------------
AUTOMOTIVE - 1.0%
Ford Motor Co.................................................160,000 9,030,000
--------------
BANKING - 8.0%
Bank One Corp.................................................300,000 17,868,750
BankAmerica Corp..............................................120,000 8,797,500
Chase Manhattan Corp..........................................200,000 17,325,000
Fleet Financial Group, Inc....................................300,000 13,312,500
Wells Fargo Co................................................320,000 13,680,000
--------------
70,983,750
--------------
BEVERAGES, FOOD & TOBACCO - 3.6%
Heinz (H.J.), Co..............................................360,000 18,045,000
Ralston-Ralston Purina Group..................................450,000 13,696,875
--------------
31,741,875
--------------
CHEMICALS - 1.0%
Rohm & Haas Co................................................210,000 9,003,750
--------------
COMMUNICATIONS - 4.4%
QUALCOMM, Inc.*...............................................160,000 22,960,000
SBC Communications Corp.......................................280,010 16,240,580
--------------
39,200,580
--------------
COMPUTER SOFTWARE & PROCESSING - 4.9%
Cadence Design Systems, Inc.*.................................600,000 7,650,000
First Data Corp...............................................400,000 19,575,000
Oracle Corp.*.................................................120,000 4,455,000
Unisys Corp. Convertible Preferred............................180,000 11,722,500
--------------
43,402,500
--------------
COMPUTERS & INFORMATION - 5.1%
International Business Machines Corp..........................200,000 25,850,000
Sun Microsystems, Inc.*.......................................280,000 19,285,000
--------------
45,135,000
--------------
CONTAINERS & PACKAGING - 1.0%
Owens-Illinois, Inc. Convertible Preferred....................200,000 8,750,000
--------------
ELECTRIC UTILITIES - 6.3%
Carolina Power & Light Co.....................................320,000 13,700,000
Duke Energy Corp..............................................300,000 16,312,500
FirstEnergy Corp..............................................430,000 13,330,000
Houston Industries, Inc. Convertible Preferred................100,000 11,925,000
--------------
55,267,500
--------------
ELECTRICAL EQUIPMENT - 1.4%
Emerson Electric Co...........................................190,000 11,946,250
--------------
ELECTRONICS - 4.5%
Honeywell, Inc................................................130,000 15,063,750
Texas Instruments, Inc........................................170,000 24,650,000
--------------
39,713,750
--------------
ENVIRONMENTAL CONTROLS - 2.3%
Waste Management, Inc.........................................380,000 20,425,000
--------------
FINANCIAL SERVICES - 3.7%
American General Corp.........................................280,000 21,105,000
Morgan Stanley, Dean Witter & Co..............................110,000 11,275,000
--------------
32,380,000
--------------
FOREST PRODUCTS & PAPER - 2.3%
International Paper Co........................................400,000 20,200,000
--------------
HEALTH CARE PROVIDERS - 0.7%
Columbia/HCA Healthcare Corp..................................260,000 5,931,250
--------------
HEAVY MACHINERY - 1.6%
Deere & Co....................................................350,000 13,868,750
--------------
INSURANCE - 7.9%
Ace Ltd.......................................................332,500 9,393,125
Aetna, Inc. Convertible Preferred.............................130,000 9,652,500
Aetna, Inc....................................................100,000 8,943,750
Allstate Corp.................................................250,000 8,968,750
Aon Corp......................................................260,000 10,725,000
Cigna Corp....................................................130,000 11,570,000
St. Paul Co...................................................330,000 10,498,125
--------------
69,751,250
--------------
MEDIA - BROADCASTING & PUBLISHING - 4.4%
CBS Corp......................................................300,000 13,031,250
Comcast Corp. Convertible Preferred............................60,000 5,197,500
Dow Jones & Co., Inc..........................................230,000 12,204,375
Gannett Co., Inc..............................................120,000 8,565,000
--------------
38,998,125
--------------
MEDICAL SUPPLIES - 1.4%
Baxter International, Inc.....................................200,000 12,125,000
--------------
METALS - 1.7%
Alcoa, Inc....................................................240,000 14,850,000
--------------
OFFICE EQUIPMENT - 1.7%
Xerox Corp....................................................250,000 14,765,625
--------------
OIL & GAS - 11.6%
Atlantic Richfield Co.........................................100,000 8,356,250
BP Amoco Plc (ADR)............................................130,000 14,105,000
Coastal Corp..................................................420,000 16,800,000
Mobil Corp....................................................250,000 24,750,000
Schlumberger Ltd..............................................120,000 7,642,500
Texaco, Inc...................................................180,000 11,250,000
Total S.A. (ADR)..............................................320,000 20,620,000
--------------
103,523,750
--------------
Pharmaceuticals - 4.3%
American Home Products Corp...................................380,000 21,850,000
Pharmacia & Upjohn, Inc.......................................280,000 15,907,500
--------------
37,757,500
--------------
RETAILERS - 1.9%
Federated Department Stores, Inc.*............................310,000 16,410,625
--------------
TELEPHONE SYSTEMS - 9.4%
Alltel Corp...................................................250,000 17,875,000
AT&T Corp.....................................................550,000 30,696,875
Bell Atlantic Corp............................................300,000 19,612,500
MCI WorldCom, Inc.*...........................................170,000 14,662,500
--------------
82,846,875
--------------
TOTAL INVESTMENTS - 96.7%
(Cost $771,614,432) 853,048,705
Other Assets and Liabilities (net) - 3.3% 29,226,689
--------------
TOTAL NET ASSETS - 100.0% $882,275,394
==============
</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
See notes to financial statements
<PAGE>
COVA SERIES TRUST
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 53.7%
Aerospace & Defense - 1.0%
Raytheon Co.....................................................1,175 $ 80,928
------------
BANKING - 4.4%
Bank One Corp...................................................1,455 86,663
Chase Manhattan Corp............................................1,080 93,555
First Union Corp................................................1,830 86,010
MBNA Corp.......................................................2,830 86,669
------------
352,897
------------
BEVERAGES, FOOD & TOBACCO - 3.1%
Pepsico, Inc....................................................2,280 88,208
Philip Morris Co., Inc..........................................2,080 83,586
Sysco Corp......................................................2,655 79,152
------------
250,946
------------
BUILDING MATERIALS - 0.9%
Masco Corp......................................................2,625 75,797
------------
CHEMICALS - 1.4%
Avery-Dennison Corp.............................................1,230 74,261
Solutia, Inc....................................................1,910 40,707
------------
114,968
------------
COMPUTER SOFTWARE & PROCESSING - 2.2%
First Data Corp.................................................1,800 88,088
Microsoft Corp..................................................1,025 92,442
------------
180,530
------------
COMPUTERS & INFORMATION - 0.4%
Compaq Computer Corp............................................1,500 35,531
------------
CONTAINERS & PACKAGING - 1.4%
Crown Cork & Seal, Inc..........................................1,240 35,340
Sealed Air Corp.*...............................................1,225 79,472
------------
114,812
------------
COSMETICS & PERSONAL CARE - 1.1%
Estee Lauder Co.................................................1,200 60,150
Gillette Co.......................................................800 32,800
------------
92,950
------------
ELECTRIC UTILITIES - 1.8%
Cinergy Corp....................................................2,460 78,720
Duke Energy Corp................................................1,300 70,688
------------
149,408
------------
ELECTRICAL EQUIPMENT - 2.1%
General Electric Co...............................................795 89,835
Grainger (W.W.), Inc............................................1,475 79,373
------------
169,208
------------
ELECTRONICS - 7.9%
Adaptec, Inc.*..................................................1,320 46,613
Altera Corp.*...................................................2,500 92,031
Analog Devices, Inc.*...........................................1,950 97,866
Applied Materials, Inc.*........................................1,255 92,713
Intel Corp......................................................1,575 93,713
KLA-Tencor Corp.*...............................................1,645 106,719
Maxim Integrated Products, Inc.*................................1,470 97,755
------------
627,410
------------
FINANCIAL SERVICES - 1.5%
Heller Financial, Inc...........................................1,515 42,136
SLM Holding Corp................................................1,813 83,058
------------
125,194
------------
FOREST PRODUCTS & PAPER - 0.5%
Mead Corp.........................................................950 39,663
------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 1.0%
Newell Rubbermaid, Inc..........................................1,810 84,165
------------
INDUSTRIAL - DIVERSIFIED - 0.6%
Illinois Tool Works, Inc..........................................550 45,100
------------
MEDIA - BROADCASTING & PUBLISHING - 1.1%
Time Warner, Inc..................................................610 44,835
Tribune Co........................................................510 44,434
------------
89,269
------------
MEDICAL SUPPLIES - 1.4%
Bard (C.R.), Inc..................................................890 42,553
Baxter International, Inc.......................................1,200 72,750
------------
115,303
------------
OFFICE EQUIPMENT - 1.2%
Hewlett-Packard Co................................................950 95,475
------------
OIL & GAS - 4.6%
Atlantic Richfield Co.............................................500 41,781
Halliburton Co..................................................1,870 84,618
Murphy Oil Corp.................................................1,640 80,053
Ocean Energy, Inc.*.............................................4,105 39,511
USX - Marathon Group............................................2,710 88,244
Vastar Resources, Inc.............................................735 38,542
------------
372,749
------------
PHARMACEUTICALS - 5.9%
Allergan, Inc.....................................................350 38,850
Bristol-Myers Squibb Co.........................................1,215 85,582
Eli Lilly & Co..................................................1,120 80,220
Merck & Co., Inc................................................1,180 87,320
Millipore Corp..................................................2,370 96,133
Schering-Plough Corp............................................1,715 90,895
------------
479,000
------------
RESTAURANTS - 0.5%
Tricon Global Restaurants, Inc.*..................................780 42,218
------------
RETAILERS - 5.4%
Consolidated Stores Corp.*......................................2,573 69,471
Dillard's, Inc..................................................2,255 79,207
Office Depot, Inc.*.............................................4,445 98,068
Tandy Corp......................................................2,000 97,750
Wal-Mart Stores, Inc............................................1,830 88,298
------------
432,794
------------
TELEPHONE SYSTEMS - 2.3%
GTE Corp........................................................1,230 93,173
U.S. WEST, Inc..................................................1,515 89,006
------------
182,179
------------
Total Common Stocks (Cost $3,582,155) $ 4,348,494
------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORPORATE DEBT - 13.0%
AUTOMOTIVE - 1.9%
$ 150,000 General Motors Acceptance Corp................................ 6.850% 06/17/04 $ 151,256
----------
BANKING - 1.8%
150,000 Household Finance Corp........................................ 6.000% 05/01/04 145,485
----------
CHEMICALS - 2.0%
150,000 Du Pont (E.I.) de Nemours and Co.............................. 8.250% 09/15/06 162,752
----------
ENTERTAINMENT & LEISURE - 1.8%
150,000 Walt Disney Co. (The)......................................... 5.250% 11/10/03 144,048
----------
FINANCIAL SERVICES - 3.6%
150,000 Associates Corp. of North America............................. 5.800% 04/20/04 144,965
150,000 Merrill Lynch & Co., Inc...................................... 6.550% 08/01/04 149,824
----------
294,789
----------
RETAILERS - 1.9%
150,000 J.C. Penney Co., Inc.......................................... 7.600% 04/01/07 152,208
----------
Total Corporate Debt (Cost $1,094,594) 1,050,538
----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 21.4%
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 10.0%
35,106 Federal Home Loan Mortgage Corp............................... 6.500% 01/01/12 34,707
34,284 Federal National Mortgage Association......................... 6.000% 03/01/11 33,156
465,806 Federal National Mortgage Association......................... 6.000% 11/01/13 450,480
82,772 Federal National Mortgage Association......................... 7.000% 02/01/16 82,426
137,327 Government National Mortgage Association...................... 6.000% 01/15/11 134,868
34,617 Government National Mortgage Association...................... 6.500% 03/15/24 33,413
37,157 Government National Mortgage Association...................... 7.000% 07/20/27 36,590
----------
805,640
----------
U.S. TREASURY SECURITIES - 11.4%
150,000 U.S. Treasury Note............................................ 6.375% 05/15/00 151,359
150,000 U.S. Treasury Note............................................ 6.375% 08/15/02 152,906
150,000 U.S. Treasury Note............................................ 7.250% 05/15/04 159,188
150,000 U.S. Treasury Note............................................ 6.625% 05/15/07 156,281
150,000 U.S. Treasury Note............................................ 6.125% 08/15/07 151,688
150,000 U.S. Treasury Note............................................ 5.625% 05/15/08 146,953
----------
918,375
----------
Total U.S. Government and Agency Obligations (Cost $1,753,885) 1,724,015
----------
TOTAL INVESTMENTS - 88.1%
(Cost $6,430,634) 7,123,047
Other Assets and Liabilities (net) -11.9% 962,761
----------
TOTAL NET ASSETS - 100.0% $ 8,085,808
===============
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>
COVA SERIES TRUST
SMALL CAP EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 93.7%
AUTOMOTIVE - 2.1%
Superior Industries International, Inc..........................2,200 $ 60,088
--------------
BANKING - 9.7%
Associated Banc-Corp..............................................746 30,959
Bank United Corp..................................................650 26,122
CCB Financial Corp................................................500 26,438
Commercial Federal Corp...........................................900 20,869
Cullen/Frost Bankers, Inc.......................................1,442 39,745
Metris Companies, Inc...........................................1,446 58,925
Sovereign Bancorp, Inc..........................................1,880 22,795
St. Paul Bancorp, Inc.............................................750 19,125
Webster Financial Corp..........................................1,200 32,550
----------------
277,528
----------------
BEVERAGES, FOOD & TOBACCO - 3.8%
Beringer Wine Estates Holdings, Inc.*.............................750 31,336
Canandaigua Wine Co., Inc.*.......................................550 28,841
Performance Food Group Co.*.......................................746 20,282
Universal Foods Corp............................................1,300 27,463
--------------
107,922
--------------
CHEMICALS - 3.6%
Hanna (M.A.) Co.................................................1,227 20,169
Minerals Technologies, Inc........................................800 44,650
OM Group, Inc...................................................1,150 39,675
--------------
104,494
--------------
COMMERCIAL SERVICES - 6.1%
Interim Services, Inc.*.........................................1,100 22,688
Iron Mountain, Inc.*............................................1,150 32,919
Lason, Inc.*....................................................1,504 74,636
Source Information Management Co. (The)*........................3,400 45,900
--------------
176,143
--------------
COMMUNICATIONS - 1.1%
Tekelec*........................................................2,700 32,906
--------------
COMPUTER SOFTWARE & PROCESSING - 9.6%
Aspen Technologies, Inc.*.......................................2,713 31,878
Cognos, Inc.*...................................................1,500 32,625
Computer Network Technology Corp.*..............................1,100 23,788
National Data Corp..............................................1,100 47,025
QuadraMed Corp.*................................................5,394 43,826
SPSS, Inc.*.....................................................1,100 28,256
Sterling Software, Inc.*..........................................747 19,936
Sungard Data Systems, Inc.*.....................................1,400 48,300
--------------
275,634
--------------
COMPUTERS & INFORMATION - 2.6%
CDW Computer Centers, Inc.*.......................................700 30,800
Zebra Technologies Corp.*.......................................1,100 42,281
--------------
73,081
--------------
CONTAINERS & PACKAGING - 1.3%
AptarGroup, Inc.................................................1,200 36,000
--------------
ELECTRICAL EQUIPMENT - 1.4%
Barnett, Inc.*..................................................1,850 13,875
Watsco, Inc.....................................................1,586 25,971
--------------
39,846
--------------
ELECTRONICS - 16.5%
Amkor Technology, Inc.*.........................................4,600 47,150
Benchmark Electronics, Inc.*....................................1,300 46,719
Burr-Brown Corp.*.................................................846 31,249
CFM Technologies, Inc.*.........................................2,506 25,060
Etec Systems, Inc.*.............................................1,413 46,982
Kulicke & Soffa Industries, Inc.*...............................3,300 88,481
Photronics, Inc.*...............................................2,374 58,163
PRI Automation, Inc.*...........................................2,192 79,460
SMART Modular Technologies, Inc.*...............................2,817 48,945
--------------
472,209
--------------
ENTERTAINMENT & LEISURE - 1.2%
Anchor Gaming*....................................................700 33,644
--------------
FINANCIAL SERVICES - 1.1%
Finova Group, Inc.................................................600 31,575
--------------
HEALTH CARE PROVIDERS - 0.8%
US Oncology, Inc.*..............................................1,900 22,800
--------------
HEAVY CONSTRUCTION - 3.8%
Rental Service Corp.*...........................................1,200 34,350
Texas Industries, Inc...........................................1,900 73,625
--------------
107,975
--------------
HEAVY MACHINERY - 1.6%
DT Industries, Inc..............................................2,550 23,428
GSI Lumonics, Inc.*.............................................6,061 23,108
--------------
46,536
--------------
HOUSEHOLD PRODUCTS - 1.1%
Blyth Industries, Inc.*...........................................900 30,938
--------------
INSURANCE - 1.1%
HCC Insurance Holdings, Inc.....................................1,400 31,763
--------------
MEDIA - BROADCASTING & PUBLISHING - 3.5%
Cox Radio, Inc.*..................................................500 27,125
Cumulus Media, Inc.*............................................1,400 30,625
Young Broadcasting, Inc.*.......................................1,010 42,988
--------------
100,738
--------------
MEDICAL SUPPLIES - 4.1%
DENTSPLY International, Inc.....................................1,800 50,400
Hanger Orthopedic Group, Inc.*..................................1,000 14,188
Maxxim Medical, Inc.*...........................................1,400 32,638
Ocular Sciences, Inc.*..........................................1,100 19,113
--------------
116,339
--------------
OIL & GAS - 3.7%
BJ Services Co.*................................................1,000 29,438
Cooper Cameron Corp.*.............................................900 33,356
Ocean Energy, Inc.*.............................................4,503 43,334
Swift Energy Co.*...................................................1 11
--------------
106,139
--------------
PHARMACEUTICALS - 4.2%
Alpharma Inc......................................................927 32,966
Serologicals Corp.*.............................................3,400 27,625
Shire Pharmaceuticals Group Plc (ADR)*..........................1,810 47,060
Zonagen, Inc.*..................................................1,300 12,025
--------------
119,676
--------------
RESTAURANTS - 0.7%
Brinker International, Inc.*......................................700 19,031
--------------
RETAILERS - 4.0%
Bombay Co., Inc. (The)*.........................................4,600 35,363
Men's Wearhouse, Inc. (The)*....................................1,700 43,350
Whitehall Jewellers, Inc.*......................................1,350 36,028
--------------
114,741
--------------
TEXTILES, CLOTHING & FABRICS - 1.1%
Kellwood Co.....................................................1,200 32,550
--------------
TRANSPORTATION - 3.9%
Eagle USA Airfreight, Inc.*.......................................900 38,194
Hub Group, Inc.*................................................1,907 42,788
USFreightways Corp................................................661 30,613
--------------
111,595
--------------
TOTAL INVESTMENTS - 93.7%
(Cost $2,369,302) 2,681,891
Other Assets and Liabilities (net) - 6.3% 181,045
--------------
TOTAL NET ASSETS - 100.0% $ 2,862,936
==============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare
or pay dividends in the 12 month period.
ADR - American Depositary Receipt
See notes to financial statements
<PAGE>
COVA SERIES TRUST
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 91.6%
AEROSPACE & DEFENSE - 2.0%
Raytheon Co.....................................................2,000 $ 137,750
--------------
BANKING - 17.7%
Bank One Corp...................................................1,900 113,169
Chase Manhattan Corp............................................1,400 121,275
Comerica, Inc...................................................1,700 101,044
First Union Corp................................................3,000 141,000
MBNA Corp.......................................................3,800 116,375
Mellon Bank Corp................................................2,800 101,850
National City Corp..............................................1,400 91,700
PNC Bank Corp...................................................1,800 103,725
Union Planters Corp.............................................2,500 111,713
U.S. Bancorp....................................................3,000 102,000
Wachovia Corp...................................................1,300 111,231
--------------
1,215,082
--------------
BEVERAGES, FOOD & TOBACCO - 6.8%
Pepsico, Inc....................................................3,800 147,013
Philip Morris Co., Inc..........................................3,300 132,619
Ralston-Ralston Purina Group....................................2,100 63,919
Sysco Corp......................................................4,200 125,213
--------------
468,764
--------------
BUILDING MATERIALS - 3.3%
Masco Corp......................................................4,600 132,825
Sherwin Williams Co.............................................3,500 97,125
--------------
229,950
--------------
COMPUTER SOFTWARE & PROCESSING - 1.8%
First Data Corp.................................................2,500 122,344
--------------
COMPUTERS & INFORMATION - 2.2%
Hewlett-Packard Co..............................................1,500 150,750
--------------
CONTAINERS & PACKAGING - 1.7%
Crown Cork & Seal, Inc..........................................4,200 119,700
--------------
ELECTRIC UTILITIES - 7.1%
Ameren Corp.....................................................2,200 84,425
Cinergy Corp....................................................2,600 83,200
Constellation Energy Group, Inc.................................2,700 79,988
Duke Energy Corp................................................1,500 81,563
New Century Energies, Inc.......................................2,300 89,269
Scana Corp......................................................2,900 67,788
--------------
486,233
--------------
ELECTRICAL EQUIPMENT - 1.9%
Grainger (W.W.), Inc............................................2,400 129,150
--------------
ELECTRONICS - 1.7%
Intel Corp......................................................2,000 119,000
--------------
FINANCIAL SERVICES - 4.6%
Federal National Mortgage Association...........................1,500 102,563
Heller Financial, Inc...........................................3,500 97,344
SLM Holding Corp................................................2,600 119,113
--------------
319,020
--------------
FOREST PRODUCTS & PAPER - 1.8%
Mead Corp.......................................................3,000 125,250
--------------
GAS COMPANIES - 2.7%
National Fuel Gas Co............................................2,000 97,000
NICOR, Inc......................................................2,400 91,350
--------------
188,350
--------------
HEALTH CARE PROVIDERS - 1.4%
Columbia/HCA Healthcare Corp....................................4,300 98,094
--------------
INDUSTRIAL - DIVERSIFIED - 1.5%
Temple Inland, Inc..............................................1,500 102,375
--------------
MEDIA - BROADCASTING & PUBLISHING - 1.8%
Tribune Co......................................................1,400 121,975
--------------
MEDICAL SUPPLIES - 3.2%
Bard (C.R.), Inc................................................2,100 100,406
Baxter International, Inc.......................................2,000 121,250
--------------
221,656
--------------
METALS - 1.7%
USX - U.S. Steel Group, Inc.....................................4,400 118,800
--------------
OIL & GAS - 11.3%
Atlantic Richfield Co.............................................700 58,494
Halliburton Co..................................................3,200 144,800
Murphy Oil Corp.................................................2,900 141,556
Ocean Energy, Inc.*............................................11,000 105,875
Phillips Petroleum Co...........................................2,500 125,781
USX - Marathon Group............................................4,500 146,531
Vastar Resources, Inc...........................................1,000 52,438
--------------
775,475
--------------
PHARMACEUTICALS - 2.6%
Merck & Co., Inc..................................................900 66,600
Pharmacia & Upjohn, Inc.........................................1,900 107,944
--------------
174,544
--------------
REAL ESTATE - 3.9%
Archstone Communities Trust (REIT)..............................3,700 81,169
Felcor Lodging Trust, Inc. (REIT)...............................3,900 80,925
Prentiss Properties Trust (REIT)................................4,500 105,750
--------------
267,844
--------------
RETAILERS - 5.0%
Consolidated Stores Corp.*......................................3,000 81,000
Dillard's, Inc..................................................3,900 136,988
May Department Stores Co. (The).................................3,000 122,625
--------------
340,613
--------------
Telephone Systems - 3.9%
GTE Corp........................................................1,800 136,350
U.S. WEST, Inc..................................................2,200 129,250
--------------
265,600
--------------
TOTAL INVESTMENTS - 91.6%
(Cost $5,745,372) $ 6,298,319
Other Assets and Liabilities (net) - 8.4% 579,880
--------------
TOTAL NET ASSETS - 100.0% $ 6,878,199
==============
</TABLE>
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
See notes to financial statements
<PAGE>
COVA SERIES TRUST
GROWTH & INCOME EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
- -------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 92.1%
AEROSPACE & DEFENSE - 1.9%
Raytheon Co.....................................................3,900 $ 268,613
--------------
BANKING - 7.4%
Bank One Corp...................................................4,340 258,501
Chase Manhattan Corp............................................3,280 284,130
First Union Corp................................................4,750 223,250
MBNA Corp.......................................................9,700 297,063
--------------
1,062,944
--------------
BEVERAGES, FOOD & TOBACCO - 5.0%
Pepsico, Inc....................................................7,380 285,514
Philip Morris Co., Inc..........................................4,480 180,040
Sysco Corp......................................................8,460 252,214
--------------
717,768
--------------
BUILDING MATERIALS - 1.9%
Masco Corp......................................................9,400 271,425
--------------
CHEMICALS - 0.7%
Solutia, Inc....................................................4,650 99,103
--------------
COMPUTER SOFTWARE & PROCESSING - 4.1%
First Data Corp.................................................5,855 286,529
Microsoft Corp..................................................3,300 297,619
--------------
584,148
--------------
COMPUTERS & INFORMATION - 3.1%
Compaq Computer Corp............................................5,900 139,756
Hewlett-Packard Co..............................................3,100 311,550
--------------
451,306
--------------
CONTAINERS & PACKAGING - 4.5%
Avery-Dennison Corp.............................................4,100 247,538
Crown Cork & Seal, Inc..........................................4,425 126,113
Sealed Air Corp.*...............................................4,300 278,963
--------------
652,614
--------------
COSMETICS & PERSONAL CARE - 1.9%
Estee Lauder Co.................................................2,800 140,350
Gillette Co.....................................................3,200 131,200
--------------
271,550
--------------
ELECTRIC UTILITIES - 1.4%
Cinergy Corp....................................................2,378 76,096
Duke Energy Corp................................................2,400 130,500
--------------
206,596
--------------
ELECTRICAL EQUIPMENT - 3.8%
General Electric Co.............................................2,375 268,375
Grainger (W.W.), Inc............................................5,230 281,439
--------------
549,814
--------------
ELECTRONICS - 10.7%
Adaptec, Inc.*..................................................4,980 175,856
Altera Corp.*...................................................7,000 257,688
Applied Materials, Inc.*........................................4,650 343,519
Intel Corp......................................................4,900 291,550
KLA-Tencor Corp.*...............................................5,000 324,375
Maxim Integrated Products, Inc.*................................2,200 146,300
--------------
1,539,288
--------------
FINANCIAL SERVICES - 2.8%
Heller Financial, Inc...........................................4,900 136,281
SLM Holding Corp................................................5,735 262,735
--------------
399,016
--------------
FOREST PRODUCTS & PAPER - 1.0%
Mead Corp.......................................................3,475 145,081
--------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 1.8%
Newell Rubbermaid, Inc..........................................5,565 258,768
--------------
INDUSTRIAL - DIVERSIFIED - 3.5%
Illinois Tool Works, Inc........................................1,800 147,600
Millipore Corp..................................................8,915 361,615
--------------
509,215
--------------
MEDIA - BROADCASTING & PUBLISHING - 2.0%
Time Warner, Inc................................................2,100 154,350
Tribune Co......................................................1,550 135,044
--------------
289,394
--------------
MEDICAL SUPPLIES - 2.7%
Bard (C.R.), Inc................................................3,220 153,956
Baxter International, Inc.......................................3,900 236,438
--------------
390,394
--------------
OIL & GAS - 8.4%
Atlantic Richfield Co...........................................1,675 139,967
Halliburton Co..................................................6,000 271,500
Murphy Oil Corp.................................................5,750 280,672
Ocean Energy, Inc.*............................................11,000 105,875
USX - Marathon Group............................................8,580 279,386
Vastar Resources, Inc...........................................2,575 135,027
--------------
1,212,427
--------------
PHARMACEUTICALS - 8.8%
Allergan Specialty Therapeutics, Inc.*..............................3 27
Allergan, Inc...................................................1,255 139,305
Bristol-Myers Squibb Co.........................................3,900 274,706
Eli Lilly & Co..................................................3,980 285,068
Merck & Co., Inc................................................3,940 291,560
Schering-Plough Corp............................................5,210 276,130
--------------
1,266,796
--------------
RESTAURANTS - 1.0%
Tricon Global Restaurants, Inc.*................................2,623 141,970
--------------
RETAILERS - 9.7%
Consolidated Stores Corp.*......................................7,381 199,287
Dillard's, Inc..................................................8,750 307,344
Office Depot, Inc.*............................................11,450 252,616
Tandy Corp......................................................6,800 332,350
Wal-Mart Stores, Inc............................................5,560 268,270
--------------
1,359,867
--------------
TELEPHONE SYSTEMS - 4.0%
GTE Corp........................................................3,960 299,970
U.S. WEST, Inc..................................................4,700 276,125
--------------
576,095
--------------
TOTAL INVESTMENTS - 92.1%
(Cost $10,925,514) 13,224,192
Other Assets and Liabilities (net) - 7.9% 1,135,161
--------------
TOTAL NET ASSETS - 100.0% $14,359,353
==============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security as this stock did not declare
or pay dividends in the 12 month period.
See notes to financial statements
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Small Cap Stock Quality Bond Select Equity
Portfolio Portfolio Portfolio
------------- -------------- ---------------
<S> <C> <C> <C>
Assets
Investments, at value (Note 1)* $ 77,489,208 $ 85,063,159 $ 240,849,997
Cash 3,774,975 16,647,569 1,659,825
Cash denominated in foreign currencies ** ----- 3,843 -----
Receivable for investments sold 771,487 1,104,581 1,713,032
Receivable for Trust shares sold ----- 10,883 45,275
Dividends receivable 68,918 ----- 191,539
Interest receivable 14,737 888,245 7,696
Net variation margin on financial futures contracts (Note 4) ----- ----- -----
Unrealized appreciation on forward currency contracts (Note 5) ----- ----- -----
Receivable from investment adviser (Note 2) ----- ----- -----
------------- -------------- ---------------
Total assets 82,119,325 103,718,280 244,467,364
------------- -------------- ---------------
Liabilities
Payables for:
Payable for investments purchased 650,607 7,664 2,072,266
Payable for delayed delivery investments ----- 7,756,497 -----
Payable for Trust shares redeemed 51,759 10,288 -----
Net variation margin on financial futures contracts (Note 4) ----- 34,125 -----
Unrealized depreciation on forward currency contracts (Note 5) ----- ----- -----
Investment advisory fee payable (Note 2) 59,992 41,371 152,122
Accrued expenses 32,971 31,850 50,052
------------- -------------- ---------------
Total liabilities 795,329 7,881,795 2,274,440
------------- -------------- ---------------
Net Assets $ 81,323,996 $ 95,836,485 $ 242,192,924
============= ============== ===============
Net Assets Represented by:
Paid in surplus $ 76,384,771 $ 95,660,932 $ 180,861,413
Accumulated net realized gain (loss) (3,436,994) (856,750) 30,418,599
Unrealized appreciation on investments, futures contracts
and foreign currency 8,023,572 (2,460,201) 29,804,871
Undistributed (distributions in excess of) net investment income 352,647 3,492,504 1,108,041
------------- -------------- ---------------
Total $ 81,323,996 $ 95,836,485 $ 242,192,924
============= ============== ===============
Capital shares outstanding 6,400,974 8,884,562 13,527,853
============= ============== ===============
Net Asset Value and Offering Price Per Share $12.705 $10.787 $17.903
============= ============== ===============
- ------------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 69,465,636 $ 87,472,507 $ 211,045,126
** Cost of cash denominated in foreign currencies ---- 1,430 -----
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
International
Large Cap Stock Equity
Portfolio Portfolio
------------------ ------------------
<S> <C> <C>
Assets
Investments, at value (Note 1)* $ 235,159,519 $ 111,373,950
Cash 5,461,637 518,953
Cash denominated in foreign currencies ** ----- 1,121,380
Receivable for investments sold 569,065 2,038,389
Receivable for Trust shares sold 23,227 52,266
Dividends receivable 256,347 252,129
Interest receivable 29,919 3,715
Net variation margin on financial futures contracts (Note 4) 106,250 -----
Unrealized appreciation on forward currency contracts (Note 5) ----- 605,873
Receivable from investment adviser (Note 2) ----- -----
------------------ ------------------
Total assets 241,605,964 115,966,655
------------------ ------------------
Liabilities
Payables for:
Payable for investments purchased 423,599 2,513,299
Payable for delayed delivery investments ----- -----
Payable for Trust shares redeemed 38 361
Net variation margin on financial futures contracts (Note 4) ----- -----
Unrealized depreciation on forward currency contracts (Note 5) ----- 216,091
Investment advisory fee payable (Note 2) 129,836 70,537
Accrued expenses 43,752 43,366
------------------ ------------------
Total liabilities 597,225 2,843,654
------------------ ------------------
Net Assets $ 241,008,739 $ 113,123,001
================== ==================
Net Assets Represented by:
Paid in surplus $ 195,528,783 $ 96,441,728
Accumulated net realized gain (loss) 17,275,804 5,291,560
Unrealized appreciation on investments, futures contracts
and foreign currency 27,025,793 10,579,236
Undistributed (distributions in excess of) net investment income 1,178,359 810,477
------------------ ------------------
Total $ 241,008,739 $ 113,123,001
================== ==================
Capital shares outstanding 11,796,442 8,323,648
================== ==================
Net Asset Value and Offering Price Per Share $20.431 $13.591
================== ==================
- ----------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 208,349,574 $ 101,157,447
** Cost of cash denominated in foreign currencies ----- 1,130,120
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Bond Mid-Cap
Debenture Value
Portfolio Portfolio
------------------ ------------------
<S> <C> <C>
Assets
Investments, at value (Note 1)* $ 154,860,624 $ 26,040,738
Cash 5,343,387 1,624,510
Cash denominated in foreign currencies ** ----- -----
Receivable for investments sold 728,697 136,619
Receivable for Trust shares sold 5,057 -----
Dividends receivable 15,394 24,206
Interest receivable 2,719,818 5,287
Net variation margin on financial futures contracts (Note 4) ----- -----
Unrealized appreciation on forward currency contracts (Note 5) ----- -----
Receivable from investment adviser (Note 2) ----- -----
------------------ ------------------
Total assets 163,672,977 27,831,360
------------------ ------------------
Liabilities
Payables for:
Payable for investments purchased 342,500 628,680
Payable for delayed delivery investments ----- -----
Payable for Trust shares redeemed 418 2,963
Net variation margin on financial futures contracts (Note 4) ----- -----
Unrealized depreciation on forward currency contracts (Note 5) ----- -----
Investment advisory fee payable (Note 2) 101,531 16,829
Accrued expenses 26,649 21,524
------------------ ------------------
Total liabilities 471,098 669,996
------------------ ------------------
Net Assets $ 163,201,879 $ 27,161,364
================== ==================
Net Assets Represented by:
Paid in surplus $ 158,027,313 $ 24,130,574
Accumulated net realized gain (loss) 1,296,704 410,116
Unrealized appreciation on investments, futures contracts
and foreign currency (4,747,479) 2,529,646
Undistributed (distributions in excess of) net investment income 8,625,341 91,028
------------------ ------------------
Total $ 163,201,879 $ 27,161,364
================== ==================
Capital shares outstanding 13,052,273 2,301,369
================== ==================
Net Asset Value and Offering Price Per Share $12.504 $11.802
================== ==================
- ----------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 159,608,103 $ 23,511,092
** Cost of cash denominated in foreign currencies ----- ----
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Large Cap Developing Lord Abbett
Research Growth Growth & Income
Portfolio Portfolio Portfolio
--------------- ---------------- ---------------
<S> <C> <C> <C>
Assets
Investments, at value (Note 1)* $ 23,970,106 $ 22,120,268 $ 853,048,705
Cash 1,968,541 1,724,796 31,026,803
Cash denominated in foreign currencies ** ----- ----- -----
Receivable for investments sold 404,071 ----- -----
Receivable for Trust shares sold 26,844 20,008 -----
Dividends receivable 25,531 588 1,231,490
Interest receivable 4,633 5,215 115,268
Net variation margin on financial futures contracts (Note 4) ----- ----- -----
Unrealized appreciation on forward currency contracts (Note 5) ----- ----- -----
Receivable from investment adviser (Note 2) ----- ----- -----
--------------- ---------------- ---------------
Total assets 26,399,726 23,870,875 885,422,266
--------------- ---------------- ---------------
Liabilities
Payables for:
Payable for investments purchased 952,645 13,381 321,933
Payable for delayed delivery investments ----- ----- -----
Payable for Trust shares redeemed 86 103 2,210,687
Net variation margin on financial futures contracts (Note 4) ----- ----- -----
Unrealized depreciation on forward currency contracts (Note 5) ----- ----- -----
Investment advisory fee payable (Note 2) 18,073 13,578 507,368
Accrued expenses 14,015 14,541 106,884
--------------- ---------------- ---------------
Total liabilities 984,819 41,603 3,146,872
--------------- ---------------- ---------------
Net Assets $ 25,414,907 $ 23,829,272 $ 882,275,394
=============== ================ ===============
Net Assets Represented by:
Paid in surplus $ 21,495,572 $ 19,856,926 $ 804,697,880
Accumulated net realized gain (loss) 185,889 1,908,388 (8,836,117)
Unrealized appreciation on investments, futures contracts
and foreign currency 3,640,450 2,132,782 81,434,273
Undistributed (distributions in excess of) net investment income 92,996 (68,824) 4,979,358
--------------- ---------------- ---------------
Total $ 25,414,907 $ 23,829,272 $ 882,275,394
=============== ================ ===============
Capital shares outstanding 1,872,760 1,831,248 37,255,014
=============== ================ ===============
Net Asset Value and Offering Price Per Share $13.571 $13.013 $23.682
=============== ================ ===============
- --------------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 20,329,656 $ 19,987,486 $ 771,614,432
** Cost of cash denominated in foreign currencies ---- ---- ----
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Small Cap
Balanced Equity
Portfolio Portfolio
------------------- -------------------
<S> <C> <C>
Assets
Investments, at value (Note 1)* $ 7,123,047 $ 2,681,891
Cash 931,160 180,029
Cash denominated in foreign currencies ** ----- -----
Receivable for investments sold ----- 11,501
Receivable for Trust shares sold ----- -----
Dividends receivable 4,615 726
Interest receivable 41,973 1,803
Net variation margin on financial futures contracts (Note 4) ----- -----
Unrealized appreciation on forward currency contracts (Note 5) ----- -----
Receivable from investment adviser (Note 2) 14 4,476
------------------- -------------------
Total assets 8,100,809 2,880,426
------------------- -------------------
Liabilities
Payables for:
Payable for investments purchased ----- 2,744
Payable for delayed delivery investments ----- -----
Payable for Trust shares redeemed 284 80
Net variation margin on financial futures contracts (Note 4) ----- -----
Unrealized depreciation on forward currency contracts (Note 5) ----- -----
Investment advisory fee payable (Note 2) ----- -----
Accrued expenses 14,717 14,666
------------------- -------------------
Total liabilities 15,001 17,490
------------------- -------------------
Net Assets $ 8,085,808 $ 2,862,936
=================== ===================
Net Assets Represented by:
Paid in surplus $ 7,294,426 $ 2,636,814
Accumulated net realized gain (loss) 18,180 (82,449)
Unrealized appreciation on investments, futures contracts
and foreign currency 692,413 312,589
Undistributed (distributions in excess of) net investment income 80,789 (4,018)
------------------- -------------------
Total $ 8,085,808 $ 2,862,936
=================== ===================
Capital shares outstanding 661,019 264,851
=================== ===================
Net Asset Value and Offering Price Per Share $12.232 $10.810
=================== ===================
- -----------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 6,430,634 $ 2,369,302
** Cost of cash denominated in foreign currencies ---- ----
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Growth & Income
Equity Income Equity
Portfolio Portfolio
------------------- ------------------
<S> <C> <C>
Assets
Investments, at value (Note 1)* $ 6,298,319 $ 13,224,192
Cash 572,689 1,135,831
Cash denominated in foreign currencies ** ----- -----
Receivable for investments sold ----- -----
Receivable for Trust shares sold ----- -----
Dividends receivable 13,741 14,975
Interest receivable 5,866 3,752
Net variation margin on financial futures contracts (Note 4) ----- -----
Unrealized appreciation on forward currency contracts (Note 5) ----- -----
Receivable from investment adviser (Note 2) 675 -----
------------------- ------------------
Total assets 6,891,290 14,378,750
------------------- ------------------
Liabilities
Payables for:
Payable for investments purchased ----- -----
Payable for delayed delivery investments ----- -----
Payable for Trust shares redeemed 240 511
Net variation margin on financial futures contracts (Note 4) ----- -----
Unrealized depreciation on forward currency contracts (Note 5) ----- -----
Investment advisory fee payable (Note 2) ----- 5,476
Accrued expenses 12,851 13,410
------------------- ------------------
Total liabilities 13,091 19,397
------------------- ------------------
Net Assets $ 6,878,199 $ 14,359,353
=================== ==================
Net Assets Represented by:
Paid in surplus $ 6,010,766 $ 12,000,337
Accumulated net realized gain (loss) 263,181 27,425
Unrealized appreciation on investments, futures contracts
and foreign currency 552,947 2,298,678
Undistributed (distributions in excess of) net investment income 51,305 32,913
------------------- ------------------
Total $ 6,878,199 $ 14,359,353
=================== ==================
Capital shares outstanding 531,976 1,051,196
=================== ==================
Net Asset Value and Offering Price Per Share $12.930 $13.660
=================== ==================
- --------------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 5,745,372 $ 10,925,514
** Cost of cash denominated in foreign currencies ---- ----
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
For Six Months Ended June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Small Cap Stock Quality Bond Select Equity
Portfolio Portfolio Portfolio
---------------- --------------- ---------------
<S> <C> <C> <C>
Investment Income
Dividends (1) $ 401,440 $ ----- $ 1,316,820
Interest 86,502 2,735,019 58,966
---------------- --------------- ---------------
Total investment income 487,942 2,735,019 1,375,786
---------------- --------------- ---------------
Expenses
Investment advisory fee (Note 2) 319,343 242,816 721,735
Custody, fund accounting, administration, and transfer agent fees 76,091 56,391 98,410
Audit 6,289 6,289 6,290
Trustee fees and expenses 2,239 2,239 2,239
Legal 1,984 1,984 1,984
Shareholder reporting 13,982 11,185 21,144
---------------- --------------- ---------------
Total expenses 419,928 320,904 851,802
Less fees waived and expenses reimbursed by the adviser 32,598 32,688 412
---------------- --------------- ---------------
Net expenses 387,330 288,216 851,390
---------------- --------------- ---------------
Net investment income 100,612 2,446,803 524,396
---------------- --------------- ---------------
Net Realized and Unrealized Gain (Loss) on Investments,
Futures Contracts and Foreign Currency Related
Transactions
Net realized gain (loss) on investments 566,833 (1,423,713) 11,933,405
Net realized gain (loss) on futures contracts ----- 67,036 -----
Net realized gain (loss) on foreign currency related transactions ----- (9,110) -----
Net realized gain (loss) on investments, futures contracts
and foreign currency related transactions ---------------- --------------- ---------------
566,833 (1,365,787) 11,933,405
---------------- --------------- ---------------
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency
Beginning of period 4,089,235 451,018 18,157,304
End of period 8,023,572 (2,460,201) 29,804,871
---------------- --------------- ---------------
Net change in unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency 3,934,337 (2,911,219) 11,647,567
---------------- --------------- ---------------
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency related transactions 4,501,170 (4,277,006) 23,580,972
---------------- --------------- ---------------
Net Increase (Decrease) in Net Assets Resulting
from Operations $ 4,601,782 $ (1,830,203) $ 24,105,368
================ =============== ===============
- ------------------------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withhholding taxes of: $ 1,650 $ ----- $ 4,911
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
For Six Months Ended June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Large Cap International
Stock Equity
Portfolio Portfolio
---------------- ---------------
<S> <C> <C>
Investment Income
Dividends (1) $ 1,495,313 $ 1,165,626
Interest 150,485 5,850
---------------- ---------------
Total investment income 1,645,798 1,171,476
---------------- ---------------
Expenses
Investment advisory fee (Note 2) 679,861 425,931
Custody, fund accounting, administration, and transfer agent fees 104,687 133,283
Audit 6,289 6,289
Trustee fees and expenses 2,239 2,239
Legal 1,984 1,984
Shareholder reporting 18,840 16,596
---------------- ---------------
Total expenses 813,900 586,322
Less fees waived and expenses reimbursed by the adviser 30,286 55,853
---------------- ---------------
Net expenses 783,614 530,469
---------------- ---------------
Net investment income 862,184 641,007
---------------- ---------------
Net Realized and Unrealized Gain (Loss) on Investments,
Futures Contracts and Foreign Currency Related
Transactions
Net realized gain (loss) on investments 10,235,684 4,016,138
Net realized gain (loss) on futures contracts 385,422 -----
Net realized gain (loss) on foreign currency related transactions ----- (70,083)
Net realized gain (loss) on investments, futures contracts
and foreign currency related transactions ---------------- ---------------
10,621,106 3,946,055
---------------- ---------------
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency
Beginning of period 16,345,829 9,106,756
End of period 27,025,793 10,579,236
---------------- ---------------
Net change in unrealized appreciation (depreciation) on
investments, futures contracts and foreign currency 10,679,964 1,472,480
---------------- ---------------
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency related transactions 21,301,070 5,418,535
---------------- ---------------
Net Increase (Decrease) in Net Assets Resulting
from Operations $ 22,163,254 $ 6,059,542
================ ===============
- ----------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withhholding taxes of: $ 30,746 $ 118,976
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
For Six Months Ended June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Bond Mid-Cap
Debenture Value
Portfolio Portfolio
---------------- ---------------
<S> <C> <C>
Investment Income
Dividends (1) $ 273,062 $ 149,734
Interest 5,788,264 34,978
---------------- ---------------
Total investment income 6,061,326 184,712
---------------- ---------------
Expenses
Investment advisory fee (Note 2) 583,148 107,945
Custody, fund accounting, administration, and transfer agent fees 73,534 39,090
Audit 6,289 6,243
Trustee fees and expenses 2,239 2,239
Legal 1,984 1,984
Shareholder reporting 17,118 5,343
---------------- ---------------
Total expenses 684,312 162,844
Less fees waived and expenses reimbursed by the adviser 23,965 35,597
---------------- ---------------
Net expenses 660,347 127,247
---------------- ---------------
Net investment income 5,400,979 57,465
---------------- ---------------
Net Realized and Unrealized Gain (Loss) on Investments,
Futures Contracts and Foreign Currency Related
Transactions
Net realized gain (loss) on investments 265,898 636,089
Net realized gain (loss) on futures contracts ----- -----
Net realized gain (loss) on foreign currency related transactions ----- -----
Net realized gain (loss) on investments, futures contracts
and foreign currency related transactions ---------------- ---------------
265,898 636,089
---------------- ---------------
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency
Beginning of period (371,612) 384,795
End of period (4,747,479) 2,529,646
---------------- ---------------
Net change in unrealized appreciation (depreciation) on
investments, futures contracts and foreign currency (4,375,867) 2,144,851
---------------- ---------------
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency related transactions (4,109,969) 2,780,940
---------------- ---------------
Net Increase (Decrease) in Net Assets Resulting
from Operations $ 1,291,010 $ 2,838,405
================ ===============
- ----------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withhholding taxes of: $ ----- $ 390
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
For Six Months Ended June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Large Cap Developing Lord Abbett
Research Growth Growth & Income
Portfolio Portfolio Portfolio
--------------- --------------- ---------------
<S> <C> <C> <C>
Investment Income
Dividends (1) $ 134,511 $ 14,460 $ 6,997,761
Interest 29,181 19,791 730,032
--------------- --------------- ---------------
Total investment income 163,692 34,251 7,727,793
--------------- --------------- ---------------
Expenses
Investment advisory fee (Note 2) 96,344 86,142 2,514,162
Custody, fund accounting, administration, and transfer agent fees 31,420 30,457 178,123
Audit 6,290 6,290 7,051
Trustee fees and expenses 2,239 2,238 2,579
Legal 1,984 1,984 1,938
Shareholder reporting 3,620 4,097 44,582
--------------- --------------- ---------------
Total expenses 141,897 131,208 2,748,435
Less fees waived and expenses reimbursed by the adviser 28,030 28,133 -----
--------------- --------------- ---------------
Net expenses 113,867 103,075 2,748,435
--------------- --------------- ---------------
Net investment income 49,825 (68,824) 4,979,358
--------------- --------------- ---------------
Net Realized and Unrealized Gain (Loss) on Investments,
Futures Contracts and Foreign Currency Related
Transactions
Net realized gain (loss) on investments 316,971 2,303,925 (8,836,117)
Net realized gain (loss) on futures contracts ----- ----- -----
Net realized gain (loss) on foreign currency related transactions ----- ----- -----
Net realized gain (loss) on investments, futures contracts
and foreign currency related transactions --------------- --------------- ---------------
316,971 2,303,925 (8,836,117)
--------------- --------------- ---------------
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency
Beginning of period 1,468,700 1,397,844 -----
End of period 3,640,450 2,132,782 81,434,273
--------------- --------------- ---------------
Net change in unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency 2,171,750 734,938 81,434,273
--------------- --------------- ---------------
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency related transactions 2,488,721 3,038,863 72,598,156
--------------- --------------- ---------------
Net Increase (Decrease) in Net Assets Resulting
from Operations $ 2,538,546 $ 2,970,039 $ 77,577,514
=============== =============== ===============
- ----------------------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withhholding taxes of: $ ----- $ ----- $ 8,710
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
For Six Months Ended June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Small Cap
Balanced Equity
Portfolio Portfolio
---------------- ---------------
<S> <C> <C>
Investment Income
Dividends (1) $ 23,243 $ 5,446
Interest 89,912 3,974
---------------- ---------------
Total investment income 113,155 9,420
---------------- ---------------
Expenses
Investment advisory fee (Note 2) 29,755 12,217
Custody, fund accounting, administration, and transfer agent fees 28,518 28,724
Audit 6,290 6,290
Trustee fees and expenses 2,239 2,239
Legal 1,984 1,984
Shareholder reporting 1,402 983
---------------- ---------------
Total expenses 70,188 52,437
Less fees waived and expenses reimbursed by the adviser 37,457 38,999
---------------- ---------------
Net expenses 32,731 13,438
---------------- ---------------
Net investment income 80,424 (4,018)
---------------- ---------------
Net Realized and Unrealized Gain (Loss) on Investments,
Futures Contracts and Foreign Currency Related
Transactions
Net realized gain (loss) on investments 6,130 (28,915)
Net realized gain (loss) on futures contracts ----- -----
Net realized gain (loss) on foreign currency related transactions ----- -----
Net realized gain (loss) on investments, futures contracts
and foreign currency related transactions ---------------- ---------------
6,130 (28,915)
---------------- ---------------
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency
Beginning of period 302,837 104,832
End of period 692,413 312,589
---------------- ---------------
Net change in unrealized appreciation (depreciation) on
investments, futures contracts and foreign currency 389,576 207,757
---------------- ---------------
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency related transactions 395,706 178,842
---------------- ---------------
Net Increase (Decrease) in Net Assets Resulting
from Operations $ 476,130 $ 174,824
================ ===============
- --------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withhholding taxes of: $ ----- $ -----
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
For Six Months Ended June 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Equity Growth & Income
Income Equity
Portfolio Portfolio
---------------- ---------------
<S> <C> <C>
Investment Income
Dividends (1) $ 66,836 $ 74,881
Interest 15,031 19,336
---------------- ---------------
Total investment income 81,867 94,217
---------------- ---------------
Expenses
Investment advisory fee (Note 2) 27,783 55,731
Custody, fund accounting, administration, and transfer agent fees 27,029 28,382
Audit 6,290 6,290
Trustee fees and expenses 2,239 2,239
Legal 1,984 1,984
Shareholder reporting 1,389 1,785
---------------- ---------------
Total expenses 66,714 96,411
Less fees waived and expenses reimbursed by the adviser 36,152 35,107
---------------- ---------------
Net expenses 30,562 61,304
---------------- ---------------
Net investment income 51,305 32,913
---------------- ---------------
Net Realized and Unrealized Gain (Loss) on Investments,
Futures Contracts and Foreign Currency Related
Transactions
Net realized gain (loss) on investments 177,050 (75,873)
Net realized gain (loss) on futures contracts ----- -----
Net realized gain (loss) on foreign currency related transactions ----- -----
Net realized gain (loss) on investments, futures contracts
and foreign currency related transactions ---------------- ---------------
177,050 (75,873)
---------------- ---------------
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency
Beginning of period 147,788 670,606
End of period 552,947 2,298,678
---------------- ---------------
Net change in unrealized appreciation (depreciation) on
investments, futures contracts and foreign currency 405,159 1,628,072
---------------- ---------------
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency related transactions 582,209 1,552,199
---------------- ---------------
Net Increase (Decrease) in Net Assets Resulting
from Operations $ 633,514 $ 1,585,112
================ ===============
- --------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withhholding taxes of: $ ----- $ -----
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Small Cap Stock
Portfolio
-------------------------------------------
Six months ended Year ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 100,612 $ 317,239
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 566,833 (3,831,239)
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 3,934,337 (966,387)
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 4,601,782 (4,480,387)
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- (96,253)
Net realized gains ---- (2,461,868)
------------------ ------------------
Total distributions ---- (2,558,121)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 3,235,944 26,987,297
Net asset value of shares issued through dividend reinvestment ---- 2,558,121
Cost of shares repurchased (4,675,038) (4,102,670)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions (1,439,094) 25,442,748
------------------ ------------------
Total increase (decrease) in net assets 3,162,688 18,404,240
Net Assets:
Beginning of period 78,161,308 59,757,068
------------------ ------------------
End of period $ 81,323,996 $ 78,161,308
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 352,647 $ 252,035
================== ==================
Capital Share Transactions:
Beginning shares 6,523,058 4,559,948
------------------ ------------------
Shares sold 277,693 2,121,662
Shares issued through dividend reinvestment ---- 194,906
Shares repurchased (399,777) (353,458)
------------------ ------------------
Net increase (decrease) in shares outstanding (122,084) 1,963,110
------------------ ------------------
Ending shares 6,400,974 6,523,058
================== ==================
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Quality Bond
Portfolio
----------------------------------------
Six months ended Year ended
June 30, 1999 December 31,
(Unaudited) 1998
----------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 2,446,803 $ 1,680,139
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions (1,365,787) 530,948
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions (2,911,219) 106,028
------------------ -------------------
Net increase (decrease) in net assets resulting from operations (1,830,203) 2,317,115
------------------ -------------------
Distributions to Shareholders from:
Net investment income ---- (643,157)
Net realized gains ---- -----
------------------ -------------------
Total distributions ---- (643,157)
------------------ -------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 60,702,195 26,526,504
Net asset value of shares issued through dividend reinvestment ---- 643,157
Cost of shares repurchased (8,847,558) (1,659,034)
------------------ -------------------
Net increase (decrease) in net assets from capital share transactions 51,854,637 25,510,627
------------------ -------------------
Total increase (decrease) in net assets 50,024,434 27,184,585
Net Assets:
Beginning of period 45,812,051 18,627,466
------------------ -------------------
End of period $ 95,836,485 $ 45,812,051
================== ===================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 3,492,504 $ 1,045,701
================== ===================
Capital Share Transactions:
Beginning shares 4,157,310 1,790,249
------------------ -------------------
Shares sold 5,540,465 2,461,040
Shares issued through dividend reinvestment ---- 60,846
Shares repurchased (813,213) (154,825)
------------------ -------------------
Net increase (decrease) in shares outstanding 4,727,252 2,367,061
------------------ -------------------
Ending shares 8,884,562 4,157,310
================== ===================
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Select Equity
Portfolio
-------------------------------------------
Six months ended Year ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 524,396 $ 1,016,876
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 11,933,405 18,543,240
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 11,647,567 12,359,297
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 24,105,368 31,919,413
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- (455,252)
Net realized gains ---- (9,083,861)
------------------ ------------------
Total distributions ---- (9,539,113)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 21,659,300 61,596,707
Net asset value of shares issued through dividend reinvestment ---- 9,539,113
Cost of shares repurchased (1,339,927) (2,678,812)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions 20,319,373 68,457,008
------------------ ------------------
Total increase (decrease) in net assets 44,424,741 90,837,308
Net Assets:
Beginning of period 197,768,183 106,930,875
------------------ ------------------
End of period $ 242,192,924 $ 197,768,183
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 1,108,041 $ 583,645
================== ==================
Capital Share Transactions:
Beginning shares 12,301,851 7,656,774
------------------ ------------------
Shares sold 1,305,654 4,185,304
Shares issued through dividend reinvestment ---- 641,497
Shares repurchased (79,652) (181,724)
------------------ ------------------
Net increase (decrease) in shares outstanding 1,226,002 4,645,077
------------------ ------------------
Ending shares 13,527,853 12,301,851
================== ==================
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Large Cap Stock
Portfolio
-------------------------------------------
Six months ended Year ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 862,184 $ 479,549
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 10,621,106 6,665,787
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 10,679,964 11,617,524
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 22,163,254 18,762,860
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- (163,389)
Net realized gains ---- (537,969)
------------------ ------------------
Total distributions ---- (701,358)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 134,650,212 54,597,695
Net asset value of shares issued through dividend reinvestment ---- 701,358
Cost of shares repurchased (19,565,970) (1,855,401)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions 115,084,242 53,443,652
------------------ ------------------
Total increase (decrease) in net assets 137,247,496 71,505,154
Net Assets:
Beginning of period 103,761,243 32,256,089
------------------ ------------------
End of period $ 241,008,739 $ 103,761,243
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 1,178,359 $ 316,175
================== ==================
Capital Share Transactions:
Beginning shares 5,727,886 2,329,781
------------------ ------------------
Shares sold 7,137,833 3,472,771
Shares issued through dividend reinvestment ---- 42,928
Shares repurchased (1,069,277) (117,594)
------------------ ------------------
Net increase (decrease) in shares outstanding 6,068,556 3,398,105
------------------ ------------------
Ending shares 11,796,442 5,727,886
================== ==================
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
International Equity
Portfolio
-------------------------------------------
Six months ended Year ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 641,007 $ 874,030
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 3,946,055 2,053,712
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 1,472,480 7,821,050
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 6,059,542 10,748,792
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- (1,590,564)
Net realized gains ---- (20,171)
------------------ ------------------
Total distributions ---- (1,610,735)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 6,608,752 30,533,316
Net asset value of shares issued through dividend reinvestment ---- 1,610,735
Cost of shares repurchased (4,020,589) (5,575,851)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions 2,588,163 26,568,200
------------------ ------------------
Total increase (decrease) in net assets 8,647,705 35,706,257
Net Assets:
Beginning of period 104,475,296 68,769,039
------------------ ------------------
End of period $ 113,123,001 $ 104,475,296
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 810,477 $ 169,470
================== ==================
Capital Share Transactions:
Beginning shares 8,125,765 5,994,704
------------------ ------------------
Shares sold 505,586 2,462,998
Shares issued through dividend reinvestment ---- 125,855
Shares repurchased (307,703) (457,792)
------------------ ------------------
Net increase (decrease) in shares outstanding 197,883 2,131,061
------------------ ------------------
Ending shares 8,323,648 8,125,765
================== ==================
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Bond Debenture
Portfolio
-------------------------------------------
Six months ended Year ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 5,400,979 $ 5,679,014
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 265,898 1,031,304
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions (4,375,867) (1,585,315)
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 1,291,010 5,125,003
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- (2,455,079)
Net realized gains ---- (954,738)
------------------ ------------------
Total distributions ---- (3,409,817)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 45,427,951 69,629,076
Net asset value of shares issued through dividend reinvestment ---- 3,409,817
Cost of shares repurchased (3,519,587) (10,163,753)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions 41,908,364 62,875,140
------------------ ------------------
Total increase (decrease) in net assets 43,199,374 64,590,326
Net Assets:
Beginning of period 120,002,505 55,412,179
------------------ ------------------
End of period $ 163,201,879 $ 120,002,505
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 8,625,341 $ 3,224,362
================== ==================
Capital Share Transactions:
Beginning shares 9,692,597 4,574,812
------------------ ------------------
Shares sold 3,641,483 5,684,070
Shares issued through dividend reinvestment ---- 277,516
Shares repurchased (281,807) (843,801)
------------------ ------------------
Net increase (decrease) in shares outstanding 3,359,676 5,117,785
------------------ ------------------
Ending shares 13,052,273 9,692,597
================== ==================
* Fund commenced operations on January 8, 1999.
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Mid-Cap Value
Portfolio
-------------------------------------------
Six months ended Period ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 57,465 $ 40,234
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 636,089 (225,973)
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 2,144,851 337,809
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 2,838,405 152,070
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- (14,075)
Net realized gains ---- -----
------------------ ------------------
Total distributions ---- (14,075)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 6,286,492 16,144,764
Net asset value of shares issued through dividend reinvestment ---- 14,075
Cost of shares repurchased (284,092) (205,183)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions 6,002,400 15,953,656
------------------ ------------------
Total increase (decrease) in net assets 8,840,805 16,091,651
Net Assets:
Beginning of period 18,320,559 2,228,908
------------------ ------------------
End of period $ 27,161,364 $ 18,320,559
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 91,028 $ 33,563
================== ==================
Capital Share Transactions:
Beginning shares 1,731,193 212,659
------------------ ------------------
Shares sold 597,243 1,537,405
Shares issued through dividend reinvestment ---- 1,252
Shares repurchased (27,067) (20,123)
------------------ ------------------
Net increase (decrease) in shares outstanding 570,176 1,518,534
------------------ ------------------
Ending shares 2,301,369 1,731,193
================== ==================
* Fund commenced operations on January 8, 1999.
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Large Cap Research
Portfolio
-------------------------------------------
Six months ended Period ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 49,825 $ 58,972
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 316,971 (130,449)
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 2,171,750 1,462,116
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 2,538,546 1,390,639
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- (15,994)
Net realized gains ---- -----
------------------ ------------------
Total distributions ---- (15,994)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 9,067,856 11,287,023
Net asset value of shares issued through dividend reinvestment ---- 15,994
Cost of shares repurchased (57,386) (164,781)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions 9,010,470 11,138,236
------------------ ------------------
Total increase (decrease) in net assets 11,549,016 12,512,881
Net Assets:
Beginning of period 13,865,891 1,353,010
------------------ ------------------
End of period $ 25,414,907 $ 13,865,891
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 92,996 $ 43,171
================== ==================
Capital Share Transactions:
Beginning shares 1,158,927 136,592
------------------ ------------------
Shares sold 718,356 1,036,127
Shares issued through dividend reinvestment ---- 1,409
Shares repurchased (4,523) (15,201)
------------------ ------------------
Net increase (decrease) in shares outstanding 713,833 1,022,335
------------------ ------------------
Ending shares 1,872,760 1,158,927
================== ==================
* Fund commenced operations on January 8, 1999.
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Developing Growth
Portfolio
-------------------------------------------
Six months ended Period ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ (68,824) $ (35,670)
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 2,303,925 (395,538)
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 734,938 1,389,339
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 2,970,039 958,131
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- -----
Net realized gains ---- (4,573)
------------------ ------------------
Total distributions ---- (4,573)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 5,361,945 13,397,485
Net asset value of shares issued through dividend reinvestment ---- 4,573
Cost of shares repurchased (393,177) (199,301)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions 4,968,768 13,202,757
------------------ ------------------
Total increase (decrease) in net assets 7,938,807 14,156,315
Net Assets:
Beginning of period 15,890,465 1,734,150
------------------ ------------------
End of period $ 23,829,272 $ 15,890,465
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ (68,824) $ -----
================== ==================
Capital Share Transactions:
Beginning shares 1,413,656 164,390
------------------ ------------------
Shares sold 450,229 1,268,600
Shares issued through dividend reinvestment ---- 408
Shares repurchased (32,637) (19,742)
------------------ ------------------
Net increase (decrease) in shares outstanding 417,592 1,249,266
------------------ ------------------
Ending shares 1,831,248 1,413,656
================== ==================
* Fund commenced operations on January 8, 1999.
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Lord Abbett
Growth & Income
Portfolio*
-------------------
Six months ended
June 30, 1999
(Unaudited)
-------------------
<S> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 4,979,358
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions (8,836,117)
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 81,434,273
-------------------
Net increase (decrease) in net assets resulting from operations 77,577,514
-------------------
Distributions to Shareholders from:
Net investment income ----
Net realized gains ----
-------------------
Total distributions ----
-------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 818,438,689
Net asset value of shares issued through dividend reinvestment ----
Cost of shares repurchased (13,740,809)
-------------------
Net increase (decrease) in net assets from capital share transactions 804,697,880
-------------------
Total increase (decrease) in net assets 882,275,394
Net Assets:
Beginning of period ----
-------------------
End of period $ 882,275,394
===================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 4,979,358
===================
Capital Share Transactions:
Beginning shares ----
-------------------
Shares sold 37,875,935
Shares issued through dividend reinvestment ----
Shares repurchased (620,921)
-------------------
Net increase (decrease) in shares outstanding 37,255,014
-------------------
Ending shares 37,255,014
===================
* Fund commenced operations on January 8, 1999.
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Balanced
Portfolio
----------------------------------------
Six months ended Period ended
June 30, 1999 December 31,
(Unaudited) 1998
----------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 80,424 $ 69,008
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 6,130 73,015
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 389,576 257,913
------------------ -------------------
Net increase (decrease) in net assets resulting from operations 476,130 399,936
------------------ -------------------
Distributions to Shareholders from:
Net investment income ---- (68,643)
Net realized gains ---- (56,389)
------------------ -------------------
Total distributions ---- (125,032)
------------------ -------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 3,063,039 2,741,532
Net asset value of shares issued through dividend reinvestment ---- 125,032
Cost of shares repurchased (26,119) (29,760)
------------------ -------------------
Net increase (decrease) in net assets from capital share transactions 3,036,920 2,836,804
------------------ -------------------
Total increase (decrease) in net assets 3,513,050 3,111,708
Net Assets:
Beginning of period 4,572,758 1,461,050
------------------ -------------------
End of period $ 8,085,808 $ 4,572,758
================== ===================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 80,789 $ 365
================== ===================
Capital Share Transactions:
Beginning shares 401,205 140,640
------------------ -------------------
Shares sold 262,094 252,322
Shares issued through dividend reinvestment ---- 11,070
Shares repurchased (2,280) (2,827)
------------------ -------------------
Net increase (decrease) in shares outstanding 259,814 260,565
------------------ -------------------
Ending shares 661,019 401,205
================== ===================
* Fund commenced operations on January 8, 1999.
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Small Cap Equity
Portfolio
-------------------------------------------
Six months ended Period ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ (4,018) $ (3,376)
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions (28,915) (52,446)
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 207,757 102,233
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 174,824 46,411
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- -----
Net realized gains ---- (35,585)
------------------ ------------------
Total distributions ---- (35,585)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 403,165 1,043,728
Net asset value of shares issued through dividend reinvestment ---- 35,585
Cost of shares repurchased (87,364) (38,773)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions 315,801 1,040,540
------------------ ------------------
Total increase (decrease) in net assets 490,625 1,051,366
Net Assets:
Beginning of period 2,372,311 1,320,945
------------------ ------------------
End of period $ 2,862,936 $ 2,372,311
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ (4,018) $ ------
================== ==================
Capital Share Transactions:
Beginning shares 233,159 126,779
------------------ ------------------
Shares sold 40,543 107,029
Shares issued through dividend reinvestment ---- 3,359
Shares repurchased (8,851) (4,008)
------------------ ------------------
Net increase (decrease) in shares outstanding 31,692 106,380
------------------ ------------------
Ending shares 264,851 233,159
================== ==================
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Equity Income
Portfolio
-------------------------------------------
Six months ended Period ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 51,305 $ 54,047
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 177,050 192,938
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 405,159 25,037
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 633,514 272,022
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- (54,210)
Net realized gains ---- (109,174)
------------------ ------------------
Total distributions ---- (163,384)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 1,616,033 2,814,364
Net asset value of shares issued through dividend reinvestment ---- 163,384
Cost of shares repurchased (66,485) (74,560)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions 1,549,548 2,903,188
------------------ ------------------
Total increase (decrease) in net assets 2,183,062 3,011,826
Net Assets:
Beginning of period 4,695,137 1,683,311
------------------ ------------------
End of period $ 6,878,199 $ 4,695,137
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 51,305 $ ------
================== ==================
Capital Share Transactions:
Beginning shares 403,852 152,372
------------------ ------------------
Shares sold 133,647 244,072
Shares issued through dividend reinvestment ---- 14,080
Shares repurchased (5,523) (6,672)
------------------ ------------------
Net increase (decrease) in shares outstanding 128,124 251,480
------------------ ------------------
Ending shares 531,976 403,852
================== ==================
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Growth & Income Equity
Portfolio
-------------------------------------------
Six months ended Period ended
June 30, 1999 December 31,
(Unaudited) 1998
-------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss) $ 32,913 $ 34,637
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions (75,873) 299,371
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 1,628,072 571,684
------------------ ------------------
Net increase (decrease) in net assets resulting from operations 1,585,112 905,692
------------------ ------------------
Distributions to Shareholders from:
Net investment income ---- (35,035)
Net realized gains ---- (185,828)
------------------ ------------------
Total distributions ---- (220,863)
------------------ ------------------
Capital Share Transactions (Note 3):
Proceeds from shares sold 3,806,212 5,979,912
Net asset value of shares issued through dividend reinvestment ---- 220,863
Cost of shares repurchased (98,466) (210,468)
------------------ ------------------
Net increase (decrease) in net assets from capital share transactions 3,707,746 5,990,307
------------------ ------------------
Total increase (decrease) in net assets 5,292,858 6,675,136
Net Assets:
Beginning of period 9,066,495 2,391,359
------------------ ------------------
End of period $ 14,359,353 $ 9,066,495
================== ==================
Net Assets at end of period includes undistributed
(distributions in excess of) net investment income $ 32,913 $ ------
================== ==================
Capital Share Transactions:
Beginning shares 755,861 223,292
------------------ ------------------
Shares sold 303,326 532,806
Shares issued through dividend reinvestment ---- 18,488
Shares repurchased (7,991) (18,725)
------------------ ------------------
Net increase (decrease) in shares outstanding 295,335 532,569
------------------ ------------------
Ending shares 1,051,196 755,861
================== ==================
See notes to financial statements
</TABLE>
<PAGE>
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 Year ended (date of initial
June 30, 1999 December 31, December 31, public offering) to
(Unaudited) 1998 1997 December 31, 1996
---------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 11.982 $ 13.105 $ 10.922 $ 10.512
------------- ------------- ------------ --------------
Income from investment operations
Net investment income 0.016 0.051 0.057 0.057
Net realized and unrealized gains 0.707 (0.722) 2.217 0.843
------------- ------------- ------------ --------------
Total from investment operations 0.723 (0.671) 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 $ 12.705 $ 11.982 $ 13.105 $ 10.922
------------- ------------- ------------ --------------
Total Return 6.01% * (5.40%) 20.89% 8.65% *
------------- ------------- ------------ --------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 81.3 $ 78.2 $ 59.8 $ 14.7
Ratios to Average Net Assets (1):
Operating Expenses 1.03% ** 0.95% 0.95% 0.95% **
Interest Expense ---- ---- ---- ----
Net investment income 0.27% ** 0.45% 0.56% 0.87% **
Portfolio turnover rate 69.3% * 62.4% 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: 1.12% ** 1.12% 1.39% 2.68% **
Ratio of Net Investment Income to Average Net Assets: 0.18% ** 0.28% 0.12% (0.86%)**
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
Quality Bond
Portfolio
----------------------------------------------------------------
For the period
from May 1, 1996
Six months ended Year ended Year ended (date of initial
June 30, 1999 December 31, December 31, public offering) to
(Unaudited) 1998 1997 December 31, 1996
----------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 11.020 $ 10.405 $ 10.082 $ 9.897
------------- ------------- ------------- ---------------
Income from investment operations
Net investment income 0.142 0.490 0.446 0.459
Net realized and unrealized gains (0.375) 0.365 0.452 0.102
------------- ------------- ------------- ---------------
Total from investment operations (0.233) 0.855 0.898 0.561
------------- ------------- ------------- ---------------
Distributions
Dividends from net investment income ---- (0.240) (0.531) (0.376)
Distributions from net realized gains ---- ---- (0.044) ----
Distributions in excess of net investment income ---- ---- ---- ----
Return of capital distributions ---- ---- ---- ----
------------- ------------- ------------- ---------------
Total distributions ---- (0.240) (0.575) (0.376)
------------- ------------- ------------- ---------------
Net Asset Value, end of period $ 10.787 $ 11.020 $ 10.405 $ 10.082
------------- ------------- ------------- ---------------
Total Return (2.09%)* 8.37% 9.06% 5.68% *
------------- ------------- ------------- ---------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 95.8 $ 45.8 $ 18.6 $ 5.8
Ratios to Average Net Assets (1):
Operating Expenses 0.64% ** 0.65% 0.65% 0.65% **
Interest Expense ---- ---- ---- ----
Net investment income 5.45% ** 5.59% 5.92% 5.94% **
Portfolio turnover rate 222.4% * 255.4% 163.7% 181.3% *
(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: 0.71% ** 0.86% 1.08% 1.52% **
Ratio of Net Investment Income to Average Net Assets: 5.38% ** 5.38% 5.49% 5.07% **
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
Select Equity
Portfolio
----------------------------------------------------------------------
For the period
from May 1, 1996
Six months ended Year ended Year ended (date of initial
June 30, 1999 December 31, December 31, public offering) to
(Unaudited) 1998 1997 December 31, 1996
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 16.076 $ 13.966 $ 10.742 $ 10.084
------------ --------------- -------------- ---------------
Income from investment operations
Net investment income 0.034 0.091 0.078 0.081
Net realized and unrealized gains 1.793 2.983 3.294 0.771
------------ --------------- -------------- ---------------
Total from investment operations 1.827 3.074 3.372 0.852
------------ --------------- -------------- ---------------
Distributions
Dividends from net investment income ---- (0.046) (0.077) (0.081)
Distributions from net realized gains ---- (0.918) (0.071) (0.113)
Distributions in excess of net investment income ---- ---- ---- (0.000)+
Return of capital distributions ---- ---- ---- ----
------------ --------------- -------------- ---------------
Total distributions ---- (0.964) (0.148) (0.194)
------------ --------------- -------------- ---------------
Net Asset Value, end of period $ 17.903 $ 16.076 $ 13.966 $ 10.742
------------ --------------- -------------- ---------------
Total Return 11.32% * 22.56% 31.55% 8.52% *
------------ --------------- -------------- ---------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 242.2 $ 197.8 $ 106.9 $ 23.8
Ratios to Average Net Assets (1):
Operating Expenses 0.79% ** 0.78% 0.83% 0.85% **
Interest Expense ---- ---- ---- ----
Net investment income 0.49% ** 0.68% 0.81% 1.35% **
Portfolio turnover rate 61.4% * 182.9% 134.8% 123.9% *
(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: 0.79% ** 0.86% 1.00% 1.70% **
Ratio of Net Investment Income to Average Net Assets: 0.49% ** 0.60% 0.64% 0.50% **
+ Amount is less than $.0005
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE>
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 Year ended (date of initial
June 30, 1999 December 31, December 31, public offering) to
(Unaudited) 1998 1997 December 31, 1996
----------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 18.115 $ 13.845 $ 11.112 $ 10.003
------------- ------------- ------------- ---------------
Income from investment operations
Net investment income 0.045 0.098 0.113 0.124
Net realized and unrealized gains 2.271 4.357 3.560 1.304
------------- ------------- ------------- ---------------
Total from investment operations 2.316 4.455 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 $ 20.431 $ 18.115 $ 13.845 $ 11.112
------------- ------------- ------------- ---------------
Total Return 12.75% * 32.31% 33.25% 14.35% *
------------- ------------- ------------- ---------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 241.0 $ 103.8 $ 32.3 $ 16.8
Ratios to Average Net Assets (1):
Operating Expenses 0.75% ** 0.75% 0.75% 0.75% **
Interest Expense ---- ---- ---- ----
Net investment income 0.82% ** 0.77% 0.99% 1.56% **
Portfolio turnover rate 33.7% * 62.4% 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: 0.78% ** 0.94% 1.08% 1.23% **
Ratio of Net Investment Income to Average Net Assets: 0.79% ** 0.58% 0.66% 1.08% **
+ Amount is less than $.0005
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
International Equity
Portfolio
-------------------------------------------------------------------
For the period
from May 1, 1996
Six months ended Year ended Year ended (date of initial
June 30, 1999 December 31, December 31, public offering) to
(Unaudited) 1998 1997 December 31, 1996
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 12.857 $ 11.472 $ 10.959 $ 10.215
------------ ------------- ----------- ---------------
Income from investment operations
Net investment income 0.077 0.117 0.122 0.096
Net realized and unrealized gains 0.657 1.491 0.539 0.755
------------ ------------- ----------- ---------------
Total from investment operations 0.734 1.608 0.661 0.851
------------ ------------- ----------- ---------------
Distributions
Dividends from net investment income ---- (0.220) (0.137) (0.086)
Distributions from net realized gains ---- (0.003) (0.011) (0.021)
Distributions in excess of net investment income ---- ---- ---- ----
Return of capital distributions ---- ---- ---- ----
------------ ------------- ----------- ---------------
Total distributions ---- (0.223) (0.148) (0.107)
------------ ------------- ----------- ---------------
Net Asset Value, end of period $ 13.591 $ 12.857 $ 11.472 $ 10.959
------------ ------------- ----------- ---------------
Total Return 5.68% * 14.07% 5.96% 8.44% *
------------ ------------- ----------- ---------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 113.1 $ 104.5 $ 68.8 $ 15.6
Ratios to Average Net Assets (1):
Operating Expenses 0.99% ** 0.91% 0.95% 0.95% **
Interest Expense ---- ---- *** ---- ----
Net investment income 1.19% ** 0.97% 1.35% 1.43% **
Portfolio turnover rate 42.6% * 74.0% 74.1% 48.2% *
(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: 1.09% ** 1.09% 1.53% 3.80% **
Ratio of Net Investment Income to Average Net Assets: 1.09% ** 0.79% 0.77% (1.42%)**
* Non-annualized
** Annualized
*** Amount is less than 0.00%
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
Bond Debenture
Portfolio
--------------------------------------------------------------------
For the period
from May 1, 1996
Six months ended Year ended Year ended (date of initial
June 30, 1999 December 31, December 31, public offering) to
(Unaudited) 1998 1997 December 31, 1996
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 12.381 $ 12.112 $ 10.970 $ 10.098
---------- ------------- --------- ---------------
Income from investment operations
Net investment income 0.328 0.682 0.544 0.345
Net realized and unrealized gains (0.205) 0.072 1.147 0.949
---------- ------------- --------- ---------------
Total from investment operations 0.123 0.754 1.691 1.294
---------- ------------- --------- ---------------
Distributions
Dividends from net investment income ---- (0.349) (0.549) (0.342)
Distributions from net realized gains ---- (0.136) ---- (0.080)
Distributions in excess of net investment income ---- ---- ---- ----
Return of capital distributions ---- ---- ---- ----
---------- ------------- --------- ---------------
Total distributions ---- (0.485) (0.549) (0.422)
---------- ------------- --------- ---------------
Net Asset Value, end of period $ 12.504 $ 12.381 $ 12.112 $ 10.970
---------- ------------- --------- ---------------
Total Return 0.97% * 6.26% 15.63% 12.89% *
---------- ------------- --------- ---------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 163.2 $ 120.0 $ 55.4 $ 7.7
Ratios to Average Net Assets (1):
Operating Expenses 0.85% ** 0.85% 0.85% 0.85% **
Interest Expense ---- ---- *** ---- ----
Net investment income 6.95% ** 6.58% 6.68% 7.26% **
Portfolio turnover rate 27.8% * 84.7% 100.3% 58.1% *
(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: 0.88% ** 0.93% 1.07% 2.05% **
Ratio of Net Investment Income to Average Net Assets: 6.92% ** 6.50% 6.46% 6.06% **
* Non-annualized
** Annualized
*** Amount is less than 0.00%
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
Mid-Cap Value
Portfolio
---------------------------------------------------
For the period
from August 20, 1997
Six months ended Year ended (commencement
June 30, 1999 December 31, of operations) to
(Unaudited) 1998 December 31, 1997
---------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 10.583 $ 10.481 $ 10.000
------------- ------------- ----------------
Income from investment operations
Net investment income 0.020 0.032 0.010
Net realized and unrealized gains 1.199 0.087 0.481
------------- ------------- ----------------
Total from investment operations 1.219 0.119 0.491
------------- ------------- ----------------
Distributions
Dividends from net investment income ---- (0.017) (0.010)
Distributions from net realized gains ---- ---- ----
Distributions in excess of net investment income ---- ---- ----
Return of capital distributions ---- ---- ----
------------- ------------- ----------------
Total distributions ---- (0.017) (0.010)
------------- ------------- ----------------
Net Asset Value, end of period $ 11.802 $ 10.583 $ 10.481
------------- ------------- ----------------
Total Return 11.53% * 1.11% 4.90% *
------------- ------------- ----------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 27.2 $ 18.3 $ 2.2
Ratios to Average Net Assets (1):
Operating Expenses 1.18% ** 1.10% 1.10% **
Interest Expense ---- ---- ----
Net investment income 0.53% ** 0.44% 0.97% **
Portfolio turnover rate 20.9% * 41.0% 1.5% *
(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: 1.51% ** 1.68% 8.41% **
Ratio of Net Investment Income to Average Net Assets: 0.20% ** (0.14%) (6.34%)**
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE>
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 Year ended (commencement
June 30, 1999 December 31, of operations) to
(Unaudited) 1998 December 31, 1997
--------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 11.964 $ 9.905 $ 10.000
------------- ------------- ---------------
Income from investment operations
Net investment income 0.012 0.069 0.017
Net realized and unrealized gains 1.595 2.023 (0.096)
------------- ------------- ---------------
Total from investment operations 1.607 2.092 (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 $ 13.571 $ 11.964 $ 9.905
------------- ------------- ---------------
Total Return 13.46% * 21.04% (0.74%)*
------------- ------------- ---------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 25.4 $ 13.9 $ 1.4
Ratios to Average Net Assets (1):
Operating Expenses 1.18% ** 1.10% 1.10% **
Interest Expense ---- ---- ----
Net investment income 0.52% ** 0.97% 1.53% **
Portfolio turnover rate 22.0% * 103.0% 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: 1.47% ** 1.95% 10.04% **
Ratio of Net Investment Income to Average Net Assets: 0.23% ** 0.12% (7.41%)**
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
Developing Growth
Portfolio
----------------------------------------------------
For the period
from August 20, 1997
Six months ended Year ended (commencement
June 30, 1999 December 31, of operations) to
(Unaudited) 1998 December 31, 1997
----------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 11.241 $ 10.549 $ 10.000
------------- ------------ ----------------
Income from investment operations
Net investment income (0.038) (0.025) 0.002
Net realized and unrealized gains 1.810 0.723 0.549
------------- ------------ ----------------
Total from investment operations 1.772 0.698 0.551
------------- ------------ ----------------
Distributions
Dividends from net investment income ---- ---- (0.002)
Distributions from net realized gains ---- (0.006) ----
Distributions in excess of net investment income ---- ---- ----
Return of capital distributions ---- ---- ----
------------- ------------ ----------------
Total distributions ---- (0.006) (0.002)
------------- ------------ ----------------
Net Asset Value, end of period $ 13.013 $ 11.241 $ 10.549
------------- ------------ ----------------
Total Return 15.75% * 6.60% 5.52% *
------------- ------------ ----------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 23.8 $ 15.9 $ 1.7
Ratios to Average Net Assets (1):
Operating Expenses 1.08% ** 1.00% 1.00% **
Interest Expense ---- ---- ----
Net investment income (0.72%)** (0.47%) 0.18% **
Portfolio turnover rate 26.7% * 18.7% 9.1% *
(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: 1.37% ** 1.70% 9.00% **
Ratio of Net Investment Income to Average Net Assets: (1.01%)** (1.17%) (7.82%)**
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
Lord Abbett Growth & Income
Portfolio
For the period from
January 8, 1999
(commencement of
operations) to June 30, 1999
(Unaudited)
---------------------------------
<S> <C>
Net Asset Value, beginning of period $ 21.603
-------------
Income from investment operations
Net investment income 0.134
Net realized and unrealized gains 1.945
-------------
Total from investment operations 2.079
-------------
Distributions
Dividends from net investment income ----
Distributions from net realized gains ----
Distributions in excess of net investment income ----
Return of capital distributions ----
-------------
Total distributions ----
-------------
Net Asset Value, end of period $ 23.682
-------------
Total Return 9.58% ***
-------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 882.3
Ratios to Average Net Assets (1):
Operating Expenses 0.71% **
Interest Expense ----
Net investment income 1.29% **
Portfolio turnover rate 34.4% *
(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: 0.71% **
Ratio of Net Investment Income to Average Net Assets: 1.29% **
* Non-annualized
** Annualized
*** Inception to date
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
Balanced
Portfolio
---------------------------------------------------
For the period
from July 1, 1997
Six months ended Year ended (commencement
June 30, 1999 December 31, of operations) to
(Unaudited) 1998 December 31, 1997
---------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 11.398 $ 10.389 $ 10.000
------------- ------------- --------------
Income from investment operations
Net investment income 0.121 0.223 0.123
Net realized and unrealized gains 0.713 1.152 0.477
------------- ------------- --------------
Total from investment operations 0.834 1.375 0.600
------------- ------------- --------------
Distributions
Dividends from net investment income ---- (0.222) (0.124)
Distributions from net realized gains ---- (0.144) (0.087)
Distributions in excess of net investment income ---- ---- ----
Return of capital distributions ---- ---- ----
------------- ------------- --------------
Total distributions ---- (0.366) (0.211)
------------- ------------- --------------
Net Asset Value, end of period $ 12.232 $ 11.398 $ 10.389
------------- ------------- --------------
Total Return 7.28% * 13.31% 6.01% *
------------- ------------- --------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 8.1 $ 4.6 $ 1.5
Ratios to Average Net Assets (1):
Operating Expenses 1.10% ** 1.10% 1.10% **
Interest Expense ---- ---- ----
Net investment income 2.70% ** 2.54% 2.74% **
Portfolio turnover rate 14.6% * 36.0% 13.6% *
(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: 2.36% ** 3.08% 3.81% **
Ratio of Net Investment Income to Average Net Assets: 1.44% ** 0.56% 0.03% **
* Non-annualized
** Annualized
*** Inception to date
See notes to financial statements
</TABLE>
<PAGE>
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 Year ended (commencement
June 30, 1999 December 31, of operations) to
(Unaudited) 1998 December 31, 1997
----------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 10.175 $ 10.419 $ 10.000
------------- ------------ ---------------
Income from investment operations
Net investment income (0.015) (0.014) (0.001)
Net realized and unrealized gains 0.650 (0.012) 0.485
------------- ------------ ---------------
Total from investment operations 0.635 (0.026) 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) (0.065)
------------- ------------ ---------------
Net Asset Value, end of period $ 10.810 $ 10.175 $ 10.419
------------- ------------ ---------------
Total Return 6.29% * (0.39%) 4.86% *
------------- ------------ ---------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 2.9 $ 2.4 $ 1.3
Ratios to Average Net Assets (1):
Operating Expenses 1.10% ** 1.10% 1.10% **
Interest Expense ---- --- ----
Net investment income (0.33%)** (0.19%) (0.02%)**
Portfolio turnover rate 28.5% * 62.0% 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: 4.29% ** 4.19% 3.97% **
Ratio of Net Investment Income to Average Net Assets: (3.52%)** (3.28%) (2.89%)**
* Non-annualized
** Annualized
*** Inception to date
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
Equity Income
Portfolio
-----------------------------------------------------
For the period
from July 1, 1997
Six months ended Year ended (commencement
June 30, 1999 December 31, of operations) to
(Unaudited) 1998 December 31, 1997
-----------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 11.626 $ 11.047 $ 10.000
------------- ------------- ---------------
Income from investment operations
Net investment income 0.096 0.167 0.074
Net realized and unrealized gains 1.208 0.862 1.192
------------- ------------- ---------------
Total from investment operations 1.304 1.029 1.266
------------- ------------- ---------------
Distributions
Dividends from net investment income ---- (0.167) (0.074)
Distributions from net realized gains ---- (0.283) (0.145)
Distributions in excess of net investment income ---- ---- ----
Return of capital distributions ---- ---- ----
------------- ------------- ---------------
Total distributions ---- (0.450) (0.219)
------------- ------------- ---------------
Net Asset Value, end of period $ 12.930 $ 11.626 $ 11.047
------------- ------------- ---------------
Total Return 11.18% * 9.35% 12.69% *
------------- ------------- ---------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 6.9 $ 4.7 $ 1.7
Ratios to Average Net Assets (1):
Operating Expenses 1.10% ** 1.10% 1.10% **
Interest Expense ---- ---- ----
Net investment income 1.85% ** 1.79% 1.65% **
Portfolio turnover rate 36.4% * 79.4% 17.9% *
(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: 2.40% ** 2.69% 3.58% **
Ratio of Net Investment Income to Average Net Assets: 0.55% ** 0.20% (0.83%)**
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share held throughout the periods indicated
<TABLE>
<CAPTION>
Growth & Income Equity
Portfolio
-----------------------------------------------------
For the period
from July 1, 1997
Six months ended Year ended (commencement
June 30, 1999 December 31, of operations) to
(Unaudited) 1998 December 31, 1997
-----------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 11.995 $ 10.710 $ 10.000
------------- ------------- ---------------
Income from investment operations
Net investment income 0.031 0.057 0.033
Net realized and unrealized gains 1.634 1.538 0.793
------------- ------------- ---------------
Total from investment operations 1.665 1.595 0.826
------------- ------------- ---------------
Distributions
Dividends from net investment income ---- (0.058) (0.032)
Distributions from net realized gains ---- (0.252) (0.084)
Distributions in excess of net investment income ---- ---- ----
Return of capital distributions ---- ---- ----
------------- ------------- ---------------
Total distributions ---- (0.310) (0.116)
------------- ------------- ---------------
Net Asset Value, end of period $ 13.660 $ 11.995 $ 10.710
------------- ------------- ---------------
Total Return 13.83% * 14.95% 8.26% *
------------- ------------- ---------------
Ratios/Supplemental Data:
Net Assets, end of period (In millions) $ 14.4 $ 9.1 $ 2.4
Ratios to Average Net Assets (1):
Operating Expenses 1.10% ** 1.10% 1.10% **
Interest Expense ---- ---- ----
Net investment income 0.59% ** 0.65% 0.87% **
Portfolio turnover rate 21.7% * 57.5% 18.1% *
(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: 1.73% ** 2.00% 3.51% **
Ratio of Net Investment Income to Average Net Assets: (0.04%)** (0.25%) (1.54%)**
* Non-annualized
** Annualized
See notes to financial statements
</TABLE>
<PAGE>
COVA SERIES TRUST
Notes to Financial Statements
June 30, 1999 (Unaudited)
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 fourteen 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, Developing Growth Portfolio, and Lord Abbett Growth and
Income 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 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 Lord Abbett Growth and Income Portfolio
commenced operations on January 8, 1999.
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.
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
segregate 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, or in the case of some foreign securities, on the date
thereafter when the Fund is made aware of the dividend. Interest income and
expenses are recorded when earned or incurred, respectively. Foreign income and
foreign capital gains realized on some foreign securities may be subject to
foreign withholding taxes, which are accrued as applicable.
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.
E. Distribution of Income and Gains - The Funds annually declare, pay and
automatically reinvest dividends from net investment income and distributions of
any net realized capital gains.
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.
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 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.
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.
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. 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' 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.
<TABLE>
<CAPTION>
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:
<S> <C> <C>
Fund Average 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%
Lord Abbett Growth and Income All .65%
Bond Debenture All .75%
Mid-Cap Value All 1%
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%
</TABLE>
For the period January 1, 1999 to April 30, 1999, the Adviser had voluntarily
reimbursed the Funds for their operating expenses, exclusive of brokerage or
other portfolio transaction expenses or expenses of litigation, indemnification,
taxes, or other extraordinary expenses, to the extent that they exceeded an
annual rate of .10% of the average daily net assets of each Fund.
As of May 1, 1999, the Adviser has discontinued this reimbursement arrangement
for the Small Cap, Select Equity, and International Equity Portfolios. Also,
beginning May 1, 1999, Cova has reimbursed the Mid-Cap Value, Large Cap Research
and Developing Growth Portfolios for their operating expenses, exclusive of
brokerage or other portfolio transaction expenses or expenses of litigation,
indemnification, taxes, or other extraordinary expenses, to the extent that they
exceeded an annual rate of .30% 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").
<TABLE>
<CAPTION>
Cova Variable Annuity Accounts One and Five, Cova Variable Life Accounts One,
Five, and Eight, 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, 1999, Cova Life owned all
shares of beneficial interest of each Fund except those listed below.
Percentage of Ownership
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cova Life Lord Abbett & Co. Mississippi Valley Advisors Inc.
-------------------------- --------------------------- ---------------------------------
Mid-Cap Value 99.6% 0.4% --
Large Cap Research 99.4% 0.6% --
Developing Growth 99.5% 0.5% --
Balanced 84.0% -- 16.0%
Small Cap Equity 61.0% -- 39.0%
Equity Income 80.0% -- 20.0%
Growth & Income Equity 90.0% -- 10.0%
</TABLE>
3. Investment Transactions
<TABLE>
<CAPTION>
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term securities, for the period ended June 30, 1999 were as
follows:
Purchases
------------------------------------------------------------------------
Portfolio: U.S. Government Non-Government Total
- ---------------------------------- ---------------------- ---------------------------- --------------------
<S> <C> <C> <C>
Small Cap Stock $ 0 $ 50,436,804 $ 50,436,804
Quality Bond 152,426,939 45,890,909 198,317,848
Select Equity 0 154,322,370 154,322,370
Large Cap Stock 432,883 136,841,302 137,274,185
International Equity 0 48,014,612 48,014,612
Bond Debenture 1,134,234 47,260,721 48,394,955
Mid-Cap Value 0 10,201,077 10,201,077
Large Cap Research 0 12,708,126 12,708,126
Developing Growth 0 8,964,217 8,964,217
Lord Abbett Growth & Income 0 409,000,000 409,000,000
Balanced 629,222 2,778,836 3,408,058
Small Cap Equity 0 871,619 871,619
Equity Income 0 3,294,544 3,294,544
Growth & Income Equity 0 5,612,020 5,612,020
</TABLE>
<TABLE>
<CAPTION>
Sales
------------------------------------------------------------------------
Portfolio: U.S. Government Non-Government Total
- ---------------------------------- ---------------------- ---------------------------- --------------------
<S> <C> <C> <C>
Small Cap Stock $ 0 $ 51,807,357 $ 51,807,357
Quality Bond 108,215,146 65,681,871 173,897,017
Select Equity 0 131,211,019 131,211,019
Large Cap Stock 150,000 66,738,275 66,888,275
International Equity 0 45,311,534 45,311,534
Bond Debenture 7,260,088 33,166,157 40,426,245
Mid-Cap Value 0 4,238,569 4,238,569
Large Cap Research 0 3,987,957 3,987,957
Developing Growth 0 4,937,153 4,937,153
Lord Abbett Growth & Income 0 269,603,340 269,603,340
Balanced 0 769,148 769,148
Small Cap Equity 0 671,976 671,976
Equity Income 0 1,850,171 1,850,171
Growth & Income Equity 0 2,240,210 2,240,210
</TABLE>
<TABLE>
<CAPTION>
At June 30, 1999, 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 Income Gross Unrealized Gross Unrealized
Portfolio: Tax Cost Appreciation (Depreciation)
- ----------------------------------------- ----------------------- ----------------------------- --------------------------
<S> <C> <C> <C>
Small Cap Stock $ 69,465,636 $12,757,530 $(4,733,958)
Quality Bond 87,472,507 52,004 (2,512,205)
Select Equity 211,045,126 37,645,720 (7,840,849)
Large Cap Stock 208,349,574 32,844,468 (5,818,675)
International Equity 101,157,447 14,516,297 (3,937,061)
Bond Debenture 159,608,103 3,191,208 (7,938,687)
Mid-Cap Value 23,511,092 3,255,462 (725,816)
Large Cap Research 20,329,656 3,984,074 (343,624)
Developing Growth 19,987,486 3,957,677 (1,824,895)
Lord Abbett Growth & Income 771,614,432 98,043,951 (16,609,678)
Balanced 6,430,634 842,748 (150,335)
Small Cap Equity 2,369,302 503,301 (190,712)
Equity Income 5,745,372 675,363 (122,416)
Growth & Income Equity 10,925,514 2,609,704 (311,026)
</TABLE>
4. Futures Contracts
<TABLE>
<CAPTION>
Transactions in futures contracts for the period ended June 30, 1999, were as
follows:
Large Quality
Cap Stock Bond
Portfolio Portfolio
---------------- ---------------
<S> <C> <C>
Futures Contracts Outstanding at December 31, 1998 12 --
Contracts Opened 98 186
Contracts Closed (93) (148)
---------------- ---------------
Futures Contracts Outstanding at June 30, 1999 17 38
================ ===============
</TABLE>
<TABLE>
<CAPTION>
The futures contracts outstanding as of June 30, 1999 and the description and
unrealized appreciation or depreciation were as follows:
Unrealized
Appreciation/
Contracts Notional Value (Depreciation)
---------------------- ------------------------ -------------------
<S> <C> <C> <C>
Large Cap Stock Portfolio:
S & P 500 Index Futures 17 $ 5,872,225 $ 215,848
September 1999 - Long
Quality Bond Portfolio:
U.S. Bond 5 Year Futures 2 $ 218,000 $ (1,512)
September 1999 - Short
Quality Bond Portfolio:
U.S. Bond 10 Year Futures 36 $ 4,002,750 $(44,091)
September 1999 - Short
</TABLE>
5. Forward Foreign Currency Contracts
<TABLE>
<CAPTION>
Open forward foreign currency contracts for the International Equity Portfolio
at June 30, 1999, were as follows:
Forward Foreign Currency Contracts to Buy: Unrealized
Value at In Exchange Appreciation/
Settlement Date Contracts to Receive June 30, 1999 for U.S. $ (Depreciation)
- ------------------------ ----------------------------------- ---------------------- --------------------- -------------------
<S> <C> <C> <C> <C> <C>
7/8/99 2,578,554 Australian Dollar $ 1,705,356 $ 1,690,224 $ 15,132
7/1/99 4,775 Euro 4,917 4,917 0
7/8/99 5,266,000 Euro 5,426,199 5,538,928 (112,729)
7/8/99 1,198,000 British Pound Sterling 1,888,743 1,904,662 (15,919)
7/1/99 162,724,000 Japanese Yen 1,346,138 1,341,611 4,527
7/8/99 604,507,250 Japanese Yen 5,005,967 5,030,000 (24,033)
===================
(133,022)
===================
</TABLE>
<TABLE>
<CAPTION>
Forward Foreign Currency Contracts to Sell: Unrealized
Value at In Exchange Appreciation/
Settlement Date Contracts to Deliver June 30, 1999 for U.S. $ (Depreciation)
- ------------------------ ----------------------------------- ---------------------- --------------------- -------------------
<S> <C> <C> <C> <C> <C>
7/8/99 2,578,554 Australian Dollar $ 1,705,356 $ 1,641,946 $ (63,410)
7/1/99 4,775 Euro 4,917 4,917 0
7/8/99 8,837,735 Euro 9,106,590 9,451,390 344,800
7/1/99 850,000 British Pound Sterling 1,340,034 1,341,611 1,577
7/8/99 2,818,000 British Pound Sterling 4,442,802 4,539,798 96,996
7/8/99 1,498,566,958 Japanese Yen 12,409,739 12,549,476 139,737
7/8/99 555,850 New Zealand Dollar 294,537 297,641 3,104
===================
522,804
===================
</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.
Other Information:
Year 2000 Issue (Unaudited)
Like other mutual funds, as well as other financial and business organizations
around the world, the Trust could be adversely affected if the computer systems
used by the Adviser, the Sub-Advisers and other service providers, in performing
their administrative functions do not properly process and calculate date
related information and data as of and after January 1, 2000. This is commonly
known as the "Year 2000 Issue." The Adviser and Sub-Advisers are taking steps
that they believe are reasonably designed to address the Year 2000 Issue with
respect to computer systems that they use and to obtain reasonable assurances
that comparable steps are being taken by the Trust's other major service
providers. At this time, however, there can be no guarantees that these steps
will be sufficient to avoid any adverse impact to the Trust.
